Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2014 | Apr. 30, 2014 | |
Entity Information [Line Items] | ' | ' |
Entity Registrant Name | 'Federal Home Loan Bank of Pittsburgh | ' |
Entity Central Index Key | '0001330399 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Non-accelerated Filer | ' |
Document Type | '10-Q | ' |
Document Period End Date | 31-Mar-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus | 'Q1 | ' |
Amendment Flag | 'false | ' |
Entity Common Stock, Shares Outstanding | ' | 27,999,854 |
Statement_of_Income
Statement of Income (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Interest income: | ' | ' |
Advances | $59,973 | $55,780 |
Prepayment fees on advances, net | 3,091 | 1,713 |
Interest-bearing deposits | 83 | 117 |
Securities purchased under agreements to resell | 13 | 576 |
Federal funds sold | 705 | 1,463 |
Trading securities | 1,838 | 60 |
Available-for-sale (AFS) securities | 32,884 | 28,765 |
Held-to-maturity (HTM) securities | 19,970 | 27,024 |
Mortgage loans held for portfolio | 33,364 | 37,634 |
Total interest income | 151,921 | 153,132 |
Interest expense: | ' | ' |
Consolidated obligations - discount notes | 6,036 | 5,245 |
Consolidated obligations - bonds | 83,525 | 102,057 |
Mandatorily redeemable capital stock | 14 | 289 |
Deposits | 55 | 131 |
Other borrowings | 3 | 7 |
Total interest expense | 89,633 | 107,729 |
Net interest income | 62,288 | 45,403 |
Provision (benefit) for credit losses | -3,873 | -121 |
Net interest income after provision (benefit) for credit losses | 66,161 | 45,524 |
Other noninterest income (loss): | ' | ' |
Total OTTI losses (Note 5) | 0 | 0 |
OTTI losses reclassified (from) AOCI (Note 5) | 0 | -442 |
Net OTTI losses, credit portion (Note 5) | 0 | -442 |
Net gains (losses) on trading securities (Note 2) | 9,792 | 231 |
Net gains on derivatives and hedging activities (Note 9) | -9,199 | 1,584 |
Gains on litigation settlements, net | 36,610 | ' |
Other, net | 4,471 | 2,327 |
Total other noninterest income (loss) | 41,674 | 3,700 |
Noninterest Expense [Abstract] | ' | ' |
Compensation and benefits | 10,822 | 9,230 |
Other operating | 6,104 | 6,029 |
Finance Agency | 1,249 | 1,172 |
Office of Finance | 893 | 954 |
Total other expense | 19,068 | 17,385 |
Income before assessments | 88,767 | 31,839 |
Affordable Housing Program (AHP) assessment | 8,878 | 3,213 |
Net Income | $79,889 | $28,626 |
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock) | 29,072 | 27,783 |
Basic and diluted earnings per share | $2.75 | $1.03 |
Dividends per share | $0.58 | $0.08 |
Statement_of_Comprehensive_Inc
Statement of Comprehensive Income (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Net Income | $79,889 | $28,626 |
Net unrealized gains (losses) on AFS securities: | ' | ' |
Unrealized gains (losses) | 24,528 | -4,838 |
Net non-credit portion of OTTI losses on AFS securities: | ' | ' |
Net change in fair value of OTTI securities | 2,018 | 14,364 |
Unrealized gains (losses) | -575 | 15,060 |
Reclassification on non-credit portion included in net income | 0 | 442 |
Total net non-credit portion of OTTI losses on AFS securities | 1,443 | 29,866 |
Pension and post-retirement benefits | 39 | 26 |
Total other comprehensive income | 26,010 | 25,054 |
Total Comprehensive Income | $105,899 | $53,680 |
Statement_of_Condition
Statement of Condition (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
ASSETS | ' | ' |
Cash and due from banks | $1,141,287 | $3,121,345 |
Interest-bearing deposits | 5,459 | 7,795 |
Federal funds sold | 2,830,000 | 2,875,000 |
Investment securities | ' | ' |
Trading securities (Note 2) | 259,446 | 239,190 |
AFS securities, at fair value, include $79,233 pledged as collateral that may be repledged at December 31, 2013 (Note 3) | 7,061,145 | 6,757,717 |
HTM securities; fair value of $3,868,330 and $4,034,830, respectively (Note 4) | 3,822,403 | 3,995,530 |
Total investment securities | 11,142,994 | 10,992,437 |
Advances (Note 6) | 46,063,912 | 50,247,435 |
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $7,318 and $11,359, respectively (Note 8) | 3,174,294 | 3,224,091 |
Banking on Business (BOB) loans, net of allowance for credit losses of $2,142 and $2.231, respectively (Note 8) | 11,161 | 11,400 |
Accrued interest receivable | 82,651 | 95,374 |
Property, software and equipment, net | 10,159 | 11,136 |
Derivative assets (Note 9) | 70,889 | 59,973 |
Other assets | 22,850 | 24,933 |
Total assets | 64,555,656 | 70,670,919 |
Deposits | ' | ' |
Interest-bearing | 752,293 | 660,598 |
Noninterest-bearing | 28,062 | 33,754 |
Total Deposits | 780,355 | 694,352 |
Consolidated Obligations, net (Note 10) | ' | ' |
Discount Notes | 21,942,198 | 28,236,257 |
Bonds | 37,901,394 | 37,698,302 |
Total Consolidated Obligations, Net | 59,843,592 | 65,934,559 |
Mandatory redeemable capital stock (Note 11) | 1,861 | 40 |
Accrued interest payable | 143,873 | 97,689 |
Affordable Housing Program | 43,883 | 36,353 |
Derivative liabilities (Note 9) | 89,010 | 177,488 |
Other Liabilities | 152,557 | 38,236 |
Total liabilities | 61,055,131 | 66,978,717 |
Commitments and Contingencies ( Note 14) | ' | ' |
Capital (Note 11) | ' | ' |
Capital stock - putable ($100 par value) issued and outstanding 26,814 and 29,622 shares | 2,681,356 | 2,962,143 |
Retained earnings: | ' | ' |
Unrestricted | 672,758 | 625,636 |
Restricted | 76,061 | 60,083 |
Total retained earnings | 748,819 | 685,719 |
Accumulated Other Comprehensive Income (AOCI) | 70,350 | 44,340 |
Total capital | 3,500,525 | 3,692,202 |
Total liabilities and capital | $64,555,656 | $70,670,919 |
Statement_of_Condition_Parenth
Statement of Condition (Parenthetical) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, except Per Share data, unless otherwise specified | ||
ASSETS | ' | ' |
Available-for-sale Securities Pledged as Collateral | $0 | $79,233 |
Held to maturity securities - fair value | 3,868,330 | 4,034,830 |
Allowance for Credit losses, Mortgage Loans | 7,318 | 11,359 |
Allowance for Credit Losses, BOB loans | $2,142 | $2,231 |
Stockholders' Equity Attributable to Parent [Abstract] | ' | ' |
Capital Stock, Par value Per Share | $100 | $100 |
Capital Stock, Shares, Issued and Outstanding | 26,814 | 29,622 |
Statement_of_Cash_Flows
Statement of Cash Flows (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
OPERATING ACTIVITIES | ' | ' |
Net Income | $79,889 | $28,626 |
Adjustments to reconcile net income to net cash provided by(used in) operating activities: | ' | ' |
Depreciation and amortization | -13,480 | -8,138 |
Change in net fair value adjustment on derivative and hedging activities | -15,998 | -15,962 |
Net OTTI credit losses | 0 | 442 |
Other adjustments | -3,874 | -122 |
Net change in: | ' | ' |
Trading securities | -30,147 | 149,866 |
Accrued interest receivable | 12,731 | 7,993 |
Other assets | 949 | 2,177 |
Accrued interest payable | 46,185 | 34,012 |
Other liabilities | 2,516 | -2,590 |
Total adjustments | -1,118 | 167,678 |
Net cash provided by operating activities | 78,771 | 196,304 |
Net change in: | ' | ' |
Interest-bearing deposits (including $2,336 and $5,945 from other FHLBanks for mortgage loan program) | -4,398 | -2,285 |
Securities purchased under agreements to resell | 0 | 1,650,000 |
Federal funds sold | 45,000 | 1,050,000 |
Premises, software and equipment, net | -83 | -656 |
AFS securities: | ' | ' |
Proceeds | 565,159 | 393,448 |
Purchases | -701,512 | -871,676 |
HTM securities: | ' | ' |
Net change in short-term | 0 | 400,000 |
Proceeds from long-term | 173,892 | 346,286 |
Advances: | ' | ' |
Proceeds | 140,789,202 | 63,962,411 |
Made | -136,655,622 | -63,520,661 |
Mortgage loans held for portfolio: | ' | ' |
Proceeds | 108,277 | 220,470 |
Purchases | -54,609 | -171,029 |
Net cash provided by investing activities | 4,265,306 | 3,456,308 |
Net change in: | ' | ' |
Deposits and pass-through reserves | 100,584 | 19,195 |
Net payments for derivative contracts with financing element | -7,989 | -7,877 |
Net proceeds from issuance of consolidated obligations: | ' | ' |
Discount notes | 20,904,544 | 92,667,949 |
Bonds (none from other FHLBanks) | 3,291,720 | 6,680,644 |
Payments for maturing and retiring consolidated obligations | ' | ' |
Discount notes | -27,199,729 | -98,515,095 |
Bonds | -3,117,510 | -5,253,385 |
Proceeds from issuance of capital stock | 349,394 | 253,265 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | -157 | -63,441 |
Payments for repurchase/redemption of capital stock | -628,203 | -236,507 |
Cash dividends paid | -16,789 | -2,274 |
Net cash (used in) provided by financing activities | -6,324,135 | -4,457,526 |
Net (decrease) in cash and cash equivalents | -1,980,058 | -804,914 |
Cash and cash equivalents at beginning of the period | 3,121,345 | 1,350,594 |
Cash and cash equivalents at end of the period | 1,141,287 | 545,680 |
Supplemental disclosures: | ' | ' |
Interest paid | 54,438 | 84,275 |
AHP payments, net | 1,348 | 1,493 |
Transfers of mortgage loans to real estate owned | $3,508 | $5,813 |
Statement_of_Cash_Flows_Parent
Statement of Cash Flows (Parenthetical) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Increase (Decrease) in Deposits with Other Federal Home Loan Banks | $2,336 | $5,945 |
Proceeds from Sale of Available-for-sale Securities | $0 | ' |
Statement_of_Changes_in_Capita
Statement of Changes in Capital (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' |
Total capital, beginning balance | $3,692,202 | $3,428,945 |
Issuance of capital stock | 349,394 | 253,265 |
Repurchase/redemption of capital stock | -628,203 | -236,507 |
Net shares reclassified to mandatorily redeemable capital stock | -1,978 | -698 |
Comprehensive Income | 105,899 | 53,680 |
Cash dividends | -16,789 | -2,202 |
Total capital, ending balance | 3,500,525 | 3,496,483 |
Capital Stock | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' |
Total capital, beginning balance | 2,962,143 | 2,815,965 |
Balance, shares beginning balance | 29,622 | 28,160 |
Issuance of capital stock | 349,394 | 253,265 |
Issuance of capital stock, shares | 3,494 | 2,532 |
Repurchase/redemption of capital stock | -628,203 | -236,507 |
Repurchase/redemption of capital stock, shares | -6,282 | -2,365 |
Net shares reclassified to mandatorily redeemable capital stock | -1,978 | -698 |
Net shares reclassified to mandatorily redeemable capital stock, shares | -20 | -7 |
Total capital, ending balance | 2,681,356 | 2,832,025 |
Balance, shares ending balance | 26,814 | 28,320 |
Retained Earnings, Unrestricted | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' |
Total capital, beginning balance | 625,636 | 528,767 |
Comprehensive Income | 63,911 | 22,901 |
Cash dividends | -16,789 | -2,202 |
Total capital, ending balance | 672,758 | 549,466 |
Retained Earnings, Restricted | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' |
Total capital, beginning balance | 60,083 | 30,508 |
Comprehensive Income | 15,978 | 5,725 |
Total capital, ending balance | 76,061 | 36,233 |
Retained Earnings Total | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' |
Total capital, beginning balance | 685,719 | 559,275 |
Comprehensive Income | 79,889 | 28,626 |
Cash dividends | -16,789 | -2,202 |
Total capital, ending balance | 748,819 | 585,699 |
Accumulated Other Comprehensive Income (Loss) | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' |
Total capital, beginning balance | 44,340 | 53,705 |
Comprehensive Income | 26,010 | 25,054 |
Total capital, ending balance | $70,350 | $78,759 |
Background_Information
Background Information | 3 Months Ended |
Mar. 31, 2014 | |
Nature of Operations [Abstract] | ' |
Background Information | ' |
Background Information | |
The Bank, a federally chartered corporation, is one of 12 district Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, are not required to hold capital stock. | |
All members must purchase stock in the Bank. The amount of capital stock a member owns is based on outstanding advances, letters of credit, membership asset value, and the principal balance of certain residential mortgage loans sold to the Bank. The Bank considers those members with capital stock balances in excess of 10% of total capital stock outstanding to be related parties. See Note 12 - Transactions with Related Parties for additional information. | |
The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to provide effective supervision, regulation and housing mission oversight of the FHLBanks to promote their safety and soundness, support housing finance and affordable housing, and support a stable and liquid mortgage market. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits. | |
As provided by the Housing and Economic Recovery Act of 2008 as amended (Housing Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all 12 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement. | |
The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. These reclassifications did not have a material impact on the Bank's financial statements. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2013 included in the Bank's 2013 Form 10-K. |
Accounting_Adjustments_Changes
Accounting Adjustments, Changes in Accounting Principle and Recently Issued | 3 Months Ended |
Mar. 31, 2014 | |
Accounting Adjustments [Abstract] | ' |
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | ' |
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | |
Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. In April 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02 or Advisory Bulletin), which is applicable to Fannie Mae, Freddie Mac and the FHLBanks. The Advisory Bulletin establishes guidelines for adverse classification of various assets, primarily MPF loans at the Bank. Among other requirements, this Advisory Bulletin requires that the Bank classify the portion of an outstanding single-family loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any credit enhancements, as a “loss” no later than when the loan becomes 180 days delinquent, except in certain specified circumstances (such as those involving properly secured loans with an LTV ratio equal to or less than 60%). The Bank implemented these classification provisions effective January 1, 2014. During the first quarter 2014, the Bank incorporated estimates of fair values on loans as applicable under the Advisory Bulletin in its calculation of the required “loss” on MPF loans. This change in the Bank's accounting estimate resulted in an immaterial benefit to the Bank's Allowance for Loan Losses at March 31, 2014. See Note 8 - Allowance for Loan Losses for more information. | |
The Advisory Bulletin also requires the Bank to charge-off the portion of the loan classified as a “loss.” The Advisory Bulletin specifies that, if the Bank subsequently receives full or partial payment of a previously charged-off loan, it may report a recovery of the amount either through loss reserves or as a reduction in foreclosed property expenses. As required, the Bank plans to adopt the charge-off provisions of the Advisory Bulletin on January 1, 2015. Upon adoption of the charge-off provisions, the Bank’s allowance for loan losses on the impacted loans will be eliminated and the corresponding recorded investment in the loan will be reduced by the amounts that are charged-off, unless it is expected to be recovered through credit enhancement (CE), for which the Bank will recognize a CE Fee Receivable. Under the Bank’s existing accounting practices and upon adoption of the Advisory Bulletin, the ultimate amount of losses realized on the Bank’s loan portfolio will be the same over time; however, the timing of when the Bank recognizes the losses in its financial statements will differ. | |
The Bank does not expect the adoption of the charge-off provisions of the Advisory Bulletin to have a material impact on its Statement of Income, Statement of Comprehensive Income, and Statement of Condition. | |
Obligations Resulting from Joint and Several Liability Arrangements. In February 2013, the FASB issued guidance for the recognition, measurement and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date. This guidance requires an entity to measure such obligations as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount the reporting entity expects to pay on behalf of its co-obligors. In addition, this guidance requires an entity to disclose the nature and amount of the obligation as well as other information about those obligations. This guidance was effective for the Bank beginning January 1, 2014. The Bank's joint and several obligation associated with its consolidated obligations is within the scope of this guidance. However, this guidance had no impact on the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition. | |
Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. In January 2014, the FASB issued guidance clarifying when a loan should be de-recognized and the related real estate property recognized. This guidance will allow the Bank to recognize properties as real estate owned once the borrower has voluntarily conveyed interest in the property to the Bank through a deed in lieu of foreclosure or similar agreement. The Bank is evaluating the impact of this guidance, which will be effective for the Bank beginning January 1, 2015. |
Trading_Securities
Trading Securities | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Trading Securities [Abstract] | ' | |||||||
Trading Securities | ' | |||||||
Trading Securities | ||||||||
The following table presents trading securities as of March 31, 2014 and December 31, 2013. | ||||||||
(in thousands) | March 31, 2014 | 31-Dec-13 | ||||||
Non-MBS: | ||||||||
Mutual funds | $ | 4,798 | $ | 4,576 | ||||
GSE and Tennessee Valley Authority obligations | 254,648 | 234,614 | ||||||
Total | $ | 259,446 | $ | 239,190 | ||||
The mutual funds are held in a Rabbi trust to generate returns that seek to offset changes in liabilities related to market risk of certain deferred compensation agreements. These deferred compensation liabilities were $4.9 million and $4.7 million at March 31, 2014 and December 31, 2013, respectively, as reported in Other liabilities in the Statement of Condition. | ||||||||
The following table presents net gains (losses) on trading securities for the first quarter of 2014 and 2013. | ||||||||
Three months ended March 31, | ||||||||
(in thousands) | 2014 | 2013 | ||||||
Net unrealized gains on trading securities held at period-end | $ | 9,706 | $ | 267 | ||||
Net realized gains (losses) on securities sold/matured during the period | 86 | (36 | ) | |||||
Net gains on trading securities | $ | 9,792 | $ | 231 | ||||
AvailableforSale_AFS_Securitie
Available-for-Sale (AFS) Securities | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | ' | ||||||||||||||||||||||||
Available-for-Sale (AFS) Securities | ' | ||||||||||||||||||||||||
Available-for-Sale (AFS) Securities | |||||||||||||||||||||||||
The following tables present AFS securities as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
31-Mar-14 | |||||||||||||||||||||||||
(in thousands) | Amortized Cost (1) | OTTI Recognized in AOCI (2) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
Mutual funds | $ | 1,993 | $ | — | $ | 5 | $ | — | $ | 1,998 | |||||||||||||||
GSE and Tennessee Valley Authority obligations | 2,110,888 | — | 9,617 | (4,997 | ) | 2,115,508 | |||||||||||||||||||
State or local agency obligations | 15,020 | — | 64 | (1,085 | ) | 13,999 | |||||||||||||||||||
Total non-MBS | $ | 2,127,901 | $ | — | $ | 9,686 | $ | (6,082 | ) | $ | 2,131,505 | ||||||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 372,881 | $ | — | $ | 40 | $ | (1,118 | ) | $ | 371,803 | ||||||||||||||
GSE MBS (3) | 3,477,079 | — | 12,455 | (22,741 | ) | 3,466,793 | |||||||||||||||||||
Private label MBS: | |||||||||||||||||||||||||
Private label residential MBS | 1,001,005 | (1,670 | ) | 77,879 | (193 | ) | 1,077,021 | ||||||||||||||||||
HELOCs | 11,147 | (89 | ) | 2,965 | — | 14,023 | |||||||||||||||||||
Total private label MBS | 1,012,152 | (1,759 | ) | 80,844 | (193 | ) | 1,091,044 | ||||||||||||||||||
Total MBS | $ | 4,862,112 | $ | (1,759 | ) | $ | 93,339 | $ | (24,052 | ) | $ | 4,929,640 | |||||||||||||
Total AFS securities | $ | 6,990,013 | $ | (1,759 | ) | $ | 103,025 | $ | (30,134 | ) | $ | 7,061,145 | |||||||||||||
31-Dec-13 | |||||||||||||||||||||||||
(in thousands) | Amortized Cost (1) | OTTI Recognized in AOCI (2) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
Mutual funds | $ | 1,993 | $ | — | $ | 5 | $ | — | 1,998 | ||||||||||||||||
GSE and Tennessee Valley Authority obligations | 2,103,847 | — | 1,160 | (8,830 | ) | 2,096,177 | |||||||||||||||||||
State or local agency obligations | 15,430 | — | 35 | (1,422 | ) | 14,043 | |||||||||||||||||||
Total non-MBS | $ | 2,121,270 | $ | — | $ | 1,200 | $ | (10,252 | ) | $ | 2,112,218 | ||||||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 386,169 | $ | — | $ | 27 | $ | (900 | ) | 385,296 | |||||||||||||||
GSE MBS (3) | 3,144,543 | — | 11,389 | (33,781 | ) | 3,122,151 | |||||||||||||||||||
Private label MBS: | — | ||||||||||||||||||||||||
Private label residential MBS | 1,048,893 | (3,723 | ) | 78,618 | (164 | ) | 1,123,624 | ||||||||||||||||||
HELOCs | 11,681 | (109 | ) | 2,856 | — | 14,428 | |||||||||||||||||||
Total private label MBS | 1,060,574 | (3,832 | ) | 81,474 | (164 | ) | 1,138,052 | ||||||||||||||||||
Total MBS | $ | 4,591,286 | $ | (3,832 | ) | $ | 92,890 | $ | (34,845 | ) | $ | 4,645,499 | |||||||||||||
Total AFS securities | $ | 6,712,556 | $ | (3,832 | ) | $ | 94,090 | $ | (45,097 | ) | $ | 6,757,717 | |||||||||||||
Notes: | |||||||||||||||||||||||||
(1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. | |||||||||||||||||||||||||
(2) Represents the non-credit portion of an OTTI recognized during the life of the security. | |||||||||||||||||||||||||
(3) Includes amortized cost of $2.7 billion of 1-4 family MBS and $0.8 billion of multi-family MBS at March 31, 2014. The respective amounts at December 31, 2013 were $2.3 billion and $0.8 billion. | |||||||||||||||||||||||||
The Bank has established a Rabbi trust to secure a portion of the benefits under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds. These obligations were $5.4 million at both March 31, 2014 and December 31, 2013, as reported in Other liabilities in the Statement of Condition. | |||||||||||||||||||||||||
As of March 31, 2014, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $8.9 million, credit losses of $240.5 million and OTTI-related accretion adjustments of $4.5 million. As of December 31, 2013, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $8.4 million and credit losses of $246.1 million and OTTI-related accretion adjustments of $1.4 million. | |||||||||||||||||||||||||
The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Non-credit portion of OTTI losses | $ | (1,759 | ) | $ | (3,832 | ) | |||||||||||||||||||
Net unrealized gains on OTTI securities since their last OTTI credit charge | 80,844 | 81,474 | |||||||||||||||||||||||
Net non-credit portion of OTTI gains on AFS securities in AOCI | $ | 79,085 | $ | 77,642 | |||||||||||||||||||||
The following tables summarize the AFS securities with unrealized losses as of March 31, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses (1) | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 836,085 | $ | (4,829 | ) | $ | 124,825 | $ | (168 | ) | $ | 960,910 | $ | (4,997 | ) | ||||||||||
State or local agency obligations | 4,090 | (360 | ) | 8,496 | (725 | ) | 12,586 | (1,085 | ) | ||||||||||||||||
Total non-MBS | $ | 840,175 | $ | (5,189 | ) | $ | 133,321 | $ | (893 | ) | $ | 973,496 | $ | (6,082 | ) | ||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 251,407 | $ | (683 | ) | $ | 100,867 | $ | (435 | ) | $ | 352,274 | $ | (1,118 | ) | ||||||||||
GSE MBS | 1,294,357 | (22,096 | ) | 81,694 | (645 | ) | 1,376,051 | (22,741 | ) | ||||||||||||||||
Private label: | |||||||||||||||||||||||||
Private label residential MBS | 8,448 | (251 | ) | 44,422 | (1,612 | ) | 52,870 | (1,863 | ) | ||||||||||||||||
HELOCs | — | — | 1,643 | (89 | ) | 1,643 | (89 | ) | |||||||||||||||||
Total private label MBS | 8,448 | (251 | ) | 46,065 | (1,701 | ) | 54,513 | (1,952 | ) | ||||||||||||||||
Total MBS | $ | 1,554,212 | $ | (23,030 | ) | $ | 228,626 | $ | (2,781 | ) | $ | 1,782,838 | $ | (25,811 | ) | ||||||||||
Total | $ | 2,394,387 | $ | (28,219 | ) | $ | 361,947 | $ | (3,674 | ) | $ | 2,756,334 | $ | (31,893 | ) | ||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses (1) | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 1,350,088 | $ | (8,830 | ) | $ | — | $ | — | $ | 1,350,088 | $ | (8,830 | ) | |||||||||||
State or local agency obligations | 3,994 | (456 | ) | 8,664 | (966 | ) | 12,658 | (1,422 | ) | ||||||||||||||||
Total non-MBS | $ | 1,354,082 | $ | (9,286 | ) | $ | 8,664 | $ | (966 | ) | $ | 1,362,746 | $ | (10,252 | ) | ||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 317,394 | $ | (806 | ) | $ | 28,803 | $ | (94 | ) | $ | 346,197 | $ | (900 | ) | ||||||||||
GSE MBS | 1,142,806 | (33,495 | ) | 64,515 | (286 | ) | 1,207,321 | (33,781 | ) | ||||||||||||||||
Private label: | |||||||||||||||||||||||||
Private label residential MBS | 66,847 | (648 | ) | 42,306 | (3,239 | ) | 109,153 | (3,887 | ) | ||||||||||||||||
HELOCs | — | — | 1,679 | (109 | ) | 1,679 | (109 | ) | |||||||||||||||||
Total private label MBS | 66,847 | (648 | ) | 43,985 | (3,348 | ) | 110,832 | (3,996 | ) | ||||||||||||||||
Total MBS | $ | 1,527,047 | $ | (34,949 | ) | $ | 137,303 | $ | (3,728 | ) | $ | 1,664,350 | $ | (38,677 | ) | ||||||||||
Total | $ | 2,881,129 | $ | (44,235 | ) | $ | 145,967 | $ | (4,694 | ) | $ | 3,027,096 | $ | (48,929 | ) | ||||||||||
Note: | |||||||||||||||||||||||||
(1) Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 3. | |||||||||||||||||||||||||
Securities Transferred. The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. Refer to description in Note 4 - Held-to-Maturity Securities. The Bank transferred no private label MBS from HTM to AFS during the first three months of 2014 and 2013. | |||||||||||||||||||||||||
Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of March 31, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||||||||||||
Due in one year or less | $ | 201,993 | $ | 202,224 | $ | 201,992 | $ | 202,104 | |||||||||||||||||
Due after one year through five years | 1,154,740 | 1,152,104 | 1,226,635 | 1,223,399 | |||||||||||||||||||||
Due after five years through ten years | 575,202 | 579,756 | 524,313 | 521,278 | |||||||||||||||||||||
Due in more than ten years | 195,966 | 197,421 | 168,330 | 165,437 | |||||||||||||||||||||
AFS securities excluding MBS | 2,127,901 | 2,131,505 | 2,121,270 | 2,112,218 | |||||||||||||||||||||
MBS | 4,862,112 | 4,929,640 | 4,591,286 | 4,645,499 | |||||||||||||||||||||
Total AFS securities | $ | 6,990,013 | $ | 7,061,145 | $ | 6,712,556 | $ | 6,757,717 | |||||||||||||||||
Interest Rate Payment Terms. The following table details interest payment terms at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Amortized cost of AFS securities other than MBS: | |||||||||||||||||||||||||
Fixed-rate | $ | 1,618,365 | $ | 1,536,763 | |||||||||||||||||||||
Variable-rate | 509,536 | 584,507 | |||||||||||||||||||||||
Total non-MBS | $ | 2,127,901 | $ | 2,121,270 | |||||||||||||||||||||
Amortized cost of AFS MBS: | |||||||||||||||||||||||||
Fixed-rate | $ | 2,099,896 | $ | 2,155,940 | |||||||||||||||||||||
Variable-rate | 2,762,216 | 2,435,346 | |||||||||||||||||||||||
Total MBS | $ | 4,862,112 | $ | 4,591,286 | |||||||||||||||||||||
Total amortized cost of AFS securities | $ | 6,990,013 | $ | 6,712,556 | |||||||||||||||||||||
Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate. |
HeldtoMaturity_HTM_Securities
Held-to-Maturity (HTM) Securities | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Held to Maturity Securities [Abstract] | ' | ||||||||||||||||||||||||
Held-to-Maturity (HTM) Securities | ' | ||||||||||||||||||||||||
Held-to-Maturity (HTM) Securities | |||||||||||||||||||||||||
The following tables present HTM securities as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | |||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
GSE securities | $ | 15,185 | $ | 621 | $ | — | $ | 15,806 | |||||||||||||||||
State or local agency obligations | 241,746 | 3,792 | (11,613 | ) | 233,925 | ||||||||||||||||||||
Total non-MBS | $ | 256,931 | $ | 4,413 | $ | (11,613 | ) | $ | 249,731 | ||||||||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 1,358,400 | $ | 8,704 | $ | — | $ | 1,367,104 | |||||||||||||||||
GSE MBS (1) | 1,374,752 | 51,411 | (121 | ) | 1,426,042 | ||||||||||||||||||||
Private label residential MBS | 832,320 | 5,374 | (12,241 | ) | 825,453 | ||||||||||||||||||||
Total MBS | $ | 3,565,472 | $ | 65,489 | $ | (12,362 | ) | $ | 3,618,599 | ||||||||||||||||
Total HTM securities | $ | 3,822,403 | $ | 69,902 | $ | (23,975 | ) | $ | 3,868,330 | ||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | |||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
GSE securities | $ | 16,220 | $ | 721 | $ | — | $ | 16,941 | |||||||||||||||||
State or local agency obligations | 242,934 | 3,817 | (10,753 | ) | 235,998 | ||||||||||||||||||||
Total non-MBS | $ | 259,154 | $ | 4,538 | $ | (10,753 | ) | $ | 252,939 | ||||||||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 1,435,458 | $ | 8,869 | $ | (15 | ) | $ | 1,444,312 | ||||||||||||||||
GSE MBS (1) | 1,417,926 | 49,097 | (215 | ) | 1,466,808 | ||||||||||||||||||||
Private label MBS: | |||||||||||||||||||||||||
Private label residential MBS | 873,325 | 4,300 | (15,732 | ) | 861,893 | ||||||||||||||||||||
HELOCs | 9,667 | — | (789 | ) | 8,878 | ||||||||||||||||||||
Total private label MBS | 882,992 | 4,300 | (16,521 | ) | 870,771 | ||||||||||||||||||||
Total MBS | $ | 3,736,376 | $ | 62,266 | $ | (16,751 | ) | $ | 3,781,891 | ||||||||||||||||
Total HTM securities | $ | 3,995,530 | $ | 66,804 | $ | (27,504 | ) | $ | 4,034,830 | ||||||||||||||||
Notes: | |||||||||||||||||||||||||
(1) Includes $525.3 million of 1-4 family MBS and $849.5 million of multi-family MBS at March 31, 2014. The respective amounts at December 31, 2013 were $561.6 million and $856.3 million. | |||||||||||||||||||||||||
The following tables summarize the HTM securities with unrealized losses as of March 31, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. | |||||||||||||||||||||||||
31-Mar-14 | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
State or local agency obligations | $ | 18,534 | $ | (104 | ) | $ | 131,436 | $ | (11,509 | ) | $ | 149,970 | $ | (11,613 | ) | ||||||||||
MBS: | |||||||||||||||||||||||||
GSE MBS | $ | 52,716 | $ | (12 | ) | $ | 12,722 | $ | (109 | ) | $ | 65,438 | $ | (121 | ) | ||||||||||
Private label residential MBS | 213,680 | (2,336 | ) | 187,337 | (9,905 | ) | 401,017 | (12,241 | ) | ||||||||||||||||
Total MBS | $ | 266,396 | $ | (2,348 | ) | $ | 200,059 | $ | (10,014 | ) | $ | 466,455 | $ | (12,362 | ) | ||||||||||
Total | $ | 284,930 | $ | (2,452 | ) | $ | 331,495 | $ | (21,523 | ) | $ | 616,425 | $ | (23,975 | ) | ||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
State or local agency obligations | $ | 18,367 | $ | (271 | ) | $ | 132,463 | $ | (10,482 | ) | $ | 150,830 | $ | (10,753 | ) | ||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 37,984 | $ | (15 | ) | $ | — | $ | — | $ | 37,984 | $ | (15 | ) | |||||||||||
GSE MBS | 93,356 | (112 | ) | 13,369 | (103 | ) | 106,725 | (215 | ) | ||||||||||||||||
Private label: | |||||||||||||||||||||||||
Private label residential MBS | 292,159 | (3,829 | ) | 197,089 | (11,903 | ) | 489,248 | (15,732 | ) | ||||||||||||||||
HELOCs | — | — | 8,878 | (789 | ) | 8,878 | (789 | ) | |||||||||||||||||
Total private label MBS | 292,159 | (3,829 | ) | 205,967 | (12,692 | ) | 498,126 | (16,521 | ) | ||||||||||||||||
Total MBS | $ | 423,499 | $ | (3,956 | ) | $ | 219,336 | $ | (12,795 | ) | $ | 642,835 | $ | (16,751 | ) | ||||||||||
Total | $ | 441,866 | $ | (4,227 | ) | $ | 351,799 | $ | (23,277 | ) | $ | 793,665 | $ | (27,504 | ) | ||||||||||
Securities Transferred. The Bank had no transfers of securities from HTM to AFS during the first three months of 2014 and 2013. | |||||||||||||||||||||||||
Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the transfer or sale of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to transfer or sell an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. | |||||||||||||||||||||||||
Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of March 31, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
Due after one year through five years | $ | 15,185 | $ | 15,806 | $ | 16,221 | $ | 16,941 | |||||||||||||||||
Due after five years through ten years | 41,486 | 43,039 | 40,043 | 41,530 | |||||||||||||||||||||
Due after ten years | 200,260 | 190,886 | 202,890 | 194,468 | |||||||||||||||||||||
HTM securities excluding MBS | 256,931 | 249,731 | 259,154 | 252,939 | |||||||||||||||||||||
MBS | 3,565,472 | 3,618,599 | 3,736,376 | 3,781,891 | |||||||||||||||||||||
Total HTM securities | $ | 3,822,403 | $ | 3,868,330 | $ | 3,995,530 | $ | 4,034,830 | |||||||||||||||||
