Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Jul. 29, 2016 | |
Entity Information [Line Items] | ||
Entity Registrant Name | Federal Home Loan Bank of Pittsburgh | |
Entity Central Index Key | 1,330,399 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 30,945,070 |
Statements of Income
Statements of Income - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Interest income: | ||||
Advances | $ 135,829 | $ 81,632 | $ 267,685 | $ 155,373 |
Prepayment fees on advances, net | 20,676 | 248 | 20,753 | 1,316 |
Interest-bearing deposits | 321 | 73 | 660 | 152 |
Securities purchased under agreements to resell | 1,069 | 180 | 1,493 | 341 |
Federal funds sold | 5,380 | 1,487 | 11,687 | 2,866 |
Trading securities | 2,816 | 2,215 | 5,632 | 4,212 |
Available-for-sale (AFS) securities | 38,600 | 37,457 | 77,400 | 74,690 |
Held-to-maturity (HTM) securities | 13,945 | 16,325 | 28,465 | 33,028 |
Mortgage loans held for portfolio | 28,937 | 29,719 | 58,637 | 60,475 |
Total interest income | 247,573 | 169,336 | 472,412 | 332,453 |
Interest expense: | ||||
Consolidated obligations - discount notes | 26,841 | 10,283 | 60,103 | 19,385 |
Consolidated obligations - bonds | 126,683 | 77,913 | 236,326 | 156,336 |
Mandatorily redeemable capital stock | 83 | 7 | 157 | 8 |
Deposits | 417 | 57 | 813 | 112 |
Other borrowings | 7 | 3 | 9 | 7 |
Total interest expense | 154,031 | 88,263 | 297,408 | 175,848 |
Net interest income | 93,542 | 81,073 | 175,004 | 156,605 |
Provision (benefit) for credit losses | 212 | 278 | 438 | (183) |
Net interest income after provision (benefit) for credit losses | 93,330 | 80,795 | 174,566 | 156,788 |
Other noninterest income (loss): | ||||
Total OTTI losses (Note 5) | 0 | (1,509) | 0 | (1,509) |
OTTI losses reclassified to (from) AOCI (Note 5) | 0 | 1,026 | (239) | 1,026 |
Net OTTI losses, credit portion (Note 5) | 0 | (483) | (239) | (483) |
Net gains (losses) on trading securities (Note 2) | 10,888 | (10,133) | 28,162 | (3,356) |
Realized gains from sales of AFS securities (Note 3) | 0 | 0 | 12,708 | 0 |
Net gains (losses) on derivatives and hedging activities (Note 9) | (16,386) | 29,133 | (52,007) | 21,561 |
Gains on litigation settlement, net | 463 | 0 | 463 | 15,263 |
Standby letters of credit fees | 6,100 | 7,005 | 12,399 | 12,954 |
Other, net | 255 | 708 | 671 | 1,274 |
Total other noninterest income | 1,320 | 26,230 | 2,157 | 47,213 |
Noninterest Expense [Abstract] | ||||
Compensation and benefits | 11,752 | 9,077 | 21,974 | 19,398 |
Other operating | 6,155 | 5,833 | 12,458 | 11,099 |
Finance Agency | 1,401 | 1,167 | 3,056 | 2,547 |
Office of Finance | 936 | 1,356 | 1,993 | 2,343 |
Total other expense | 20,244 | 17,433 | 39,481 | 35,387 |
Income before assessments | 74,406 | 89,592 | 137,242 | 168,614 |
Affordable Housing Program (AHP) assessment | 7,449 | 8,960 | 13,740 | 16,862 |
Net Income | $ 66,957 | $ 80,632 | $ 123,502 | $ 151,752 |
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock) | 32,266 | 31,884 | 33,071 | 30,632 |
Basic and diluted earnings per share | $ 2.08 | $ 2.53 | $ 3.73 | $ 4.95 |
Dividends per share | $ 1.23 | $ 1.09 | $ 2.41 | $ 4.39 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Net Income | $ 66,957 | $ 80,632 | $ 123,502 | $ 151,752 |
Net unrealized gains (losses) on AFS securities: | ||||
Unrealized gains (losses) | 34,041 | (24,755) | 71,845 | (2,267) |
Reclassification of realized gains included in net income | 0 | 0 | (11,291) | 0 |
Total net unrealized gains (losses) on AFS | 34,041 | (24,755) | 60,554 | (2,267) |
Net non-credit portion of OTTI gains (losses) on AFS securities: | ||||
Non-credit portion of OTTI losses transferred from HTM securities | 0 | (1,026) | 0 | (1,026) |
Net change in fair value of OTTI securities | 5,166 | (11,236) | (6,884) | (9,175) |
Reclassification of gains included in net income | 0 | 0 | (1,417) | 0 |
Net amount of impairment losses reclassified to non-interest income | 0 | 0 | 239 | 0 |
Total net non-credit portion of OTTI gains (losses) on AFS securities | 5,166 | (12,262) | (8,062) | (10,201) |
Net non-credit portion of OTTI losses on HTM securities: | ||||
Non-credit portion | 0 | (1,026) | 0 | (1,026) |
Transfer of non-credit portion from HTM to AFS securities | 0 | 1,026 | 0 | 1,026 |
Total net non-credit portion of OTTI losses on HTM securities | 0 | 0 | 0 | 0 |
Reclassification of net losses (gains) included in net income relating to hedging activities | (5) | (4) | (12) | (12) |
Pension and post-retirement benefits | 43 | 82 | 86 | 164 |
Total other comprehensive income (loss) | 39,245 | (36,939) | 52,566 | (12,316) |
Total Comprehensive Income | $ 106,202 | $ 43,693 | $ 176,068 | $ 139,436 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
ASSETS | ||
Cash and due from banks | $ 2,645,861 | $ 2,376,964 |
Interest-bearing deposits | 5,105 | 6,075 |
Federal funds sold | 2,545,000 | 3,980,000 |
Securities Purchased under agreements to Resell | 500,000 | 1,000,000 |
Investment securities | ||
Trading securities (Note 2) | 423,583 | 394,737 |
AFS securities at fair value (Note 3) | 8,635,820 | 8,099,894 |
HTM securities; fair value of $2,449,662 and $2,684,071, respectively (Note 4) | 2,419,172 | 2,663,304 |
Total investment securities | 11,478,575 | 11,157,935 |
Advances, net (Note 6) | 66,336,391 | 74,504,776 |
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $5,927 and $5,665, respectively (Note 8) | 3,154,342 | 3,086,855 |
Banking on Business (BOB) loans, net of allowance for credit losses of $1,886 and $2,052, respectively (Note 8) | 11,204 | 11,276 |
Accrued interest receivable | 108,246 | 107,345 |
Property, software and equipment, net | 11,354 | 10,687 |
Derivative assets (Note 9) | 90,109 | 65,855 |
Other assets | 20,274 | 22,015 |
Total assets | 86,906,461 | 96,329,783 |
Deposits | ||
Interest-bearing | 602,055 | 635,468 |
Noninterest-bearing | 43,958 | 50,469 |
Total deposits | 646,013 | 685,937 |
Consolidated obligations, net: (Note 10) | ||
Discount notes | 20,814,244 | 42,275,544 |
Bonds | 60,769,201 | 48,600,753 |
Total consolidated obligations, net | 81,583,445 | 90,876,297 |
Mandatory redeemable capital stock (Note 11) | 5,694 | 6,053 |
Accrued interest payable | 107,354 | 92,765 |
AHP payable | 73,763 | 70,907 |
Derivative liabilities (Note 9) | 15,197 | 42,508 |
Other liabilities | 184,594 | 53,715 |
Total liabilities | 82,616,060 | 91,828,182 |
Commitments and contingencies ( Note 14) | ||
Capital (Note 11) | ||
Capital stock - putable ($100 par value) issued and outstanding 32,321 and 35,396 shares, respectively | 3,232,118 | 3,539,648 |
Retained earnings: | ||
Unrestricted | 737,790 | 718,727 |
Restricted | 187,244 | 162,543 |
Total retained earnings | 925,034 | 881,270 |
Accumulated Other Comprehensive Income (AOCI) | 133,249 | 80,683 |
Total capital | 4,290,401 | 4,501,601 |
Total liabilities and capital | $ 86,906,461 | $ 96,329,783 |
Statement of Condition (Parenth
Statement of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
ASSETS | ||
Held to maturity securities - fair value | $ 2,449,662 | $ 2,684,071 |
Allowance for Credit losses, Mortgage Loans | 5,927 | 5,665 |
Allowance for Credit Losses, BOB loans | $ 1,886 | $ 2,052 |
Stockholders' Equity Attributable to Parent [Abstract] | ||
Capital Stock, Par value Per Share | $ 100 | $ 100 |