Interest Rate Payment Terms. The following table details interest rate payment terms at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Amortized cost of HTM securities other than MBS: | |||||||||||||||||||||||||
Fixed-rate | $ | 94,346 | $ | 96,569 | |||||||||||||||||||||
Variable-rate | 162,585 | 162,585 | |||||||||||||||||||||||
Total non-MBS | $ | 256,931 | $ | 259,154 | |||||||||||||||||||||
Amortized cost of HTM MBS: | |||||||||||||||||||||||||
Fixed-rate | $ | 1,258,506 | $ | 1,303,424 | |||||||||||||||||||||
Variable-rate | 2,306,966 | 2,432,952 | |||||||||||||||||||||||
Total MBS | $ | 3,565,472 | $ | 3,736,376 | |||||||||||||||||||||
Total HTM securities | $ | 3,822,403 | $ | 3,995,530 | |||||||||||||||||||||
Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate. |
OtherThanTemporary_Impairment
Other-Than-Temporary Impairment | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Other Than Temporary Impairment [Abstract] | ' | ||||||||||||
Other-Than-Temporary Impairment | ' | ||||||||||||
Other-Than-Temporary Impairment (OTTI) | |||||||||||||
The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. As part of this process, the Bank considers its intent to sell each debt security and whether it is more likely than not the Bank will be required to sell the security before its anticipated recovery. If either of these conditions is met, the Bank recognizes the maximum OTTI loss in earnings, which is equal to the entire difference between the security’s amortized cost basis and its fair value at the Statement of Condition date. For securities in an unrealized loss position that meet neither of these conditions, the Bank evaluates whether there is OTTI by performing an analysis to determine if any of these securities will incur a credit loss, which could be up to the difference between the security’s amortized cost basis and its fair value and records the difference in its Statement of Income. | |||||||||||||
Private Label Residential MBS and HELOCs. The Bank invests in MBS, which were rated AAA at the time of purchase with the exception of one pre-2004 vintage security that was rated AA at the time of purchase. Each MBS may contain one or more forms of credit protection/enhancements, including but not limited to guarantee of principal and interest, subordination, over-collateralization, and excess interest and insurance wrap. | |||||||||||||
To ensure consistency among the FHLBanks, the Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the OTTI Governance Committee. The OTTI analysis is a cash flow analysis that is run on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. Private label MBS backed by HELOCs and certain other securities where underlying collateral data is not available are not able to be cash flow tested using the FHLBanks’ common platform. For these securities, alternate procedures, as prescribed by the OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were approximately 5% of the par balance of private label MBS at March 31, 2014. | |||||||||||||
The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as: | |||||||||||||
• | the remaining payment terms for the security; | ||||||||||||
• | prepayment speeds and default rates; | ||||||||||||
• | loss severity based on underlying loan-level borrower and loan characteristics; | ||||||||||||
• | expected housing price changes; and | ||||||||||||
• | interest-rate assumptions. | ||||||||||||
To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable-rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased. | |||||||||||||
The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions about future changes in home prices and interest rates to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. CBSAs refer collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The OTTI Governance Committee developed a short-term housing price forecast using whole percentages ranging from (3.0)% to 9.0% over the 12 month period beginning January 1, 2014. This forecast is CBSA based and is an input into the first model described above. For the vast majority of markets the short-term forecast has changes from (1.0)% to 4.0%. Thereafter, home prices were projected to recover using one of five different recovery paths that have a recovery range of: | |||||||||||||
Recovery Ranges of Housing Price Change | |||||||||||||
Months | Annualized Rates % | ||||||||||||
6-Jan | 0.00% | - | 3.00% | ||||||||||
12-Jul | 1.00% | - | 4.00% | ||||||||||
13 - 18 | 2.00% | - | 4.00% | ||||||||||
19 - 30 | 2.00% | - | 5.00% | ||||||||||
31 - 54 | 2.00% | - | 6.00% | ||||||||||
Thereafter | 2.30% | - | 5.60% | ||||||||||
The month-by-month projection of future loan performance derived from the first model is the mean of 100 projections and reflects projected prepayments, defaults and loss severities. These projections are input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best estimate scenario. | |||||||||||||
All of the Bank's other-than-temporarily impaired securities were classified as AFS at March 31, 2014. The "Total OTTI securities" balances below summarize the Bank’s securities as of March 31, 2014 for which an OTTI has been recognized during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio. | |||||||||||||
OTTI Recognized During the Life of the Security | |||||||||||||
(in thousands) | Unpaid Principal Balance | Amortized Cost (1) | Fair Value | ||||||||||
Private label residential MBS: | |||||||||||||
Prime | $ | 573,399 | $ | 468,273 | $ | 514,087 | |||||||
Alt-A | 669,884 | 527,448 | 557,725 | ||||||||||
Subprime | 2,316 | 1,387 | 1,505 | ||||||||||
HELOCs | 16,108 | 11,147 | 14,023 | ||||||||||
Total OTTI securities | 1,261,707 | 1,008,255 | 1,087,340 | ||||||||||
Private label MBS with no OTTI | 3,897 | 3,897 | 3,704 | ||||||||||
Total AFS private label MBS | $ | 1,265,604 | $ | 1,012,152 | $ | 1,091,044 | |||||||
Notes: | |||||||||||||
(1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings. | |||||||||||||
The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three ended March 31, 2014 and 2013. | |||||||||||||
(in thousands) | Three months ended March 31, | ||||||||||||
2014 | 2013 | ||||||||||||
Beginning balance | $ | 314,224 | $ | 326,024 | |||||||||
Additions: | |||||||||||||
Additional OTTI credit losses for which an OTTI charge was previously recognized (1) | — | 442 | |||||||||||
Reductions: | |||||||||||||
Securities sold and matured during the period | (76 | ) | (59 | ) | |||||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2) | (5,948 | ) | (1,925 | ) | |||||||||
Ending balance | $ | 308,200 | $ | 324,482 | |||||||||
Notes: | |||||||||||||
(1) For the three months ended March 31, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013. | |||||||||||||
(2) This activity represents the increase in cash flows recognized in interest income during the period. | |||||||||||||
All Other AFS and HTM Investments. At March 31, 2014, the Bank held certain securities in an unrealized loss position. These unrealized losses were considered temporary as the Bank expects to recover the entire amortized cost basis on the remaining securities in unrealized loss positions and neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell the security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at March 31, 2014. |
Advances
Advances | 3 Months Ended | |||||||||||||||
Mar. 31, 2014 | ||||||||||||||||
Advances [Abstract] | ' | |||||||||||||||
Advances | ' | |||||||||||||||
Advances | ||||||||||||||||
General Terms. The Bank offers a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate advances generally have maturities ranging from one day to 30 years. Variable-rate advances generally have maturities ranging from less than 30 days to 10 years, where the interest rates reset periodically at a fixed spread to LIBOR or other specified indices. | ||||||||||||||||
At March 31, 2014 and December 31, 2013, the Bank had advances outstanding, including AHP advances, with interest rates ranging from zero to 7.40%. AHP subsidized loans have interest rates ranging between zero and 5.50%. | ||||||||||||||||
The following table details the Bank’s advances portfolio by year of contractual maturity as of March 31, 2014 and December 31, 2013. | ||||||||||||||||
(dollars in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||||
Due in 1 year or less | $ | 15,716,010 | 0.46 | % | $ | 22,169,669 | 0.41 | % | ||||||||
Due after 1 year through 2 years | 9,468,247 | 0.61 | 10,343,245 | 1.36 | ||||||||||||
Due after 2 years through 3 years | 6,686,913 | 1.77 | 6,865,608 | 1.68 | ||||||||||||
Due after 3 years through 4 years | 10,091,283 | 1.3 | 6,073,540 | 1.21 | ||||||||||||
Due after 4 years through 5 years | 3,113,463 | 2.43 | 3,690,006 | 2.12 | ||||||||||||
Thereafter | 504,669 | 2.88 | 571,970 | 2.89 | ||||||||||||
Total par value | 45,580,585 | 1.03 | % | 49,714,038 | 1.04 | % | ||||||||||
Discount on AHP advances | (120 | ) | (141 | ) | ||||||||||||
Deferred prepayment fees | (11,450 | ) | (12,371 | ) | ||||||||||||
Hedging adjustments | 494,897 | 545,909 | ||||||||||||||
Total book value | $ | 46,063,912 | $ | 50,247,435 | ||||||||||||
The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed-rate advance without the conversion feature. Variable to fixed-rate convertible advances have a defined lockout period during which the interest rates adjust based on a spread to LIBOR. At the end of the lockout period, these advances may convert to fixed-rate advances. The fixed rates on the converted advances are determined at origination. At March 31, 2014 and December 31, 2013, the Bank had convertible advances outstanding of $2.0 billion and $2.3 billion, respectively. | ||||||||||||||||
The Bank offers certain advances to members that provide a member the right, based upon predetermined option exercise dates, to call the advance prior to maturity without incurring prepayment or termination fees (returnable advances). In exchange for receiving the right to call the advance on a predetermined call schedule, the member pays a higher fixed rate for the advance relative to an equivalent maturity, non-callable, fixed-rate advance. If the call option is exercised, replacement funding may be available. At March 31, 2014 and December 31, 2013, the Bank had returnable advances of $3.5 billion and $5.0 billion, respectively. | ||||||||||||||||
The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of March 31, 2014 and December 31, 2013. | ||||||||||||||||
Year of Contractual Maturity or | Year of Contractual Maturity or Next Convertible Date | |||||||||||||||
Next Call Date | ||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | 31-Mar-14 | December 31, 2013 | ||||||||||||
Due in 1 year or less | $ | 15,716,010 | $ | 22,169,669 | $ | 17,634,010 | $ | 24,308,669 | ||||||||
Due after 1 year through 2 years | 9,468,247 | 10,343,245 | 9,345,247 | 10,219,245 | ||||||||||||
Due after 2 years through 3 years | 6,686,913 | 6,865,608 | 5,538,413 | 5,752,108 | ||||||||||||
Due after 3 years through 4 years | 10,091,283 | 6,073,540 | 9,591,283 | 5,481,540 | ||||||||||||
Due after 4 years through 5 years | 3,113,463 | 3,690,006 | 2,992,463 | 3,406,006 | ||||||||||||
Thereafter | 504,669 | 571,970 | 479,169 | 546,470 | ||||||||||||
Total par value | $ | 45,580,585 | $ | 49,714,038 | $ | 45,580,585 | $ | 49,714,038 | ||||||||
Interest Rate Payment Terms. The following table details interest rate payment terms for advances as of March 31, 2014 and December 31, 2013. | ||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||||||||
Fixed rate – overnight | $ | 2,334,934 | $ | 1,284,394 | ||||||||||||
Fixed rate – term: | ||||||||||||||||
Due in 1 year or less | 10,437,291 | 17,801,335 | ||||||||||||||
Thereafter | 10,795,337 | 10,778,131 | ||||||||||||||
Total fixed rate | 23,567,562 | 29,863,860 | ||||||||||||||
Variable rate: | ||||||||||||||||
Due in 1 year or less | 2,943,785 | 3,083,940 | ||||||||||||||
Thereafter | 19,069,238 | 16,766,238 | ||||||||||||||
Total variable rate | 22,013,023 | 19,850,178 | ||||||||||||||
Total par value | $ | 45,580,585 | $ | 49,714,038 | ||||||||||||
Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of March 31, 2014, the Bank had advances of $34.3 billion outstanding to its five largest borrowers, which represented 75.3% of total advances outstanding. Of these five, three had outstanding advance balances in excess of 10% of the total portfolio at March 31, 2014. | ||||||||||||||||
As of December 31, 2013, the Bank had advances of $38.5 billion outstanding to the five largest borrowers, which represented 77.4% of total advances outstanding. Of these five, four had outstanding advance balances in excess of 10% of the total portfolio at December 31, 2013. | ||||||||||||||||
See Note 8 for information related to the Bank's allowance for credit losses. |
Mortgage_Loans_Held_for_Portfo
Mortgage Loans Held for Portfolio | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Mortgage Loans Held For Portfolio [Abstract] | ' | ||||||||
Mortgage Loans Held for Portfolio | ' | ||||||||
Mortgage Loans Held for Portfolio | |||||||||
Under the MPF Program, the Bank invests in mortgage loans, which it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are then sold to the Bank. See Note 12 for further information regarding transactions with related parties. | |||||||||
The following table presents balances as of March 31, 2014 and December 31, 2013 for mortgage loans held for portfolio. | |||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||
Fixed-rate medium-term single-family mortgages (1) | $ | 466,753 | $ | 488,334 | |||||
Fixed-rate long-term single-family mortgages (1) | 2,649,827 | 2,682,255 | |||||||
Total par value | 3,116,580 | 3,170,589 | |||||||
Premiums | 49,780 | 50,436 | |||||||
Discounts | (5,848 | ) | (6,147 | ) | |||||
Hedging adjustments | 21,100 | 20,572 | |||||||
Total mortgage loans held for portfolio | $ | 3,181,612 | $ | 3,235,450 | |||||
Note: | |||||||||
(1) Medium-term is defined as a term of 15 years or less at origination. Long-term is defined as greater than 15 years at origination. | |||||||||
The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of March 31, 2014 and December 31, 2013. | |||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||
Government-guaranteed/insured loans | $ | 299,996 | $ | 306,025 | |||||
Conventional loans | 2,816,584 | 2,864,564 | |||||||
Total par value | $ | 3,116,580 | $ | 3,170,589 | |||||
See Note 8 - Allowance for Credit Losses for information related to the Bank's credit risk on mortgage loans and allowance for credit losses. |
Allowance_for_Credit_Losses
Allowance for Credit Losses | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Allowance for Credit Losses [Abstract] | ' | ||||||||||||||||
Allowance for Credit Losses | ' | ||||||||||||||||
Allowance for Credit Losses | |||||||||||||||||
The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans. | |||||||||||||||||
Credit Products. The Bank manages its total credit exposure or TCE, which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral/lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. In addition, the Bank lends to its members in accordance with the Housing Act and Finance Agency regulations. Specifically, the Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to protect its security interest. Management of the Bank believes that these policies effectively manage the Bank’s respective credit risk from credit products. | |||||||||||||||||
Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and 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 Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At March 31, 2014 and December 31, 2013, the Bank had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit. | |||||||||||||||||
The Bank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. At March 31, 2014 and December 31, 2013, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, there were no credit products considered to be troubled debt restructurings (TDRs). | |||||||||||||||||
Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at March 31, 2014 and December 31, 2013, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products. | |||||||||||||||||
Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. | |||||||||||||||||
Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. | |||||||||||||||||
The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses. | |||||||||||||||||
For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. At March 31, 2014 and December 31, 2013, the MPF exposure under the FLA was $24.5 million and $25.2 million, respectively. This exposure includes both accrual and nonaccrual loans. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $0.8 million and $0.9 million during the first quarter 2014 and 2013, respectively. | |||||||||||||||||
Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. Given the credit deterioration experienced by PMI companies, estimated future claim payments from these companies have been reduced and factored into estimated loan losses in determining the allowance for credit losses. The resulting estimated losses after PMI are then reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by Master Commitment. Losses in excess of the CEs are incurred by the Bank. | |||||||||||||||||
Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. Prior to January 1, 2014, these loans were limited to TDRs. Beginning January 1, 2014, the Bank adopted the classification provisions required by AB 2012-02 as described in Note 1 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations. As a result, the population of individually evaluated mortgage loans expanded to include impaired loans considered collateral-dependent, which are comprised primarily of MPF loans that are 180 days or more delinquent and loans that are not severely delinquent, but where the borrower has filed for bankruptcy. A mortgage loan is considered collateral-dependent if repayment is only expected to be provided by the sale of the underlying property. | |||||||||||||||||
The estimated credit losses on impaired collateral-dependent loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs. The estimated fair value is determined based on a value provided by a third party's Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations, which may differ from the retail-based AVMs. The resulting loss is then reduced by available CE and PMI. | |||||||||||||||||
Rollforward of Allowance for Credit Losses. Mortgage Loans - Conventional MPF. | |||||||||||||||||
Three months ended March 31, | |||||||||||||||||
(in thousands) | 2014 | 2013 | |||||||||||||||
Balance, January 1 | $ | 11,359 | $ | 14,163 | |||||||||||||
Charge-offs | — | (622 | ) | ||||||||||||||
Provision (benefit) for credit losses | (4,041 | ) | (148 | ) | |||||||||||||
Balance, March 31 | $ | 7,318 | $ | 13,393 | |||||||||||||
Ending balance, individually evaluated for impairment | $ | 5,593 | $ | 687 | |||||||||||||
Ending balance, collectively evaluated for impairment | 1,725 | 12,706 | |||||||||||||||
Total allowance for credit losses | $ | 7,318 | $ | 13,393 | |||||||||||||
Recorded investment balance, end of period: | |||||||||||||||||
Individually evaluated for impairment, with or without a related allowance | $ | 78,405 | $ | 12,911 | |||||||||||||
Collectively evaluated for impairment | 2,808,857 | 3,148,406 | |||||||||||||||
Total recorded investment | $ | 2,887,262 | $ | 3,161,317 | |||||||||||||
BOB Loans. Both the probability of default and loss given default are determined and used to estimate the allowance for credit losses on BOB loans. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancement requirements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets. | |||||||||||||||||
Rollforward of Allowance for Credit Losses. BOB Loans. | |||||||||||||||||
Three months ended March 31, | |||||||||||||||||
(in thousands) | 2014 | 2013 | |||||||||||||||
Balance, January 1 | $ | 2,231 | $ | 2,481 | |||||||||||||
(Charge-offs) Recoveries | (200 | ) | 9 | ||||||||||||||
Provision for credit losses | 111 | 13 | |||||||||||||||
Balance, March 31 | $ | 2,142 | $ | 2,503 | |||||||||||||
Ending balance, individually evaluated for impairment | $ | 28 | $ | 183 | |||||||||||||
Ending balance, collectively evaluated for impairment | 2,114 | 2,320 | |||||||||||||||
Total allowance for credit losses | $ | 2,142 | $ | 2,503 | |||||||||||||
Recorded investment balance, end of period: | |||||||||||||||||
Individually evaluated for impairment, with or without a related allowance | $ | 63 | $ | 313 | |||||||||||||
Collectively evaluated for impairment | 13,355 | 14,863 | |||||||||||||||
Total recorded investment | $ | 13,418 | $ | 15,176 | |||||||||||||
Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. | |||||||||||||||||
(in thousands) | March 31, 2014 | ||||||||||||||||
Recorded investment: (1) | Conventional MPF Loans | Government-Guaranteed or Insured Loans | BOB Loans | Total | |||||||||||||
Past due 30-59 days | $ | 44,438 | $ | 14,049 | $ | — | $ | 58,487 | |||||||||
Past due 60-89 days | 9,682 | 4,528 | — | 14,210 | |||||||||||||
Past due 90 days or more | 54,590 | 8,599 | 240 | 63,429 | |||||||||||||
Total past due loans | $ | 108,710 | $ | 27,176 | $ | 240 | $ | 136,126 | |||||||||
Total current loans | 2,778,552 | 283,726 | 13,178 | 3,075,456 | |||||||||||||
Total loans | $ | 2,887,262 | $ | 310,902 | $ | 13,418 | $ | 3,211,582 | |||||||||
Other delinquency statistics: | |||||||||||||||||
In process of foreclosures, included above (2) | $ | 40,853 | $ | 2,832 | $ | — | $ | 43,685 | |||||||||
Serious delinquency rate (3) | 1.9 | % | 2.8 | % | 1.8 | % | 2 | % | |||||||||
Past due 90 days or more still accruing interest | $ | — | $ | 8,599 | $ | — | $ | 8,599 | |||||||||
Loans on nonaccrual status (4) | $ | 57,267 | $ | — | $ | 303 | $ | 57,570 | |||||||||
(in thousands) | 31-Dec-13 | ||||||||||||||||
Recorded investment: (1) | Conventional MPF Loans | Government-Guaranteed or Insured Loans | BOB Loans | Total | |||||||||||||
Past due 30-59 days | $ | 52,689 | $ | 18,580 | $ | 151 | $ | 71,420 | |||||||||
Past due 60-89 days | 13,522 | 5,860 | 82 | 19,464 | |||||||||||||
Past due 90 days or more | 55,508 | 8,556 | 219 | 64,283 | |||||||||||||
Total past due loans | $ | 121,719 | $ | 32,996 | $ | 452 | $ | 155,167 | |||||||||
Total current loans | 2,813,435 | 284,104 | 13,290 | 3,110,829 | |||||||||||||
Total loans | $ | 2,935,154 | $ | 317,100 | $ | 13,742 | $ | 3,265,996 | |||||||||
Other delinquency statistics: | |||||||||||||||||
In process of foreclosures, included above (2) | $ | 43,953 | $ | 2,401 | $ | — | $ | 46,354 | |||||||||
Serious delinquency rate (3) | 1.9 | % | 2.7 | % | 1.6 | % | 2 | % | |||||||||
Past due 90 days or more still accruing interest | $ | — | $ | 8,556 | $ | — | $ | 8,556 | |||||||||
Loans on nonaccrual status (4) | $ | 59,244 | $ | — | $ | 452 | $ | 59,696 | |||||||||
Notes: | |||||||||||||||||
(1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance. | |||||||||||||||||
(2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. | |||||||||||||||||
(3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. | |||||||||||||||||
(4) Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. | |||||||||||||||||
Real Estate Owned (REO). The Bank had $7.6 million and $8.8 million of REO reported in Other assets on the Statement of Condition at March 31, 2014 and December 31, 2013, respectively. | |||||||||||||||||
TDRs. TDRs are considered to have occurred when a concession is granted to the debtor that otherwise would not have been considered had it not been for economic or legal reasons related to the debtor's financial difficulties. The Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharged the borrower’s obligation and the borrower did not reaffirm the debt. | |||||||||||||||||
Mortgage Loans - Conventional MPF. The Bank offers a loan modification program for its MPF Program. The loans modified under this program are considered TDRs. The loan modification program modifies borrower's monthly payment for a period of up to 36 months so that the ratio of the borrower's housing expense to monthly income is no more than 31%. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years and a housing expense ratio not to exceed 31%. This will result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged in the modified loan. If the 31% ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3%, resulting in reduced monthly principal and interest payments during the 36 month period, until the target housing expense ratio is met or the interest rate floor is hit. | |||||||||||||||||
BOB Loans. The Bank offers a BOB loan deferral which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for up to a one-year period. The credit loss is measured by factoring expected shortfalls incurred as of the reporting date. BOB loan TDRs are not significant for any periods presented and are excluded from the tables that follow. | |||||||||||||||||
TDR Modifications. The following table presents the pre-modification and post-modification recorded investment balance, as of the modification date, for loans that became TDRs during the three ended March 31, 2014 and 2013. | |||||||||||||||||
Three months ended March 31, | |||||||||||||||||
2014 | 2013 | ||||||||||||||||
(in thousands) | Pre-Modification | Post-Modification | Pre-Modification | Post-Modification | |||||||||||||
Conventional MPF loans | $ | 2,356 | $ | 2,356 | $ | 2,903 | $ | 2,903 | |||||||||
Certain TDRs may experience a payment default, which the Bank considers to have occurred when a loan is 60 days or more delinquent. Conventional MPF loans totaling $1.2 million and $1.9 million had experienced a payment default during the three months ended March 31, 2014, and March 31, 2013, respectively. The Bank had $4.3 million and $3.5 million of TDRs on nonaccrual status at March 31, 2014 and December 31, 2013, respectively. | |||||||||||||||||
Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. | |||||||||||||||||
31-Mar-14 | |||||||||||||||||
(in thousands) | Recorded Investment | Unpaid | Related Allowance for Credit Losses | ||||||||||||||
Principal Balance | |||||||||||||||||
With no related allowance: | |||||||||||||||||
Conventional MPF loans | $ | 38,162 | $ | 37,753 | $ | — | |||||||||||
With a related allowance: | |||||||||||||||||
Conventional MPF loans | 40,243 | 40,106 | 5,593 | ||||||||||||||
Total: | |||||||||||||||||
Conventional MPF loans | $ | 78,405 | $ | 77,859 | $ | 5,593 | |||||||||||
31-Dec-13 | |||||||||||||||||
(in thousands) | Recorded Investment | Unpaid | Related Allowance for Credit Losses | ||||||||||||||
Principal Balance | |||||||||||||||||
With no related allowance: | |||||||||||||||||
Conventional MPF loans | $ | 501 | $ | 498 | $ | — | |||||||||||
With a related allowance: | |||||||||||||||||
Conventional MPF loans | 15,070 | 15,004 | 795 | ||||||||||||||
Total: | |||||||||||||||||
Conventional MPF loans | $ | 15,571 | $ | 15,502 | $ | 795 | |||||||||||
The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became impaired. | |||||||||||||||||
Three months ended March 31, 2014 | Three months ended March 31, 2013 | ||||||||||||||||
(in thousands) | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||||
Conventional MPF loans | $ | 79,993 | $ | 322 | $ | 11,927 | $ | 159 | |||||||||
Purchases, Sales and Reclassifications. During the three months ended March 31, 2014 and 2013, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale. |
Derivatives_and_Hedging_Activi
Derivatives and Hedging Activities | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||
Derivatives and Hedging Activities | ' | ||||||||||||||||
Derivatives and Hedging Activities | |||||||||||||||||
Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and funding sources that finance these assets. The goal of the Bank's interest rate risk management strategies is not to eliminate interest rate risk but to manage it within appropriate limits. To mitigate the risk of loss, the Bank 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 Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and funding sources. For additional information on the Bank's derivative transactions, see Note 11 to the audited financial statements in the Bank's 2013 Form 10-K. | |||||||||||||||||
The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivative transactions may be either executed with a counterparty (referred to as bilateral derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the derivative transaction is novated and the executing counterparty is replaced with the Clearing House. The Clearing House notifies the clearing agent of the required initial and variation margin and the clearing agent notifies the Bank of the required initial and variation margin. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. | |||||||||||||||||
Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of March 31, 2014 and December 31, 2013. | |||||||||||||||||
March 31, 2014 | |||||||||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||||||
Derivatives in hedge accounting relationships: | |||||||||||||||||
Interest rate swaps | $ | 25,697,235 | $ | 155,219 | $ | 668,698 | |||||||||||
Derivatives not in hedge accounting relationships: | |||||||||||||||||
Interest rate swaps | $ | 12,165,934 | $ | 55,461 | $ | 26,831 | |||||||||||
Interest rate swaptions | 25,000 | 428 | — | ||||||||||||||
Interest rate caps | 1,089,500 | 6,178 | — | ||||||||||||||
Mortgage delivery commitments | 15,084 | 171 | 4 | ||||||||||||||
Total derivatives not in hedge accounting relationships | $ | 13,295,518 | $ | 62,238 | $ | 26,835 | |||||||||||
Total derivatives before netting and collateral adjustments | $ | 38,992,753 | $ | 217,457 | $ | 695,533 | |||||||||||
Netting adjustments | (124,426 | ) | (124,426 | ) | |||||||||||||
Cash collateral and related accrued interest | (22,142 | ) | (482,097 | ) | |||||||||||||
Total collateral and netting adjustments (1) | (146,568 | ) | (606,523 | ) | |||||||||||||
Derivative assets and derivative liabilities as reported on the Statement of | $ | 70,889 | $ | 89,010 | |||||||||||||
Condition | |||||||||||||||||
31-Dec-13 | |||||||||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||||||
Derivatives in hedge accounting relationships: | |||||||||||||||||
Interest rate swaps | $ | 25,443,924 | $ | 169,718 | $ | 800,078 | |||||||||||
Derivatives not in hedge accounting relationships: | |||||||||||||||||
Interest rate swaps | $ | 10,730,985 | $ | 72,519 | $ | 34,829 | |||||||||||
Interest rate caps | 1,064,500 | 7,182 | — | ||||||||||||||
Mortgage delivery commitments | 12,279 | 160 | — | ||||||||||||||
Total derivatives not in hedge accounting relationships | $ | 11,807,764 | $ | 79,861 | $ | 34,829 | |||||||||||
Total derivatives before netting and collateral adjustments | $ | 37,251,688 | $ | 249,579 | $ | 834,907 | |||||||||||
Netting adjustments | (182,045 | ) | (182,045 | ) | |||||||||||||
Cash collateral and related accrued interest | (7,561 | ) | (475,374 | ) | |||||||||||||
Total collateral and netting adjustments (1) | (189,606 | ) | (657,419 | ) | |||||||||||||
Derivative assets and derivative liabilities as reported on the Statement of | $ | 59,973 | $ | 177,488 | |||||||||||||
Condition | |||||||||||||||||
Note: | |||||||||||||||||
(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | |||||||||||||||||
The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statement of Income. | |||||||||||||||||
Three months ended March 31, | |||||||||||||||||
(in thousands) | 2014 | 2013 | |||||||||||||||
Derivatives and hedged items in fair value hedging | |||||||||||||||||
relationships: | |||||||||||||||||
Interest rate swaps - fair value hedge ineffectiveness | $ | 512 | $ | (1,099 | ) | ||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||
Economic hedges: | |||||||||||||||||
Interest rate swaps | $ | (15,773 | ) | $ | (4,936 | ) | |||||||||||
Interest rate swaptions | (48 | ) | — | ||||||||||||||
Interest rate caps | (1,554 | ) | 194 | ||||||||||||||
Net interest settlements | 6,411 | 4,297 | |||||||||||||||
Mortgage delivery commitments | 1,246 | 3,124 | |||||||||||||||
Other | 7 | 4 | |||||||||||||||
Total net gains (losses) related to derivatives not designated as hedging instruments | $ | (9,711 | ) | $ | 2,683 | ||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | (9,199 | ) | $ | 1,584 | ||||||||||||
The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the first quarter of 2014 and 2013. | |||||||||||||||||
(in thousands) | Gains/(Losses) on Derivative | Gains/(Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | |||||||||||||
Three months ended March 31, 2014 | |||||||||||||||||
Hedged item type: | |||||||||||||||||
Advances | $ | 48,010 | $ | (47,263 | ) | $ | 747 | $ | (60,390 | ) | |||||||
Consolidated obligations – bonds | 45,796 | (45,655 | ) | 141 | 54,437 | ||||||||||||
AFS securities | (9,137 | ) | 8,761 | (376 | ) | (2,544 | ) | ||||||||||
Total | $ | 84,669 | $ | (84,157 | ) | $ | 512 | $ | (8,497 | ) | |||||||
(in thousands) | Gains/(Losses) on Derivative | Gains/(Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | |||||||||||||
Three months ended March 31, 2013 | |||||||||||||||||
Hedged item type: | |||||||||||||||||