Capital Stock, Shares, Issued and Outstanding | 32,321 | 35,396 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
OPERATING ACTIVITIES | ||
Net Income | $ 123,502 | $ 151,752 |
Adjustments to reconcile net income to net cash provided by(used in) operating activities: | ||
Depreciation and amortization | (35,618) | (39,215) |
Net change in derivative and hedging activities | 41,708 | 836 |
Net OTTI credit losses | 239 | 483 |
Realized gains from sales of AFS securities | (12,708) | 0 |
Other adjustments | 434 | (183) |
Net change in: | ||
Trading securities | (28,846) | (65,022) |
Accrued interest receivable | (911) | (7,747) |
Other assets | (576) | (131) |
Accrued interest payable | 14,592 | 608 |
Other liabilities | (2,011) | 8,518 |
Net cash provided by operating activities | 99,805 | 49,899 |
Net change in: | ||
Interest-bearing deposits (including $970 and $297 from other FHLBanks for mortgage loan program) | (142,325) | 79,664 |
Securities purchased under agreements to resell | 500,000 | 0 |
Federal funds sold | 1,435,000 | 1,775,000 |
AFS securities: | ||
Proceeds (includes $197,999 from sale of AFS securities in 2016) | 1,718,389 | 2,533,060 |
Purchases | (1,950,184) | (1,931,157) |
HTM securities: | ||
Proceeds from long-term maturities | 315,195 | 373,260 |
Purchases of long-term | (71,498) | 0 |
Advances: | ||
Proceeds | 379,058,714 | 262,964,058 |
Made | (370,861,871) | (271,097,321) |
Mortgage loans held for portfolio: | ||
Proceeds | 214,824 | 250,063 |
Purchases | (289,040) | (192,739) |
Proceeds from sale of foreclosed assets | 5,188 | 7,211 |
Premises, software and equipment [Abstract] | ||
Proceeds from sale | 335 | 0 |
Purchases | (1,732) | (1,854) |
Net cash provided by (used in) investing activities | 9,930,995 | (5,240,755) |
Net change in: | ||
Deposits and pass-through reserves | (30,860) | 19,959 |
Net payments for derivative contracts with financing element | (18,504) | (16,132) |
Net proceeds from issuance of consolidated obligations: | ||
Discount notes | 52,974,945 | 78,981,134 |
Bonds | 33,134,217 | 14,553,982 |
Payments for maturing and retiring consolidated obligations | ||
Discount notes | (74,436,164) | (74,982,675) |
Bonds | (20,997,910) | (10,688,979) |
Proceeds from issuance of capital stock | 1,367,847 | 1,628,242 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (45,191) | (24) |
Payments for repurchase/redemption of capital stock | (1,630,545) | (1,244,059) |
Cash dividends paid | (79,738) | (134,469) |
Net cash (used in) provided by financing activities | (9,761,903) | 8,116,979 |
Net increase in cash and due from banks | 268,897 | 2,926,123 |
Cash and due from banks at beginning of the period | 2,376,964 | 2,451,131 |
Cash and due from banks at end of the period | 2,645,861 | 5,377,254 |
Supplemental disclosures: | ||
Interest paid | 252,242 | 197,061 |
AHP payments | 10,884 | 5,203 |
Transfers of mortgage loans to real estate owned | 3,326 | 3,427 |
Non-cash transfer of OTTI HTM securities to AFS | $ 0 | $ 3,368 |
Statement of Cash Flows (Parent
Statement of Cash Flows (Parenthetical) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
Increase (Decrease) in Deposits with Other Federal Home Loan Banks | $ 970 | $ 297 |
Proceeds from Sale of Available-for-sale Securities | $ 197,999 |
Statements of Changes in Capita
Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | $ 4,501,601 | $ 4,002,956 | ||
Issuance of capital stock | 1,367,847 | 1,628,242 | ||
Repurchase/redemption of capital stock | (1,630,545) | (1,244,059) | ||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | (44,832) | 0 | ||
Comprehensive Income | $ 106,202 | $ 43,693 | 176,068 | 139,436 |
Cash dividends | (79,738) | (134,469) | ||
Total capital, ending balance | $ 4,290,401 | $ 4,392,106 | $ 4,290,401 | $ 4,392,106 |
Capital Stock - Putable | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Balance, shares beginning balance | 35,396 | 30,410 | ||
Total capital, beginning balance | $ 3,539,648 | $ 3,040,976 | ||
Issuance of capital stock, shares | 13,678 | 16,282 | ||
Issuance of capital stock | $ 1,367,847 | $ 1,628,242 | ||
Repurchase/redemption of capital stock, shares | (16,305) | (12,440) | ||
Repurchase/redemption of capital stock | $ (1,630,545) | $ (1,244,059) | ||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | (448) | |||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | $ (44,832) | |||
Balance, shares ending balance | 32,321 | 34,252 | 32,321 | 34,252 |
Total capital, ending balance | $ 3,232,118 | $ 3,425,159 | $ 3,232,118 | $ 3,425,159 |
Retained Earnings, Unrestricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 718,727 | 726,309 | ||
Comprehensive Income | 98,801 | 121,402 | ||
Cash dividends | (79,738) | (134,469) | ||
Total capital, ending balance | 737,790 | 713,242 | 737,790 | 713,242 |
Retained Earnings, Restricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 162,543 | 111,238 | ||
Comprehensive Income | 24,701 | 30,350 | ||
Total capital, ending balance | 187,244 | 141,588 | 187,244 | 141,588 |
Retained Earnings Total | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 881,270 | 837,547 | ||
Comprehensive Income | 123,502 | 151,752 | ||
Cash dividends | (79,738) | (134,469) | ||
Total capital, ending balance | 925,034 | 854,830 | 925,034 | 854,830 |
Accumulated Other Comprehensive Income (Loss) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 80,683 | 124,433 | ||
Comprehensive Income | 52,566 | (12,316) | ||
Total capital, ending balance | $ 133,249 | $ 112,117 | $ 133,249 | $ 112,117 |
Background Information
Background Information | 6 Months Ended |
Jun. 30, 2016 | |
Nature of Operations [Abstract] | |
Background Information | Background Information The Bank, a federally chartered corporation, is one of 11 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 (as defined by Finance Agency regulation) 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 membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of certain residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding 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 ensure the FHLBanks operate in a safe and sound manner so they serve as a reliable source for liquidity and funding for housing finance and community investment. 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 Federal Home Loan Bank Act (FHLBank 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 11 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 with the Federal Reserve. 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. To the extent that any reclassifications were made, the 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, 2015 included in the Bank's 2015 Form 10-K. |
Accounting Adjustments, Changes
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | 6 Months Ended |
Jun. 30, 2016 | |
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 Credit Losses. In June 2016, the FASB (Financial Accounting Standards Board) issued an ASU (Accounting Standards Update) which amends the accounting for credit losses on financial instruments. The ASU will eliminate the incurred loss model and implement a new model based on expected credit losses, which the FASB believes will result in more timely recognition of credit losses. The Bank is evaluating the impact of this guidance and will assess its impact, if any, on all of the Bank’s financial assets, including advances, MPF loans, BOB loans, repurchase agreements, and AFS and HTM securities. This guidance will be effective for the Bank no later than January 1, 2020. Contingent Put and Call Options in Debt Instruments. In March 2016, the FASB issued an ASU to eliminate diversity in practice when determining whether the economic characteristics of an embedded put or call option in a debt instrument are clearly and closely related to the debt host. The Bank expects its embedded derivatives to continue to not require bifurcation as a result of this guidance, which will be effective for the Bank no later than January 1, 2017. Derivative Novations. In March 2016, the FASB issued guidance which clarifies that a change in the counterparty to a derivative contract, in and of itself, does not require the dedesignation of the hedge relationship provided that all other hedge accounting criteria continue to be met. This position is consistent with the SEC Staff’s position on novations, as well as the Bank’s practice. The guidance was early-adopted by the Bank as of January 1, 2016 and had no impact on the Bank. Leases. In February 2016, the FASB issued guidance which amends the accounting for leases. This guidance will require lessees to recognize a right-of-use asset and lease liability for virtually all leases, other than short-term leases. The Bank is evaluating the impact of this guidance, which will be effective for the Bank no later than January 1, 2019. Recognition and Measurement of Financial Assets and Liabilities. In January 2016, the FASB issued guidance which amends existing guidance on the classification and measurement of financial instruments. Although many of the existing requirements are not changed, this guidance revises the accounting for equity securities, financial liabilities measured under the fair value option, and certain disclosure requirements for fair value of financial instruments. The Bank is evaluating the impact of this guidance, which will be effective for the Bank beginning January 1, 2018. Cloud Computing Arrangements. In April 2015, the FASB issued guidance which clarifies circumstances under which a cloud computing arrangement should be accounted for as a license of internal-use software as opposed to a service contract. This guidance was effective for the Bank beginning January 1, 2016 and did not impact the Bank's financial condition or results of operations. Simplifying the Presentation of Debt Issuance Costs. In April 2015, the FASB issued guidance which requires the Bank to present debt issuance costs as a direct deduction from the related debt on the Statement of Condition, consistent with debt discounts. This guidance was effective for the Bank beginning January 1, 2016 and was applied retrospectively, resulting in an immaterial reclassification of debt issuance costs from Other Assets to Consolidated Obligations in the Bank's Statement of Condition. Consolidation. In February 2015, the FASB issued amendments to its existing consolidation guidance. This guidance was effective for the Bank beginning January 1, 2016 and did not impact the Bank's financial condition. Extraordinary Items. In January 2015, the FASB issued guidance which eliminates the concept of extraordinary items. As a result, preparers and auditors no longer need to determine whether an event is extraordinary. However, the guidance continues to require separate presentation on the Statement of Income for items that are both unusual and infrequent. This guidance was effective for the Bank beginning January 1, 2016 and did not impact the Bank’s results of operations. Going Concern . In August 2014, the FASB issued guidance which requires all entities to perform an interim and annual assessment of their ability to continue as a going concern for one year from the date of issuance of their respective financial statements. The guidance also requires disclosures if there is “substantial doubt” of the entity’s ability to continue as a going concern. The Bank's initial quarterly assessment will be required to be completed no later than on its December 31, 2016 financial statements. Revenue from Contracts with Customers. In May 2014, the FASB issued revised guidance for revenue recognition. This guidance will increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. The guidance will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition. This guidance, which will be effective for the Bank beginning January 1, 2018, is not expected to materially impact the Bank's financial condition or results of operations. 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). The Advisory Bulletin established guidelines for adverse classification of various assets, primarily MPF loans at the Bank, and required the Bank to charge-off the portion of the loan classified as a “loss.” The Bank implemented the classification provisions on 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. The Bank adopted the charge-off provisions of the Advisory Bulletin on January 1, 2015. The adoption of the Advisory Bulletin did not have a material impact on the Bank’s financial condition or results of operations. |
Trading Securities
Trading Securities | 6 Months Ended |
Jun. 30, 2016 | |
Trading Securities [Abstract] | |
Trading Securities | Trading Securities The following table presents trading securities as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Non-MBS: Mutual funds $ 6,290 $ 5,442 GSE and Tennessee Valley Authority (TVA) obligations 417,293 389,295 Total $ 423,583 $ 394,737 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 $6.4 million and $5.6 million at June 30, 2016 and December 31, 2015 , respectively, and are included in Other liabilities in the Statement of Condition. The following table presents net gains (losses) on trading securities for the second quarter and the first six months of 2016 and 2015 . Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Net unrealized gains (losses) on trading securities held at period-end $ 10,888 $ (10,133 ) $ 28,162 $ (3,356 ) Net realized gains on securities sold/matured during the period — — — — Net gains (losses) on trading securities $ 10,888 $ (10,133 ) $ 28,162 $ (3,356 ) |
Available-for-Sale (AFS) Securi
Available-for-Sale (AFS) Securities | 6 Months Ended |
Jun. 30, 2016 | |
Available-for-sale Securities [Abstract] | |