Advances | $ | 57,970 | $ | (60,481 | ) | $ | (2,511 | ) | $ | (61,858 | ) | ||||||
Consolidated obligations – bonds | (49,055 | ) | 50,467 | 1,412 | 49,946 | ||||||||||||
Total | $ | 8,915 | $ | (10,014 | ) | $ | (1,099 | ) | $ | (11,912 | ) | ||||||
Note: | |||||||||||||||||
(1)Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $3.5 million and $4.8 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the three months ended March 31, 2014 and 2013, respectively. | |||||||||||||||||
The Bank had no active cash flow hedging relationships during the first three months of 2014 or 2013. As of March 31, 2014, the deferred net gains (losses) on derivative instruments in AOCI expected to be reclassified to earnings during the next twelve months, as well as the losses reclassified from AOCI into income, were not material. | |||||||||||||||||
Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty 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 bilateral derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives. | |||||||||||||||||
For cleared derivatives, the Clearing Houses are the Bank's counterparties. The requirement that the Bank post initial and variation margin through the clearing agent, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the value of cleared derivatives. However, due to the nature of initial and variation margin, the Bank will always be over-collateralized with the Clearing Houses. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and believes 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 a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House. | |||||||||||||||||
Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 13 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. | |||||||||||||||||
Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in its credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions. The aggregate fair value of all bilateral derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at March 31, 2014 was $393.4 million for which the Bank has posted cash and securities collateral with a fair value of approximately $305.0 million in the normal course of business. If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $56.1 million of collateral to its derivative counterparties at March 31, 2014. | |||||||||||||||||
For cleared derivatives, the Clearing House 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. The Bank was not required to post additional initial margin by its clearing agents at March 31, 2014. | |||||||||||||||||
Offsetting of Derivative Assets and Derivative Liabilities. The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following tables presents separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties. | |||||||||||||||||
Derivative Assets | |||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||
Derivative instruments meeting netting requirements: | |||||||||||||||||
Gross recognized amount: | |||||||||||||||||
Bilateral derivatives | $ | 210,960 | $ | 234,156 | |||||||||||||
Cleared derivatives | 6,326 | 15,264 | |||||||||||||||
Total gross recognized amount | 217,286 | 249,420 | |||||||||||||||
Gross amounts of netting adjustments and cash collateral: | |||||||||||||||||
Bilateral derivatives | (186,933 | ) | (205,752 | ) | |||||||||||||
Cleared derivatives | 40,365 | 16,146 | |||||||||||||||
Total gross amounts of netting adjustments and cash collateral | (146,568 | ) | (189,606 | ) | |||||||||||||
Net amounts after netting adjustments: | |||||||||||||||||
Bilateral derivatives | 24,027 | 28,404 | |||||||||||||||
Cleared derivatives | 46,691 | 31,410 | |||||||||||||||
Total net amounts after netting adjustments | 70,718 | 59,814 | |||||||||||||||
Derivative instruments not meeting netting requirements: (1) | |||||||||||||||||
Bilateral derivatives | 171 | 159 | |||||||||||||||
Cleared derivatives | — | — | |||||||||||||||
Derivative instruments not meeting netting requirements (1) | 171 | 159 | |||||||||||||||
Total derivative assets | |||||||||||||||||
Bilateral derivatives | 24,198 | 28,563 | |||||||||||||||
Cleared derivatives | 46,691 | 31,410 | |||||||||||||||
Total derivative assets as reported in the Statement of Condition | 70,889 | 59,973 | |||||||||||||||
Non-cash collateral received or pledged not offset: | |||||||||||||||||
Can be sold or repledged | |||||||||||||||||
Bilateral derivatives | (12,094 | ) | (13,778 | ) | |||||||||||||
Net unsecured amount: | |||||||||||||||||
Bilateral derivatives | 12,104 | 14,785 | |||||||||||||||
Cleared derivatives | 46,691 | 31,410 | |||||||||||||||
Total net unsecured amount | $ | 58,795 | $ | 46,195 | |||||||||||||
Derivative Liabilities | |||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||
Derivative instruments meeting netting requirements: | |||||||||||||||||
Gross recognized amount: | |||||||||||||||||
Bilateral derivatives | $ | 558,830 | $ | 828,187 | |||||||||||||
Cleared derivatives | 136,699 | 6,720 | |||||||||||||||
Total gross recognized amount | 695,529 | 834,907 | |||||||||||||||
Gross amounts of netting adjustments and cash collateral: | |||||||||||||||||
Bilateral derivatives | (469,824 | ) | (650,699 | ) | |||||||||||||
Cleared derivatives | (136,699 | ) | (6,720 | ) | |||||||||||||
Total gross amounts of netting adjustments and cash collateral | (606,523 | ) | (657,419 | ) | |||||||||||||
Net amounts after netting adjustments: | |||||||||||||||||
Bilateral derivatives | 89,006 | 177,488 | |||||||||||||||
Cleared derivatives | — | — | |||||||||||||||
Total net amounts after offsetting adjustments | 89,006 | 177,488 | |||||||||||||||
Derivative instruments not meeting netting requirements: (1) | |||||||||||||||||
Bilateral derivatives | 4 | — | |||||||||||||||
Total derivative liabilities | |||||||||||||||||
Bilateral derivatives | 89,010 | 177,488 | |||||||||||||||
Cleared derivatives | — | — | |||||||||||||||
Total derivative liabilities as reported in the Statement of Condition | 89,010 | 177,488 | |||||||||||||||
Non-cash collateral received or pledged not offset: | |||||||||||||||||
Can be sold or repledged | |||||||||||||||||
Bilateral derivatives | — | (79,233 | ) | ||||||||||||||
Net unsecured amount: | |||||||||||||||||
Bilateral derivatives | 89,010 | 98,255 | |||||||||||||||
Net unsecured amount | $ | 89,010 | $ | 98,255 | |||||||||||||
Notes: | |||||||||||||||||
(1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards). |
Consolidated_Obligations
Consolidated Obligations | 3 Months Ended | ||||||||||||||
Mar. 31, 2014 | |||||||||||||||
Debt Disclosure [Abstract] | ' | ||||||||||||||
Consolidated Obligations | ' | ||||||||||||||
Consolidated Obligations | |||||||||||||||
Detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2013 Form 10-K. | |||||||||||||||
The following table details interest rate payment terms for consolidated obligation bonds as of March 31, 2014 and December 31, 2013. | |||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||
Par value of consolidated bonds: | |||||||||||||||
Fixed-rate | $ | 28,525,638 | $ | 29,062,248 | |||||||||||
Step-up | 3,512,500 | 3,052,500 | |||||||||||||
Floating-rate | 5,830,000 | 5,580,000 | |||||||||||||
Total par value | 37,868,138 | 37,694,748 | |||||||||||||
Bond premiums | 78,753 | 87,961 | |||||||||||||
Bond discounts | (13,037 | ) | (14,019 | ) | |||||||||||
Hedging adjustments | (32,460 | ) | (70,389 | ) | |||||||||||
Total book value | $ | 37,901,394 | $ | 37,698,302 | |||||||||||
Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of March 31, 2014 and December 31, 2013. | |||||||||||||||
31-Mar-14 | 31-Dec-13 | ||||||||||||||
(dollars in thousands) | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | |||||||||||
Year of Contractual Maturity | |||||||||||||||
Due in 1 year or less | $ | 12,525,045 | 1.1 | % | $ | 12,576,595 | 0.94 | % | |||||||
Due after 1 year through 2 years | 6,603,915 | 1.67 | 7,979,165 | 1.75 | |||||||||||
Due after 2 years through 3 years | 3,344,355 | 1.94 | 2,711,605 | 2.29 | |||||||||||
Due after 3 years through 4 years | 2,948,100 | 2 | 2,040,700 | 2.25 | |||||||||||
Due after 4 years through 5 years | 4,895,800 | 1.49 | 4,594,700 | 1.5 | |||||||||||
Thereafter | 7,012,990 | 2.2 | 7,151,890 | 2.14 | |||||||||||
Index amortizing notes | 537,933 | 4.46 | 640,093 | 4.54 | |||||||||||
Total par value | $ | 37,868,138 | 1.65 | % | $ | 37,694,748 | 1.64 | % | |||||||
The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of March 31, 2014 and December 31, 2013. | |||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||
Noncallable | $ | 25,118,138 | $ | 26,549,748 | |||||||||||
Callable | 12,750,000 | 11,145,000 | |||||||||||||
Total par value | $ | 37,868,138 | $ | 37,694,748 | |||||||||||
The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of March 31, 2014 and December 31, 2013. | |||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||
Year of Contractual Maturity or Next Call Date | |||||||||||||||
Due in 1 year or less | $ | 25,030,045 | $ | 23,436,595 | |||||||||||
Due after 1 year through 2 years | 6,623,915 | 7,914,165 | |||||||||||||
Due after 2 years through 3 years | 2,159,355 | 2,196,605 | |||||||||||||
Due after 3 years through 4 years | 1,559,600 | 1,437,200 | |||||||||||||
Due after 4 years through 5 years | 1,036,800 | 1,150,700 | |||||||||||||
Thereafter | 920,490 | 919,390 | |||||||||||||
Index amortizing notes | 537,933 | 640,093 | |||||||||||||
Total par value | $ | 37,868,138 | $ | 37,694,748 | |||||||||||
Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of March 31, 2014 and December 31, 2013. | |||||||||||||||
(dollars in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||
Book value | $ | 21,942,198 | $ | 28,236,257 | |||||||||||
Par value | 21,947,181 | 28,242,236 | |||||||||||||
Weighted average interest rate (1) | 0.1 | % | 0.09 | % | |||||||||||
Note: | |||||||||||||||
(1) Represents an implied rate. |
Capital
Capital | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Capital [Abstract] | ' | ||||||||||||||||||||||||
Capital | ' | ||||||||||||||||||||||||
Capital | |||||||||||||||||||||||||
The Bank is subject to three capital requirements under its current Capital Plan structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 17 to the audited financial statements in the Bank’s 2013 Form 10-K. | |||||||||||||||||||||||||
At March 31, 2014, the Bank was in compliance with all regulatory capital requirements. Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory requirements. At March 31, 2014 and December 31, 2013, all of the Bank's capital stock outstanding was Class B stock. | |||||||||||||||||||||||||
The following table demonstrates the Bank’s compliance with these capital requirements at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
31-Mar-14 | December 31, 2013 | ||||||||||||||||||||||||
(dollars in thousands) | Required | Actual | Required | Actual | |||||||||||||||||||||
Regulatory capital requirements: | |||||||||||||||||||||||||
Risk-based capital | $ | 985,589 | $ | 3,432,036 | $ | 1,052,654 | $ | 3,647,902 | |||||||||||||||||
Total capital-to-asset ratio | 4 | % | 5.3 | % | 4 | % | 5.2 | % | |||||||||||||||||
Total regulatory capital | 2,582,226 | 3,432,036 | 2,826,837 | 3,647,902 | |||||||||||||||||||||
Leverage ratio | 5 | % | 8 | % | 5 | % | 7.7 | % | |||||||||||||||||
Leverage capital | 3,227,783 | 5,148,053 | 3,533,546 | 5,471,853 | |||||||||||||||||||||
The increase in the ratios from December 31, 2013 to March 31, 2014 was primarily due to the decrease in both capital stock and total assets. When the Finance Agency implemented the prompt corrective action provisions of the Housing Act, it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On March 20, 2014, the Bank received final notification from the Finance Agency that it was considered to be "adequately capitalized" for the quarter ended December 31, 2013. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended March 31, 2014. | |||||||||||||||||||||||||
Capital Concentrations. The following tables present member holdings of 10% or more of the Bank’s total capital stock including mandatorily redeemable capital stock outstanding as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(dollars in thousands) | 31-Mar-14 | ||||||||||||||||||||||||
Member (1) | Capital Stock | % of Total | |||||||||||||||||||||||
PNC Bank, N.A., Wilmington, DE | $ | 588,905 | 22 | % | |||||||||||||||||||||
Chase Bank USA, N.A., Wilmington, DE | 439,831 | 16.4 | |||||||||||||||||||||||
Santander Bank, N.A., Wilmington, DE | 333,234 | 12.4 | |||||||||||||||||||||||
(dollars in thousands) | 31-Dec-13 | ||||||||||||||||||||||||
Member (1) | Capital Stock | % of Total | |||||||||||||||||||||||
PNC Bank, N.A., Wilmington, DE | $ | 601,605 | 20.3 | % | |||||||||||||||||||||
Chase Bank USA, N.A., Wilmington, DE | 439,802 | 14.8 | |||||||||||||||||||||||
Santander Bank, N.A., Wilmington, DE | 416,685 | 14.1 | |||||||||||||||||||||||
Ally Bank, Midvale, UT | 307,800 | 10.4 | |||||||||||||||||||||||
Note: | |||||||||||||||||||||||||
(1) For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, PA. | |||||||||||||||||||||||||
Mandatorily Redeemable Capital Stock. Each FHLBank is a cooperative whose member financial institutions and former members own all of the relevant FHLBank's issued and outstanding shares of capital stock. Shares cannot be purchased or sold except between an FHLBank and its members at its $100 per share par value, as mandated by each FHLBank's capital plan. | |||||||||||||||||||||||||
At March 31, 2014 and December 31, 2013, the Bank had $1.9 million and $40 thousand, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. For the three months ended March 31, 2014 and 2013, estimated dividends on mandatorily redeemable capital stock totaling $14 thousand and $289 thousand, respectively, were recorded as interest expense. | |||||||||||||||||||||||||
The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the three months ended March 31, 2014 and 2013. | |||||||||||||||||||||||||
Three months ended March 31, | |||||||||||||||||||||||||
(in thousands) | 2014 | 2013 | |||||||||||||||||||||||
Balance, beginning of the period | $ | 40 | $ | 431,566 | |||||||||||||||||||||
Capital stock subject to mandatory redemption reclassified from capital stock: | |||||||||||||||||||||||||
Due to withdrawals (includes mergers) | 1,978 | 698 | |||||||||||||||||||||||
Redemption of mandatorily redeemable capital stock: | |||||||||||||||||||||||||
Other redemptions (1) | (157 | ) | (63,441 | ) | |||||||||||||||||||||
Balance, end of the period | $ | 1,861 | $ | 368,823 | |||||||||||||||||||||
Note: | |||||||||||||||||||||||||
(1) Reflects the impact on mandatorily redeemable capital stock related to excess capital stock repurchases. | |||||||||||||||||||||||||
As of March 31, 2014, the total mandatorily redeemable capital stock reflected the balance for two institutions. One institution was merged out of district and is considered to be a nonmember. This capital stock supports an advance. One other institution notified the Bank of its intention to voluntarily redeem their capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed. | |||||||||||||||||||||||||
The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Due in 1 year or less | $ | — | $ | — | |||||||||||||||||||||
Due after 1 year through 2 years | 40 | 40 | |||||||||||||||||||||||
Due after 2 years through 3 years | — | — | |||||||||||||||||||||||
Due after 3 years through 4 years | — | — | |||||||||||||||||||||||
Due after 4 years through 5 years | 1,821 | — | |||||||||||||||||||||||
Total | $ | 1,861 | $ | 40 | |||||||||||||||||||||
The year of redemption in the table above is the end of the five-year redemption period for the mandatorily redeemable capital stock. Under the Finance Agency regulations and the terms of the Bank's Capital Plan, capital stock supporting advances and other activity with the Bank (e.g., letters of credit, mortgage loans, etc.) is not redeemable prior to the payoff or maturity of the associated advance or other activity, which may extend beyond five years. | |||||||||||||||||||||||||
Dividends and Retained Earnings. Each FHLBank is required to contribute 20% of its net income each quarter to a restricted retained earnings (RRE) account until the balance of that account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At March 31, 2014, retained earnings were $748.8 million, including $672.8 million of unrestricted retained earnings and $76.1 million of RRE. | |||||||||||||||||||||||||
The Finance Agency has issued regulatory guidance to the FHLBanks relating to capital management and retained earnings. The guidance directs each FHLBank to assess, at least annually, the adequacy of its retained earnings with | |||||||||||||||||||||||||
consideration given to future possible financial and economic scenarios. The guidance also outlines the considerations that each FHLBank should undertake in assessing the adequacy of the Bank’s retained earnings. The Bank’s retained earnings policy and capital adequacy metric utilize this guidance. | |||||||||||||||||||||||||
Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. In February and April 2014, the Bank declared quarterly dividends of 2.5% and 4.0% on an annualized basis, respectively. Currently, the Bank's practice is to repurchase all excess capital stock on a monthly basis. | |||||||||||||||||||||||||
The following table summarizes the changes in AOCI for three months ended March 31, 2014 and 2013. | |||||||||||||||||||||||||
(in thousands) | Net Unrealized Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on HTM | Net Unrealized Gains on Hedging Activities | Pension and Post-Retirement Plans | Total | |||||||||||||||||||
31-Dec-12 | $ | 35,390 | $ | 18,999 | $ | — | $ | 286 | $ | (970 | ) | $ | 53,705 | ||||||||||||
Other comprehensive income (loss) before | |||||||||||||||||||||||||
reclassification: | |||||||||||||||||||||||||
Net unrealized gains (losses) | (4,838 | ) | 15,060 | — | — | — | 10,222 | ||||||||||||||||||
Net change in fair value of OTTI securities | — | 14,364 | — | — | — | 14,364 | |||||||||||||||||||
Reclassifications from OCI to net income: | |||||||||||||||||||||||||
Noncredit OTTI to credit OTTI | — | 442 | — | — | — | 442 | |||||||||||||||||||
Amortization - pension and post-retirement | — | — | — | — | 26 | 26 | |||||||||||||||||||
31-Mar-13 | $ | 30,552 | $ | 48,865 | $ | — | $ | 286 | $ | (944 | ) | $ | 78,759 | ||||||||||||
31-Dec-13 | $ | (32,481 | ) | $ | 77,642 | $ | — | $ | 287 | $ | (1,108 | ) | $ | 44,340 | |||||||||||
Other comprehensive income (loss) before | |||||||||||||||||||||||||
reclassification: | |||||||||||||||||||||||||
Net unrealized gains (losses) | 24,528 | (575 | ) | — | — | — | 23,953 | ||||||||||||||||||
Net change in fair value of OTTI securities | — | 2,018 | — | — | — | 2,018 | |||||||||||||||||||
Reclassifications from OCI to net income: | |||||||||||||||||||||||||
Amortization - pension and post-retirement | — | — | — | — | 39 | 39 | |||||||||||||||||||
31-Mar-14 | $ | (7,953 | ) | $ | 79,085 | $ | — | $ | 287 | $ | (1,069 | ) | $ | 70,350 | |||||||||||
Transactions_with_Related_Part
Transactions with Related Parties | 3 Months Ended | |||||||||
Mar. 31, 2014 | ||||||||||
Related Party Transactions [Abstract] | ' | |||||||||
Transactions with Related Parties | ' | |||||||||
Transactions with Related Parties | ||||||||||
The following table includes significant outstanding related party member balances. | ||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||
Federal funds sold | $ | — | $ | 45,000 | ||||||
Investments | 167,720 | 168,905 | ||||||||
Advances | 30,353,457 | 37,978,850 | ||||||||
Letters of credit | 7,480,653 | 7,206,562 | ||||||||
MPF loans | 1,558,205 | 1,633,238 | ||||||||
Deposits | 11,756 | 10,422 | ||||||||
Capital stock | 1,426,849 | 1,834,397 | ||||||||
The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to Federal funds sold, interest income on investments, and interest expense on deposits were immaterial for the periods presented. | ||||||||||
Three months ended March 31, | ||||||||||
(in thousands) | 2014 | 2013 | ||||||||
Interest income on advances (1) | $ | 32,803 | $ | 31,122 | ||||||
Interest income on MPF loans | 21,306 | 28,186 | ||||||||
Letter of credit fees | 1,882 | 19 | ||||||||
Prepayment fees on advances | 3,090 | — | ||||||||
Note: | ||||||||||
(1) For the three months ended March 31, 2014, balances include contractual interest income of $83.6 million, net interest settlements on derivatives in fair value hedge relationships of $(48.7) million and total amortization of basis adjustments of $(2.1) million. For the three months ended March 31, 2013, balances include contractual interest income of $83.9 million, net interest settlements on derivatives in fair value hedge relationships of $(52.0) million and total amortization of basis adjustments of $(0.8) million. | ||||||||||
The following table includes the MPF activity of the related party members. | ||||||||||
Three months ended March 31, | ||||||||||
(in thousands) | 2014 | 2013 | ||||||||
Total MPF loan volume purchased | $ | 889 | $ | 2,262 | ||||||
The following table summarizes the effect of the MPF activities with FHLBank of Chicago. | ||||||||||
Three months ended March 31, | ||||||||||
(in thousands) | 2014 | 2013 | ||||||||
Servicing fee expense | $ | 237 | $ | 217 | ||||||
Interest income on MPF deposits | — | 4 | ||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||
Interest-bearing deposits maintained with FHLBank of Chicago | $ | 5,459 | $ | 7,795 | ||||||
From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three months ended March 31, 2014 and 2013, there was no borrowing or lending activity between the Bank and other FHLBanks. | ||||||||||
Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During the three months ended March 31, 2014 and 2013, there were no transfers of debt between the Bank and another FHLBank. | ||||||||||
From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the three months ended March 31, 2014 and 2013. | ||||||||||
Additional discussions regarding related party transactions can be found in Note 19 to the audited financial statements in the Bank's 2013 Form 10-K. |
Estimated_Fair_Values
Estimated Fair Values | 3 Months Ended | |||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||||||
Estimated Fair Values | ' | |||||||||||||||||||||||
Estimated Fair Values | ||||||||||||||||||||||||
Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. These estimates are based on pertinent information available to the Bank at March 31, 2014 and December 31, 2013. Although the management of the Bank believes that the valuation methods used are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. | ||||||||||||||||||||||||
The carrying value and estimated fair value of the Bank’s financial instruments at March 31, 2014 and December 31, 2013 are presented in the table below. This table does not represent an estimate of the overall market value of the Bank as a going-concern, which would take into account future business opportunities and the net profitability of assets and liabilities. | ||||||||||||||||||||||||
Fair Value Summary Table | ||||||||||||||||||||||||
31-Mar-14 | ||||||||||||||||||||||||
(in thousands) | Carrying | Level 1 | Level 2 | Level 3 | Netting Adjust. | Estimated | ||||||||||||||||||
Value | Fair Value | |||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 1,141,287 | $ | 1,141,287 | $ | — | $ | — | $ | — | $ | 1,141,287 | ||||||||||||
Interest-bearing deposits | 5,459 | — | 5,459 | — | — | 5,459 | ||||||||||||||||||
Federal funds sold | 2,830,000 | — | 2,829,993 | — | — | 2,829,993 | ||||||||||||||||||
Trading securities | 259,446 | 4,798 | 254,648 | — | — | 259,446 | ||||||||||||||||||
AFS securities | 7,061,145 | 1,998 | 5,968,103 | 1,091,044 | — | 7,061,145 | ||||||||||||||||||
HTM securities | 3,822,403 | — | 3,042,877 | 825,453 | — | 3,868,330 | ||||||||||||||||||
Advances | 46,063,912 | — | 46,193,744 | — | — | 46,193,744 | ||||||||||||||||||
Mortgage loans held for portfolio, net | 3,174,294 | — | 3,321,489 | — | — | 3,321,489 | ||||||||||||||||||
BOB loans, net | 11,161 | — | — | 11,161 | — | 11,161 | ||||||||||||||||||
Accrued interest receivable | 82,651 | — | 82,651 | — | — | 82,651 | ||||||||||||||||||
Derivative assets | 70,889 | — | 217,457 | — | (146,568 | ) | 70,889 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | $ | 780,355 | $ | — | $ | 780,357 | $ | — | $ | — | $ | 780,357 | ||||||||||||
Discount notes | 21,942,198 | — | 21,943,859 | — | — | 21,943,859 | ||||||||||||||||||
Bonds | 37,901,394 | — | 38,067,644 | — | — | 38,067,644 | ||||||||||||||||||
Mandatorily redeemable capital stock | 1,861 | 1,861 | — | — | — | 1,861 | ||||||||||||||||||
Accrued interest payable | 143,873 | — | 143,873 | — | — | 143,873 | ||||||||||||||||||
Derivative liabilities | 89,010 | — | 695,533 | — | (606,523 | ) | 89,010 | |||||||||||||||||
31-Dec-13 | ||||||||||||||||||||||||
(in thousands) | Carrying | Level 1 | Level 2 | Level 3 | Netting Adjust. | Estimated | ||||||||||||||||||
Value | Fair Value | |||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 3,121,345 | $ | 3,121,345 | $ | — | $ | — | $ | — | $ | 3,121,345 | ||||||||||||
Interest-bearing deposits | 7,795 | — | 7,795 | — | — | 7,795 | ||||||||||||||||||
Federal funds sold | 2,875,000 | — | 2,874,983 | — | — | 2,874,983 | ||||||||||||||||||
Trading securities | 239,190 | 4,576 | 234,614 | — | — | 239,190 | ||||||||||||||||||
AFS securities | 6,757,717 | 1,998 | 5,617,667 | 1,138,052 | 6,757,717 | |||||||||||||||||||
HTM securities | 3,995,530 | — | 3,164,059 | 870,771 | — | 4,034,830 | ||||||||||||||||||
Advances | 50,247,435 | — | 50,346,040 | — | — | 50,346,040 | ||||||||||||||||||
Mortgage loans held for portfolio, net | 3,224,091 | — | 3,351,450 | — | — | 3,351,450 | ||||||||||||||||||
BOB loans, net | 11,400 | — | — | 11,400 | — | 11,400 | ||||||||||||||||||
Accrued interest receivable | 95,374 | — | 95,374 | — | — | 95,374 | ||||||||||||||||||
Derivative assets | 59,973 | — | 249,579 | — | (189,606 | ) | 59,973 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | $ | 694,352 | $ | 694,357 | $ | — | $ | — | $ | 694,357 | ||||||||||||||
Discount notes | 28,236,257 | — | 28,238,042 | — | — | 28,238,042 | ||||||||||||||||||
Bonds | 37,698,302 | — | 37,847,493 | — | — | 37,847,493 | ||||||||||||||||||
Mandatorily redeemable capital stock | 40 | 40 | — | — | — | 40 | ||||||||||||||||||
Accrued interest payable | 97,689 | — | 97,689 | — | — | 97,689 | ||||||||||||||||||
Derivative liabilities | 177,488 | — | 834,907 | — | (657,419 | ) | 177,488 | |||||||||||||||||
Fair Value Hierarchy. The Bank records trading securities, AFS securities, derivative assets and derivative liabilities at fair value. The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value on the Statement of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. | ||||||||||||||||||||||||
The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: | ||||||||||||||||||||||||
Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. | ||||||||||||||||||||||||
Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. | ||||||||||||||||||||||||
Level 3 Inputs - Unobservable inputs for the asset or liability. | ||||||||||||||||||||||||
The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification within the fair value hierarchy of certain assets or liabilities. These reclassifications are reported as transfers in/out of the level as of the beginning of the quarter in which the changes occur. There were no such transfers during the three months ended March 31, 2014 and 2013. | ||||||||||||||||||||||||
Summary of Valuation Methodologies and Primary Inputs | ||||||||||||||||||||||||
Cash and Due from Banks. The fair values equal the carrying values. | ||||||||||||||||||||||||
Interest Bearing Deposits. The fair value is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for interest-bearing deposits with similar terms. | ||||||||||||||||||||||||
Federal Funds Sold. The fair value of Federal funds sold is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for Federal funds with similar terms. | ||||||||||||||||||||||||
Investment Securities – non-MBS. The Bank uses the income approach to determine the estimated fair value of non-MBS investment securities. The significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves used by the Bank and the related instrument types they measure are as follows: | ||||||||||||||||||||||||
• | Treasury curve: U.S. Treasury obligations | |||||||||||||||||||||||
• | LIBOR Swap curve: certificates of deposit | |||||||||||||||||||||||
• | CO curve: Government-sponsored enterprises, state and local agency, and other U.S. obligations | |||||||||||||||||||||||
Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from 4 designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. | ||||||||||||||||||||||||
During the year, the Bank conducts reviews of the four pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures for agency and private label MBS. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes. | ||||||||||||||||||||||||
The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. | ||||||||||||||||||||||||
As an additional step, the Bank reviewed the final fair value estimates of its private-label MBS holdings as of March 31, 2014 for reasonableness using an implied yield test. On certain securities, the Bank calculated an implied yield using the estimated fair value derived from the process described above and the security's projected cash flows from the Bank's OTTI process and compared such yield to the market yield for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary. | ||||||||||||||||||||||||
As of March 31, 2014, four vendor prices were received for a majority of the Bank's MBS holdings, and the final prices for a majority of those securities were computed by averaging the four prices. Based on the Bank's reviews of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. Based on the current lack of significant market activity for private label residential MBS, the Bank believes as of March 31, 2014 private label residential MBS inputs should be classified as Level 3. | ||||||||||||||||||||||||
Mutual Funds Offsetting Deferred Compensation and Employee Benefit Plan Obligations. Fair values for publicly traded mutual funds are based on quoted market prices. | ||||||||||||||||||||||||
Advances. The Bank determines the fair value by calculating the present value of expected future cash flows from the advances. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. The inputs used to determine fair value of advances are the LIBOR curve, a volatility assumption for advances with optionality, and a spread adjustment. | ||||||||||||||||||||||||
Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Changes in the prepayment rates can have a material effect on the fair value estimates. Prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time. | ||||||||||||||||||||||||
Accrued Interest Receivable and Payable. The fair values approximate the carrying values. | ||||||||||||||||||||||||
Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Because these estimates are made as of a specific point in time, they are susceptible to material near-term changes. | ||||||||||||||||||||||||
The Bank is subject to credit risk on bilateral derivatives transactions due to the potential nonperformance by the derivatives counterparties, all of which are highly rated institutions. To mitigate this risk, the Bank has entered into netting arrangements for its derivative transactions. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements. | ||||||||||||||||||||||||
The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of derivatives are netted by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset; if negative, a liability. | ||||||||||||||||||||||||
The discounted cash flow analysis used to determine the fair value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: | ||||||||||||||||||||||||
Interest-rate related: | ||||||||||||||||||||||||
• | Discount rate assumption. Overnight Index Swap (OIS) curve. | |||||||||||||||||||||||
• | Forward interest rate assumption. LIBOR Swap Curve. | |||||||||||||||||||||||
• | Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. | |||||||||||||||||||||||
Mortgage delivery commitments: | ||||||||||||||||||||||||
• | To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement. | |||||||||||||||||||||||
BOB Loans. The fair value approximates the carrying value. | ||||||||||||||||||||||||
Deposits. The Bank determines the fair value by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the cost of deposits with similar terms. | ||||||||||||||||||||||||
Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. The inputs used to determine fair value of consolidated obligations are a CO curve and a LIBOR swap curve, a volatility assumption for consolidated obligations with optionality, and a spread adjustment. | ||||||||||||||||||||||||
Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par value as indicated by contemporaneous member purchases and sales at par value. Fair value also includes an estimated dividend earned at the time of reclassification from equity to liabilities, until such amount is paid, and any subsequently-declared dividend. FHLBank stock can only be acquired and redeemed at par value. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure. | ||||||||||||||||||||||||
Commitments. For fixed-rate loan commitments, fair value also considers the difference between current levels of interest rates and the committed rates. The fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements or on the estimated cost to terminate them or otherwise settle the obligations with the counterparties. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at March 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||
Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. | ||||||||||||||||||||||||
Fair Value on a Recurring Basis. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring basis on its Statement of Condition at March 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||
31-Mar-14 | ||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||
Non MBS: | ||||||||||||||||||||||||
GSE and TVA Obligations | $ | — | $ | 254,648 | $ | — | $ | — | $ | 254,648 | ||||||||||||||
Mutual funds | 4,798 | — | — | — | 4,798 | |||||||||||||||||||
Total trading securities | $ | 4,798 | $ | 254,648 | $ | — | $ | — | $ | 259,446 | ||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE and TVA Obligations | $ | — | $ | 2,115,508 | $ | — | $ | — | $ | 2,115,508 | ||||||||||||||
State or local agency obligations | — | 13,999 | — | — | 13,999 | |||||||||||||||||||
Mutual funds | 1,998 | — | — | — | 1,998 | |||||||||||||||||||
Other U.S. obligations residential MBS | — | 371,803 | — | — | 371,803 | |||||||||||||||||||
GSE MBS | — | 3,466,793 | — | — | 3,466,793 | |||||||||||||||||||
Private label MBS: | ||||||||||||||||||||||||
Private label residential MBS | — | — | 1,077,021 | — | 1,077,021 | |||||||||||||||||||
HELOCs | — | — | 14,023 | — | 14,023 | |||||||||||||||||||
Total AFS securities | $ | 1,998 | $ | 5,968,103 | $ | 1,091,044 | $ | — | $ | 7,061,145 | ||||||||||||||
Derivative assets: | ||||||||||||||||||||||||
Interest rate related | $ | — | $ | 217,286 | $ | — | $ | (146,568 | ) | $ | 70,718 | |||||||||||||
Mortgage delivery commitments | — | 171 | — | — | 171 | |||||||||||||||||||
Total derivative assets | $ | — | $ | 217,457 | $ | — | $ | (146,568 | ) | $ | 70,889 | |||||||||||||
Total assets at fair value | $ | 6,796 | $ | 6,440,208 | $ | 1,091,044 | $ | (146,568 | ) | $ | 7,391,480 | |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||
Interest rate related | $ | — | $ | 695,529 | $ | — | $ | (606,523 | ) | $ | 89,006 | |||||||||||||
Mortgage delivery commitments | — | 4 | — | — | 4 | |||||||||||||||||||
Total derivative liabilities (2) | $ | — | $ | 695,533 | $ | — | $ | (606,523 | ) | $ | 89,010 | |||||||||||||
31-Dec-13 | ||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||
GSE and TVA Obligations | $ | — | $ | 234,614 | $ | — | $ | — | $ | 234,614 | ||||||||||||||
Mutual funds | 4,576 | — | — | — | 4,576 | |||||||||||||||||||
Total trading securities | $ | 4,576 | $ | 234,614 | $ | — | $ | — | $ | 239,190 | ||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE and TVA Obligations | — | 2,096,177 | 2,096,177 | |||||||||||||||||||||
State or local agency obligations | — | 14,043 | — | — | 14,043 | |||||||||||||||||||
Mutual funds | 1,998 | — | — | — | 1,998 | |||||||||||||||||||
Other U.S. obligations residential MBS | — | 385,296 | — | — | 385,296 | |||||||||||||||||||
GSE MBS | — | 3,122,151 | — | — | 3,122,151 | |||||||||||||||||||
Private label MBS: | ||||||||||||||||||||||||
Private label residential MBS | — | — | 1,123,624 | — | 1,123,624 | |||||||||||||||||||
HELOCs | — | — | 14,428 | — | 14,428 | |||||||||||||||||||
Total AFS securities | $ | 1,998 | $ | 5,617,667 | $ | 1,138,052 | $ | — | $ | 6,757,717 | ||||||||||||||
Derivative assets: | ||||||||||||||||||||||||
Interest rate related | $ | — | $ | 249,419 | $ | — | $ | (189,606 | ) | $ | 59,813 | |||||||||||||
Mortgage delivery commitments | — | 160 | — | — | 160 | |||||||||||||||||||
Total derivative assets | $ | — | $ | 249,579 | $ | — | $ | (189,606 | ) | $ | 59,973 | |||||||||||||
Total assets at fair value | $ | 6,574 | $ | 6,101,860 | $ | 1,138,052 | $ | (189,606 | ) | $ | 7,056,880 | |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||
Interest rate related | $ | — | $ | 834,907 | $ | — | $ | (657,419 | ) | $ | 177,488 | |||||||||||||
Total derivative liabilities (2) | $ | — | $ | 834,907 | $ | — | $ | (657,419 | ) | $ | 177,488 | |||||||||||||
Notes: | ||||||||||||||||||||||||
(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | ||||||||||||||||||||||||
(2) Derivative liabilities represent the total liabilities at fair value. | ||||||||||||||||||||||||
There were no transfers between Levels 1 and 2 during the first three months of 2014 or 2013. | ||||||||||||||||||||||||
Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the three months ended March 31, 2014 and 2013. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period. | ||||||||||||||||||||||||
(in thousands) | AFS Private | AFS Private | ||||||||||||||||||||||
Label MBS-Residential | Label MBS- HELOCs | |||||||||||||||||||||||
Three Months Ended | Three Months Ended | |||||||||||||||||||||||
31-Mar-14 | 31-Mar-14 | |||||||||||||||||||||||
Balance at January 1 | $ | 1,123,624 | $ | 14,428 | ||||||||||||||||||||
Total gains (losses) (realized/unrealized) included in: | ||||||||||||||||||||||||
Accretion of credit losses in interest income | 2,936 | 330 | ||||||||||||||||||||||
Net unrealized (losses) on AFS in OCI | (30 | ) | — | |||||||||||||||||||||
Net change in fair value on OTTI AFS in OCI | 1,998 | 20 | ||||||||||||||||||||||
Unrealized gains (losses) on OTTI AFS and included in OCI | (684 | ) | 109 | |||||||||||||||||||||
Purchases, issuances, sales, and settlements: | ||||||||||||||||||||||||
Settlements | (50,823 | ) | (864 | ) | ||||||||||||||||||||
Balance at March 31 | $ | 1,077,021 | $ | 14,023 | ||||||||||||||||||||
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2014 | $ | 2,936 | $ | 330 | ||||||||||||||||||||
(in thousands) | AFS Private | AFS Private | ||||||||||||||||||||||
Label MBS-Residential | Label MBS- HELOCs | |||||||||||||||||||||||
Three Months Ended | Three Months Ended | |||||||||||||||||||||||
31-Mar-13 | 31-Mar-13 | |||||||||||||||||||||||
Balance at January 1 | $ | 1,410,476 | $ | 14,758 | ||||||||||||||||||||
Total gains (losses) (realized/unrealized) included in: | ||||||||||||||||||||||||
Accretion of credit losses in interest income | (1,494 | ) | 224 | |||||||||||||||||||||
Net OTTI losses, credit portion | (345 | ) | (97 | ) | ||||||||||||||||||||
Net unrealized gains on AFS in OCI | 175 | — | ||||||||||||||||||||||
Reclassification of non-credit portion included in net income | 345 | 97 | ||||||||||||||||||||||
Net change in fair value on OTTI AFS in OCI | 14,323 | 41 | ||||||||||||||||||||||
Unrealized gains on OTTI AFS and included in OCI | 14,898 | 162 | ||||||||||||||||||||||
Purchases, issuances, sales, and settlements: | ||||||||||||||||||||||||
Settlements | (82,025 | ) | (904 | ) | ||||||||||||||||||||
Balance at March 31 | $ | 1,356,353 | $ | 14,281 | ||||||||||||||||||||
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2013 | $ | (1,839 | ) | $ | 127 | |||||||||||||||||||
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended | |||||||||||||
Mar. 31, 2014 | ||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | ' | |||||||||||||
Commitments and Contingencies | ' | |||||||||||||
Commitments and Contingencies | ||||||||||||||
The following table presents the Bank's various off-balance sheet commitments which are described in detail below. | ||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||||||
Notional amount | Final Expiration Date Within One Year | Final Expiration Date After One Year (3) | Total | Total | ||||||||||
Standby letters of credit outstanding (1) | $ | 10,496,515 | $ | 4,981,164 | $ | 15,477,679 | $ | 14,665,346 | ||||||
Commitments to fund additional advances and BOB loans | 5,664 | — | 5,664 | 411,249 | ||||||||||
Commitments to fund or purchase mortgage loans | 15,084 | — | 15,084 | 12,279 | ||||||||||
Unsettled consolidated obligation bonds, at par (2) | 532,300 | — | 532,300 | 32,000 | ||||||||||
Unsettled consolidated obligation discount notes, at par | — | — | — | 750,000 | ||||||||||
Notes: | ||||||||||||||
(1) Excludes approved requests to issue future standby letters of credit of $417.8 million and $154.1 million at March 31, 2014 and December 31, 2013, respectively. | ||||||||||||||
(2) Includes $500.0 million and $15.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2014 and December 31, 2013, respectively. | ||||||||||||||
(3) These letters of credit have a final expiration date exceeding one year but are subject to non-renewal every year or less. | ||||||||||||||
Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized advance. The original terms of these standby letters of credit, including related commitments, range from less than one month to 5 years. | ||||||||||||||
The Bank has included in Other Income, net, standby letters of credit fees of $4.0 million and $1.9 million for the first quarter of 2014 and 2013, respectively. Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $3.1 million and $3.7 million as of March 31, 2014 and December 31, 2013, respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit. | ||||||||||||||
Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in Other liabilities on the Statement of Condition. | ||||||||||||||
The Bank does not have any legally binding or unconditional unused lines of credit for advances at March 31, 2014 and December 31, 2013. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding at March 31, 2014 and December 31, 2013 of $6.9 billion and $6.4 billion, respectively. | ||||||||||||||
Commitments to Fund or Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program. These delivery commitments are generally for periods not to exceed 45 days. Such commitments are recorded as derivatives. | ||||||||||||||
Pledged Collateral. The Bank has pledged securities, as collateral, related to derivatives. Refer to Note 9 - Derivatives and Hedging Activities in this Form 10-Q for additional information about the Bank's pledged collateral and other credit risk-related contingent features. | ||||||||||||||
Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a | ||||||||||||||
material effect on its financial condition or results of operations. | ||||||||||||||
Notes 6, 10, 11, and 12 also discuss other commitments and contingencies. |
Significant_Accounting_Policie
Significant Accounting Policies (Policies) | 3 Months Ended | |
Mar. 31, 2014 | ||
Marketable Securities, Available-for-sale Securities, Policy | ' | |
The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. | ||
Marketable Securities, Held-to-maturity Securities, Policy | ' | |
Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the transfer or sale of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to transfer or sell an HTM security without necessarily calling into question its intent to hold other debt securities to maturity | ||
Impairment of Investments, Policy | ' | |
The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as: | ||
• | the remaining payment terms for the security; | |
• | prepayment speeds and default rates; | |
• | loss severity based on underlying loan-level borrower and loan characteristics; | |
• | expected housing price changes; and | |
• | interest-rate assumptions. | |
To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable-rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased. | ||
The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions about future changes in home prices and interest rates to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. CBSAs refer collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The OTTI Governance Committee developed a short-term housing price forecast using whole percentages ranging from (3.0)% to 9.0% over the 12 month period beginning January 1, 2014. This forecast is CBSA based and is an input into the first model described above. For the vast majority of markets the short-term forecast has changes from (1.0)% to 4.0%. Thereafter, home prices were projected to recover using one of five different recovery paths that have a recovery range of | ||
Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy | ' | |
Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. | ||
Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. | ||
The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses. | ||
For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. | ||
The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans. | ||
Credit Products. The Bank manages its total credit exposure or TCE, which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral/lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. In addition, the Bank lends to its members in accordance with the Housing Act and Finance Agency regulations. Specifically, the Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to protect its security interest. Management of the Bank believes that these policies effectively manage the Bank’s respective credit risk from credit products. | ||
Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and 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 Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At March 31, 2014 and December 31, 2013, the Bank had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit. | ||
The Bank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. At March 31, 2014 and December 31, 2013, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, there were no credit products considered to be troubled debt restructurings (TDRs). | ||
Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at March 31, 2014 and December 31, 2013, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products. | ||
Loans and Leases Receivable, Mortgage and Mortgage-Backed Securities, Valuation, Policy | ' | |
Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. Given the credit deterioration experienced by PMI companies, estimated future claim payments from these companies have been reduced and factored into estimated loan losses in determining the allowance for credit losses. The resulting estimated losses after PMI are then reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by Master Commitment. Losses in excess of the CEs are incurred by the Bank. | ||
Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually | ||
Derivatives, Policy | ' | |
The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty 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 bilateral derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives. | ||
For cleared derivatives, the Clearing Houses are the Bank's counterparties. The requirement that the Bank post initial and variation margin through the clearing agent, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the value of cleared derivatives. However, due to the nature of initial and variation margin, the Bank will always be over-collateralized with the Clearing Houses. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and believes 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 a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House. | ||
Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 13 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. | ||
Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in its credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions. | ||
Fair Value Measurement, Policy | ' | |
Fair Value Hierarchy. The Bank records trading securities, AFS securities, derivative assets and derivative liabilities at fair value. The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value on the Statement of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. | ||
The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: | ||
Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. | ||
Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. | ||
Level 3 Inputs - Unobservable inputs for the asset or liability. | ||
The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification within the fair value hierarchy of certain assets or liabilities. These reclassifications are reported as transfers in/out of the level as of the beginning of the quarter in which the changes occur. | ||
Fair Value of Financial Instruments, Policy | ' | |
The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. | ||
To value MBS holdings, the Bank obtains prices from 4 designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. | ||
Mutual Funds Offsetting Deferred Compensation and Employee Benefit Plan Obligations. Fair values for publicly traded mutual funds are based on quoted market prices. | ||
Advances. The Bank determines the fair value by calculating the present value of expected future cash flows from the advances. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. The inputs used to determine fair value of advances are the LIBOR curve, a volatility assumption for advances with optionality, and a spread adjustment. | ||
Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Changes in the prepayment rates can have a material effect on the fair value estimates. Prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time. | ||
Accrued Interest Receivable and Payable. The fair values approximate the carrying values. | ||
Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Because these estimates are made as of a specific point in time, they are susceptible to material near-term changes. | ||
The Bank is subject to credit risk on bilateral derivatives transactions due to the potential nonperformance by the derivatives counterparties, all of which are highly rated institutions. To mitigate this risk, the Bank has entered into netting arrangements for its derivative transactions. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements. | ||
The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of derivatives are netted by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset; if negative, a liability. | ||
The discounted cash flow analysis used to determine the fair value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: | ||
Interest-rate related: | ||
• | Discount rate assumption. Overnight Index Swap (OIS) curve. | |
• | Forward interest rate assumption. LIBOR Swap Curve. | |
• | Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. | |
Mortgage delivery commitments: | ||
• | To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement. | |
BOB Loans. The fair value approximates the carrying value. | ||
Deposits. The Bank determines the fair value by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the cost of deposits with similar terms. | ||
Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. The inputs used to determine fair value of consolidated obligations are a CO curve and a LIBOR swap curve, a volatility assumption for consolidated obligations with optionality, and a spread adjustment. | ||
Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par value as indicated by contemporaneous member purchases and sales at par value. Fair value also includes an estimated dividend earned at the time of reclassification from equity to liabilities, until such amount is paid, and any subsequently-declared dividend. FHLBank stock can only be acquired and redeemed at par value. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure. | ||
Commitments. For fixed-rate loan commitments, fair value also considers the difference between current levels of interest rates and the committed rates. The fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements or on the estimated cost to terminate them or otherwise settle the obligations with the counterparties. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at March 31, 2014 and December 31, 2013. | ||
Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. | ||
Fair Value Transfer, Policy | ' | |
For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period. |
Trading_Securities_Tables
Trading Securities (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | |||||||
Schedule of Trading Securities | ' | |||||||
The following table presents trading securities as of March 31, 2014 and December 31, 2013. | ||||||||
(in thousands) | March 31, 2014 | 31-Dec-13 | ||||||
Non-MBS: | ||||||||
Mutual funds | $ | 4,798 | $ | 4,576 | ||||
GSE and Tennessee Valley Authority obligations | 254,648 | 234,614 | ||||||
Total | $ | 259,446 | $ | 239,190 | ||||
Categories of Investments, Marketable Securities, Trading Securities [Member] | ' | |||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | |||||||
Net Gains (Losses) on Trading Securities | ' | |||||||
The following table presents net gains (losses) on trading securities for the first quarter of 2014 and 2013. | ||||||||
Three months ended March 31, | ||||||||
(in thousands) | 2014 | 2013 | ||||||
Net unrealized gains on trading securities held at period-end | $ | 9,706 | $ | 267 | ||||
Net realized gains (losses) on securities sold/matured during the period | 86 | (36 | ) | |||||
Net gains on trading securities | $ | 9,792 | $ | 231 | ||||
AvailableforSale_AFS_Securitie1
Available-for-Sale (AFS) Securities (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation | ' | ||||||||||||||||||||||||
The following tables present AFS securities as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
31-Mar-14 | |||||||||||||||||||||||||
(in thousands) | Amortized Cost (1) | OTTI Recognized in AOCI (2) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
Mutual funds | $ | 1,993 | $ | — | $ | 5 | $ | — | $ | 1,998 | |||||||||||||||
GSE and Tennessee Valley Authority obligations | 2,110,888 | — | 9,617 | (4,997 | ) | 2,115,508 | |||||||||||||||||||
State or local agency obligations | 15,020 | — | 64 | (1,085 | ) | 13,999 | |||||||||||||||||||
Total non-MBS | $ | 2,127,901 | $ | — | $ | 9,686 | $ | (6,082 | ) | $ | 2,131,505 | ||||||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 372,881 | $ | — | $ | 40 | $ | (1,118 | ) | $ | 371,803 | ||||||||||||||
GSE MBS (3) | 3,477,079 | — | 12,455 | (22,741 | ) | 3,466,793 | |||||||||||||||||||
Private label MBS: | |||||||||||||||||||||||||
Private label residential MBS | 1,001,005 | (1,670 | ) | 77,879 | (193 | ) | 1,077,021 | ||||||||||||||||||
HELOCs | 11,147 | (89 | ) | 2,965 | — | 14,023 | |||||||||||||||||||
Total private label MBS | 1,012,152 | (1,759 | ) | 80,844 | (193 | ) | 1,091,044 | ||||||||||||||||||
Total MBS | $ | 4,862,112 | $ | (1,759 | ) | $ | 93,339 | $ | (24,052 | ) | $ | 4,929,640 | |||||||||||||
Total AFS securities | $ | 6,990,013 | $ | (1,759 | ) | $ | 103,025 | $ | (30,134 | ) | $ | 7,061,145 | |||||||||||||
31-Dec-13 | |||||||||||||||||||||||||
(in thousands) | Amortized Cost (1) | OTTI Recognized in AOCI (2) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
Mutual funds | $ | 1,993 | $ | — | $ | 5 | $ | — | 1,998 | ||||||||||||||||
GSE and Tennessee Valley Authority obligations | 2,103,847 | — | 1,160 | (8,830 | ) | 2,096,177 | |||||||||||||||||||
State or local agency obligations | 15,430 | — | 35 | (1,422 | ) | 14,043 | |||||||||||||||||||
Total non-MBS | $ | 2,121,270 | $ | — | $ | 1,200 | $ | (10,252 | ) | $ | 2,112,218 | ||||||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 386,169 | $ | — | $ | 27 | $ | (900 | ) | 385,296 | |||||||||||||||
GSE MBS (3) | 3,144,543 | — | 11,389 | (33,781 | ) | 3,122,151 | |||||||||||||||||||
Private label MBS: | — | ||||||||||||||||||||||||
Private label residential MBS | 1,048,893 | (3,723 | ) | 78,618 | (164 | ) | 1,123,624 | ||||||||||||||||||
HELOCs | 11,681 | (109 | ) | 2,856 | — | 14,428 | |||||||||||||||||||
Total private label MBS | 1,060,574 | (3,832 | ) | 81,474 | (164 | ) | 1,138,052 | ||||||||||||||||||
Total MBS | $ | 4,591,286 | $ | (3,832 | ) | $ | 92,890 | $ | (34,845 | ) | $ | 4,645,499 | |||||||||||||
Total AFS securities | $ | 6,712,556 | $ | (3,832 | ) | $ | 94,090 | $ | (45,097 | ) | $ | 6,757,717 | |||||||||||||
Notes: | |||||||||||||||||||||||||
(1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. | |||||||||||||||||||||||||
(2) Represents the non-credit portion of an OTTI recognized during the life of the security. | |||||||||||||||||||||||||
Available-for-sale Securities | ' | ||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ||||||||||||||||||||||||
Reconciliation of Other than Temporary Impairment on Investments Recognized in Accumulated Other Comrehensive Income | ' | ||||||||||||||||||||||||
The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Non-credit portion of OTTI losses | $ | (1,759 | ) | $ | (3,832 | ) | |||||||||||||||||||
Net unrealized gains on OTTI securities since their last OTTI credit charge | 80,844 | 81,474 | |||||||||||||||||||||||
Net non-credit portion of OTTI gains on AFS securities in AOCI | $ | 79,085 | $ | 77,642 | |||||||||||||||||||||
Schedule of Unrealized Loss on Investments | ' | ||||||||||||||||||||||||
The following tables summarize the AFS securities with unrealized losses as of March 31, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses (1) | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 836,085 | $ | (4,829 | ) | $ | 124,825 | $ | (168 | ) | $ | 960,910 | $ | (4,997 | ) | ||||||||||
State or local agency obligations | 4,090 | (360 | ) | 8,496 | (725 | ) | 12,586 | (1,085 | ) | ||||||||||||||||
Total non-MBS | $ | 840,175 | $ | (5,189 | ) | $ | 133,321 | $ | (893 | ) | $ | 973,496 | $ | (6,082 | ) | ||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 251,407 | $ | (683 | ) | $ | 100,867 | $ | (435 | ) | $ | 352,274 | $ | (1,118 | ) | ||||||||||
GSE MBS | 1,294,357 | (22,096 | ) | 81,694 | (645 | ) | 1,376,051 | (22,741 | ) | ||||||||||||||||
Private label: | |||||||||||||||||||||||||
Private label residential MBS | 8,448 | (251 | ) | 44,422 | (1,612 | ) | 52,870 | (1,863 | ) | ||||||||||||||||
HELOCs | — | — | 1,643 | (89 | ) | 1,643 | (89 | ) | |||||||||||||||||
Total private label MBS | 8,448 | (251 | ) | 46,065 | (1,701 | ) | 54,513 | (1,952 | ) | ||||||||||||||||
Total MBS | $ | 1,554,212 | $ | (23,030 | ) | $ | 228,626 | $ | (2,781 | ) | $ | 1,782,838 | $ | (25,811 | ) | ||||||||||
Total | $ | 2,394,387 | $ | (28,219 | ) | $ | 361,947 | $ | (3,674 | ) | $ | 2,756,334 | $ | (31,893 | ) | ||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses (1) | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 1,350,088 | $ | (8,830 | ) | $ | — | $ | — | $ | 1,350,088 | $ | (8,830 | ) | |||||||||||
State or local agency obligations | 3,994 | (456 | ) | 8,664 | (966 | ) | 12,658 | (1,422 | ) | ||||||||||||||||
Total non-MBS | $ | 1,354,082 | $ | (9,286 | ) | $ | 8,664 | $ | (966 | ) | $ | 1,362,746 | $ | (10,252 | ) | ||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 317,394 | $ | (806 | ) | $ | 28,803 | $ | (94 | ) | $ | 346,197 | $ | (900 | ) | ||||||||||
GSE MBS | 1,142,806 | (33,495 | ) | 64,515 | (286 | ) | 1,207,321 | (33,781 | ) | ||||||||||||||||
Private label: | |||||||||||||||||||||||||
Private label residential MBS | 66,847 | (648 | ) | 42,306 | (3,239 | ) | 109,153 | (3,887 | ) | ||||||||||||||||
HELOCs | — | — | 1,679 | (109 | ) | 1,679 | (109 | ) | |||||||||||||||||
Total private label MBS | 66,847 | (648 | ) | 43,985 | (3,348 | ) | 110,832 | (3,996 | ) | ||||||||||||||||
Total MBS | $ | 1,527,047 | $ | (34,949 | ) | $ | 137,303 | $ | (3,728 | ) | $ | 1,664,350 | $ | (38,677 | ) | ||||||||||
Total | $ | 2,881,129 | $ | (44,235 | ) | $ | 145,967 | $ | (4,694 | ) | $ | 3,027,096 | $ | (48,929 | ) | ||||||||||
Note: | |||||||||||||||||||||||||
(1) Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 3. | |||||||||||||||||||||||||
Investments Classified by Contractual Maturity Date | ' | ||||||||||||||||||||||||
Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of March 31, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||||||||||||
Due in one year or less | $ | 201,993 | $ | 202,224 | $ | 201,992 | $ | 202,104 | |||||||||||||||||
Due after one year through five years | 1,154,740 | 1,152,104 | 1,226,635 | 1,223,399 | |||||||||||||||||||||
Due after five years through ten years | 575,202 | 579,756 | 524,313 | 521,278 | |||||||||||||||||||||
Due in more than ten years | 195,966 | 197,421 | 168,330 | 165,437 | |||||||||||||||||||||
AFS securities excluding MBS | 2,127,901 | 2,131,505 | 2,121,270 | 2,112,218 | |||||||||||||||||||||
MBS | 4,862,112 | 4,929,640 | 4,591,286 | 4,645,499 | |||||||||||||||||||||
Total AFS securities | $ | 6,990,013 | $ | 7,061,145 | $ | 6,712,556 | $ | 6,757,717 | |||||||||||||||||
Schedule of Interest Rate Payment Terms For Investments | ' | ||||||||||||||||||||||||
The following table details interest payment terms at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Amortized cost of AFS securities other than MBS: | |||||||||||||||||||||||||
Fixed-rate | $ | 1,618,365 | $ | 1,536,763 | |||||||||||||||||||||
Variable-rate | 509,536 | 584,507 | |||||||||||||||||||||||
Total non-MBS | $ | 2,127,901 | $ | 2,121,270 | |||||||||||||||||||||
Amortized cost of AFS MBS: | |||||||||||||||||||||||||
Fixed-rate | $ | 2,099,896 | $ | 2,155,940 | |||||||||||||||||||||
Variable-rate | 2,762,216 | 2,435,346 | |||||||||||||||||||||||
Total MBS | $ | 4,862,112 | $ | 4,591,286 | |||||||||||||||||||||
Total amortized cost of AFS securities | $ | 6,990,013 | $ | 6,712,556 | |||||||||||||||||||||
Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate. |
HeldtoMaturity_HTM_Securities_
Held-to-Maturity (HTM) Securities (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ' | ||||||||||||||||||||||||
Held-to-maturity Securities | ' | ||||||||||||||||||||||||
The following tables present HTM securities as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | |||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
GSE securities | $ | 15,185 | $ | 621 | $ | — | $ | 15,806 | |||||||||||||||||
State or local agency obligations | 241,746 | 3,792 | (11,613 | ) | 233,925 | ||||||||||||||||||||
Total non-MBS | $ | 256,931 | $ | 4,413 | $ | (11,613 | ) | $ | 249,731 | ||||||||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 1,358,400 | $ | 8,704 | $ | — | $ | 1,367,104 | |||||||||||||||||
GSE MBS (1) | 1,374,752 | 51,411 | (121 | ) | 1,426,042 | ||||||||||||||||||||
Private label residential MBS | 832,320 | 5,374 | (12,241 | ) | 825,453 | ||||||||||||||||||||
Total MBS | $ | 3,565,472 | $ | 65,489 | $ | (12,362 | ) | $ | 3,618,599 | ||||||||||||||||
Total HTM securities | $ | 3,822,403 | $ | 69,902 | $ | (23,975 | ) | $ | 3,868,330 | ||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | |||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
GSE securities | $ | 16,220 | $ | 721 | $ | — | $ | 16,941 | |||||||||||||||||
State or local agency obligations | 242,934 | 3,817 | (10,753 | ) | 235,998 | ||||||||||||||||||||
Total non-MBS | $ | 259,154 | $ | 4,538 | $ | (10,753 | ) | $ | 252,939 | ||||||||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 1,435,458 | $ | 8,869 | $ | (15 | ) | $ | 1,444,312 | ||||||||||||||||
GSE MBS (1) | 1,417,926 | 49,097 | (215 | ) | 1,466,808 | ||||||||||||||||||||
Private label MBS: | |||||||||||||||||||||||||
Private label residential MBS | 873,325 | 4,300 | (15,732 | ) | 861,893 | ||||||||||||||||||||
HELOCs | 9,667 | — | (789 | ) | 8,878 | ||||||||||||||||||||
Total private label MBS | 882,992 | 4,300 | (16,521 | ) | 870,771 | ||||||||||||||||||||
Total MBS | $ | 3,736,376 | $ | 62,266 | $ | (16,751 | ) | $ | 3,781,891 | ||||||||||||||||
Total HTM securities | $ | 3,995,530 | $ | 66,804 | $ | (27,504 | ) | $ | 4,034,830 | ||||||||||||||||
Notes: | |||||||||||||||||||||||||
(1) Includes $525.3 million of 1-4 family MBS and $849.5 million of multi-family MBS at March 31, 2014. The respective amounts at December 31, 2013 were $561.6 million and $856.3 million. | |||||||||||||||||||||||||
Held-to-maturity Securities | ' | ||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ' | ||||||||||||||||||||||||
Schedule of Unrealized Loss on Investments | ' | ||||||||||||||||||||||||
The following tables summarize the HTM securities with unrealized losses as of March 31, 2014 and December 31, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. | |||||||||||||||||||||||||
31-Mar-14 | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
State or local agency obligations | $ | 18,534 | $ | (104 | ) | $ | 131,436 | $ | (11,509 | ) | $ | 149,970 | $ | (11,613 | ) | ||||||||||
MBS: | |||||||||||||||||||||||||
GSE MBS | $ | 52,716 | $ | (12 | ) | $ | 12,722 | $ | (109 | ) | $ | 65,438 | $ | (121 | ) | ||||||||||
Private label residential MBS | 213,680 | (2,336 | ) | 187,337 | (9,905 | ) | 401,017 | (12,241 | ) | ||||||||||||||||
Total MBS | $ | 266,396 | $ | (2,348 | ) | $ | 200,059 | $ | (10,014 | ) | $ | 466,455 | $ | (12,362 | ) | ||||||||||
Total | $ | 284,930 | $ | (2,452 | ) | $ | 331,495 | $ | (21,523 | ) | $ | 616,425 | $ | (23,975 | ) | ||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