Available-for-Sale (AFS) Securities | Available-for-Sale (AFS) Securities The following tables present AFS securities as of June 30, 2016 and December 31, 2015 . June 30, 2016 (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 TVA obligations 3,195,154 — 20,194 (2,898 ) 3,212,450 State or local agency obligations 216,176 — 17,718 — 233,894 Total non-MBS $ 3,413,323 $ — $ 37,917 $ (2,898 ) $ 3,448,342 MBS: Other U.S. obligations single family MBS $ 243,614 $ — $ 26 $ (671 ) $ 242,969 GSE single-family MBS 3,000,418 — 12,293 (3,253 ) 3,009,458 GSE multifamily MBS 1,160,868 — 27,124 (852 ) 1,187,140 Private label residential MBS 683,387 (1,651 ) 66,559 (384 ) 747,911 Total MBS $ 5,088,287 $ (1,651 ) $ 106,002 $ (5,160 ) $ 5,187,478 Total AFS securities $ 8,501,610 $ (1,651 ) $ 143,919 $ (8,058 ) $ 8,635,820 December 31, 2015 (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 TVA obligations 3,468,665 — 15,332 (14,792 ) 3,469,205 State or local agency obligations 133,038 — 2,055 (973 ) 134,120 Total non-MBS $ 3,603,696 $ — $ 17,392 $ (15,765 ) $ 3,605,323 MBS: Other U.S. obligations single family MBS $ 268,105 $ — $ 501 $ (70 ) $ 268,536 GSE single-family MBS 2,378,589 — 9,965 (4,924 ) 2,383,630 GSE multifamily MBS 1,008,511 — 5,614 (3,628 ) 1,010,497 Private label MBS: Private label residential MBS 751,703 (889 ) 72,263 (337 ) 822,740 HELOCs 7,572 — 1,596 — 9,168 Total private label MBS 759,275 (889 ) 73,859 (337 ) 831,908 Total MBS $ 4,414,480 $ (889 ) $ 89,939 $ (8,959 ) $ 4,494,571 Total AFS securities $ 8,018,176 $ (889 ) $ 107,331 $ (24,724 ) $ 8,099,894 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. The Bank has established a Rabbi trust to secure a portion of the Bank's benefit obligation under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds. These obligations were $6.9 million and $6.7 million June 30, 2016 and December 31, 2015 , respectively, and are included in Other liabilities in the Statement of Condition. As of June 30, 2016 , the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $13.3 million , credit losses of $199.4 million and OTTI-related accretion adjustments of $33.8 million . As of December 31, 2015 , these amounts were $9.7 million , $205.9 million and $31.5 million , respectively. 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 June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Non-credit portion of OTTI losses $ (1,651 ) $ (889 ) Net unrealized gains on OTTI securities since their last OTTI credit charge 66,559 73,859 Net non-credit portion of OTTI gains on AFS securities in AOCI $ 64,908 $ 72,970 The following tables summarize the AFS securities with unrealized losses as of June 30, 2016 and December 31, 2015 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. June 30, 2016 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 TVA obligations $ 469,260 $ (522 ) $ 481,496 $ (2,376 ) $ 950,756 $ (2,898 ) MBS: Other U.S. obligations single family MBS $ 208,421 $ (604 ) $ 10,902 $ (67 ) $ 219,323 $ (671 ) GSE single-family MBS 1,253,936 (3,073 ) 111,438 (180 ) 1,365,374 (3,253 ) GSE multifamily MBS 97,556 (699 ) 22,373 (153 ) 119,929 (852 ) Private label residential MBS 82,939 (1,518 ) 8,796 (517 ) 91,735 (2,035 ) Total MBS $ 1,642,852 $ (5,894 ) $ 153,509 $ (917 ) $ 1,796,361 $ (6,811 ) Total $ 2,112,112 $ (6,416 ) $ 635,005 $ (3,293 ) $ 2,747,117 $ (9,709 ) December 31, 2015 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 TVA obligations $ 2,396,493 $ (12,937 ) $ 184,772 $ (1,855 ) $ 2,581,265 $ (14,792 ) State or local agency obligations 41,727 (863 ) 3,890 (110 ) 45,617 (973 ) Total non-MBS $ 2,438,220 $ (13,800 ) $ 188,662 $ (1,965 ) $ 2,626,882 $ (15,765 ) MBS: Other U.S. obligations single family MBS $ 70,490 $ (48 ) $ 11,984 $ (22 ) $ 82,474 $ (70 ) GSE single-family MBS 465,658 (761 ) 114,028 (4,163 ) 579,686 (4,924 ) GSE multifamily MBS 420,982 (3,628 ) — — 420,982 (3,628 ) Private label residential MBS 65,080 (775 ) 9,332 (451 ) 74,412 (1,226 ) Total MBS $ 1,022,210 $ (5,212 ) $ 135,344 $ (4,636 ) $ 1,157,554 $ (9,848 ) Total $ 3,460,430 $ (19,012 ) $ 324,006 $ (6,601 ) $ 3,784,436 $ (25,613 ) 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. There were no transfers during the first six months of 2016. The Bank transferred one private label MBS from HTM to AFS during the second quarter of 2015, which is the period in which an OTTI credit loss was recorded on the security. The amortized cost, OTTI recognized in OCI, and the fair value of the security transferred were $4.4 million , $(1.0) million , and $3.4 million , respectively. There were no other transfers during the first six months of 2015. Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of June 30, 2016 and December 31, 2015 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) June 30, 2016 December 31, 2015 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 173,004 $ 173,133 $ 28,706 $ 28,688 Due after one year through five years 1,459,300 1,460,127 1,925,398 1,919,024 Due after five years through ten years 691,939 704,785 812,550 825,558 Due in more than ten years 1,089,080 1,110,297 837,042 832,053 AFS securities excluding MBS 3,413,323 3,448,342 3,603,696 3,605,323 MBS 5,088,287 5,187,478 4,414,480 4,494,571 Total AFS securities $ 8,501,610 $ 8,635,820 $ 8,018,176 $ 8,099,894 Interest Rate Payment Terms. The following table details interest payment terms at June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Amortized cost of AFS securities other than MBS: Fixed-rate $ 3,328,563 $ 3,518,980 Variable-rate 84,760 84,716 Total non-MBS $ 3,413,323 $ 3,603,696 Amortized cost of AFS MBS: Fixed-rate $ 1,474,993 $ 1,593,414 Variable-rate 3,613,294 2,821,066 Total MBS $ 5,088,287 $ 4,414,480 Total amortized cost of AFS securities $ 8,501,610 $ 8,018,176 Realized Gains on AFS Securities. The following table provides a summary of proceeds and gross gains on sales of AFS securities for the three and six months ended 2016 and 2015, respectively. Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Proceeds from sale of AFS securities $ — $ — $ 197,999 $ — Gross gains on AFS securities — — 12,708 — |
Held-to-Maturity (HTM) Securiti
Held-to-Maturity (HTM) Securities | 6 Months Ended |
Jun. 30, 2016 | |
Held-to-maturity Securities [Abstract] | |
Held-to-Maturity (HTM) Securities | Held-to-Maturity (HTM) Securities The following tables present HTM securities as of June 30, 2016 and December 31, 2015 . June 30, 2016 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 136,845 $ 114 $ (12,360 ) $ 124,599 MBS: Other U.S. obligations single-family MBS $ 695,785 $ 3,746 $ (119 ) $ 699,412 GSE single-family MBS 252,200 4,593 (136 ) 256,657 GSE multifamily MBS 874,294 40,076 (1 ) 914,369 Private label residential MBS 460,048 1,410 (6,833 ) 454,625 Total MBS $ 2,282,327 $ 49,825 $ (7,089 ) $ 2,325,063 Total HTM securities $ 2,419,172 $ 49,939 $ (19,449 ) $ 2,449,662 December 31, 2015 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 169,520 $ 118 $ (14,484 ) $ 155,154 MBS: Other U.S. obligations single-family MBS $ 819,602 $ 5,651 $ (5 ) $ 825,248 GSE single-family MBS 294,568 4,459 (75 ) 298,952 GSE multifamily MBS 863,122 30,124 (1,394 ) 891,852 Private label residential MBS 516,492 1,717 (5,344 ) 512,865 Total MBS $ 2,493,784 $ 41,951 $ (6,818 ) $ 2,528,917 Total HTM securities $ 2,663,304 $ 42,069 $ (21,302 ) $ 2,684,071 The following tables summarize the HTM securities with unrealized losses as of June 30, 2016 and December 31, 2015 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. June 30, 2016 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 $ — $ — $ 109,410 $ (12,360 ) $ 109,410 $ (12,360 ) MBS: Other U.S. obligations single-family MBS $ 98,524 $ (119 ) $ — $ — $ 98,524 $ (119 ) GSE single-family MBS — — 7,833 (136 ) 7,833 (136 ) GSE multifamily MBS 448 (1 ) — — 448 (1 ) Private label residential MBS 83,719 (541 ) 260,043 (6,292 ) 343,762 (6,833 ) Total MBS $ 182,691 $ (661 ) $ 267,876 $ (6,428 ) $ 450,567 $ (7,089 ) Total $ 182,691 $ (661 ) $ 377,286 $ (18,788 ) $ 559,977 $ (19,449 ) December 31, 2015 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 $ 20,154 $ (1 ) $ 110,737 $ (14,483 ) $ 130,891 $ (14,484 ) MBS: Other U.S. obligations single-family MBS $ 10,237 $ (5 ) $ — $ — $ 10,237 $ (5 ) GSE single-family MBS — — 9,091 (75 ) 9,091 (75 ) GSE multifamily MBS 132,835 (1,394 ) — — 132,835 (1,394 ) Private label residential MBS 110,665 (717 ) 252,851 (4,627 ) 363,516 (5,344 ) Total MBS $ 253,737 $ (2,116 ) $ 261,942 $ (4,702 ) $ 515,679 $ (6,818 ) Total $ 273,891 $ (2,117 ) $ 372,679 $ (19,185 ) $ 646,570 $ (21,302 ) Securities Transferred. There were no transfers of private label MBS from HTM to AFS during the first six months of 2016. The Bank transferred one private label MBS from HTM to AFS during the second quarter of 2015. See Note 3 - Available-for-Sale Securities for additional information. 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 June 30, 2016 and December 31, 2015 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) June 30, 2016 December 31, 2015 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ — $ — $ — $ — Due after one year through five years — — — — Due after five years through ten years 50,665 49,319 57,490 55,797 Due after ten years 86,180 75,280 112,030 99,357 Total non-MBS 136,845 124,599 169,520 155,154 MBS 2,282,327 2,325,063 2,493,784 2,528,917 Total HTM securities $ 2,419,172 $ 2,449,662 $ 2,663,304 $ 2,684,071 Interest Rate Payment Terms. The following table details interest rate payment terms at June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Amortized cost of HTM securities other than MBS: Fixed-rate $ 335 $ 28,565 Variable-rate 136,510 140,955 Total non-MBS $ 136,845 $ 169,520 Amortized cost of HTM MBS: Fixed-rate $ 1,010,543 $ 1,023,636 Variable-rate 1,271,784 1,470,148 Total MBS $ 2,282,327 $ 2,493,784 Total HTM securities $ 2,419,172 $ 2,663,304 |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 6 Months Ended |
Jun. 30, 2016 | |
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. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, the amount of which could be up to the difference between the security's amortized cost basis and its fair value, and records any difference in its Statement of Income. For information on the Bank’s accounting for OTTI, see Note 1 - Summary of Significant Accounting Policies to the audited financial statements in the Bank's 2015 Form 10-K. For information about how the Bank projects cash flows expected to be collected, see Note 7 - Other-than-Temporary Impairment Analysis to the audited financial statements in the Bank’s 2015 Form 10-K. A significant input to the projection of cash flows expected to be collected 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. During the second quarter of 2016, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (2.0)% to 10.0% over the 12 month period beginning April 1, 2016. For the vast majority of markets the short-term forecast has changes from 2.0% to 6.0% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. All of the Bank's other-than-temporarily impaired securities were classified as AFS as of June 30, 2016 . The "Total OTTI securities" balances below summarize the Bank’s securities as of June 30, 2016 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 total AFS private label MBS balance below. OTTI Recognized During the Life of the Security (in thousands) Unpaid Principal Balance Amortized Cost (1) Fair Value Private label residential MBS: Prime $ 389,167 $ 315,481 $ 349,018 Alt-A 471,595 363,653 394,923 Subprime 1,836 1,093 1,194 Total OTTI securities 862,598 680,227 745,135 Private label MBS with no OTTI 3,160 3,160 2,776 Total AFS private label MBS $ 865,758 $ 683,387 $ 747,911 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 and six months ended June 30, 2016 and 2015 . Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Beginning balance $ 257,493 $ 283,916 $ 265,379 $ 290,935 Additions: Credit losses for which OTTI was not previously recognized — 483 — 483 Additional OTTI credit losses for which an OTTI charge was previously recognized (1) — — 239 — Reductions: Securities sold and matured during the period (2) — — (2,081 ) — Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (6,006 ) (7,148 ) (12,050 ) (14,167 ) Ending balance $ 251,487 $ 277,251 $ 251,487 $ 277,251 Notes: (1) For the six months ended June 30, 2016 , additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016. (2) Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. All Other AFS and HTM Investments. At June 30, 2016 , the Bank held certain securities in an unrealized loss position. These unrealized losses were considered to be temporary as the Bank expects to recover the entire amortized cost basis on the remaining securities in unrealized loss positions based on the creditworthiness of the underlying creditor, guarantor, or implicit government support, and the Bank neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell any such 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 June 30, 2016 . |
Advances
Advances | 6 Months Ended |
Jun. 30, 2016 | |
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 ten years and the interest rates reset periodically at a fixed spread to LIBOR or other specified indices. At June 30, 2016 and December 31, 2015 , the Bank had advances outstanding, including AHP advances, with interest rates ranging from 0.33% to 7.40% . AHP subsidized advances have interest rates ranging from 2.00% to 5.50% . The following table details the Bank’s advances portfolio by year of contractual maturity as of June 30, 2016 and December 31, 2015 . (dollars in thousands) June 30, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 33,538,697 0.73% $ 33,192,256 0.70 % Due after 1 year through 2 years 17,340,557 0.91 18,989,266 0.99 Due after 2 years through 3 years 9,414,041 1.19 13,071,338 0.96 Due after 3 years through 4 years 3,965,309 1.26 6,260,864 0.93 Due after 4 years through 5 years 1,008,102 2.02 1,800,994 1.68 Thereafter 872,379 2.69 1,018,555 2.66 Total par value 66,139,085 0.92 % 74,333,273 0.89 % Discount on AHP advances (8 ) (21 ) Deferred prepayment fees (2,776 ) (4,749 ) Hedging adjustments 200,090 176,273 Total book value $ 66,336,391 $ 74,504,776 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 June 30, 2016 and December 31, 2015 , the Bank had convertible advances outstanding of $0.7 billion and $1.5 billion , respectively. The Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances). At June 30, 2016 and December 31, 2015 , the Bank had $10.6 billion and $12.6 billion of returnable advances, respectively. At June 30, 2016 and December 31, 2015 , the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative. The following table summarizes advances by the earlier of (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of June 30, 2016 and December 31, 2015 . Year of Contractual Maturity or Next Call Date Year of Contractual Maturity or Next Convertible Date (in thousands) June 30, 2016 December 31, 2015 June 30, 2016 December 31, 2015 Due in 1 year or less $ 35,488,697 $ 34,692,256 $ 33,973,197 $ 33,771,756 Due after 1 year through 2 years 15,890,557 18,939,266 16,996,557 18,629,266 Due after 2 years through 3 years 9,254,041 