State or local agency obligations | $ | 18,367 | $ | (271 | ) | $ | 132,463 | $ | (10,482 | ) | $ | 150,830 | $ | (10,753 | ) | ||||||||||
MBS: | |||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 37,984 | $ | (15 | ) | $ | — | $ | — | $ | 37,984 | $ | (15 | ) | |||||||||||
GSE MBS | 93,356 | (112 | ) | 13,369 | (103 | ) | 106,725 | (215 | ) | ||||||||||||||||
Private label: | |||||||||||||||||||||||||
Private label residential MBS | 292,159 | (3,829 | ) | 197,089 | (11,903 | ) | 489,248 | (15,732 | ) | ||||||||||||||||
HELOCs | — | — | 8,878 | (789 | ) | 8,878 | (789 | ) | |||||||||||||||||
Total private label MBS | 292,159 | (3,829 | ) | 205,967 | (12,692 | ) | 498,126 | (16,521 | ) | ||||||||||||||||
Total MBS | $ | 423,499 | $ | (3,956 | ) | $ | 219,336 | $ | (12,795 | ) | $ | 642,835 | $ | (16,751 | ) | ||||||||||
Total | $ | 441,866 | $ | (4,227 | ) | $ | 351,799 | $ | (23,277 | ) | $ | 793,665 | $ | (27,504 | ) | ||||||||||
Investments Classified by Contractual Maturity Date | ' | ||||||||||||||||||||||||
Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of March 31, 2014 and December 31, 2013 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||||
Due after one year through five years | $ | 15,185 | $ | 15,806 | $ | 16,221 | $ | 16,941 | |||||||||||||||||
Due after five years through ten years | 41,486 | 43,039 | 40,043 | 41,530 | |||||||||||||||||||||
Due after ten years | 200,260 | 190,886 | 202,890 | 194,468 | |||||||||||||||||||||
HTM securities excluding MBS | 256,931 | 249,731 | 259,154 | 252,939 | |||||||||||||||||||||
MBS | 3,565,472 | 3,618,599 | 3,736,376 | 3,781,891 | |||||||||||||||||||||
Total HTM securities | $ | 3,822,403 | $ | 3,868,330 | $ | 3,995,530 | $ | 4,034,830 | |||||||||||||||||
Schedule of Interest Rate Payment Terms For Investments | ' | ||||||||||||||||||||||||
Interest Rate Payment Terms. The following table details interest rate payment terms at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Amortized cost of HTM securities other than MBS: | |||||||||||||||||||||||||
Fixed-rate | $ | 94,346 | $ | 96,569 | |||||||||||||||||||||
Variable-rate | 162,585 | 162,585 | |||||||||||||||||||||||
Total non-MBS | $ | 256,931 | $ | 259,154 | |||||||||||||||||||||
Amortized cost of HTM MBS: | |||||||||||||||||||||||||
Fixed-rate | $ | 1,258,506 | $ | 1,303,424 | |||||||||||||||||||||
Variable-rate | 2,306,966 | 2,432,952 | |||||||||||||||||||||||
Total MBS | $ | 3,565,472 | $ | 3,736,376 | |||||||||||||||||||||
Total HTM securities | $ | 3,822,403 | $ | 3,995,530 | |||||||||||||||||||||
Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate. |
OtherThanTemporary_Impairment_
Other-Than-Temporary Impairment (Tables) | 3 Months Ended | ||||||||||||
Mar. 31, 2014 | |||||||||||||
Other Than Temporary Impairment [Abstract] | ' | ||||||||||||
Schedule Of Projected Annualized Home Price Recovery Rates | ' | ||||||||||||
Recovery Ranges of Housing Price Change | |||||||||||||
Months | Annualized Rates % | ||||||||||||
6-Jan | 0.00% | - | 3.00% | ||||||||||
12-Jul | 1.00% | - | 4.00% | ||||||||||
13 - 18 | 2.00% | - | 4.00% | ||||||||||
19 - 30 | 2.00% | - | 5.00% | ||||||||||
31 - 54 | 2.00% | - | 6.00% | ||||||||||
Thereafter | 2.30% | - | 5.60% | ||||||||||
Schedule of Other Than Temporarily Impaired Charges of Securities | ' | ||||||||||||
The "Total OTTI securities" balances below summarize the Bank’s securities as of March 31, 2014 for which an OTTI has been recognized during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio. | |||||||||||||
OTTI Recognized During the Life of the Security | |||||||||||||
(in thousands) | Unpaid Principal Balance | Amortized Cost (1) | Fair Value | ||||||||||
Private label residential MBS: | |||||||||||||
Prime | $ | 573,399 | $ | 468,273 | $ | 514,087 | |||||||
Alt-A | 669,884 | 527,448 | 557,725 | ||||||||||
Subprime | 2,316 | 1,387 | 1,505 | ||||||||||
HELOCs | 16,108 | 11,147 | 14,023 | ||||||||||
Total OTTI securities | 1,261,707 | 1,008,255 | 1,087,340 | ||||||||||
Private label MBS with no OTTI | 3,897 | 3,897 | 3,704 | ||||||||||
Total AFS private label MBS | $ | 1,265,604 | $ | 1,012,152 | $ | 1,091,044 | |||||||
Notes: | |||||||||||||
(1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings. | |||||||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings | ' | ||||||||||||
The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three ended March 31, 2014 and 2013. | |||||||||||||
(in thousands) | Three months ended March 31, | ||||||||||||
2014 | 2013 | ||||||||||||
Beginning balance | $ | 314,224 | $ | 326,024 | |||||||||
Additions: | |||||||||||||
Additional OTTI credit losses for which an OTTI charge was previously recognized (1) | — | 442 | |||||||||||
Reductions: | |||||||||||||
Securities sold and matured during the period | (76 | ) | (59 | ) | |||||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2) | (5,948 | ) | (1,925 | ) | |||||||||
Ending balance | $ | 308,200 | $ | 324,482 | |||||||||
Notes: | |||||||||||||
(1) For the three months ended March 31, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013. | |||||||||||||
(2) This activity represents the increase in cash flows recognized in interest income during the period. |
Advances_Tables
Advances (Tables) | 3 Months Ended | |||||||||||||||
Mar. 31, 2014 | ||||||||||||||||
Advances [Abstract] | ' | |||||||||||||||
Schedule of Advances Classified by Contractual Maturity Date | ' | |||||||||||||||
The following table details the Bank’s advances portfolio by year of contractual maturity as of March 31, 2014 and December 31, 2013. | ||||||||||||||||
(dollars in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||||
Due in 1 year or less | $ | 15,716,010 | 0.46 | % | $ | 22,169,669 | 0.41 | % | ||||||||
Due after 1 year through 2 years | 9,468,247 | 0.61 | 10,343,245 | 1.36 | ||||||||||||
Due after 2 years through 3 years | 6,686,913 | 1.77 | 6,865,608 | 1.68 | ||||||||||||
Due after 3 years through 4 years | 10,091,283 | 1.3 | 6,073,540 | 1.21 | ||||||||||||
Due after 4 years through 5 years | 3,113,463 | 2.43 | 3,690,006 | 2.12 | ||||||||||||
Thereafter | 504,669 | 2.88 | 571,970 | 2.89 | ||||||||||||
Total par value | 45,580,585 | 1.03 | % | 49,714,038 | 1.04 | % | ||||||||||
Discount on AHP advances | (120 | ) | (141 | ) | ||||||||||||
Deferred prepayment fees | (11,450 | ) | (12,371 | ) | ||||||||||||
Hedging adjustments | 494,897 | 545,909 | ||||||||||||||
Total book value | $ | 46,063,912 | $ | 50,247,435 | ||||||||||||
Schedule of Advances Classified by Contractual Maturity Date or Next Call Date or Next Convertible Date | ' | |||||||||||||||
The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of March 31, 2014 and December 31, 2013. | ||||||||||||||||
Year of Contractual Maturity or | Year of Contractual Maturity or Next Convertible Date | |||||||||||||||
Next Call Date | ||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | 31-Mar-14 | December 31, 2013 | ||||||||||||
Due in 1 year or less | $ | 15,716,010 | $ | 22,169,669 | $ | 17,634,010 | $ | 24,308,669 | ||||||||
Due after 1 year through 2 years | 9,468,247 | 10,343,245 | 9,345,247 | 10,219,245 | ||||||||||||
Due after 2 years through 3 years | 6,686,913 | 6,865,608 | 5,538,413 | 5,752,108 | ||||||||||||
Due after 3 years through 4 years | 10,091,283 | 6,073,540 | 9,591,283 | 5,481,540 | ||||||||||||
Due after 4 years through 5 years | 3,113,463 | 3,690,006 | 2,992,463 | 3,406,006 | ||||||||||||
Thereafter | 504,669 | 571,970 | 479,169 | 546,470 | ||||||||||||
Total par value | $ | 45,580,585 | $ | 49,714,038 | $ | 45,580,585 | $ | 49,714,038 | ||||||||
Schedule of Advances Classified by Contractual Interest Payment Terms | ' | |||||||||||||||
The following table details interest rate payment terms for advances as of March 31, 2014 and December 31, 2013. | ||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||||||||
Fixed rate – overnight | $ | 2,334,934 | $ | 1,284,394 | ||||||||||||
Fixed rate – term: | ||||||||||||||||
Due in 1 year or less | 10,437,291 | 17,801,335 | ||||||||||||||
Thereafter | 10,795,337 | 10,778,131 | ||||||||||||||
Total fixed rate | 23,567,562 | 29,863,860 | ||||||||||||||
Variable rate: | ||||||||||||||||
Due in 1 year or less | 2,943,785 | 3,083,940 | ||||||||||||||
Thereafter | 19,069,238 | 16,766,238 | ||||||||||||||
Total variable rate | 22,013,023 | 19,850,178 | ||||||||||||||
Total par value | $ | 45,580,585 | $ | 49,714,038 | ||||||||||||
Mortgage_Loans_Held_for_Portfo1
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2014 | |||||||||
Mortgage Loans Held For Portfolio [Abstract] | ' | ||||||||
Schedule of Mortgage Loans Held for Portfolio | ' | ||||||||
The following table presents balances as of March 31, 2014 and December 31, 2013 for mortgage loans held for portfolio. | |||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||
Fixed-rate medium-term single-family mortgages (1) | $ | 466,753 | $ | 488,334 | |||||
Fixed-rate long-term single-family mortgages (1) | 2,649,827 | 2,682,255 | |||||||
Total par value | 3,116,580 | 3,170,589 | |||||||
Premiums | 49,780 | 50,436 | |||||||
Discounts | (5,848 | ) | (6,147 | ) | |||||
Hedging adjustments | 21,100 | 20,572 | |||||||
Total mortgage loans held for portfolio | $ | 3,181,612 | $ | 3,235,450 | |||||
Note: | |||||||||
(1) Medium-term is defined as a term of 15 years or less at origination. Long-term is defined as greater than 15 years at origination. | |||||||||
Mortgage Loans Held for Portfolio by Collateral or Guarantee Type | ' | ||||||||
The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of March 31, 2014 and December 31, 2013. | |||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||
Government-guaranteed/insured loans | $ | 299,996 | $ | 306,025 | |||||
Conventional loans | 2,816,584 | 2,864,564 | |||||||
Total par value | $ | 3,116,580 | $ | 3,170,589 | |||||
Allowance_for_Credit_Losses_Ta
Allowance for Credit Losses (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ||||||||||||||||
Past Due Financing Receivables | ' | ||||||||||||||||
Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. | |||||||||||||||||
(in thousands) | March 31, 2014 | ||||||||||||||||
Recorded investment: (1) | Conventional MPF Loans | Government-Guaranteed or Insured Loans | BOB Loans | Total | |||||||||||||
Past due 30-59 days | $ | 44,438 | $ | 14,049 | $ | — | $ | 58,487 | |||||||||
Past due 60-89 days | 9,682 | 4,528 | — | 14,210 | |||||||||||||
Past due 90 days or more | 54,590 | 8,599 | 240 | 63,429 | |||||||||||||
Total past due loans | $ | 108,710 | $ | 27,176 | $ | 240 | $ | 136,126 | |||||||||
Total current loans | 2,778,552 | 283,726 | 13,178 | 3,075,456 | |||||||||||||
Total loans | $ | 2,887,262 | $ | 310,902 | $ | 13,418 | $ | 3,211,582 | |||||||||
Other delinquency statistics: | |||||||||||||||||
In process of foreclosures, included above (2) | $ | 40,853 | $ | 2,832 | $ | — | $ | 43,685 | |||||||||
Serious delinquency rate (3) | 1.9 | % | 2.8 | % | 1.8 | % | 2 | % | |||||||||
Past due 90 days or more still accruing interest | $ | — | $ | 8,599 | $ | — | $ | 8,599 | |||||||||
Loans on nonaccrual status (4) | $ | 57,267 | $ | — | $ | 303 | $ | 57,570 | |||||||||
(in thousands) | 31-Dec-13 | ||||||||||||||||
Recorded investment: (1) | Conventional MPF Loans | Government-Guaranteed or Insured Loans | BOB Loans | Total | |||||||||||||
Past due 30-59 days | $ | 52,689 | $ | 18,580 | $ | 151 | $ | 71,420 | |||||||||
Past due 60-89 days | 13,522 | 5,860 | 82 | 19,464 | |||||||||||||
Past due 90 days or more | 55,508 | 8,556 | 219 | 64,283 | |||||||||||||
Total past due loans | $ | 121,719 | $ | 32,996 | $ | 452 | $ | 155,167 | |||||||||
Total current loans | 2,813,435 | 284,104 | 13,290 | 3,110,829 | |||||||||||||
Total loans | $ | 2,935,154 | $ | 317,100 | $ | 13,742 | $ | 3,265,996 | |||||||||
Other delinquency statistics: | |||||||||||||||||
In process of foreclosures, included above (2) | $ | 43,953 | $ | 2,401 | $ | — | $ | 46,354 | |||||||||
Serious delinquency rate (3) | 1.9 | % | 2.7 | % | 1.6 | % | 2 | % | |||||||||
Past due 90 days or more still accruing interest | $ | — | $ | 8,556 | $ | — | $ | 8,556 | |||||||||
Loans on nonaccrual status (4) | $ | 59,244 | $ | — | $ | 452 | $ | 59,696 | |||||||||
Notes: | |||||||||||||||||
(1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance. | |||||||||||||||||
(2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. | |||||||||||||||||
(3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. | |||||||||||||||||
(4) Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. | |||||||||||||||||
Troubled Debt Restructurings on Financing Receivables | ' | ||||||||||||||||
TDR Modifications. The following table presents the pre-modification and post-modification recorded investment balance, as of the modification date, for loans that became TDRs during the three ended March 31, 2014 and 2013. | |||||||||||||||||
Three months ended March 31, | |||||||||||||||||
2014 | 2013 | ||||||||||||||||
(in thousands) | Pre-Modification | Post-Modification | Pre-Modification | Post-Modification | |||||||||||||
Conventional MPF loans | $ | 2,356 | $ | 2,356 | $ | 2,903 | $ | 2,903 | |||||||||
Individually Evaluated Impared Loan Statistic By Product Level | ' | ||||||||||||||||
Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. | |||||||||||||||||
31-Mar-14 | |||||||||||||||||
(in thousands) | Recorded Investment | Unpaid | Related Allowance for Credit Losses | ||||||||||||||
Principal Balance | |||||||||||||||||
With no related allowance: | |||||||||||||||||
Conventional MPF loans | $ | 38,162 | $ | 37,753 | $ | — | |||||||||||
With a related allowance: | |||||||||||||||||
Conventional MPF loans | 40,243 | 40,106 | 5,593 | ||||||||||||||
Total: | |||||||||||||||||
Conventional MPF loans | $ | 78,405 | $ | 77,859 | $ | 5,593 | |||||||||||
31-Dec-13 | |||||||||||||||||
(in thousands) | Recorded Investment | Unpaid | Related Allowance for Credit Losses | ||||||||||||||
Principal Balance | |||||||||||||||||
With no related allowance: | |||||||||||||||||
Conventional MPF loans | $ | 501 | $ | 498 | $ | — | |||||||||||
With a related allowance: | |||||||||||||||||
Conventional MPF loans | 15,070 | 15,004 | 795 | ||||||||||||||
Total: | |||||||||||||||||
Conventional MPF loans | $ | 15,571 | $ | 15,502 | $ | 795 | |||||||||||
Impaired Financing Receivables | ' | ||||||||||||||||
The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became impaired. | |||||||||||||||||
Three months ended March 31, 2014 | Three months ended March 31, 2013 | ||||||||||||||||
(in thousands) | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||||
Conventional MPF loans | $ | 79,993 | $ | 322 | $ | 11,927 | $ | 159 | |||||||||
Mortgage loans held for portfolio, net | ' | ||||||||||||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ||||||||||||||||
Allowance for Credit Losses on Financing Receivables | ' | ||||||||||||||||
Rollforward of Allowance for Credit Losses. Mortgage Loans - Conventional MPF. | |||||||||||||||||
Three months ended March 31, | |||||||||||||||||
(in thousands) | 2014 | 2013 | |||||||||||||||
Balance, January 1 | $ | 11,359 | $ | 14,163 | |||||||||||||
Charge-offs | — | (622 | ) | ||||||||||||||
Provision (benefit) for credit losses | (4,041 | ) | (148 | ) | |||||||||||||
Balance, March 31 | $ | 7,318 | $ | 13,393 | |||||||||||||
Allowance for Credit Losses and Recorded Investment By Impairment Methodology | ' | ||||||||||||||||
Ending balance, individually evaluated for impairment | $ | 5,593 | $ | 687 | |||||||||||||
Ending balance, collectively evaluated for impairment | 1,725 | 12,706 | |||||||||||||||
Total allowance for credit losses | $ | 7,318 | $ | 13,393 | |||||||||||||
Recorded investment balance, end of period: | |||||||||||||||||
Individually evaluated for impairment, with or without a related allowance | $ | 78,405 | $ | 12,911 | |||||||||||||
Collectively evaluated for impairment | 2,808,857 | 3,148,406 | |||||||||||||||
Total recorded investment | $ | 2,887,262 | $ | 3,161,317 | |||||||||||||
Banking on Business Loans | ' | ||||||||||||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ||||||||||||||||
Allowance for Credit Losses on Financing Receivables | ' | ||||||||||||||||
Rollforward of Allowance for Credit Losses. BOB Loans. | |||||||||||||||||
Three months ended March 31, | |||||||||||||||||
(in thousands) | 2014 | 2013 | |||||||||||||||
Balance, January 1 | $ | 2,231 | $ | 2,481 | |||||||||||||
(Charge-offs) Recoveries | (200 | ) | 9 | ||||||||||||||
Provision for credit losses | 111 | 13 | |||||||||||||||
Balance, March 31 | $ | 2,142 | $ | 2,503 | |||||||||||||
Allowance for Credit Losses and Recorded Investment By Impairment Methodology | ' | ||||||||||||||||
Ending balance, individually evaluated for impairment | $ | 28 | $ | 183 | |||||||||||||
Ending balance, collectively evaluated for impairment | 2,114 | 2,320 | |||||||||||||||
Total allowance for credit losses | $ | 2,142 | $ | 2,503 | |||||||||||||
Recorded investment balance, end of period: | |||||||||||||||||
Individually evaluated for impairment, with or without a related allowance | $ | 63 | $ | 313 | |||||||||||||
Collectively evaluated for impairment | 13,355 | 14,863 | |||||||||||||||
Total recorded investment | $ | 13,418 | $ | 15,176 | |||||||||||||
Derivatives_and_Hedging_Activi1
Derivatives and Hedging Activities (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | ' | ||||||||||||||||
The following tables summarize the notional and fair value of derivative instruments as of March 31, 2014 and December 31, 2013. | |||||||||||||||||
March 31, 2014 | |||||||||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||||||
Derivatives in hedge accounting relationships: | |||||||||||||||||
Interest rate swaps | $ | 25,697,235 | $ | 155,219 | $ | 668,698 | |||||||||||
Derivatives not in hedge accounting relationships: | |||||||||||||||||
Interest rate swaps | $ | 12,165,934 | $ | 55,461 | $ | 26,831 | |||||||||||
Interest rate swaptions | 25,000 | 428 | — | ||||||||||||||
Interest rate caps | 1,089,500 | 6,178 | — | ||||||||||||||
Mortgage delivery commitments | 15,084 | 171 | 4 | ||||||||||||||
Total derivatives not in hedge accounting relationships | $ | 13,295,518 | $ | 62,238 | $ | 26,835 | |||||||||||
Total derivatives before netting and collateral adjustments | $ | 38,992,753 | $ | 217,457 | $ | 695,533 | |||||||||||
Netting adjustments | (124,426 | ) | (124,426 | ) | |||||||||||||
Cash collateral and related accrued interest | (22,142 | ) | (482,097 | ) | |||||||||||||
Total collateral and netting adjustments (1) | (146,568 | ) | (606,523 | ) | |||||||||||||
Derivative assets and derivative liabilities as reported on the Statement of | $ | 70,889 | $ | 89,010 | |||||||||||||
Condition | |||||||||||||||||
31-Dec-13 | |||||||||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||||||
Derivatives in hedge accounting relationships: | |||||||||||||||||
Interest rate swaps | $ | 25,443,924 | $ | 169,718 | $ | 800,078 | |||||||||||
Derivatives not in hedge accounting relationships: | |||||||||||||||||
Interest rate swaps | $ | 10,730,985 | $ | 72,519 | $ | 34,829 | |||||||||||
Interest rate caps | 1,064,500 | 7,182 | — | ||||||||||||||
Mortgage delivery commitments | 12,279 | 160 | — | ||||||||||||||
Total derivatives not in hedge accounting relationships | $ | 11,807,764 | $ | 79,861 | $ | 34,829 | |||||||||||
Total derivatives before netting and collateral adjustments | $ | 37,251,688 | $ | 249,579 | $ | 834,907 | |||||||||||
Netting adjustments | (182,045 | ) | (182,045 | ) | |||||||||||||
Cash collateral and related accrued interest | (7,561 | ) | (475,374 | ) | |||||||||||||
Total collateral and netting adjustments (1) | (189,606 | ) | (657,419 | ) | |||||||||||||
Derivative assets and derivative liabilities as reported on the Statement of | $ | 59,973 | $ | 177,488 | |||||||||||||
Condition | |||||||||||||||||
Note: | |||||||||||||||||
(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | |||||||||||||||||
Derivative Instruments, Gain (Loss) | ' | ||||||||||||||||
The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statement of Income. | |||||||||||||||||
Three months ended March 31, | |||||||||||||||||
(in thousands) | 2014 | 2013 | |||||||||||||||
Derivatives and hedged items in fair value hedging | |||||||||||||||||
relationships: | |||||||||||||||||
Interest rate swaps - fair value hedge ineffectiveness | $ | 512 | $ | (1,099 | ) | ||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||
Economic hedges: | |||||||||||||||||
Interest rate swaps | $ | (15,773 | ) | $ | (4,936 | ) | |||||||||||
Interest rate swaptions | (48 | ) | — | ||||||||||||||
Interest rate caps | (1,554 | ) | 194 | ||||||||||||||
Net interest settlements | 6,411 | 4,297 | |||||||||||||||
Mortgage delivery commitments | 1,246 | 3,124 | |||||||||||||||
Other | 7 | 4 | |||||||||||||||
Total net gains (losses) related to derivatives not designated as hedging instruments | $ | (9,711 | ) | $ | 2,683 | ||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | (9,199 | ) | $ | 1,584 | ||||||||||||
Schedule Of Derivative Instruments By Type Gain Loss In Statement Of Financial Performance | ' | ||||||||||||||||
The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the first quarter of 2014 and 2013. | |||||||||||||||||
(in thousands) | Gains/(Losses) on Derivative | Gains/(Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | |||||||||||||
Three months ended March 31, 2014 | |||||||||||||||||
Hedged item type: | |||||||||||||||||
Advances | $ | 48,010 | $ | (47,263 | ) | $ | 747 | $ | (60,390 | ) | |||||||
Consolidated obligations – bonds | 45,796 | (45,655 | ) | 141 | 54,437 | ||||||||||||
AFS securities | (9,137 | ) | 8,761 | (376 | ) | (2,544 | ) | ||||||||||
Total | $ | 84,669 | $ | (84,157 | ) | $ | 512 | $ | (8,497 | ) | |||||||
(in thousands) | Gains/(Losses) on Derivative | Gains/(Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | |||||||||||||
Three months ended March 31, 2013 | |||||||||||||||||
Hedged item type: | |||||||||||||||||
Advances | $ | 57,970 | $ | (60,481 | ) | $ | (2,511 | ) | $ | (61,858 | ) | ||||||
Consolidated obligations – bonds | (49,055 | ) | 50,467 | 1,412 | 49,946 | ||||||||||||
Total | $ | 8,915 | $ | (10,014 | ) | $ | (1,099 | ) | $ | (11,912 | ) | ||||||
Note: | |||||||||||||||||
(1)Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $3.5 million and $4.8 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the three months ended March 31, 2014 and 2013, respectively. | |||||||||||||||||
Offsetting Assets | ' | ||||||||||||||||
The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following tables presents separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties. | |||||||||||||||||
Derivative Assets | |||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||
Derivative instruments meeting netting requirements: | |||||||||||||||||
Gross recognized amount: | |||||||||||||||||
Bilateral derivatives | $ | 210,960 | $ | 234,156 | |||||||||||||
Cleared derivatives | 6,326 | 15,264 | |||||||||||||||
Total gross recognized amount | 217,286 | 249,420 | |||||||||||||||
Gross amounts of netting adjustments and cash collateral: | |||||||||||||||||
Bilateral derivatives | (186,933 | ) | (205,752 | ) | |||||||||||||
Cleared derivatives | 40,365 | 16,146 | |||||||||||||||
Total gross amounts of netting adjustments and cash collateral | (146,568 | ) | (189,606 | ) | |||||||||||||
Net amounts after netting adjustments: | |||||||||||||||||
Bilateral derivatives | 24,027 | 28,404 | |||||||||||||||
Cleared derivatives | 46,691 | 31,410 | |||||||||||||||
Total net amounts after netting adjustments | 70,718 | 59,814 | |||||||||||||||
Derivative instruments not meeting netting requirements: (1) | |||||||||||||||||
Bilateral derivatives | 171 | 159 | |||||||||||||||
Cleared derivatives | — | — | |||||||||||||||
Derivative instruments not meeting netting requirements (1) | 171 | 159 | |||||||||||||||
Total derivative assets | |||||||||||||||||
Bilateral derivatives | 24,198 | 28,563 | |||||||||||||||
Cleared derivatives | 46,691 | 31,410 | |||||||||||||||
Total derivative assets as reported in the Statement of Condition | 70,889 | 59,973 | |||||||||||||||
Non-cash collateral received or pledged not offset: | |||||||||||||||||
Can be sold or repledged | |||||||||||||||||
Bilateral derivatives | (12,094 | ) | (13,778 | ) | |||||||||||||
Net unsecured amount: | |||||||||||||||||
Bilateral derivatives | 12,104 | 14,785 | |||||||||||||||
Cleared derivatives | 46,691 | 31,410 | |||||||||||||||
Total net unsecured amount | $ | 58,795 | $ | 46,195 | |||||||||||||
Offsetting Liabilities | ' | ||||||||||||||||
Derivative Liabilities | |||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||
Derivative instruments meeting netting requirements: | |||||||||||||||||
Gross recognized amount: | |||||||||||||||||
Bilateral derivatives | $ | 558,830 | $ | 828,187 | |||||||||||||
Cleared derivatives | 136,699 | 6,720 | |||||||||||||||
Total gross recognized amount | 695,529 | 834,907 | |||||||||||||||
Gross amounts of netting adjustments and cash collateral: | |||||||||||||||||
Bilateral derivatives | (469,824 | ) | (650,699 | ) | |||||||||||||
Cleared derivatives | (136,699 | ) | (6,720 | ) | |||||||||||||
Total gross amounts of netting adjustments and cash collateral | (606,523 | ) | (657,419 | ) | |||||||||||||
Net amounts after netting adjustments: | |||||||||||||||||
Bilateral derivatives | 89,006 | 177,488 | |||||||||||||||
Cleared derivatives | — | — | |||||||||||||||
Total net amounts after offsetting adjustments | 89,006 | 177,488 | |||||||||||||||
Derivative instruments not meeting netting requirements: (1) | |||||||||||||||||
Bilateral derivatives | 4 | — | |||||||||||||||
Total derivative liabilities | |||||||||||||||||
Bilateral derivatives | 89,010 | 177,488 | |||||||||||||||
Cleared derivatives | — | — | |||||||||||||||
Total derivative liabilities as reported in the Statement of Condition | 89,010 | 177,488 | |||||||||||||||
Non-cash collateral received or pledged not offset: | |||||||||||||||||
Can be sold or repledged | |||||||||||||||||
Bilateral derivatives | — | (79,233 | ) | ||||||||||||||
Net unsecured amount: | |||||||||||||||||
Bilateral derivatives | 89,010 | 98,255 | |||||||||||||||
Net unsecured amount | $ | 89,010 | $ | 98,255 | |||||||||||||
Notes: | |||||||||||||||||
(1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards). |
Consolidated_Obligations_Table
Consolidated Obligations (Tables) | 3 Months Ended | ||||||||||||||
Mar. 31, 2014 | |||||||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ' | ||||||||||||||
Schedule of Maturities of Debt | ' | ||||||||||||||
The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of March 31, 2014 and December 31, 2013. | |||||||||||||||
31-Mar-14 | 31-Dec-13 | ||||||||||||||
(dollars in thousands) | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | |||||||||||
Year of Contractual Maturity | |||||||||||||||
Due in 1 year or less | $ | 12,525,045 | 1.1 | % | $ | 12,576,595 | 0.94 | % | |||||||
Due after 1 year through 2 years | 6,603,915 | 1.67 | 7,979,165 | 1.75 | |||||||||||
Due after 2 years through 3 years | 3,344,355 | 1.94 | 2,711,605 | 2.29 | |||||||||||
Due after 3 years through 4 years | 2,948,100 | 2 | 2,040,700 | 2.25 | |||||||||||
Due after 4 years through 5 years | 4,895,800 | 1.49 | 4,594,700 | 1.5 | |||||||||||
Thereafter | 7,012,990 | 2.2 | 7,151,890 | 2.14 | |||||||||||
Index amortizing notes | 537,933 | 4.46 | 640,093 | 4.54 | |||||||||||
Total par value | $ | 37,868,138 | 1.65 | % | $ | 37,694,748 | 1.64 | % | |||||||
Schedule of Long-term Debt by Call Feature | ' | ||||||||||||||
The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of March 31, 2014 and December 31, 2013. | |||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||
Noncallable | $ | 25,118,138 | $ | 26,549,748 | |||||||||||
Callable | 12,750,000 | 11,145,000 | |||||||||||||
Total par value | $ | 37,868,138 | $ | 37,694,748 | |||||||||||
Schedule of Maturities of Long-term Debt by Contractual or Next Call Date | ' | ||||||||||||||
The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of March 31, 2014 and December 31, 2013. | |||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||
Year of Contractual Maturity or Next Call Date | |||||||||||||||
Due in 1 year or less | $ | 25,030,045 | $ | 23,436,595 | |||||||||||
Due after 1 year through 2 years | 6,623,915 | 7,914,165 | |||||||||||||
Due after 2 years through 3 years | 2,159,355 | 2,196,605 | |||||||||||||
Due after 3 years through 4 years | 1,559,600 | 1,437,200 | |||||||||||||
Due after 4 years through 5 years | 1,036,800 | 1,150,700 | |||||||||||||
Thereafter | 920,490 | 919,390 | |||||||||||||
Index amortizing notes | 537,933 | 640,093 | |||||||||||||
Total par value | $ | 37,868,138 | $ | 37,694,748 | |||||||||||
Consolidated Obligation Bonds | ' | ||||||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ' | ||||||||||||||
Schedule of Interest Rate Payment Terms for Debt | ' | ||||||||||||||
The following table details interest rate payment terms for consolidated obligation bonds as of March 31, 2014 and December 31, 2013. | |||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||
Par value of consolidated bonds: | |||||||||||||||
Fixed-rate | $ | 28,525,638 | $ | 29,062,248 | |||||||||||
Step-up | 3,512,500 | 3,052,500 | |||||||||||||
Floating-rate | 5,830,000 | 5,580,000 | |||||||||||||
Total par value | 37,868,138 | 37,694,748 | |||||||||||||
Bond premiums | 78,753 | 87,961 | |||||||||||||
Bond discounts | (13,037 | ) | (14,019 | ) | |||||||||||
Hedging adjustments | (32,460 | ) | (70,389 | ) | |||||||||||
Total book value | $ | 37,901,394 | $ | 37,698,302 | |||||||||||
Discount Notes | ' | ||||||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ' | ||||||||||||||
Schedule of Short-term Debt | ' | ||||||||||||||
The following table details the Bank’s consolidated obligation discount notes as of March 31, 2014 and December 31, 2013. | |||||||||||||||
(dollars in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||
Book value | $ | 21,942,198 | $ | 28,236,257 | |||||||||||
Par value | 21,947,181 | 28,242,236 | |||||||||||||
Weighted average interest rate (1) | 0.1 | % | 0.09 | % |
Capital_Tables
Capital (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Capital [Abstract] | ' | ||||||||||||||||||||||||
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | ' | ||||||||||||||||||||||||
The following table demonstrates the Bank’s compliance with these capital requirements at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
31-Mar-14 | December 31, 2013 | ||||||||||||||||||||||||
(dollars in thousands) | Required | Actual | Required | Actual | |||||||||||||||||||||
Regulatory capital requirements: | |||||||||||||||||||||||||
Risk-based capital | $ | 985,589 | $ | 3,432,036 | $ | 1,052,654 | $ | 3,647,902 | |||||||||||||||||
Total capital-to-asset ratio | 4 | % | 5.3 | % | 4 | % | 5.2 | % | |||||||||||||||||
Total regulatory capital | 2,582,226 | 3,432,036 | 2,826,837 | 3,647,902 | |||||||||||||||||||||
Leverage ratio | 5 | % | 8 | % | 5 | % | 7.7 | % | |||||||||||||||||
Leverage capital | 3,227,783 | 5,148,053 | 3,533,546 | 5,471,853 | |||||||||||||||||||||
Schedule of Concentration in Capital Stock Held | ' | ||||||||||||||||||||||||
(dollars in thousands) | 31-Mar-14 | ||||||||||||||||||||||||
Member (1) | Capital Stock | % of Total | |||||||||||||||||||||||
PNC Bank, N.A., Wilmington, DE | $ | 588,905 | 22 | % | |||||||||||||||||||||
Chase Bank USA, N.A., Wilmington, DE | 439,831 | 16.4 | |||||||||||||||||||||||
Santander Bank, N.A., Wilmington, DE | 333,234 | 12.4 | |||||||||||||||||||||||
(dollars in thousands) | 31-Dec-13 | ||||||||||||||||||||||||
Member (1) | Capital Stock | % of Total | |||||||||||||||||||||||
PNC Bank, N.A., Wilmington, DE | $ | 601,605 | 20.3 | % | |||||||||||||||||||||
Chase Bank USA, N.A., Wilmington, DE | 439,802 | 14.8 | |||||||||||||||||||||||
Santander Bank, N.A., Wilmington, DE | 416,685 | 14.1 | |||||||||||||||||||||||
Ally Bank, Midvale, UT | 307,800 | 10.4 | |||||||||||||||||||||||
Note: | |||||||||||||||||||||||||
(1) For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, PA. | |||||||||||||||||||||||||
Schedule of Mandatorily Redeemable Capital Stock | ' | ||||||||||||||||||||||||
The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the three months ended March 31, 2014 and 2013. | |||||||||||||||||||||||||
Three months ended March 31, | |||||||||||||||||||||||||
(in thousands) | 2014 | 2013 | |||||||||||||||||||||||
Balance, beginning of the period | $ | 40 | $ | 431,566 | |||||||||||||||||||||
Capital stock subject to mandatory redemption reclassified from capital stock: | |||||||||||||||||||||||||
Due to withdrawals (includes mergers) | 1,978 | 698 | |||||||||||||||||||||||
Redemption of mandatorily redeemable capital stock: | |||||||||||||||||||||||||
Other redemptions (1) | (157 | ) | (63,441 | ) | |||||||||||||||||||||
Balance, end of the period | $ | 1,861 | $ | 368,823 | |||||||||||||||||||||
Note: | |||||||||||||||||||||||||
(1) Reflects the impact on mandatorily redeemable capital stock related to excess capital stock repurchases. | |||||||||||||||||||||||||