11,661,338 9,349,041 12,877,338 Due after 3 years through 4 years 3,650,309 6,245,864 3,959,809 6,255,364 Due after 4 years through 5 years 983,102 1,775,994 1,008,102 1,800,994 Thereafter 872,379 1,018,555 852,379 998,555 Total par value $ 66,139,085 $ 74,333,273 $ 66,139,085 $ 74,333,273 Interest Rate Payment Terms. The following table details interest rate payment terms for advances as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Fixed-rate – overnight $ 4,819,764 $ 4,681,918 Fixed-rate – term: Due in 1 year or less 12,446,692 13,532,806 Thereafter 9,932,479 13,121,108 Total fixed-rate 27,198,935 31,335,832 Variable-rate: Due in 1 year or less 16,272,241 14,977,532 Thereafter 22,667,909 28,019,909 Total variable-rate 38,940,150 42,997,441 Total par value $ 66,139,085 $ 74,333,273 Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of June 30, 2016 , the Bank had advances of $46.5 billion outstanding to the five largest borrowers, which represented 70.3% of total advances outstanding. Of these five , four had outstanding advance balances that were each in excess of 10% of the total portfolio at June 30, 2016 . As of December 31, 2015 , the Bank had advances of $55.1 billion outstanding to the five largest borrowers, which represented 74.1% of total advances outstanding. Of these five , four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2015 . See Note 8 for information related to the Bank's allowance for credit losses. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 12 for further information regarding transactions with related parties. The following table presents balances as of June 30, 2016 and December 31, 2015 for mortgage loans held for portfolio. (in thousands) June 30, 2016 December 31, 2015 Fixed-rate long-term single-family mortgages (1) $ 2,749,784 $ 2,660,615 Fixed-rate medium-term single-family mortgages (1) 326,990 352,082 Total par value 3,076,774 3,012,697 Premiums 54,122 50,857 Discounts (3,466 ) (3,899 ) Hedging adjustments 32,839 32,865 Total mortgage loans held for portfolio $ 3,160,269 $ 3,092,520 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Conventional loans $ 2,839,321 $ 2,763,930 Government-guaranteed/insured loans 237,453 248,767 Total par value $ 3,076,774 $ 3,012,697 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 | 6 Months Ended |
Jun. 30, 2016 | |
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 (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally calls 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 and 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 FHLBank Act and Finance Agency regulations. Specifically, the FHLBank 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 help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s 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, regardless of the member's 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 FHLBank 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 otherwise entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the 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 June 30, 2016 and December 31, 2015 , the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At June 30, 2016 and December 31, 2015 , the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any 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. 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 credit enhancement (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 participating financial institution (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, if any, are incurred by the Bank. At June 30, 2016 and December 31, 2015 , the MPF exposure under the FLA was $22.8 million and $22.7 million , respectively. 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 for both the second quarter of 2016 and 2015 and $1.5 million for both the six months ended June 30, 2016 and 2015. Collectively Evaluated Mortgage Loans. The Bank evaluates the homogeneous mortgage loan portfolio collectively 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. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. 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 loans where repayment is expected to be provided by the sale of the underlying property, which primarily consists of MPF loans that are 180 days or more delinquent and other loans where the borrower has filed for bankruptcy. The estimated credit losses on impaired collateral-dependent loans are 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 and recovery through PMI. The estimated fair value is determined based on a value provided by a third party's retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. The resulting loss is reduced by available CE. The estimated credit loss on individually evaluated MPF loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. The CE receivable is evaluated for collectibility, and a reserve, included as part of the allowance for credit losses, is established if required. Rollforward of Allowance for Credit Losses. Mortgage Loans - Conventional MPF. Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Balance, beginning of period $ 5,962 $ 6,566 $ 5,665 $ 7,260 (Charge-offs) Recoveries, net (1) 40 (311 ) 73 (413 ) Provision (benefit) for credit losses (75 ) 45 189 (547 ) Balance, June 30 $ 5,927 $ 6,300 $ 5,927 $ 6,300 Notes: (1) Net charge-offs that the Bank does not expect to recover through CE receivable. Allowances for Credit Losses and Recorded Investment by Impairment Methodology . Mortgage Loans - Conventional MPF. (in thousands) June 30, 2016 December 31, 2015 Ending balance, individually evaluated for impairment $ 4,962 $ 5,018 Ending balance, collectively evaluated for impairment 965 647 Total allowance for credit losses $ 5,927 $ 5,665 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a related allowance $ 59,765 $ 60,762 Collectively evaluated for impairment 2,870,175 2,789,517 Total recorded investment $ 2,929,940 $ 2,850,279 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 June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Balance, Beginning of period $ 1,904 $ 1,660 $ 2,052 $ 1,840 (Charge-offs) Recoveries, net — (167 ) (196 ) (451 ) Provision (benefit) for credit losses (18 ) 265 30 369 Balance, June 30 $ 1,886 $ 1,758 $ 1,886 $ 1,758 Allowances for Credit Losses and Recorded Investment by Impairment Methodology . BOB Loans. (in thousands) June 30, 2016 December 31, 2015 Ending balance, individually evaluated for impairment $ 96 $ 25 Ending balance, collectively evaluated for impairment 1,790 2,027 Total allowance for credit losses $ 1,886 $ 2,052 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a related allowance $ 192 $ 63 Collectively evaluated for impairment 12,970 13,347 Total recorded investment $ 13,162 $ 13,410 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) June 30, 2016 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans BOB Loans Total Past due 30-59 days $ 35,439 $ 11,387 $ — $ 46,826 Past due 60-89 days 8,603 3,067 — 11,670 Past due 90 days or more 22,307 3,159 89 25,555 Total past due loans $ 66,349 $ 17,613 $ 89 $ 84,051 Total current loans 2,863,591 228,635 13,073 3,105,299 Total loans $ 2,929,940 $ 246,248 $ 13,162 $ 3,189,350 Other delinquency statistics: In process of foreclosures, included above (2) $ 13,644 $ 772 $ — $ 14,416 Serious delinquency rate (3) 0.8 % 1.3 % 0.7 % 0.8 % Past due 90 days or more still accruing interest $ — $ 3,159 $ — $ 3,159 Loans on nonaccrual status $ 25,026 $ — $ 281 $ 25,307 (in thousands) December 31, 2015 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans BOB Loans Total Past due 30-59 days $ 42,746 $ 14,997 $ 86 $ 57,829 Past due 60-89 days 11,752 4,260 78 16,090 Past due 90 days or more 25,169 4,382 156 29,707 Total past due loans $ 79,667 $ 23,639 $ 320 $ 103,626 Total current loans 2,770,612 234,376 13,090 3,018,078 Total loans $ 2,850,279 $ 258,015 $ 13,410 $ 3,121,704 Other delinquency statistics: In process of foreclosures, included above (2) $ 15,353 $ 1,356 $ — $ 16,709 Serious delinquency rate (3) 0.9 % 1.7 % 1.2 % 1.0 % Past due 90 days or more still accruing interest $ — $ 4,382 $ — $ 4,382 Loans on nonaccrual status $ 29,075 $ — $ 383 $ 29,458 Notes: (1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. 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. Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below. June 30, 2016 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 34,234 $ 33,903 $ — With a related allowance: Conventional MPF loans 25,531 25,274 4,962 Total: Conventional MPF loans $ 59,765 $ 59,177 $ 4,962 December 31, 2015 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 33,737 $ 33,428 $ — With a related allowance: Conventional MPF loans 27,025 26,774 5,018 Total: Conventional MPF loans $ 60,762 $ 60,202 $ 5,018 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 June 30, 2016 Three months ended June 30, 2015 (in thousands) Average Recorded Investment (1) Interest Income Recognized Average Recorded Investment (1) Interest Income Recognized Conventional MPF loans $ 60,171 $ 578 $ 64,133 $ 457 Six months ended June 30, 2016 Six months ended June 30, 2015 (in thousands) Average Recorded Investment (1) Interest Income Recognized Average Recorded Investment (1) Interest Income Recognized Conventional MPF loans $ 61,265 $ 1,138 $ 64,028 $ 880 Notes: (1) Includes gross charge-offs. TDRs. TDRs are considered to have occurred when a concession is granted to the debtor that would not have been considered had it not been for economic or legal reasons related to the debtor's financial difficulties. 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 Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharges the borrower’s obligation, and the borrower does not reaffirm the debt. The recorded investment in mortgage loans classified as TDRs was $15.3 million and $16.9 million as of June 30, 2016 and December 31, 2015 , respectively. The financial amounts related to TDRs are not material to the Bank’s financial condition, results of operations, or cash flows. 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 a period up to one year. The credit loss is measured by factoring expected shortfalls incurred as of the reporting date. BOB loan TDRs are not material to the Bank’s financial condition, results of operations, or cash flows. Real Estate Owned (REO) . The Bank had $6.1 million and $6.5 million of REO reported in Other assets on the Statement of Condition at June 30, 2016 and December 31, 2015 , respectively. Purchases, Sales and Reclassifications. During the six months ended June 30, 2016 and 2015 , 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 Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2016 | |
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 interest-bearing liabilities that finance these assets. The goal of the Bank's interest rate risk management strategy is not to eliminate interest rate risk but to manage it within appropriate limits. To mitigate the risk of loss, the 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 2015 Form 10-K. Derivative transactions may be executed either with a counterparty (referred to as uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) 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 Bank is not a derivatives dealer and does not trade derivatives for short-term profit. For uncleared derivatives, 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. Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of June 30, 2016 and December 31, 2015 . For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. June 30, 2016 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 32,341,331 $ 76,753 $ 352,444 Derivatives not designated as hedging instruments: Interest rate swaps $ 15,281,559 $ 59,394 $ 129,955 Interest rate caps 1,255,000 2,194 — Mortgage delivery commitments 20,594 128 2 Total derivatives not designated as hedging instruments: $ 16,557,153 $ 61,716 $ 129,957 Total derivatives before netting and collateral adjustments $ 48,898,484 $ 138,469 $ 482,401 Netting adjustments and cash collateral (1) (48,360 ) (467,204 ) Derivative assets and derivative liabilities as reported on the Statement of $ 90,109 $ 15,197 December 31, 2015 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 30,416,262 $ 49,104 $ 269,354 Derivatives not designated as hedging instruments: Interest rate swaps $ 13,363,652 $ 18,426 $ 62,384 Interest rate swaptions 25,000 — — Interest rate caps 755,000 2,695 — Mortgage delivery commitments 9,950 253 — Total derivatives not designated as hedging instruments: $ 14,153,602 $ 21,374 $ 62,384 Total derivatives before netting and collateral adjustments $ 44,569,864 $ 70,478 $ 331,738 Netting adjustments and cash collateral (1) (4,623 ) (289,230 ) Derivative assets and derivative liabilities as reported on the Statement of $ 65,855 $ 42,508 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $430.3 million and $287.0 million at June 30, 2016 and December 31, 2015 . Cash collateral received was $11.5 million and $2.4 million at June 30, 2016 and December 31, 2015 . 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 June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Derivatives designated as hedging instruments: Interest rate swaps (1) $ 4 $ 2,812 $ (5,143 ) $ 3,397 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (15,956 ) $ 20,093 $ (47,480 ) $ 4,243 Interest rate swaptions — 26 — 165 Interest rate caps (1,454 ) (620 ) (2,654 ) (908 ) Net interest settlements 746 4,226 1,025 9,918 Mortgage delivery commitments 270 2,591 2,235 4,734 Other 4 5 10 12 Total net gains (losses) related to derivatives not designated as hedging instruments $ (16,390 ) $ 26,321 $ (46,864 ) $ 18,164 Net gains (losses) on derivatives and hedging activities $ (16,386 ) $ 29,133 $ (52,007 ) $ 21,561 Note: (1) Pertains to total net gains for fair value hedge ineffectiveness. 