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | ' | ||||||||||||||||||||||||
The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | |||||||||||||||||||||||
Due in 1 year or less | $ | — | $ | — | |||||||||||||||||||||
Due after 1 year through 2 years | 40 | 40 | |||||||||||||||||||||||
Due after 2 years through 3 years | — | — | |||||||||||||||||||||||
Due after 3 years through 4 years | — | — | |||||||||||||||||||||||
Due after 4 years through 5 years | 1,821 | — | |||||||||||||||||||||||
Total | $ | 1,861 | $ | 40 | |||||||||||||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) | ' | ||||||||||||||||||||||||
The following table summarizes the changes in AOCI for three months ended March 31, 2014 and 2013. | |||||||||||||||||||||||||
(in thousands) | Net Unrealized Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on HTM | Net Unrealized Gains on Hedging Activities | Pension and Post-Retirement Plans | Total | |||||||||||||||||||
31-Dec-12 | $ | 35,390 | $ | 18,999 | $ | — | $ | 286 | $ | (970 | ) | $ | 53,705 | ||||||||||||
Other comprehensive income (loss) before | |||||||||||||||||||||||||
reclassification: | |||||||||||||||||||||||||
Net unrealized gains (losses) | (4,838 | ) | 15,060 | — | — | — | 10,222 | ||||||||||||||||||
Net change in fair value of OTTI securities | — | 14,364 | — | — | — | 14,364 | |||||||||||||||||||
Reclassifications from OCI to net income: | |||||||||||||||||||||||||
Noncredit OTTI to credit OTTI | — | 442 | — | — | — | 442 | |||||||||||||||||||
Amortization - pension and post-retirement | — | — | — | — | 26 | 26 | |||||||||||||||||||
31-Mar-13 | $ | 30,552 | $ | 48,865 | $ | — | $ | 286 | $ | (944 | ) | $ | 78,759 | ||||||||||||
31-Dec-13 | $ | (32,481 | ) | $ | 77,642 | $ | — | $ | 287 | $ | (1,108 | ) | $ | 44,340 | |||||||||||
Other comprehensive income (loss) before | |||||||||||||||||||||||||
reclassification: | |||||||||||||||||||||||||
Net unrealized gains (losses) | 24,528 | (575 | ) | — | — | — | 23,953 | ||||||||||||||||||
Net change in fair value of OTTI securities | — | 2,018 | — | — | — | 2,018 | |||||||||||||||||||
Reclassifications from OCI to net income: | |||||||||||||||||||||||||
Amortization - pension and post-retirement | — | — | — | — | 39 | 39 | |||||||||||||||||||
31-Mar-14 | $ | (7,953 | ) | $ | 79,085 | $ | — | $ | 287 | $ | (1,069 | ) | $ | 70,350 | |||||||||||
Transactions_with_Related_Part1
Transactions with Related Parties (Tables) | 3 Months Ended | |||||||||
Mar. 31, 2014 | ||||||||||
Related Party Transaction [Line Items] | ' | |||||||||
Schedule of Related Party Transactions, Mortgage Loans | ' | |||||||||
The following table includes the MPF activity of the related party members. | ||||||||||
Three months ended March 31, | ||||||||||
(in thousands) | 2014 | 2013 | ||||||||
Total MPF loan volume purchased | $ | 889 | $ | 2,262 | ||||||
Related Party Transactions, by Balance Sheet Grouping | ' | |||||||||
The following table includes significant outstanding related party member balances. | ||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||
Federal funds sold | $ | — | $ | 45,000 | ||||||
Investments | 167,720 | 168,905 | ||||||||
Advances | 30,353,457 | 37,978,850 | ||||||||
Letters of credit | 7,480,653 | 7,206,562 | ||||||||
MPF loans | 1,558,205 | 1,633,238 | ||||||||
Deposits | 11,756 | 10,422 | ||||||||
Capital stock | 1,426,849 | 1,834,397 | ||||||||
Related Party Transactions, Income Statement | ' | |||||||||
The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to Federal funds sold, interest income on investments, and interest expense on deposits were immaterial for the periods presented. | ||||||||||
Three months ended March 31, | ||||||||||
(in thousands) | 2014 | 2013 | ||||||||
Interest income on advances (1) | $ | 32,803 | $ | 31,122 | ||||||
Interest income on MPF loans | 21,306 | 28,186 | ||||||||
Letter of credit fees | 1,882 | 19 | ||||||||
Prepayment fees on advances | 3,090 | — | ||||||||
Note: | ||||||||||
(1) For the three months ended March 31, 2014, balances include contractual interest income of $83.6 million, net interest settlements on derivatives in fair value hedge relationships of $(48.7) million and total amortization of basis adjustments of $(2.1) million. For the three months ended March 31, 2013, balances include contractual interest income of $83.9 million, net interest settlements on derivatives in fair value hedge relationships of $(52.0) million and total amortization of basis adjustments of $(0.8) million. | ||||||||||
FHLBank of Chicago [Member] | ' | |||||||||
Related Party Transaction [Line Items] | ' | |||||||||
Schedule of Related Party Transactions, Mortgage Loans | ' | |||||||||
The following table summarizes the effect of the MPF activities with FHLBank of Chicago. | ||||||||||
Three months ended March 31, | ||||||||||
(in thousands) | 2014 | 2013 | ||||||||
Servicing fee expense | $ | 237 | $ | 217 | ||||||
Interest income on MPF deposits | — | 4 | ||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||
Interest-bearing deposits maintained with FHLBank of Chicago | $ | 5,459 | $ | 7,795 | ||||||
Estimated_Fair_Values_Tables
Estimated Fair Values (Tables) | 3 Months Ended | |||||||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping | ' | |||||||||||||||||||||||
The carrying value and estimated fair value of the Bank’s financial instruments at March 31, 2014 and December 31, 2013 are presented in the table below. This table does not represent an estimate of the overall market value of the Bank as a going-concern, which would take into account future business opportunities and the net profitability of assets and liabilities. | ||||||||||||||||||||||||
Fair Value Summary Table | ||||||||||||||||||||||||
31-Mar-14 | ||||||||||||||||||||||||
(in thousands) | Carrying | Level 1 | Level 2 | Level 3 | Netting Adjust. | Estimated | ||||||||||||||||||
Value | Fair Value | |||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 1,141,287 | $ | 1,141,287 | $ | — | $ | — | $ | — | $ | 1,141,287 | ||||||||||||
Interest-bearing deposits | 5,459 | — | 5,459 | — | — | 5,459 | ||||||||||||||||||
Federal funds sold | 2,830,000 | — | 2,829,993 | — | — | 2,829,993 | ||||||||||||||||||
Trading securities | 259,446 | 4,798 | 254,648 | — | — | 259,446 | ||||||||||||||||||
AFS securities | 7,061,145 | 1,998 | 5,968,103 | 1,091,044 | — | 7,061,145 | ||||||||||||||||||
HTM securities | 3,822,403 | — | 3,042,877 | 825,453 | — | 3,868,330 | ||||||||||||||||||
Advances | 46,063,912 | — | 46,193,744 | — | — | 46,193,744 | ||||||||||||||||||
Mortgage loans held for portfolio, net | 3,174,294 | — | 3,321,489 | — | — | 3,321,489 | ||||||||||||||||||
BOB loans, net | 11,161 | — | — | 11,161 | — | 11,161 | ||||||||||||||||||
Accrued interest receivable | 82,651 | — | 82,651 | — | — | 82,651 | ||||||||||||||||||
Derivative assets | 70,889 | — | 217,457 | — | (146,568 | ) | 70,889 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | $ | 780,355 | $ | — | $ | 780,357 | $ | — | $ | — | $ | 780,357 | ||||||||||||
Discount notes | 21,942,198 | — | 21,943,859 | — | — | 21,943,859 | ||||||||||||||||||
Bonds | 37,901,394 | — | 38,067,644 | — | — | 38,067,644 | ||||||||||||||||||
Mandatorily redeemable capital stock | 1,861 | 1,861 | — | — | — | 1,861 | ||||||||||||||||||
Accrued interest payable | 143,873 | — | 143,873 | — | — | 143,873 | ||||||||||||||||||
Derivative liabilities | 89,010 | — | 695,533 | — | (606,523 | ) | 89,010 | |||||||||||||||||
31-Dec-13 | ||||||||||||||||||||||||
(in thousands) | Carrying | Level 1 | Level 2 | Level 3 | Netting Adjust. | Estimated | ||||||||||||||||||
Value | Fair Value | |||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 3,121,345 | $ | 3,121,345 | $ | — | $ | — | $ | — | $ | 3,121,345 | ||||||||||||
Interest-bearing deposits | 7,795 | — | 7,795 | — | — | 7,795 | ||||||||||||||||||
Federal funds sold | 2,875,000 | — | 2,874,983 | — | — | 2,874,983 | ||||||||||||||||||
Trading securities | 239,190 | 4,576 | 234,614 | — | — | 239,190 | ||||||||||||||||||
AFS securities | 6,757,717 | 1,998 | 5,617,667 | 1,138,052 | 6,757,717 | |||||||||||||||||||
HTM securities | 3,995,530 | — | 3,164,059 | 870,771 | — | 4,034,830 | ||||||||||||||||||
Advances | 50,247,435 | — | 50,346,040 | — | — | 50,346,040 | ||||||||||||||||||
Mortgage loans held for portfolio, net | 3,224,091 | — | 3,351,450 | — | — | 3,351,450 | ||||||||||||||||||
BOB loans, net | 11,400 | — | — | 11,400 | — | 11,400 | ||||||||||||||||||
Accrued interest receivable | 95,374 | — | 95,374 | — | — | 95,374 | ||||||||||||||||||
Derivative assets | 59,973 | — | 249,579 | — | (189,606 | ) | 59,973 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | $ | 694,352 | $ | 694,357 | $ | — | $ | — | $ | 694,357 | ||||||||||||||
Discount notes | 28,236,257 | — | 28,238,042 | — | — | 28,238,042 | ||||||||||||||||||
Bonds | 37,698,302 | — | 37,847,493 | — | — | 37,847,493 | ||||||||||||||||||
Mandatorily redeemable capital stock | 40 | 40 | — | — | — | 40 | ||||||||||||||||||
Accrued interest payable | 97,689 | — | 97,689 | — | — | 97,689 | ||||||||||||||||||
Derivative liabilities | 177,488 | — | 834,907 | — | (657,419 | ) | 177,488 | |||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | ' | |||||||||||||||||||||||
The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring basis on its Statement of Condition at March 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||
31-Mar-14 | ||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||
Non MBS: | ||||||||||||||||||||||||
GSE and TVA Obligations | $ | — | $ | 254,648 | $ | — | $ | — | $ | 254,648 | ||||||||||||||
Mutual funds | 4,798 | — | — | — | 4,798 | |||||||||||||||||||
Total trading securities | $ | 4,798 | $ | 254,648 | $ | — | $ | — | $ | 259,446 | ||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE and TVA Obligations | $ | — | $ | 2,115,508 | $ | — | $ | — | $ | 2,115,508 | ||||||||||||||
State or local agency obligations | — | 13,999 | — | — | 13,999 | |||||||||||||||||||
Mutual funds | 1,998 | — | — | — | 1,998 | |||||||||||||||||||
Other U.S. obligations residential MBS | — | 371,803 | — | — | 371,803 | |||||||||||||||||||
GSE MBS | — | 3,466,793 | — | — | 3,466,793 | |||||||||||||||||||
Private label MBS: | ||||||||||||||||||||||||
Private label residential MBS | — | — | 1,077,021 | — | 1,077,021 | |||||||||||||||||||
HELOCs | — | — | 14,023 | — | 14,023 | |||||||||||||||||||
Total AFS securities | $ | 1,998 | $ | 5,968,103 | $ | 1,091,044 | $ | — | $ | 7,061,145 | ||||||||||||||
Derivative assets: | ||||||||||||||||||||||||
Interest rate related | $ | — | $ | 217,286 | $ | — | $ | (146,568 | ) | $ | 70,718 | |||||||||||||
Mortgage delivery commitments | — | 171 | — | — | 171 | |||||||||||||||||||
Total derivative assets | $ | — | $ | 217,457 | $ | — | $ | (146,568 | ) | $ | 70,889 | |||||||||||||
Total assets at fair value | $ | 6,796 | $ | 6,440,208 | $ | 1,091,044 | $ | (146,568 | ) | $ | 7,391,480 | |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||
Interest rate related | $ | — | $ | 695,529 | $ | — | $ | (606,523 | ) | $ | 89,006 | |||||||||||||
Mortgage delivery commitments | — | 4 | — | — | 4 | |||||||||||||||||||
Total derivative liabilities (2) | $ | — | $ | 695,533 | $ | — | $ | (606,523 | ) | $ | 89,010 | |||||||||||||
31-Dec-13 | ||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||
GSE and TVA Obligations | $ | — | $ | 234,614 | $ | — | $ | — | $ | 234,614 | ||||||||||||||
Mutual funds | 4,576 | — | — | — | 4,576 | |||||||||||||||||||
Total trading securities | $ | 4,576 | $ | 234,614 | $ | — | $ | — | $ | 239,190 | ||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE and TVA Obligations | — | 2,096,177 | 2,096,177 | |||||||||||||||||||||
State or local agency obligations | — | 14,043 | — | — | 14,043 | |||||||||||||||||||
Mutual funds | 1,998 | — | — | — | 1,998 | |||||||||||||||||||
Other U.S. obligations residential MBS | — | 385,296 | — | — | 385,296 | |||||||||||||||||||
GSE MBS | — | 3,122,151 | — | — | 3,122,151 | |||||||||||||||||||
Private label MBS: | ||||||||||||||||||||||||
Private label residential MBS | — | — | 1,123,624 | — | 1,123,624 | |||||||||||||||||||
HELOCs | — | — | 14,428 | — | 14,428 | |||||||||||||||||||
Total AFS securities | $ | 1,998 | $ | 5,617,667 | $ | 1,138,052 | $ | — | $ | 6,757,717 | ||||||||||||||
Derivative assets: | ||||||||||||||||||||||||
Interest rate related | $ | — | $ | 249,419 | $ | — | $ | (189,606 | ) | $ | 59,813 | |||||||||||||
Mortgage delivery commitments | — | 160 | — | — | 160 | |||||||||||||||||||
Total derivative assets | $ | — | $ | 249,579 | $ | — | $ | (189,606 | ) | $ | 59,973 | |||||||||||||
Total assets at fair value | $ | 6,574 | $ | 6,101,860 | $ | 1,138,052 | $ | (189,606 | ) | $ | 7,056,880 | |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||
Interest rate related | $ | — | $ | 834,907 | $ | — | $ | (657,419 | ) | $ | 177,488 | |||||||||||||
Total derivative liabilities (2) | $ | — | $ | 834,907 | $ | — | $ | (657,419 | ) | $ | 177,488 | |||||||||||||
Notes: | ||||||||||||||||||||||||
(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | ||||||||||||||||||||||||
(2) Derivative liabilities represent the total liabilities at fair value. | ||||||||||||||||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | ' | |||||||||||||||||||||||
The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the three months ended March 31, 2014 and 2013. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period. | ||||||||||||||||||||||||
(in thousands) | AFS Private | AFS Private | ||||||||||||||||||||||
Label MBS-Residential | Label MBS- HELOCs | |||||||||||||||||||||||
Three Months Ended | Three Months Ended | |||||||||||||||||||||||
31-Mar-14 | 31-Mar-14 | |||||||||||||||||||||||
Balance at January 1 | $ | 1,123,624 | $ | 14,428 | ||||||||||||||||||||
Total gains (losses) (realized/unrealized) included in: | ||||||||||||||||||||||||
Accretion of credit losses in interest income | 2,936 | 330 | ||||||||||||||||||||||
Net unrealized (losses) on AFS in OCI | (30 | ) | — | |||||||||||||||||||||
Net change in fair value on OTTI AFS in OCI | 1,998 | 20 | ||||||||||||||||||||||
Unrealized gains (losses) on OTTI AFS and included in OCI | (684 | ) | 109 | |||||||||||||||||||||
Purchases, issuances, sales, and settlements: | ||||||||||||||||||||||||
Settlements | (50,823 | ) | (864 | ) | ||||||||||||||||||||
Balance at March 31 | $ | 1,077,021 | $ | 14,023 | ||||||||||||||||||||
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2014 | $ | 2,936 | $ | 330 | ||||||||||||||||||||
(in thousands) | AFS Private | AFS Private | ||||||||||||||||||||||
Label MBS-Residential | Label MBS- HELOCs | |||||||||||||||||||||||
Three Months Ended | Three Months Ended | |||||||||||||||||||||||
31-Mar-13 | 31-Mar-13 | |||||||||||||||||||||||
Balance at January 1 | $ | 1,410,476 | $ | 14,758 | ||||||||||||||||||||
Total gains (losses) (realized/unrealized) included in: | ||||||||||||||||||||||||
Accretion of credit losses in interest income | (1,494 | ) | 224 | |||||||||||||||||||||
Net OTTI losses, credit portion | (345 | ) | (97 | ) | ||||||||||||||||||||
Net unrealized gains on AFS in OCI | 175 | — | ||||||||||||||||||||||
Reclassification of non-credit portion included in net income | 345 | 97 | ||||||||||||||||||||||
Net change in fair value on OTTI AFS in OCI | 14,323 | 41 | ||||||||||||||||||||||
Unrealized gains on OTTI AFS and included in OCI | 14,898 | 162 | ||||||||||||||||||||||
Purchases, issuances, sales, and settlements: | ||||||||||||||||||||||||
Settlements | (82,025 | ) | (904 | ) | ||||||||||||||||||||
Balance at March 31 | $ | 1,356,353 | $ | 14,281 | ||||||||||||||||||||
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2013 | $ | (1,839 | ) | $ | 127 | |||||||||||||||||||
Commitments_and_Contingencies_
Commitments and Contingencies (Tables) | 3 Months Ended | |||||||||||||
Mar. 31, 2014 | ||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | ' | |||||||||||||
Off-Balance Sheet Commitments | ' | |||||||||||||
The following table presents the Bank's various off-balance sheet commitments which are described in detail below. | ||||||||||||||
(in thousands) | 31-Mar-14 | 31-Dec-13 | ||||||||||||
Notional amount | Final Expiration Date Within One Year | Final Expiration Date After One Year (3) | Total | Total | ||||||||||
Standby letters of credit outstanding (1) | $ | 10,496,515 | $ | 4,981,164 | $ | 15,477,679 | $ | 14,665,346 | ||||||
Commitments to fund additional advances and BOB loans | 5,664 | — | 5,664 | 411,249 | ||||||||||
Commitments to fund or purchase mortgage loans | 15,084 | — | 15,084 | 12,279 | ||||||||||
Unsettled consolidated obligation bonds, at par (2) | 532,300 | — | 532,300 | 32,000 | ||||||||||
Unsettled consolidated obligation discount notes, at par | — | — | — | 750,000 | ||||||||||
Notes: | ||||||||||||||
(1) Excludes approved requests to issue future standby letters of credit of $417.8 million and $154.1 million at March 31, 2014 and December 31, 2013, respectively. | ||||||||||||||
(2) Includes $500.0 million and $15.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2014 and December 31, 2013, respectively. | ||||||||||||||
(3) These letters of credit have a final expiration date exceeding one year but are subject to non-renewal every year or less. |
Background_Information_Details
Background Information (Details) | Mar. 31, 2014 |
Banks | |
Nature of Operations [Line Items] | ' |
Number of Federal Home Loan Banks | 12 |
Minimum | ' |
Nature of Operations [Line Items] | ' |
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent | 10.00% |
Trading_Securities_Details
Trading Securities (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Trading securities | $259,446,000 | $239,190,000 |
Deferred Compensation Liabilities | 4,900,000 | 4,700,000 |
GSE securities [Member] | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Trading securities | 254,648,000 | 234,614,000 |
Mutual Funds [Member] | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Trading securities | $4,798,000 | $4,576,000 |
Trading_Securities_Net_Gains_L
Trading Securities (Net Gains (Losses) on Trading Securities) (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Trading Securities [Abstract] | ' | ' |
Net unrealized gains on trading securities held at period-end | $9,706 | $267 |
Net realized gains (losses) on securities sold/matured during the period | 86 | -36 |
Net gains on trading securities | $9,792 | $231 |
AvailableforSale_AFS_Securitie2
Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | $6,990,013 | [1] | $6,712,556 | [1] |
OTTI Recognized in AOCI | -1,759 | [2] | -3,832 | [2] |
Gross Unrealized Gains | 103,025 | 94,090 | ||
Gross Unrealized Losses | -30,134 | -45,097 | ||
Fair Value | 7,061,145 | 6,757,717 | ||
Total Non-MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 2,127,901 | [1] | 2,121,270 | [1] |
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] |
Gross Unrealized Gains | 9,686 | 1,200 | ||
Gross Unrealized Losses | -6,082 | -10,252 | ||
Fair Value | 2,131,505 | 2,112,218 | ||
Mutual Funds [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 1,993 | [1] | 1,993 | [1] |
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] |
Gross Unrealized Gains | 5 | 5 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fair Value | 1,998 | 1,998 | ||
GSE securities [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 2,110,888 | [1] | 2,103,847 | [1] |
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] |
Gross Unrealized Gains | 9,617 | 1,160 | ||
Gross Unrealized Losses | -4,997 | -8,830 | ||
Fair Value | 2,115,508 | 2,096,177 | ||
State or local agency obligations [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 15,020 | [1] | 15,430 | [1] |
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] |
Gross Unrealized Gains | 64 | 35 | ||
Gross Unrealized Losses | -1,085 | -1,422 | ||
Fair Value | 13,999 | 14,043 | ||
Total MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 4,862,112 | [1] | 4,591,286 | [1] |
OTTI Recognized in AOCI | -1,759 | [2] | -3,832 | [2] |
Gross Unrealized Gains | 93,339 | 92,890 | ||
Gross Unrealized Losses | -24,052 | -34,845 | ||
Fair Value | 4,929,640 | 4,645,499 | ||
Other US obligations MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 372,881 | [1] | 386,169 | [1] |
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] |
Gross Unrealized Gains | 40 | 27 | ||
Gross Unrealized Losses | -1,118 | -900 | ||
Fair Value | 371,803 | 385,296 | ||
GSE residential MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 3,477,079 | [1],[3] | 3,144,543 | [1],[3] |
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] |
Gross Unrealized Gains | 12,455 | 11,389 | ||
Gross Unrealized Losses | -22,741 | -33,781 | ||
Fair Value | 3,466,793 | 3,122,151 | ||
1-4 family , residential MBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 2,700,000 | 2,300,000 | ||
Multi family residential MBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 800,000 | 800,000 | ||
Private label MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 1,012,152 | [1] | 1,060,574 | [1] |
OTTI Recognized in AOCI | -1,759 | [2] | -3,832 | [2] |
Gross Unrealized Gains | 80,844 | 81,474 | ||
Gross Unrealized Losses | -193 | -164 | ||
Fair Value | 1,091,044 | 1,138,052 | ||
Private label residential MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 1,001,005 | [1] | 1,048,893 | [1] |
OTTI Recognized in AOCI | -1,670 | [2] | -3,723 | [2] |
Gross Unrealized Gains | 77,879 | 78,618 | ||
Gross Unrealized Losses | -193 | -164 | ||
Fair Value | 1,077,021 | 1,123,624 | ||
HELOCs [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 11,147 | [1] | 11,681 | [1] |
OTTI Recognized in AOCI | -89 | [2] | -109 | [2] |
Gross Unrealized Gains | 2,965 | 2,856 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fair Value | $14,023 | $14,428 | ||
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collectionB of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. | |||
[2] | Represents the non-credit portion of an OTTI recognized during the life of the security. | |||
[3] | Includes amortized cost of $2.7 billion of 1-4 family MBS and $0.8 billion of multi-family MBS at March 31, 2014. The respective amounts at December 31, 2013 were $2.3 billion and $0.8 billion. |
AvailableforSale_AFS_Securitie3
Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Available-for-sale Securities [Abstract] | ' | ' |
Noncredit portion of OTTI losses | ($1,759) | ($3,832) |
Net unrealized gains on OTTI securities since their last OTTI credit charge | 80,844 | 81,474 |
Net noncredit portion of OTTI losses on AFS securities in AOCI | $79,085 | $77,642 |
AvailableforSale_AFS_Securitie4
Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Fair Value: | ' | ' | ||
Less than 12 Months | $2,394,387 | $2,881,129 | ||
Greater than 12 Months | 361,947 | 145,967 | ||
Fair Value | 2,756,334 | 3,027,096 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -28,219 | -44,235 | ||
UnrealizedLossPositiongreaterthan12Months | -3,674 | -4,694 | ||
Unrealized Losses (1) | -31,893 | [1] | -48,929 | [1] |
Total Non-MBS [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 840,175 | 1,354,082 | ||
Greater than 12 Months | 133,321 | 8,664 | ||
Fair Value | 973,496 | 1,362,746 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -5,189 | -9,286 | ||
UnrealizedLossPositiongreaterthan12Months | -893 | -966 | ||
Unrealized Losses (1) | -6,082 | [1] | -10,252 | [1] |
GSE securities [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 836,085 | 1,350,088 | ||
Greater than 12 Months | 124,825 | 0 | ||
Fair Value | 960,910 | 1,350,088 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -4,829 | -8,830 | ||
UnrealizedLossPositiongreaterthan12Months | -168 | 0 | ||
Unrealized Losses (1) | -4,997 | [1] | -8,830 | [1] |
State or local agency obligations [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 4,090 | 3,994 | ||
Greater than 12 Months | 8,496 | 8,664 | ||
Fair Value | 12,586 | 12,658 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -360 | -456 | ||
UnrealizedLossPositiongreaterthan12Months | -725 | -966 | ||
Unrealized Losses (1) | -1,085 | [1] | -1,422 | [1] |
Total MBS [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 1,554,212 | 1,527,047 | ||
Greater than 12 Months | 228,626 | 137,303 | ||
Fair Value | 1,782,838 | 1,664,350 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -23,030 | -34,949 | ||
UnrealizedLossPositiongreaterthan12Months | -2,781 | -3,728 | ||
Unrealized Losses (1) | -25,811 | [1] | -38,677 | [1] |
Other US obligations MBS [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 251,407 | 317,394 | ||
Greater than 12 Months | 100,867 | 28,803 | ||
Fair Value | 352,274 | 346,197 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -683 | -806 | ||
UnrealizedLossPositiongreaterthan12Months | -435 | -94 | ||
Unrealized Losses (1) | -1,118 | [1] | -900 | [1] |
GSE residential MBS [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 1,294,357 | 1,142,806 | ||
Greater than 12 Months | 81,694 | 64,515 | ||
Fair Value | 1,376,051 | 1,207,321 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -22,096 | -33,495 | ||
UnrealizedLossPositiongreaterthan12Months | -645 | -286 | ||
Unrealized Losses (1) | -22,741 | [1] | -33,781 | [1] |
Private label MBS [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 8,448 | 66,847 | ||
Greater than 12 Months | 46,065 | 43,985 | ||
Fair Value | 54,513 | 110,832 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -251 | -648 | ||
UnrealizedLossPositiongreaterthan12Months | -1,701 | -3,348 | ||
Unrealized Losses (1) | -1,952 | [1] | -3,996 | [1] |
Private label residential MBS [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 8,448 | 66,847 | ||
Greater than 12 Months | 44,422 | 42,306 | ||
Fair Value | 52,870 | 109,153 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | -251 | -648 | ||
UnrealizedLossPositiongreaterthan12Months | -1,612 | -3,239 | ||
Unrealized Losses (1) | -1,863 | [1] | -3,887 | [1] |
HELOCs [Member] | ' | ' | ||
Fair Value: | ' | ' | ||
Less than 12 Months | 0 | 0 | ||
Greater than 12 Months | 1,643 | 1,679 | ||
Fair Value | 1,643 | 1,679 | ||
Unrealized Losses: | ' | ' | ||
UnrealizedLossPositionLessThan12Months | 0 | 0 | ||
UnrealizedLossPositiongreaterthan12Months | -89 | -109 | ||
Unrealized Losses (1) | ($89) | [1] | ($109) | [1] |
[1] | Total unrealized losses equal the sum of bOTTI Recognized in AOCIb and bGross Unrealized Lossesb in the first two tables of this Note 3. |
AvailableforSale_AFS_Securitie5
Available-for-Sale (AFS) Securities (Redemption Terms) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Amortized Cost: | ' | ' | ||
Amortized Cost Basis | $6,990,013 | [1] | $6,712,556 | [1] |
Fair Value: | ' | ' | ||
Fair Value | 7,061,145 | 6,757,717 | ||
Total Non-MBS [Member] | ' | ' | ||
Amortized Cost: | ' | ' | ||
Due in one year or less | 201,993 | 201,992 | ||
Due after one year through five years | 1,154,740 | 1,226,635 | ||
Due after five years through ten years | 575,202 | 524,313 | ||
Due in more than ten years | 195,966 | 168,330 | ||
Amortized Cost Basis | 2,127,901 | [1] | 2,121,270 | [1] |
Fair Value: | ' | ' | ||
Due in one year or less | 202,224 | 202,104 | ||
Due after one year through five years | 1,152,104 | 1,223,399 | ||
Due after five years through ten years | 579,756 | 521,278 | ||
Due in more than ten years | 197,421 | 165,437 | ||
Fair Value | 2,131,505 | 2,112,218 | ||
MBS [Member] | ' | ' | ||
Amortized Cost: | ' | ' | ||
Amortized Cost Basis | 4,862,112 | [1] | 4,591,286 | [1] |
Fair Value: | ' | ' | ||
Fair Value | $4,929,640 | $4,645,499 | ||
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collectionB of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. |
AvailableforSale_AFS_Securitie6
Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | $6,990,013 | [1] | $6,712,556 | [1] |
Total Non-MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 2,127,901 | [1] | 2,121,270 | [1] |
MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 4,862,112 | [1] | 4,591,286 | [1] |
Fixed Interest Rate [Member] | Total Non-MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 1,618,365 | 1,536,763 | ||
Fixed Interest Rate [Member] | MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 2,099,896 | 2,155,940 | ||
Adjustable Interest Rate [Member] | Total Non-MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | 509,536 | 584,507 | ||
Adjustable Interest Rate [Member] | MBS [Member] | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Amortized Cost | $2,762,216 | $2,435,346 | ||
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collectionB of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. |
AvailableforSale_AFS_Securitie7
Available-for-Sale (AFS) Securities (Realized Gains and Losses on Securities) (Details) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ' |
Proceeds from Sale of Available-for-sale Securities | $0 |
AvailableforSale_AFS_Securitie8
Available-for-Sale (AFS) Securities (Narrative) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Mar. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 |
Private label residential MBS [Member] | SERP [Member] | SERP [Member] | Available-for-sale Securities | Available-for-sale Securities | |||||
loan | MBS [Member] | MBS [Member] | |||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Supplemental retirement obligation | ' | ' | ' | ' | ' | $5,400,000 | $5,400,000 | ' | ' |
Net purchased discounts | ' | ' | ' | ' | ' | ' | ' | -8,900,000 | -8,400,000 |
Credit losses | -308,200,000 | -314,224,000 | -324,482,000 | -326,024,000 | ' | ' | ' | -240,500,000 | -246,100,000 |
Other Than Temporary Impairment Credit Losses Recognized In Earnings Interest Accretion Adjustment | ' | ' | ' | ' | ' | ' | ' | $4,500,000 | $1,400,000 |
Number of securities transferred from HTM to AFS | ' | ' | ' | ' | 0 | ' | ' | ' | ' |
HeldtoMaturity_HTM_Securities_1
Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | $3,822,403 | $3,995,530 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | 69,902 | 66,804 | ||
Unrealized Losses | -23,975 | -27,504 | ||
Fair Value | 3,868,330 | 4,034,830 | ||
GSE securities [Member] | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 15,185 | 16,220 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | 621 | 721 | ||
Unrealized Losses | 0 | 0 | ||
Fair Value | 15,806 | 16,941 | ||
State or local agency obligations [Member] | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 241,746 | 242,934 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | 3,792 | 3,817 | ||
Unrealized Losses | -11,613 | -10,753 | ||
Fair Value | 233,925 | 235,998 | ||
Total non-MBS | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 256,931 | 259,154 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | 4,413 | 4,538 | ||
Unrealized Losses | -11,613 | -10,753 | ||
Fair Value | 249,731 | 252,939 | ||
Other US obligations MBS [Member] | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 1,358,400 | 1,435,458 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | 8,704 | 8,869 | ||
Unrealized Losses | 0 | -15 | ||
Fair Value | 1,367,104 | 1,444,312 | ||
GSE residential MBS [Member] | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 1,374,752 | [1] | 1,417,926 | [1] |
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | 51,411 | 49,097 | ||
Unrealized Losses | -121 | -215 | ||
Fair Value | 1,426,042 | 1,466,808 | ||
1-4 family , residential MBS | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 525,300 | 561,600 | ||
Multi family residential MBS | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 849,500 | 856,300 | ||
Private Label Residential MBS [Member] | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 832,320 | 873,325 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | 5,374 | 4,300 | ||
Unrealized Losses | -12,241 | -15,732 | ||
Fair Value | 825,453 | 861,893 | ||
HELOCs [Member] | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | ' | 9,667 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | ' | 0 | ||
Unrealized Losses | ' | -789 | ||
Fair Value | ' | 8,878 | ||
Total private label MBS | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | ' | 882,992 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | ' | 4,300 | ||
Unrealized Losses | -12,241 | -16,521 | ||
Fair Value | ' | 870,771 | ||
MBS [Member] | ' | ' | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' | ||
Amortized Cost | 3,565,472 | 3,736,376 | ||
HeldToMaturitySecuritiesAccumulatedUnrecognizedHoldingGain | 65,489 | 62,266 | ||
Unrealized Losses | -12,362 | -16,751 | ||
Fair Value | $3,618,599 | $3,781,891 | ||
[1] | Includes $525.3 million of 1-4 family MBS and $849.5 million of multi-family MBS at MarchB 31, 2014. The respective amounts at DecemberB 31, 2013 were $561.6 million and $856.3 million. |
HeldtoMaturity_HTM_Securities_2
Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value: | ' | ' |
Less than 12 Months | $284,930 | $441,866 |
Greater than 12 Months | 331,495 | 351,799 |
Fair Value | 616,425 | 793,665 |
UnrealizedLossPosition12MonthsOrLonger | -21,523 | -23,277 |
UnrealizedLossPositionLessThan12Months | -2,452 | -4,227 |
Unrealized Losses | -23,975 | -27,504 |
State or local agency obligations [Member] | ' | ' |
Fair Value: | ' | ' |
Less than 12 Months | 18,534 | 18,367 |
Greater than 12 Months | 131,436 | 132,463 |
Fair Value | 149,970 | 150,830 |
UnrealizedLossPosition12MonthsOrLonger | -11,509 | -10,482 |
UnrealizedLossPositionLessThan12Months | -104 | -271 |
Unrealized Losses | -11,613 | -10,753 |
Other US obligations MBS [Member] | ' | ' |
Fair Value: | ' | ' |
Less than 12 Months | ' | 37,984 |
Greater than 12 Months | ' | 0 |
Fair Value | ' | 37,984 |
UnrealizedLossPosition12MonthsOrLonger | ' | 0 |
UnrealizedLossPositionLessThan12Months | ' | -15 |
Unrealized Losses | 0 | -15 |
GSE residential MBS [Member] | ' | ' |
Fair Value: | ' | ' |
Less than 12 Months | 52,716 | 93,356 |
Greater than 12 Months | 12,722 | 13,369 |
Fair Value | 65,438 | 106,725 |
UnrealizedLossPosition12MonthsOrLonger | -109 | -103 |
UnrealizedLossPositionLessThan12Months | -12 | -112 |
Unrealized Losses | -121 | -215 |
Private Label Residential MBS [Member] | ' | ' |
Fair Value: | ' | ' |
Less than 12 Months | 213,680 | 292,159 |
Greater than 12 Months | 187,337 | 197,089 |
Fair Value | 401,017 | 489,248 |
UnrealizedLossPosition12MonthsOrLonger | -9,905 | -11,903 |
UnrealizedLossPositionLessThan12Months | -2,336 | -3,829 |
Unrealized Losses | -12,241 | -15,732 |
HELOCs [Member] | ' | ' |
Fair Value: | ' | ' |
Less than 12 Months | ' | 0 |
Greater than 12 Months | ' | 8,878 |
Fair Value | ' | 8,878 |
UnrealizedLossPosition12MonthsOrLonger | ' | -789 |
UnrealizedLossPositionLessThan12Months | ' | 0 |
Unrealized Losses | ' | -789 |
Total private label MBS | ' | ' |
Fair Value: | ' | ' |
Less than 12 Months | 213,680 | 292,159 |
Greater than 12 Months | 187,337 | 205,967 |
Fair Value | 401,017 | 498,126 |
UnrealizedLossPosition12MonthsOrLonger | -9,905 | -12,692 |
UnrealizedLossPositionLessThan12Months | -2,336 | -3,829 |
Unrealized Losses | -12,241 | -16,521 |
MBS [Member] | ' | ' |
Fair Value: | ' | ' |
Less than 12 Months | 266,396 | 423,499 |
Greater than 12 Months | 200,059 | 219,336 |
Fair Value | 466,455 | 642,835 |
UnrealizedLossPosition12MonthsOrLonger | -10,014 | -12,795 |
UnrealizedLossPositionLessThan12Months | -2,348 | -3,956 |
Unrealized Losses | ($12,362) | ($16,751) |
HeldtoMaturity_HTM_Securities_3
Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | $3,822,403 | $3,995,530 |
Held to maturity securities - fair value | 3,868,330 | 4,034,830 |
Held-to-maturity Securities, Debt Maturities, Fair Value [Abstract] | ' | ' |
Fair Value | 3,868,330 | 4,034,830 |
Total non-MBS | ' | ' |
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | 256,931 | 259,154 |
Held to maturity securities - fair value | 249,731 | 252,939 |
Amortized Cost: | ' | ' |
Due after one year through five years | 15,185 | 16,221 |
Due after five years through ten years | 41,486 | 40,043 |
Due after ten years | 200,260 | 202,890 |
Amortized Cost | 256,931 | 259,154 |
Held-to-maturity Securities, Debt Maturities, Fair Value [Abstract] | ' | ' |
Due after one year through five years | 15,806 | 16,941 |
Due after five years through ten years | 43,039 | 41,530 |
Due after ten years | 190,886 | 194,468 |
Fair Value | 249,731 | 252,939 |
MBS [Member] | ' | ' |
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | 3,565,472 | 3,736,376 |
Held to maturity securities - fair value | 3,618,599 | 3,781,891 |
Held-to-maturity Securities, Debt Maturities, Fair Value [Abstract] | ' | ' |
Fair Value | $3,618,599 | $3,781,891 |
HeldtoMaturity_HTM_Securities_4
Held-to-Maturity (HTM) Securities (Interest Rate Payment Terms) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | $3,822,403 | $3,995,530 |
Total non-MBS | ' | ' |
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | 256,931 | 259,154 |
MBS [Member] | ' | ' |
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | 3,565,472 | 3,736,376 |
Fixed Interest Rate [Member] | Total non-MBS | ' | ' |
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | 94,346 | 96,569 |
Fixed Interest Rate [Member] | MBS [Member] | ' | ' |
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | 1,258,506 | 1,303,424 |
Adjustable Interest Rate [Member] | Total non-MBS | ' | ' |
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | 162,585 | 162,585 |
Adjustable Interest Rate [Member] | MBS [Member] | ' | ' |
Schedule of Held-to-maturity Securities [Line Items] | ' | ' |
Amortized Cost | $2,306,966 | $2,432,952 |
OtherThanTemporary_Impairment_1
Other-Than-Temporary Impairment (Price Recovery) (Details) | Mar. 31, 2014 |
Maximum | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
6-Jan | 3.00% |
12-Jul | 4.00% |
13-18 | 4.00% |
19-30 | 5.00% |
31-54 | 6.00% |
Thereafter | 5.60% |
Minimum | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
6-Jan | 0.00% |
12-Jul | 1.00% |
13-18 | 2.00% |
19-30 | 2.00% |
31-54 | 2.00% |
Thereafter | 2.30% |
OtherThanTemporary_Impairment_2
Other-Than-Temporary Impairment (OTTI Securities) (Details) (USD $) | Mar. 31, 2014 | |
In Thousands, unless otherwise specified | ||
Private label MBS [Member] | ' | |
Other than Temporary Impairment, Disclosure [Line Items] | ' | |
AFS Securities-Unpaid Principal Balance | $1,265,604 | |
AFS Securities-Amortized Cost | 1,012,152 | [1] |
AFS Securities-Fair Value | 1,091,044 | |
Available-for-sale Securities | Private label MBS [Member] | ' | |
Other than Temporary Impairment, Disclosure [Line Items] | ' | |
OTTI Securities-Unpaid Principal Balance | 1,261,707 | |
Securities Without OTTI-Unpaid Principal Balance | 3,897 | |
OTTI Securities-Amortized Cost | 1,008,255 | [1] |
Securities Without OTTI-Amortized Cost | 3,897 | [1] |
OTTI Securities-Fair Value | 1,087,340 | |
Securities Without OTTI-Fair Value | 3,704 | |
Available-for-sale Securities | Private label residential MBS [Member] | Prime [Member] | ' | |
Other than Temporary Impairment, Disclosure [Line Items] | ' | |
OTTI Securities-Unpaid Principal Balance | 573,399 | |
OTTI Securities-Amortized Cost | 468,273 | [1] |
OTTI Securities-Fair Value | 514,087 | |
Available-for-sale Securities | Private label residential MBS [Member] | Alt-A [Member] | ' | |
Other than Temporary Impairment, Disclosure [Line Items] | ' | |
OTTI Securities-Unpaid Principal Balance | 669,884 | |
OTTI Securities-Amortized Cost | 527,448 | [1] |
OTTI Securities-Fair Value | 557,725 | |
Available-for-sale Securities | Private label residential MBS [Member] | Subprime [Member] | ' | |
Other than Temporary Impairment, Disclosure [Line Items] | ' | |
OTTI Securities-Unpaid Principal Balance | 2,316 | |
OTTI Securities-Amortized Cost | 1,387 | [1] |
OTTI Securities-Fair Value | 1,505 | |
Available-for-sale Securities | HELOCs [Member] | ' | |
Other than Temporary Impairment, Disclosure [Line Items] | ' | |
OTTI Securities-Unpaid Principal Balance | 16,108 | |
OTTI Securities-Amortized Cost | 11,147 | [1] |
OTTI Securities-Fair Value | $14,023 | |
[1] | (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings. |
OtherThanTemporary_Impairment_3
Other-Than-Temporary Impairment (Rollforward) (Details) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ' | ' | ||
Beginning balance | $314,224 | $326,024 | ||
Additional OTTI credit losses for which an OTTI charge was previously recognized(1) | 0 | [1] | 442 | [1] |
Securities sold and matured during the period | -76 | -59 | ||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities(2) | -5,948 | [2] | -1,925 | [2] |
Ending balance | $308,200 | $324,482 | ||
[1] | For the three months ended March 31, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013. | |||
[2] | This activity represents the increase in cash flows recognized in interest income during the period. |
OtherThanTemporary_Impairment_4
Other-Than-Temporary Impairment (Narrative) (Details) | Mar. 31, 2014 |
people | |
area | |
Minimum | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
Core-Based Statistical Areas, Current Requirements, Number of Urban Areas | 1 |
Core-Based Statistical Areas, Current Requirements, Urban Area, Population | 10,000 |
Assumed Current to Trough Home Price Change Rate | -3.00% |
Projected House Price Change Rate | -1.00% |
Maximum | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
Assumed Current to Trough Home Price Change Rate | 9.00% |
Projected House Price Change Rate | 4.00% |
MBS [Member] | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
Number of Securities with AA Rating at the time of purchase | 1 |
MBS [Member] | Minimum | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
Number Of Forms Of Credit Enhancements | 1 |
Alternative Procedures [Member] | MBS [Member] | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
Marketable Securities, Par Balance, Percent | 5.00% |
Cash Flow Analysis [Member] | Private label residential MBS [Member] | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
Number of Third Party Models To Assess Recovery of Amortized Cost Basis of Securities | 2 |
Cash Flow Analysis, Model 1 [Member] | ' |
Other than Temporary Impairment, Disclosure [Line Items] | ' |
Projected Home Price Recovery, Number of Projections | 100 |
Advances_Narrative_Details
Advances (Narrative) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 |
Institutions | Institutions | Minimum | Maximum | Federal Home Loan Bank, Advances, Convertible Option [Member] | Federal Home Loan Bank, Advances, Convertible Option [Member] | Federal Home Loan Bank, Advances, Callable Option [Member] | Federal Home Loan Bank, Advances, Callable Option [Member] | |
Federal Home Loan Bank Advances | ' | ' | ' | ' | ' | ' | ' | ' |
Federal Home Loan Bank Advances At Par Value | $45,580,585,000 | $49,714,038,000 | ' | ' | $2,000,000,000 | $2,300,000,000 | $3,500,000,000 | $5,000,000,000 |
Federal Home Loan Bank Advances, Fixed Rate, Maturity Period | ' | ' | '1 day | '30 years | ' | ' | ' | ' |
Federal Home Loan Bank, Advances, Variable Rate, Maturity Period | ' | ' | '30 days | '10 years | ' | ' | ' | ' |
Interest rate of advances | ' | ' | 0.00% | 7.40% | ' | ' | ' | ' |
AHP subsidized loans, interest rate | ' | ' | 0.00% | 5.50% | ' | ' | ' | ' |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $34,300,000,000 | $38,500,000,000 | ' | ' | ' | ' | ' | ' |
Number Of Top Advances Borrowers | 5 | 5 | ' | ' | ' | ' | ' | ' |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 75.30% | 77.40% | ' | ' | ' | ' | ' | ' |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | 3 | 4 | ' | ' | ' | ' | ' | ' |
Advances_Portfolio_by_Year_of_
Advances (Portfolio by Year of Contractual Maturity) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Advances [Abstract] | ' | ' |
Total par value | $45,580,585 | $49,714,038 |
Discount on AHP advances | -120 | -141 |
Deferred prepayment fees | -11,450 | -12,371 |
Hedging adjustments | 494,897 | 545,909 |
Total book value | 46,063,912 | 50,247,435 |
Due in 1 year or less | 15,716,010 | 22,169,669 |
Weighted Average Interest Rate | 0.46% | 0.41% |
Due after 1 year through 2 years | 9,468,247 | 10,343,245 |
Weighted Average Interest Rate | 0.61% | 1.36% |
Due after 2 years through 3 years | 6,686,913 | 6,865,608 |
Weighted Average Interest Rate | 1.77% | 1.68% |
Due after 3 years through 4 years | 10,091,283 | 6,073,540 |
Weighted Average Interest Rate | 1.30% | 1.21% |
Due after 4 years through 5 years | 3,113,463 | 3,690,006 |
Weighted Average Interest Rate | 2.43% | 2.12% |
Thereafter | $504,669 | $571,970 |
Weighted Average Interest Rate | 2.88% | 2.89% |
Total par value, Weighted Average Interest Rate | 1.03% | 1.04% |
Advances_Advances_by_Year_of_C
Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Advances [Abstract] | ' | ' |
Due in 1 year or less | $15,716,010 | $22,169,669 |
Due after 1 year through 2 years | 9,468,247 | 10,343,245 |
Due after 2 years through 3 years | 6,686,913 | 6,865,608 |
Due after 3 years through 4 years | 10,091,283 | 6,073,540 |
Due after 4 years through 5 years | 3,113,463 | 3,690,006 |
Thereafter | 504,669 | 571,970 |
Due in 1 year or less | 17,634,010 | 24,308,669 |
Due after 1 year through 2 years | 9,345,247 | 10,219,245 |
Due after 2 years through 3 years | 5,538,413 | 5,752,108 |
Due after 3 years through 4 years | 9,591,283 | 5,481,540 |
Due after 4 years through 5 years | 2,992,463 | 3,406,006 |
Thereafter | 479,169 | 546,470 |
Total par value | $45,580,585 | $49,714,038 |
Advances_Interest_Rate_Payment
Advances (Interest Rate Payment Terms) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Advances [Abstract] | ' | ' |
Fixed rate b overnight | $2,334,934 | $1,284,394 |
Due in 1 year or less | 10,437,291 | 17,801,335 |
Thereafter | 10,795,337 | 10,778,131 |
Total Fixed Rate | 23,567,562 | 29,863,860 |
Variable Rate Due in 1 Year or Less | 2,943,785 | 3,083,940 |
Variable Rate, Thereafter | 19,069,238 | 16,766,238 |
Total Variable Rate | 22,013,023 | 19,850,178 |
Total par value | $45,580,585 | $49,714,038 |
Mortgage_Loans_Held_for_Portfo2
Mortgage Loans Held for Portfolio (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2014 | ||||
In Thousands, unless otherwise specified | Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | Loans Receivable With Fixed Rates Of Interest Long Term [Member] | Loans Receivable With Fixed Rates Of Interest Long Term [Member] | Loans Receivable With Fixed Rates Of Interest Long Term [Member] | Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | ||||||
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ||||
Mortgage Loans on Real Estate, Original Contractual Terms | ' | ' | ' | ' | ' | ' | '15 years | '15 years | ||||
Par value of mortgage loans held for portfolio | $3,116,580 | $3,170,589 | $466,753 | [1] | $488,334 | [1] | $2,649,827 | [1] | $2,682,255 | [1] | ' | ' |
Premiums | 49,780 | 50,436 | ' | ' | ' | ' | ' | ' | ||||
Discounts | -5,848 | -6,147 | ' | ' | ' | ' | ' | ' | ||||
Hedging adjustments | 21,100 | 20,572 | ' | ' | ' | ' | ' | ' | ||||
Total mortgage loans held for portfolio | $3,181,612 | $3,235,450 | ' | ' | ' | ' | ' | ' | ||||
[1] | Medium-term is defined as a term of 15 years or less at origination. Long-term is defined as greater than 15 years at origination. |
Mortgage_Loans_Held_for_Portfo3
Mortgage Loans Held for Portfolio (Collateral or Guarantee Type) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Par value of mortgage loans held for portfolio | $3,116,580 | $3,170,589 |
Conventional Mortgage Loan [Member] | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Par value of mortgage loans held for portfolio | 2,816,584 | 2,864,564 |
Government Mortgage Loans [Member] | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Par value of mortgage loans held for portfolio | $299,996 | $306,025 |
Allowance_for_Credit_Losses_Al
Allowance for Credit Losses (Allowance for Credit Losses) (Details) (USD $) | 3 Months Ended | ||||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | ||
Allowance for Loan and Lease Losses [Roll Forward] | ' | ' | ' | ||
Beginning Balance | ' | ' | $11,359 | ||
Ending Balance | 7,318 | ' | 11,359 | ||
Total recorded investment | 3,211,582 | [1] | ' | 3,265,996 | [1] |
Mortgage loans held for portfolio, net | ' | ' | ' | ||
Allowance for Loan and Lease Losses [Roll Forward] | ' | ' | ' | ||
Beginning Balance | 11,359 | 14,163 | ' | ||
Charge-offs | 0 | -622 | ' | ||
Reversal of Loan Losses Expensed | -4,041 | -148 | ' | ||
Ending Balance | 7,318 | 13,393 | ' | ||
Ending balance, individually evaluated for impairment | 5,593 | 687 | ' | ||
Ending balance, collectively evaluated for impairment | 1,725 | 12,706 | ' | ||
Individually evaluated for impairment, with or without a related allowance | 78,405 | 12,911 | ' | ||
Collectively evaluated for impairment | 2,808,857 | 3,148,406 | ' | ||
Total recorded investment | 2,887,262 | 3,161,317 | ' | ||
Banking on Business Loans | ' | ' | ' | ||
Allowance for Loan and Lease Losses [Roll Forward] | ' | ' | ' | ||
Beginning Balance | 2,231 | 2,481 | ' | ||
Charge-offs | -200 | 9 | ' | ||
Provision (benefit) for credit losses | ' | 13 | ' | ||
Reversal of Loan Losses Expensed | 111 | ' | ' | ||
Ending Balance | 2,142 | 2,503 | ' | ||
Ending balance, individually evaluated for impairment | 28 | 183 | ' | ||
Ending balance, collectively evaluated for impairment | 2,114 | 2,320 | ' | ||
Individually evaluated for impairment, with or without a related allowance | 63 | 313 | ' | ||
Collectively evaluated for impairment | 13,355 | 14,863 | ' | ||
Total recorded investment | $13,418 | [1] | $15,176 | $13,742 | [1] |
[1] | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance. |
Allowance_for_Credit_Losses_Cr
Allowance for Credit Losses (Credit Quality Indicators) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | ||
In Thousands, unless otherwise specified | |||||
Financing Receivable, Recorded Investment [Line Items] | ' | ' | ' | ||
Past due 30-59 days | $58,487 | [1] | $71,420 | [1] | ' |
Past due 60-89 days | 14,210 | [1] | 19,464 | [1] | ' |
Past due 90 days or more | 63,429 | [1] | 64,283 | [1] | ' |
Total past due loans | 136,126 | [1] | 155,167 | [1] | ' |
Total current loans | 3,075,456 | [1] | 3,110,829 | [1] | ' |
Total recorded investment | 3,211,582 | [1] | 3,265,996 | [1] | ' |
In process of foreclosures, included above (2) | 43,685 | [2] | 46,354 | [2] | ' |
Serious delinquency rate (3) | 2.00% | [3] | 2.00% | [3] | ' |
Past due 90 days or more still accruing interest | 8,599 | 8,556 | ' | ||
Loans on nonaccrual status (4) | 57,570 | [4] | 59,696 | [4] | ' |
Conventional Loan [Member] | ' | ' | ' | ||
Financing Receivable, Recorded Investment [Line Items] | ' | ' | ' | ||
Past due 30-59 days | 44,438 | [1] | 52,689 | [1] | ' |
Past due 60-89 days | 9,682 | [1] | 13,522 | [1] | ' |
Past due 90 days or more | 54,590 | [1] | 55,508 | [1] | ' |
Total past due loans | 108,710 | [1] | 121,719 | [1] | ' |
Total current loans | 2,778,552 | [1] | 2,813,435 | [1] | ' |
Total recorded investment | 2,887,262 | [1] | 2,935,154 | [1] | ' |
In process of foreclosures, included above (2) | 40,853 | [2] | 43,953 | [2] | ' |
Serious delinquency rate (3) | 1.90% | [3] | 1.90% | [3] | ' |
Past due 90 days or more still accruing interest | 0 | 0 | ' | ||
Loans on nonaccrual status (4) | 57,267 | [4] | 59,244 | [4] | ' |
Government-Insured Mortgage Loans [Member] | ' | ' | ' | ||
Financing Receivable, Recorded Investment [Line Items] | ' | ' | ' | ||
Past due 30-59 days | 14,049 | [1] | 18,580 | [1] | ' |
Past due 60-89 days | 4,528 | [1] | 5,860 | [1] | ' |
Past due 90 days or more | 8,599 | [1] | 8,556 | [1] | ' |
Total past due loans | 27,176 | [1] | 32,996 | [1] | ' |
Total current loans | 283,726 | [1] | 284,104 | [1] | ' |
Total recorded investment | 310,902 | [1] | 317,100 | [1] | ' |
In process of foreclosures, included above (2) | 2,832 | [2] | 2,401 | [2] | ' |
Serious delinquency rate (3) | 2.80% | [3] | 2.70% | [3] | ' |
Past due 90 days or more still accruing interest | 8,599 | 8,556 | ' | ||
Loans on nonaccrual status (4) | 0 | [4] | 0 | [4] | ' |
Banking on Business Loans | ' | ' | ' | ||
Financing Receivable, Recorded Investment [Line Items] | ' | ' | ' | ||
Past due 30-59 days | 0 | [1] | 151 | [1] | ' |
Past due 60-89 days | 0 | [1] | 82 | [1] | ' |
Past due 90 days or more | 240 | [1] | 219 | [1] | ' |
Total past due loans | 240 | [1] | 452 | [1] | ' |
Total current loans | 13,178 | [1] | 13,290 | [1] | ' |
Total recorded investment | 13,418 | [1] | 13,742 | [1] | 15,176 |
In process of foreclosures, included above (2) | 0 | [2] | 0 | [2] | ' |
Serious delinquency rate (3) | 1.80% | [3] | 1.60% | [3] | ' |
Past due 90 days or more still accruing interest | 0 | 0 | ' | ||
Loans on nonaccrual status (4) | $303 | [4] | $452 | [4] | ' |
[1] | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance. | ||||
[2] | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. | ||||
[3] | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. | ||||
[4] | Generally represents mortgage loans with contractual principal or interest payments 90B days or more past due and not accruing interest. |
Allowance_for_Credit_Losses_TD
Allowance for Credit Losses (TDR Modifications) (Details) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Conventional Loan [Member] | ' | ' |
Financing Receivable, Modifications [Line Items] | ' | ' |
Financing Receivable, Modifications, Subsequent Default, Recorded Investment | $1,200,000 | $1,900,000 |
Pre-Modification | 2,356,000 | 2,903,000 |
Post-Modification | 2,356,000 | 2,903,000 |
Conventional Loan [Member] | ' | ' |
Financing Receivable, Modifications [Line Items] | ' | ' |
Average Recorded Investment | 79,993,000 | 11,927,000 |
Interest Income Recognized | $322,000 | $159,000 |
Allowance_for_Credit_Losses_In
Allowance for Credit Losses (Individually Evaluated Impaired Loans) (Details) (Conventional Loan [Member], USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Conventional Loan [Member] | ' | ' |
Recorded Investment | ' | ' |
With no related allowance | $38,162 | $501 |
With a related allowance | 40,243 | 15,070 |
Total recorded investment | 78,405 | 15,571 |
Unpaid Principal Balance | ' | ' |
With no related allowance | 37,753 | 498 |
With a related allowance | 40,106 | 15,004 |
Total Unpaid Principal Balance | 77,859 | 15,502 |
Related Allowance for Credit Losses | $5,593 | $795 |
Allowance_for_Credit_Losses_Na
Allowance for Credit Losses (Narrative) (Details) (USD $) | 3 Months Ended | ||
In Millions, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ' | ' |
Maximum Exposure Under First Loss Account | $24.50 | ' | $25.20 |
Credit Enhancement Fees | 0.8 | 0.9 | ' |
Real Estate Acquired Through Foreclosure | 7.6 | ' | 8.8 |
Financing Receivable, Modifications, Recorded Investment | $4.30 | ' | $3.50 |
Conventional Loan [Member] | ' | ' | ' |
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ' | ' |
Troubled Debt Restructuring Modification, Housing Expense Ratio, Maximum | 31.00% | ' | ' |
Troubled Debt Restructuring Modification Incremental Interest Decrease Percent | 0.13% | ' | ' |
Troubled Debt Restructuring Modification Interest Decrease Floor, Percent | 3.00% | ' | ' |
Derivatives_and_Hedging_Activi2
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | $38,992,753 | $37,251,688 | ||
Total derivatives before netting and collateral adjustments: Derivative Assets | 217,457 | 249,579 | ||
Total derivatives before netting and collateral adjustments: Derivative Liabilities | 695,533 | 834,907 | ||
Derivative assets | 70,889 | 59,973 | ||
Derivative liabilities | 89,010 | 177,488 | ||
Netting Adjustment By Counterparty [Member] | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Total collateral and netting adjustments: Derivative Assets | -124,426 | -182,045 | ||
Total collateral and netting adjustments: Derivative Liabilities | -124,426 | -182,045 | ||
Cash Collateral And Related Accrued Interest [Member] | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Total collateral and netting adjustments: Derivative Assets | -22,142 | -7,561 | ||
Total collateral and netting adjustments: Derivative Liabilities | -482,097 | -475,374 | ||
Netting and Collateral | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Total collateral and netting adjustments: Derivative Assets | -146,568 | [1] | -189,606 | [1] |
Total collateral and netting adjustments: Derivative Liabilities | -606,523 | [1] | -657,419 | [1] |
Designated as Hedging Instrument [Member] | Interest Rate Swap | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Derivatives in hedge accounting relationships: Derivative Assets | 155,219 | 169,718 | ||
Derivatives in hedge accounting relationships: Derivative Liabilities | 668,698 | 800,078 | ||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 25,697,235 | 25,443,924 | ||
Not Designated as Hedging Instrument [Member] | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Derivatives not in hedge accounting relationships: Derivative Assets | 62,238 | 79,861 | ||
Derivatives not in hedge accounting relationships: Derivative Liabilities | 26,835 | 34,829 | ||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 13,295,518 | 11,807,764 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Derivatives not in hedge accounting relationships: Derivative Assets | 55,461 | 72,519 | ||
Derivatives not in hedge accounting relationships: Derivative Liabilities | 26,831 | 34,829 | ||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 12,165,934 | 10,730,985 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Derivatives not in hedge accounting relationships: Derivative Assets | 428 | ' | ||
Derivatives not in hedge accounting relationships: Derivative Liabilities | 0 | ' | ||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 25,000 | ' | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Derivatives not in hedge accounting relationships: Derivative Assets | 6,178 | 7,182 | ||
Derivatives not in hedge accounting relationships: Derivative Liabilities | 0 | 0 | ||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 1,089,500 | 1,064,500 | ||
Not Designated as Hedging Instrument [Member] | Mortgage Delivery Commitments [Member] | ' | ' | ||
Derivatives, Fair Value [Line Items] | ' | ' | ||
Derivatives not in hedge accounting relationships: Derivative Assets | 171 | 160 | ||
Derivatives not in hedge accounting relationships: Derivative Liabilities | 4 | 0 | ||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | $15,084 | $12,279 | ||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive andB negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. |
Derivatives_and_Hedging_Activi3
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net Fair Value Hedge Ineffectiveness | $512 | ($1,099) |
Net gains (losses) related to derivatives not designated as hedging instruments | -9,711 | 2,683 |
Net gains (losses) on derivatives and hedging activities | -9,199 | 1,584 |
Interest Rate Swap | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Derivative, Net Hedge Ineffectiveness Gain (Loss) | 512 | -1,099 |
Interest Rate Swap | Economic Hedges [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net gains (losses) related to derivatives not designated as hedging instruments | -15,773 | -4,936 |
Interest Rate Swaption [Member] | Economic Hedges [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net gains (losses) related to derivatives not designated as hedging instruments | -48 | 0 |
Interest Rate Caps and Floors [Member] | Economic Hedges [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net gains (losses) related to derivatives not designated as hedging instruments | -1,554 | 194 |
Net Interest Settlements [Member] | Economic Hedges [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net gains (losses) related to derivatives not designated as hedging instruments | 6,411 | 4,297 |
Mortgage Delivery Commitments [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net gains (losses) related to derivatives not designated as hedging instruments | 1,246 | 3,124 |
Other [Member] | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Net gains (losses) related to derivatives not designated as hedging instruments | $7 | $4 |
Derivatives_and_Hedging_Activi4
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) (USD $) | 3 Months Ended | |||
Mar. 31, 2014 | Mar. 31, 2013 | |||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ||
amortization and accretion of hedged items | $3,500,000 | $4,800,000 | ||
Gains/(Losses) on Derivative | 84,669,000 | 8,915,000 | ||
Gains/(Losses) on Hedged Item | -84,157,000 | -10,014,000 | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 512,000 | -1,099,000 | ||
Effect of Derivatives on Net Interest Income | -8,497,000 | [1] | -11,912,000 | [1] |
Advances [Member] | ' | ' | ||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ||
Gains/(Losses) on Derivative | 48,010,000 | 57,970,000 | ||
Gains/(Losses) on Hedged Item | -47,263,000 | -60,481,000 | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 747,000 | -2,511,000 | ||
Effect of Derivatives on Net Interest Income | -60,390,000 | [1] | -61,858,000 | [1] |
Federal Home Loan Bank, Consolidated Obligations, Bonds [Member] | ' | ' | ||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ||
Gains/(Losses) on Derivative | 45,796,000 | -49,055,000 | ||
Gains/(Losses) on Hedged Item | -45,655,000 | 50,467,000 | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 141,000 | 1,412,000 | ||
Effect of Derivatives on Net Interest Income | 54,437,000 | [1] | 49,946,000 | [1] |
Available-for-sale Securities | ' | ' | ||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ||
Gains/(Losses) on Derivative | -9,137,000 | ' | ||
Gains/(Losses) on Hedged Item | 8,761,000 | ' | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | -376,000 | ' | ||
Effect of Derivatives on Net Interest Income | ($2,544,000) | [1] | ' | |
[1] | Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $3.5 million and $4.8 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the three months ended March 31, 2014 and 2013, respectively. |
Derivatives_and_Hedging_Activi5
Derivatives and Hedging Activities (Narrative) (Details) (USD $) | Mar. 31, 2014 |
In Millions, unless otherwise specified | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' |
Derivative, Net Liability Position, Aggregate Fair Value | $393.40 |
Collateral Already Posted, Aggregate Fair Value | 305 |
Additional Collateral, Aggregate Fair Value | $56.10 |
Derivatives_and_Hedging_Activi6
Derivatives and Hedging Activities (Offsetting Assets) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
Offsetting Assets [Line Items] | ' | ' | ||
Derivative Asset, Subject to master netting | $217,286,000 | $249,420,000 | ||
Derivative Asset, Amount Offset Against Collateral And Netting | -146,568,000 | -189,606,000 | ||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 70,718,000 | 59,814,000 | ||
Derivative Asset, Not Subject to Master Netting Arrangement | 171,000 | [1] | 159,000 | [1] |
Derivative assets | 70,889,000 | 59,973,000 | ||
Net unsecured Derivative asset | 58,795,000 | 46,195,000 | ||
Over the Counter [Member] | ' | ' | ||
Offsetting Assets [Line Items] | ' | ' | ||
Derivative Asset, Subject to master netting | 210,960,000 | 234,156,000 | ||
Derivative Asset, Amount Offset Against Collateral And Netting | -186,933,000 | -205,752,000 | ||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 24,027,000 | 28,404,000 | ||
Derivative Asset, Not Subject to Master Netting Arrangement | 171,000 | 159,000 | ||
Derivative assets | 24,198,000 | 28,563,000 | ||
Derivative, Collateral, Obligation to Return Securities that can be sold or repledged | -12,094,000 | -13,778,000 | ||
Net unsecured Derivative asset | 12,104,000 | 14,785,000 | ||
Exchange Cleared [Member] | ' | ' | ||
Offsetting Assets [Line Items] | ' | ' | ||
Derivative Asset, Subject to master netting | 6,326,000 | 15,264,000 | ||
Derivative Asset, Amount Offset Against Collateral And Netting | 40,365,000 | 16,146,000 | ||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 46,691,000 | 31,410,000 | ||
Derivative Asset, Not Subject to Master Netting Arrangement | 0 | 0 | ||
Derivative assets | 46,691,000 | 31,410,000 | ||
Net unsecured Derivative asset | $46,691,000 | $31,410,000 | ||
[1] | Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards). |
Derivatives_and_Hedging_Activi7
Derivatives and Hedging Activities (Offsetting Liabilities) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Offsetting Liabilities [Line Items] | ' | ' |
DerivativeLiability, SubjectToMasterNetting | $695,529 | $834,907 |
Derivative Liability Amount ,Offset Against Collateral And Netting | -606,523 | -657,419 |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 89,006 | 177,488 |
Derivative liabilities | 89,010 | 177,488 |
Net Unsecured Derivative Liability | 89,010 | 98,255 |
Over the Counter [Member] | ' | ' |
Offsetting Liabilities [Line Items] | ' | ' |
DerivativeLiability, SubjectToMasterNetting | 558,830 | 828,187 |
Derivative Liability Amount ,Offset Against Collateral And Netting | -469,824 | -650,699 |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 89,006 | 177,488 |
Derivative Liability, Not Subject to Master Netting Arrangement | 4 | 0 |
Derivative liabilities | 89,010 | 177,488 |
Derivative, Collateral, Right to Reclaim Securities that can be sold or repledged | 0 | -79,233 |
Net Unsecured Derivative Liability | 89,010 | 98,255 |
Exchange Cleared [Member] | ' | ' |
Offsetting Liabilities [Line Items] | ' | ' |
DerivativeLiability, SubjectToMasterNetting | 136,699 | 6,720 |
Derivative Liability Amount ,Offset Against Collateral And Netting | -136,699 | -6,720 |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 0 | 0 |
Derivative liabilities | $0 | $0 |
Consolidated_Obligations_Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Federal Home Loan Bank, Consolidated Obligations, Bonds | $37,901,394 | $37,698,302 |
Consolidated Obligation Bonds | ' | ' |
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Par value of consolidated bonds | 37,868,138 | 37,694,748 |
Unamortized premiums | 78,753 | 87,961 |
Unamortized discount | -13,037 | -14,019 |
Hedging adjustments | -32,460 | -70,389 |
Federal Home Loan Bank, Consolidated Obligations, Bonds | 37,901,394 | 37,698,302 |
Fixed Interest Rate [Member] | Consolidated Obligation Bonds | ' | ' |
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Par value of consolidated bonds | 28,525,638 | 29,062,248 |
Step Up [Member] | Consolidated Obligation Bonds | ' | ' |
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Par value of consolidated bonds | 3,512,500 | 3,052,500 |
Floating Interest Rate [Member] | Consolidated Obligation Bonds | ' | ' |
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Par value of consolidated bonds | $5,830,000 | $5,580,000 |
Consolidated_Obligations_Contr
Consolidated Obligations (Contractual Maturity Terms) (Details) (Consolidated Obligation Bonds, USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Consolidated Obligation Bonds | ' | ' |
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Due in 1 year or less | $12,525,045 | $12,576,595 |
Due in 1 year or less, Weighted Average Interest Rate | 1.10% | 0.94% |
Due after 1 year through 2 years | 6,603,915 | 7,979,165 |
Due after 1 year through 2 years, Weighted Average Interest Rate | 1.67% | 1.75% |
Due after 2 years through 3 years | 3,344,355 | 2,711,605 |
Due after 2 years through 3 years, Weighted Average Interest Rate | 1.94% | 2.29% |
Due after 3 years through 4 years | 2,948,100 | 2,040,700 |
Due after 3 years through 4 years, Weighted Average Interest Rate | 2.00% | 2.25% |
Due after 4 years through 5 years | 4,895,800 | 4,594,700 |
Due after 4 years through 5 years, Weighted Average Interest Rate | 1.49% | 1.50% |
Thereafter | 7,012,990 | 7,151,890 |
Thereafter, Weighted Average Interest Rate | 2.20% | 2.14% |
Index amortizing notes | 537,933 | 640,093 |
Index amortizing notes, Weighted Average Interest Rate | 4.46% | 4.54% |
Par value of consolidated bonds | $37,868,138 | $37,694,748 |
Par value of consolidated obligation bonds, Weighted Average Interest Rate | 1.65% | 1.64% |
Consolidated_Obligations_Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) (Consolidated Obligation Bonds, USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Par value of consolidated bonds | $37,868,138 | $37,694,748 |
Non Callable [Member] | ' | ' |
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Par value of consolidated bonds | 25,118,138 | 26,549,748 |
Callable [Member] | ' | ' |
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Par value of consolidated bonds | $12,750,000 | $11,145,000 |
Consolidated_Obligations_Conso1
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) (Consolidated Obligation Bonds, USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Due in 1 year or less | $12,525,045 | $12,576,595 |
Due after 1 year through 2 years | 6,603,915 | 7,979,165 |
Due after 2 years through 3 years | 3,344,355 | 2,711,605 |
Due after 3 years through 4 years | 2,948,100 | 2,040,700 |
Due after 4 years through 5 years | 4,895,800 | 4,594,700 |
Thereafter | 7,012,990 | 7,151,890 |
Index amortizing notes | 537,933 | 640,093 |
Par value of consolidated bonds | 37,868,138 | 37,694,748 |
Earlier of Contractual Maturity or Next Call Date [Member] | ' | ' |
Schedule of Short-term and Long-term Debt [Line Items] | ' | ' |
Due in 1 year or less | 25,030,045 | 23,436,595 |
Due after 1 year through 2 years | 6,623,915 | 7,914,165 |
Due after 2 years through 3 years | 2,159,355 | 2,196,605 |
Due after 3 years through 4 years | 1,559,600 | 1,437,200 |
Due after 4 years through 5 years | 1,036,800 | 1,150,700 |
Thereafter | 920,490 | 919,390 |
Index amortizing notes | $537,933 | $640,093 |
Consolidated_Obligations_Conso2
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Short-term Debt [Line Items] | ' | ' | ||
Consolidated Obligations, Discount Notes | $21,942,198 | $28,236,257 | ||
Discount Notes | ' | ' | ||
Short-term Debt [Line Items] | ' | ' | ||
Par value | $21,947,181 | $28,242,236 | ||
Weighted average interest rate | 0.10% | [1] | 0.09% | [1] |
[1] | Represents an implied rate. |
Capital_Capital_Requirements_D
Capital (Capital Requirements) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Capital [Abstract] | ' | ' |
Number of Finance Agency Regualtory Capital Requirements | 3 | ' |
Risk-based capital - Required | $985,589 | $1,052,654 |
Total regulatory capital capital ratio - Required | 4.00% | 4.00% |
Total regulatory capital - Required | 2,582,226 | 2,826,837 |
Regulatory Capital, Actual | 3,432,036 | 3,647,902 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage capital - Required | 3,227,783 | 3,533,546 |
Risk-based capital - Actual | 3,432,036 | 3,647,902 |
Total regulatory capital ratio - Actual | 5.30% | 5.20% |
Leverage ratio - Actual | 8.00% | 7.70% |
Leverage capital - Actual | $5,148,053 | $5,471,853 |
Capital_Capital_Concentrations
Capital (Capital Concentrations) (Details) (Capital Stock Ownership By Third Party, USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Capital [Line Items] | ' | ' | ||
Concentration Risk Benchmark, Percent | 10.00% | ' | ||
Chase Bank USA, N.A. | ' | ' | ||
Capital [Line Items] | ' | ' | ||
Concentration Risk Benchmark, Percent | 16.40% | 14.80% | ||
Capital Stock | $439,831 | $439,802 | ||
PNC Bank N.A. | ' | ' | ||
Capital [Line Items] | ' | ' | ||
Concentration Risk Benchmark, Percent | 22.00% | [1] | 20.30% | [1] |
Capital Stock | 588,905 | [1] | 601,605 | [2] |
Santander Bank N.A. | ' | ' | ||
Capital [Line Items] | ' | ' | ||
Concentration Risk Benchmark, Percent | 12.40% | 14.10% | ||
Capital Stock | 333,234 | 416,685 | ||
Ally Bank [Member] | ' | ' | ||
Capital [Line Items] | ' | ' | ||
Concentration Risk Benchmark, Percent | ' | 10.40% | [2] | |
Capital Stock | ' | $307,800 | [2] | |
[1] | For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA. | |||
[2] | For Ally Bank, the principal place of business is Horsham, PA. |
Capital_Mandatorily_Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | ||
Institutions | ||||
Capital [Abstract] | ' | ' | ||
Balance, beginning of the period | $40 | $431,566 | ||
Shares Reclassified to Mandatorily Redeemable Capital Stock Value | 1,978 | 698 | ||
Other redemptions (1) | -157 | [1] | -63,441 | [1] |
Balance, end of the period | 1,861 | 368,823 | ||
Dividends on mandatorily redeemable capital stock | $14 | $289 | ||
Financial Instruments Subject to Mandatory Redemption, Number of Institutions | 2 | ' | ||
Financial Instruments Subject to Mandatory Redemption, Number of Nonmember Institutions | 1 | ' | ||
Financial Instruments Subject to Mandatory Redemption, Number of Institutions Voluntarily Withdrawn | 1 | ' | ||
[1] | Reflects the impact on mandatorily redeemable capital stock related to excess capital stock repurchases. |
Capital_Mandatorily_Redeemable1
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||||
Capital [Abstract] | ' | ' | ' | ' |
Due in 1 year or less | $0 | $0 | ' | ' |
Due after 1 year through 2 years | 40 | 40 | ' | ' |
Due after 2 years through 3 years | 0 | 0 | ' | ' |
Due after 3 years through 4 years | 0 | 0 | ' | ' |
Due after 4 years through 5 years | 1,821 | 0 | ' | ' |
Total | $1,861 | $40 | $368,823 | $431,566 |
Capital_Dividends_and_Retained
Capital (Dividends and Retained Earnings) (Details) (USD $) | 0 Months Ended | 3 Months Ended | 0 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Feb. 21, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Apr. 30, 2014 |
Dividend Paid [Member] | ||||
Capital [Line Items] | ' | ' | ' | ' |
Capital stock, Par value Per Share | ' | $100 | $100 | ' |
Joint Capital Enhancement Agreement Percentage | ' | 20.00% | ' | ' |
Retained Earnings (Accumulated Deficit) | ' | $748,819 | $685,719 | ' |
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter | ' | 1.00% | ' | ' |
Unrestricted | ' | 672,758 | 625,636 | ' |
Restricted | ' | $76,061 | $60,083 | ' |
Dividends, Per Share, Cash, Annualized Rate | 2.50% | ' | ' | 4.00% |
Capital_Accumulated_Other_Comp
Capital (Accumulated Other Comprehensive Income (Loss)) (Details) (USD $) | 3 Months Ended | 3 Months Ended | 3 Months Ended | |||||||||||||||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 |
Net Unrealized Gains(Losses) on AFS | Net Unrealized Gains(Losses) on AFS | Net Unrealized Gains(Losses) on AFS | Net Unrealized Gains(Losses) on AFS | Net Unrealized Gains(Losses) on AFS | Net Unrealized Gains(Losses) on AFS | Noncredit OTTI Gains(Losses) | Noncredit OTTI Gains(Losses) | Noncredit OTTI Gains(Losses) | Noncredit OTTI Gains(Losses) | Noncredit OTTI Gains(Losses) | Noncredit OTTI Gains(Losses) | Pension and Post Retirement Plans | Pension and Post Retirement Plans | Total AOCI | Total AOCI | |||
Available-for-sale Securities | Available-for-sale Securities | Net Unrealized Gains on Hedging Activities[Member] | Net Unrealized Gains on Hedging Activities[Member] | Net Unrealized Gains on Hedging Activities[Member] | Net Unrealized Gains on Hedging Activities[Member] | Available-for-sale Securities | Available-for-sale Securities | Held-to-maturity Securities | Held-to-maturity Securities | Held-to-maturity Securities | Held-to-maturity Securities | |||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total AOCI income (loss), Beginning of period | ' | ' | ($32,481) | $35,390 | $287 | $287 | $286 | $286 | $77,642 | $18,999 | $0 | $0 | $0 | $0 | ($1,108) | ($970) | $44,340 | $53,705 |
Net unrealized gains (losses) | ' | ' | 24,528 | -4,838 | ' | ' | ' | ' | -575 | 15,060 | ' | ' | ' | ' | ' | ' | 23,953 | 10,222 |
Net change in fair value of OTTI securities | 2,018 | 14,364 | ' | ' | ' | ' | ' | ' | 2,018 | 14,364 | ' | ' | ' | ' | ' | ' | 2,018 | 14,364 |
Noncredit OTTI to Credit OTTI | ' | ' | ' | ' | ' | ' | ' | ' | ' | 442 | ' | ' | ' | ' | ' | ' | ' | 442 |
Amortization - Pension and post-retirement | 39 | 26 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 39 | 26 | 39 | 26 |
Total AOCI income (loss), End of period | ' | ' | ($7,953) | $30,552 | $287 | $287 | $286 | $286 | $79,085 | $48,865 | $0 | $0 | $0 | $0 | ($1,069) | ($944) | $70,350 | $78,759 |
Transactions_with_Related_Part2
Transactions with Related Parties (By Balance Sheet Grouping) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Related Party Transaction [Line Items] | ' | ' |
Federal funds sold | $2,830,000 | $2,875,000 |
Investments | 11,142,994 | 10,992,437 |
Federal Home Loan Bank Advances At Par Value | 45,580,585 | 49,714,038 |
Advances | 46,063,912 | 50,247,435 |
MPF loans | 3,116,580 | 3,170,589 |
Capital stock | 2,681,356 | 2,962,143 |
Principal Owner [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Federal funds sold | 0 | 45,000 |
Investments | 167,720 | 168,905 |
Federal Home Loan Bank Advances At Par Value | 30,353,457 | ' |
Advances | ' | 37,978,850 |
Letters of credit | 7,480,653 | 7,206,562 |
MPF loans | 1,558,205 | 1,633,238 |
Deposits | 11,756 | 10,422 |
Capital stock | $1,426,849 | $1,834,397 |
Transactions_with_Related_Part3
Transactions with Related Parties (Statement of Income Effects) (Details) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | ||
Related Party Transaction [Line Items] | ' | ' | ||
Interest income on advances (1) | $59,973 | $55,780 | ||
Interest Income on MPF | 33,364 | 37,634 | ||
Letter of credit fees | 4,471 | 2,327 | ||
Total MPF Loan Volume Purchased | 54,609 | 171,029 | ||
Prepayment Fees on Advances, Net | 3,091 | 1,713 | ||
Principal Owner [Member] | ' | ' | ||
Related Party Transaction [Line Items] | ' | ' | ||
Interest income on advances (1) | 32,803 | [1] | 31,122 | [1] |
Interest Income on MPF | 21,306 | 28,186 | ||
Total MPF Loan Volume Purchased | 889 | 2,262 | ||
Prepayment Fees on Advances, Net | 3,090 | 0 | ||
Standby Letters of Credit | ' | ' | ||
Related Party Transaction [Line Items] | ' | ' | ||
Letter of credit fees | 4,000 | 1,900 | ||
Standby Letters of Credit | Principal Owner [Member] | ' | ' | ||
Related Party Transaction [Line Items] | ' | ' | ||
Letter of credit fees | $1,882 | $19 | ||
[1] | For the three months ended March 31, 2014, balances include contractual interest income of $83.6 million, net interest settlements on derivatives in fair value hedge relationships of $(48.7) million and total amortization of basis adjustments of $(2.1) million. For the three months ended March 31, 2013, balances include contractual interest income of $83.9 million, net interest settlements on derivatives in fair value hedge relationships of $(52.0) million and total amortization of basis adjustments of $(0.8) million. |
Transactions_with_Related_Part4
Transactions with Related Parties (Transactions with Other FHLBanks) (Details) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Related Party Transaction [Line Items] | ' | ' | ' |
Interest income on MPF | $33,364 | $37,634 | ' |
Principal Owner [Member] | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' |
Interest income on MPF | 21,306 | 28,186 | ' |
FHLBank of Chicago [Member] | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' |
Servicing fee expense | 237 | 217 | ' |
Interest income on MPF | 0 | 4 | ' |
Interest-bearing deposits maintained with FHLBank of Chicago | $5,459 | ' | $7,795 |
Transactions_with_Related_Part5
Transactions with Related Parties (Narrative) (Details) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Related Party Transaction [Line Items] | ' | ' |
Net gains (losses) on derivatives and hedging activities | ($9,199,000) | $1,584,000 |
Principal Owner [Member] | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Contractual interest income | 83,600,000 | 83,900,000 |
Net gains (losses) on derivatives and hedging activities | -48,700,000 | -52,000,000 |
Total amortization of basis adjustments | ($2,100,000) | ($800,000) |
Estimated_Fair_Values_Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Trading securities | $259,446 | $239,190 | ' | ' |
AFS securities | 7,061,145 | 6,757,717 | ' | ' |
HTM securities | 3,868,330 | 4,034,830 | ' | ' |
Derivative assets | 70,889 | 59,973 | ' | ' |
Mandatorily redeemable capital stock | 1,861 | 40 | 368,823 | 431,566 |
Derivative liabilities | 89,010 | 177,488 | ' | ' |
Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Cash and due from banks | 1,141,287 | 3,121,345 | ' | ' |
Interest-bearing deposits | 5,459 | 7,795 | ' | ' |
Federal funds sold | 2,829,993 | 2,874,983 | ' | ' |
Trading securities | 259,446 | 239,190 | ' | ' |
AFS securities | 7,061,145 | 6,757,717 | ' | ' |
HTM securities | 3,868,330 | 4,034,830 | ' | ' |
Advances | 46,193,744 | 50,346,040 | ' | ' |
Accrued interest receivable | 82,651 | 95,374 | ' | ' |
Derivative assets | 70,889 | 59,973 | ' | ' |
Deposits | 780,357 | 694,357 | ' | ' |
Mandatorily redeemable capital stock | 1,861 | 40 | ' | ' |
Accrued interest payable | 143,873 | 97,689 | ' | ' |
Derivative liabilities | 89,010 | 177,488 | ' | ' |
Carrying (Reported) Amount, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Cash and due from banks | 1,141,287 | 3,121,345 | ' | ' |
Interest-bearing deposits | 5,459 | 7,795 | ' | ' |
Federal funds sold | 2,830,000 | 2,875,000 | ' | ' |
Trading securities | 259,446 | 239,190 | ' | ' |
AFS securities | 7,061,145 | 6,757,717 | ' | ' |
Held to Maturity - Fair Value disclosure | 3,822,403 | 3,995,530 | ' | ' |
Advances | 46,063,912 | 50,247,435 | ' | ' |
Accrued interest receivable | 82,651 | 95,374 | ' | ' |
Derivative assets | 70,889 | 59,973 | ' | ' |
Deposits | 780,355 | 694,352 | ' | ' |
Mandatorily redeemable capital stock | 1,861 | 40 | ' | ' |
Accrued interest payable | 143,873 | 97,689 | ' | ' |
Derivative liabilities | 89,010 | 177,488 | ' | ' |
Fair Value, Inputs, Level 1 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Cash and due from banks | 1,141,287 | 3,121,345 | ' | ' |
Interest-bearing deposits | 0 | 0 | ' | ' |
Federal funds sold | 0 | 0 | ' | ' |
Trading securities | 4,798 | 4,576 | ' | ' |
AFS securities | 1,998 | 1,998 | ' | ' |
HTM securities | 0 | 0 | ' | ' |
Advances | 0 | 0 | ' | ' |
Accrued interest receivable | 0 | 0 | ' | ' |
Derivative assets | 0 | 0 | ' | ' |
Deposits | 0 | ' | ' | ' |
Mandatorily redeemable capital stock | 1,861 | 40 | ' | ' |
Accrued interest payable | 0 | 0 | ' | ' |
Derivative liabilities | 0 | 0 | ' | ' |
Fair Value, Inputs, Level 2 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Cash and due from banks | 0 | 0 | ' | ' |
Interest-bearing deposits | 5,459 | 7,795 | ' | ' |
Federal funds sold | 2,829,993 | 2,874,983 | ' | ' |
Trading securities | 254,648 | 234,614 | ' | ' |
AFS securities | 5,968,103 | 5,617,667 | ' | ' |
HTM securities | 3,042,877 | 3,164,059 | ' | ' |
Advances | 46,193,744 | 50,346,040 | ' | ' |
Accrued interest receivable | 82,651 | 95,374 | ' | ' |
Derivative assets | 217,457 | 249,579 | ' | ' |
Deposits | 780,357 | 694,357 | ' | ' |
Mandatorily redeemable capital stock | 0 | 0 | ' | ' |
Accrued interest payable | 143,873 | 97,689 | ' | ' |
Derivative liabilities | 695,533 | 834,907 | ' | ' |
Fair Value, Inputs, Level 3 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Cash and due from banks | 0 | 0 | ' | ' |
Interest-bearing deposits | 0 | 0 | ' | ' |
Federal funds sold | 0 | 0 | ' | ' |
Trading securities | 0 | 0 | ' | ' |
AFS securities | 1,091,044 | 1,138,052 | ' | ' |
HTM securities | 825,453 | 870,771 | ' | ' |
Advances | 0 | 0 | ' | ' |
Accrued interest receivable | 0 | 0 | ' | ' |
Derivative assets | 0 | 0 | ' | ' |
Deposits | 0 | ' | ' | ' |
Mandatorily redeemable capital stock | 0 | 0 | ' | ' |
Accrued interest payable | 0 | 0 | ' | ' |
Derivative liabilities | 0 | 0 | ' | ' |
Netting and Collateral | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Cash and due from banks | 0 | 0 | ' | ' |
Interest-bearing deposits | 0 | 0 | ' | ' |
Federal funds sold | 0 | 0 | ' | ' |
Trading securities | 0 | 0 | ' | ' |
AFS securities | 0 | ' | ' | ' |
HTM securities | 0 | 0 | ' | ' |
Advances | 0 | 0 | ' | ' |
Accrued interest receivable | 0 | 0 | ' | ' |
Derivative assets | -146,568 | -189,606 | ' | ' |
Deposits | 0 | 0 | ' | ' |
Mandatorily redeemable capital stock | 0 | 0 | ' | ' |
Accrued interest payable | 0 | 0 | ' | ' |
Derivative liabilities | -606,523 | -657,419 | ' | ' |
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 3,321,489 | 3,351,450 | ' | ' |
Mortgage loans held for portfolio, net | Carrying (Reported) Amount, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 3,174,294 | 3,224,091 | ' | ' |
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 1 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 0 | 0 | ' | ' |
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 2 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 3,321,489 | 3,351,450 | ' | ' |
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 3 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 0 | 0 | ' | ' |
Mortgage loans held for portfolio, net | Netting and Collateral | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 0 | 0 | ' | ' |
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 11,161 | 11,400 | ' | ' |
Banking on Business Loans | Carrying (Reported) Amount, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 11,161 | 11,400 | ' | ' |
Banking on Business Loans | Fair Value, Inputs, Level 1 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 0 | 0 | ' | ' |
Banking on Business Loans | Fair Value, Inputs, Level 2 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 0 | 0 | ' | ' |
Banking on Business Loans | Fair Value, Inputs, Level 3 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 11,161 | 11,400 | ' | ' |
Banking on Business Loans | Netting and Collateral | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Loans | 0 | 0 | ' | ' |
Discount Notes | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Discount notes | 21,943,859 | 28,238,042 | ' | ' |
Discount Notes | Carrying (Reported) Amount, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Discount notes | 21,942,198 | 28,236,257 | ' | ' |
Discount Notes | Fair Value, Inputs, Level 1 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Discount notes | 0 | 0 | ' | ' |
Discount Notes | Fair Value, Inputs, Level 2 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Discount notes | 21,943,859 | 28,238,042 | ' | ' |
Discount Notes | Fair Value, Inputs, Level 3 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Discount notes | 0 | 0 | ' | ' |
Discount Notes | Netting and Collateral | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Discount notes | 0 | 0 | ' | ' |
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Bonds | 38,067,644 | 37,847,493 | ' | ' |
Consolidated Obligation Bonds | Carrying (Reported) Amount, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Bonds | 37,901,394 | 37,698,302 | ' | ' |
Consolidated Obligation Bonds | Fair Value, Inputs, Level 1 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Bonds | 0 | 0 | ' | ' |
Consolidated Obligation Bonds | Fair Value, Inputs, Level 2 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Bonds | 38,067,644 | 37,847,493 | ' | ' |
Consolidated Obligation Bonds | Fair Value, Inputs, Level 3 | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Bonds | 0 | 0 | ' | ' |
Consolidated Obligation Bonds | Netting and Collateral | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' |
Bonds | $0 | $0 | ' | ' |
Estimated_Fair_Values_Valuatio
Estimated Fair Values (Valuation Techniques) (Details) | Mar. 31, 2014 |
vendor | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | ' |
Fair Value Measurements, Valuation Techniques, Number of Third Party Vendor Prices Received | 4 |
Estimated_Fair_Values_Fair_Val
Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | $259,446 | $239,190 | ||
AFS securities | 7,061,145 | 6,757,717 | ||
Total Derivative assets | 70,889 | 59,973 | ||
Total Derivative liabilities | 89,010 | 177,488 | ||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 4,798 | 4,576 | ||
AFS securities | 1,998 | 1,998 | ||
Derivative assets: Interest rate related | 0 | 0 | ||
Total Derivative assets | 0 | 0 | ||
Total assets at fair value | 6,796 | 6,574 | ||
Derivative liabilities: Interest rate related | 0 | 0 | ||
Total Derivative liabilities | 0 | [1] | 0 | [1] |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 254,648 | 234,614 | ||
AFS securities | 5,968,103 | 5,617,667 | ||
Derivative assets: Interest rate related | 217,286 | 249,419 | ||
Total Derivative assets | 217,457 | 249,579 | ||
Total assets at fair value | 6,440,208 | 6,101,860 | ||
Derivative liabilities: Interest rate related | 695,529 | 834,907 | ||
Total Derivative liabilities | 695,533 | [1] | 834,907 | [1] |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 0 | 0 | ||
AFS securities | 1,091,044 | 1,138,052 | ||
Derivative assets: Interest rate related | 0 | 0 | ||
Total Derivative assets | 0 | 0 | ||
Total assets at fair value | 1,091,044 | 1,138,052 | ||
Derivative liabilities: Interest rate related | 0 | 0 | ||
Total Derivative liabilities | 0 | [1] | 0 | [1] |
Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 0 | [2] | 0 | [2] |
AFS securities | 0 | [2] | 0 | [2] |
Derivative assets: Interest rate related | -146,568 | [2] | -189,606 | [2] |
Total Derivative assets | -146,568 | [2] | -189,606 | [2] |
Total assets at fair value | -146,568 | [2] | -189,606 | [2] |
Derivative liabilities: Interest rate related | -606,523 | [2] | -657,419 | [2] |
Total Derivative liabilities | -606,523 | [1],[2] | -657,419 | [1],[2] |
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 259,446 | 239,190 | ||
AFS securities | 7,061,145 | 6,757,717 | ||
Derivative assets: Interest rate related | 70,718 | 59,813 | ||
Total Derivative assets | 70,889 | 59,973 | ||
Total assets at fair value | 7,391,480 | 7,056,880 | ||
Derivative liabilities: Interest rate related | 89,006 | 177,488 | ||
Total Derivative liabilities | 89,010 | [1] | 177,488 | [1] |
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Derivative assets: Mortgage delivery commitments | 0 | 0 | ||
Derivative liabilities: Mortgage delivery commitments | 0 | ' | ||
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Derivative assets: Mortgage delivery commitments | 171 | 160 | ||
Derivative liabilities: Mortgage delivery commitments | 4 | ' | ||
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Derivative assets: Mortgage delivery commitments | 0 | 0 | ||
Derivative liabilities: Mortgage delivery commitments | 0 | ' | ||
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Derivative assets: Mortgage delivery commitments | 0 | [2] | 0 | [2] |
Derivative liabilities: Mortgage delivery commitments | 0 | ' | ||
Mortgage Delivery Commitments [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Derivative assets: Mortgage delivery commitments | 171 | 160 | ||
Derivative liabilities: Mortgage delivery commitments | 4 | ' | ||
Mutual Funds [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 4,798 | 4,576 | ||
AFS securities | 1,998 | 1,998 | ||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 4,798 | 4,576 | ||
AFS securities | 1,998 | 1,998 | ||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 0 | [2] | 0 | [2] |
AFS securities | 0 | [2] | 0 | [2] |
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 4,798 | 4,576 | ||
AFS securities | 1,998 | 1,998 | ||
GSE Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 254,648 | 234,614 | ||
AFS securities | 2,115,508 | 2,096,177 | ||
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 254,648 | 234,614 | ||
AFS securities | 2,115,508 | 2,096,177 | ||
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 0 | 0 | ||
AFS securities | 0 | ' | ||
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 0 | [2] | 0 | [2] |
AFS securities | 0 | [2] | ' | [2] |
GSE Securities [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Trading securities | 254,648 | 234,614 | ||
AFS securities | 2,115,508 | 2,096,177 | ||
State or local agency obligations [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 13,999 | 14,043 | ||
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 13,999 | 14,043 | ||
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | [2] | 0 | [2] |
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 13,999 | 14,043 | ||
Other US obligations MBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 371,803 | 385,296 | ||
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 371,803 | 385,296 | ||
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | [2] | 0 | [2] |
Other US obligations MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 371,803 | 385,296 | ||
GSE residential MBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 3,466,793 | 3,122,151 | ||
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 3,466,793 | 3,122,151 | ||
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | [2] | 0 | [2] |
GSE residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 3,466,793 | 3,122,151 | ||
Private label residential MBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 1,077,021 | 1,123,624 | ||
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 1,077,021 | 1,123,624 | ||
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | [2] | 0 | [2] |
Private label residential MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 1,077,021 | 1,123,624 | ||
HELOCs [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 14,023 | 14,428 | ||
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | 0 | ||
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 14,023 | 14,428 | ||
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Netting and Collateral | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | 0 | [2] | 0 | [2] |
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
AFS securities | $14,023 | $14,428 | ||
[1] | Derivative liabilities represent the total liabilities at fair value. | |||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive andB negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. |
Estimated_Fair_Values_Level_3_
Estimated Fair Values (Level 3 Reconciliation) (Details) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ||
Net OTTI losses, credit portion | $0 | [1] | ($442) | [1] |
Net change in fair value on OTTI AFS in OCI | 2,018 | 14,364 | ||
Unrealized gains on OTTI AFS in OCI | -575 | 15,060 | ||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | Available-for-Sale Securities, Private Label Residential Mortgage Backed Securities [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ||
Balance at January 1 | 1,123,624 | 1,410,476 | ||
Accretion of credit losses in interest income | 2,936 | -1,494 | ||
Net OTTI losses, credit portion | ' | -345 | ||
Net unrealized gains (losses) on AFS in OCI | -30 | 175 | ||
Reclassification of non-credit portion included in net income | ' | 345 | ||
Net change in fair value on OTTI AFS in OCI | 1,998 | 14,323 | ||
Unrealized gains on OTTI AFS in OCI | -684 | 14,898 | ||
Purchases, issuances, sales, and settlements: | ' | ' | ||
Settlements | -50,823 | -82,025 | ||
Balance at March 31 | 1,077,021 | 1,356,353 | ||
Total amount of losses for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held | 2,936 | -1,839 | ||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | Available-for-Sale Securities, Home Equity Lines Of Credit [Member] | ' | ' | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ||
Balance at January 1 | 14,428 | 14,758 | ||
Accretion of credit losses in interest income | 330 | 224 | ||
Net OTTI losses, credit portion | ' | -97 | ||
Net unrealized gains (losses) on AFS in OCI | 0 | 0 | ||
Reclassification of non-credit portion included in net income | ' | 97 | ||
Net change in fair value on OTTI AFS in OCI | 20 | 41 | ||
Unrealized gains on OTTI AFS in OCI | 109 | 162 | ||
Purchases, issuances, sales, and settlements: | ' | ' | ||
Settlements | -864 | -904 | ||
Balance at March 31 | 14,023 | 14,281 | ||
Total amount of losses for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held | $330 | $127 | ||
Private Label Residential MBS [Member] | ' | ' | ||
Purchases, issuances, sales, and settlements: | ' | ' | ||
Number of securities transferred from HTM to AFS | 0 | ' | ||
[1] | For the three months ended March 31, 2014 and 2013, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2014 and 2013. |
Commitments_and_Contingencies_1
Commitments and Contingencies (Details) (USD $) | 3 Months Ended | ||||
Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 | |||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Letter of credit fees | $4,471,000 | $2,327,000 | ' | ||
Other Liabilities - Standby Letter of Credit Fees | 152,557,000 | ' | 38,236,000 | ||
Standby Letters of Credit Issuance Commitments | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Off-balance Sheet Risks, Total Liability | 417,800,000 | ' | 154,100,000 | ||
Standby Letters of Credit | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Letter of credit fees | 4,000,000 | 1,900,000 | ' | ||
Off-balance Sheet Risks, Expiring Within One Year | 10,496,515,000 | [1] | ' | ' | |
Off-balance Sheet Risks, Expiring After One Year | 4,981,164,000 | [2] | ' | ' | |
Off-balance Sheet Risks, Total Liability | 15,477,679,000 | [1] | ' | 14,665,346,000 | [1] |
Other Liabilities - Standby Letter of Credit Fees | 3,100,000 | ' | 3,700,000 | ||
Advances and BOB Loan Commitments | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Off-balance Sheet Risks, Expiring Within One Year | 5,664,000 | ' | ' | ||
Off-balance Sheet Risks, Expiring After One Year | 0 | ' | ' | ||
Off-balance Sheet Risks, Total Liability | 5,664,000 | ' | 411,249,000 | ||
MPF Commitments | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Off-balance Sheet Risks, Expiring Within One Year | 15,084,000 | ' | ' | ||
Off-balance Sheet Risks, Expiring After One Year | 0 | ' | ' | ||
Off-balance Sheet Risks, Total Liability | 15,084,000 | ' | 12,279,000 | ||
Consolidated Obligations, Bonds | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Off-balance Sheet Risks, Expiring Within One Year | 532,300,000 | [3] | ' | ' | |
Off-balance Sheet Risks, Expiring After One Year | 0 | ' | ' | ||
Off-balance Sheet Risks, Total Liability | 532,300,000 | [3] | ' | 32,000,000 | [3] |
Consolidated Obligations, Discount Notes | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Off-balance Sheet Risks, Expiring Within One Year | 0 | ' | ' | ||
Off-balance Sheet Risks, Expiring After One Year | 0 | ' | ' | ||
Off-balance Sheet Risks, Total Liability | 0 | ' | 750,000,000 | ||
Interest Rate Swap | Consolidated Obligations, Bonds | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Off-balance Sheet Risks, Total Liability | 500,000,000 | ' | 15,000,000 | ||
Open RepoPlus Advance Product | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Open Repo Plus Product Outstanding | $6,900,000,000 | ' | $6,400,000,000 | ||
Minimum | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Standby Letters Of Credit, Original Terms | 'less than one month | ' | ' | ||
Maximum | ' | ' | ' | ||
Loss Contingencies [Line Items] | ' | ' | ' | ||
Standby Letters Of Credit, Original Terms | '5 years | ' | ' | ||
Maximum Commitment Period | '45 days | ' | ' | ||
[1] | Excludes approved requests to issue future standby letters of credit of $417.8 million and $154.1 million at MarchB 31, 2014 and DecemberB 31, 2013, respectively. | ||||
[2] | These letters of credit have a final expiration date exceeding one year but are subject to non-renewal every year or less. | ||||
[3] | Includes $500.0 million and $15.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at MarchB 31, 2014 and DecemberB 31, 2013, respectively. |