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 three and six months ended June 30, 2016 and 2015 . (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 June 30, 2016 Hedged item type: Advances $ 34,859 $ (33,315 ) $ 1,544 $ (26,470 ) Consolidated obligations – bonds 4,386 (3,772 ) 614 20,522 AFS securities (36,642 ) 34,488 (2,154 ) (6,041 ) Total $ 2,603 $ (2,599 ) $ 4 $ (11,989 ) Six months ended June 30, 2016 Hedged item type: Advances $ (26,102 ) $ 27,927 $ 1,825 $ (67,622 ) Consolidated obligations – bonds 60,482 (61,668 ) (1,186 ) 44,937 AFS securities (101,212 ) 95,430 (5,782 ) (12,115 ) Total $ (66,832 ) $ 61,689 $ (5,143 ) $ (34,800 ) (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 June 30, 2015 Hedged item type: Advances $ 62,731 $ (62,164 ) $ 567 $ (48,368 ) Consolidated obligations – bonds (38,730 ) 38,775 45 62,223 AFS securities 29,259 (27,059 ) 2,200 (4,330 ) Total $ 53,260 $ (50,448 ) $ 2,812 $ 9,525 Six months ended June 30, 2015 Hedged item type: Advances $ 52,718 $ (51,989 ) $ 729 $ (95,362 ) Consolidated obligations – bonds 15,860 (15,120 ) 740 123,838 AFS securities 17,524 (15,596 ) 1,928 (7,762 ) Total $ 86,102 $ (82,705 ) $ 3,397 $ 20,714 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 $(1.4) million and $0.9 million for the second quarter of 2016 and 2015, respectively, and $(2.4) million and $2.9 million for the six months ended June 30, 2016 and 2015, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships. The Bank had no active cash flow hedging relationships during the first six months of 2016 or 2015 . 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 uncleared 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 uncleared derivatives. For cleared derivatives, the Clearing Houses are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin. The requirement that the Bank post initial and variation margin through the clearing agent, which notifies the FHLBank 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 their respective 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 fair value of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including 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 uncleared derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's 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 uncleared derivative instruments in net liability positions. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at June 30, 2016 was $52.7 million , for which the Bank has posted cash collateral with a fair value of approximately $40.3 million . 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 $6.4 million of collateral to its derivative counterparties at June 30, 2016 . 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 by its clearing agents to post additional initial margin at June 30, 2016 . Offsetting of Derivative Assets and Derivative Liabilities . When it has met the netting requirements, 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. The following tables present 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) June 30, 2016 December 31, 2015 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 39,188 $ 39,068 Cleared derivatives 99,153 31,157 Total gross recognized amount 138,341 70,225 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (34,899 ) (37,981 ) Cleared derivatives (13,461 ) 33,358 Total gross amounts of netting adjustments and cash collateral (48,360 ) (4,623 ) Net amounts after netting adjustments: Uncleared derivatives 4,289 1,087 Cleared derivatives 85,692 64,515 Total net amounts after netting adjustments 89,981 65,602 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 128 253 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 128 253 Total derivative assets: Uncleared derivatives 4,417 1,340 Cleared derivatives 85,692 64,515 Total derivative assets as reported in the Statement of Condition 90,109 65,855 Net unsecured amount: Uncleared derivatives 4,417 1,340 Cleared derivatives 85,692 64,515 Total net unsecured amount $ 90,109 $ 65,855 Derivative Liabilities (in thousands) June 30, 2016 December 31, 2015 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 78,953 $ 132,910 Cleared derivatives 403,446 198,828 Total gross recognized amount 482,399 331,738 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (63,758 ) (90,402 ) Cleared derivatives (403,446 ) (198,828 ) Total gross amounts of netting adjustments and cash collateral (467,204 ) (289,230 ) Net amounts after netting adjustments: Uncleared derivatives 15,195 42,508 Cleared derivatives — — Total net amounts after netting adjustments 15,195 42,508 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 2 — Cleared derivatives — — Derivative instruments without legal right of offset 2 — Total derivative liabilities Uncleared derivatives 15,197 42,508 Cleared derivatives — — Total derivative liabilities as reported in the Statement of Condition 15,197 42,508 Net unsecured amount: Uncleared derivatives 15,197 42,508 Total net unsecured amount $ 15,197 $ 42,508 Note: (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 | 6 Months Ended |
Jun. 30, 2016 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Consolidated Obligations Consolidated obligations consist of consolidated bonds and discount notes. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank. Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if one FHLBank is required to make such payments on behalf of another FHLBank, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. However, if the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amounts of the FHLBanks’ outstanding consolidated obligations were $963.8 billion and $905.2 billion at June 30, 2016 and December 31, 2015 , respectively. Additional 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 2015 Form 10-K. The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Par value of consolidated bonds: Fixed-rate $ 35,964,128 $ 31,945,658 Step-up 1,180,000 1,860,000 Floating-rate 23,070,000 14,650,000 Conversion bonds - fixed to floating 430,000 60,000 Total par value 60,644,128 48,515,658 Debt issuance costs (1) 72,352 92,481 Hedging adjustments 52,721 (7,386 ) Total book value $ 60,769,201 $ 48,600,753 Note: (1) Includes bond discounts, premiums and concession fees. Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 (dollars in thousands) Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 40,043,860 0.70 % $ 26,814,155 0.68 % Due after 1 year through 2 years 10,604,510 1.24 8,753,810 1.21 Due after 2 years through 3 years 2,844,025 1.48 4,998,335 1.46 Due after 3 years through 4 years 1,768,200 2.14 2,017,720 1.84 Due after 4 years through 5 years 1,537,450 1.69 2,040,940 1.91 Thereafter 3,704,300 2.76 3,733,950 2.66 Index amortizing notes 141,783 4.73 156,748 4.73 Total par value $ 60,644,128 1.03 % $ 48,515,658 1.12 % The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Noncallable $ 55,289,128 $ 41,462,658 Callable 5,355,000 7,053,000 Total par value $ 60,644,128 $ 48,515,658 The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of June 30, 2016 and December 31, 2015 . (in thousands) Year of Contractual Maturity or Next Call Date June 30, 2016 December 31, 2015 Due in 1 year or less $ 44,981,860 $ 33,517,155 Due after 1 year through 2 years 10,049,510 7,778,810 Due after 2 years through 3 years 2,015,025 3,672,335 Due after 3 years through 4 years 1,443,200 1,202,720 Due after 4 years through 5 years 598,450 810,940 Thereafter 1,414,300 1,376,950 Index amortizing notes 141,783 156,748 Total par value $ 60,644,128 $ 48,515,658 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 June 30, 2016 and December 31, 2015 . (dollars in thousands) June 30, 2016 December 31, 2015 Book value $ 20,814,244 $ 42,275,544 Par value 20,839,515 42,318,509 Weighted average interest rate (1) 0.44 % 0.32 % Notes: (1) Represents an implied rate. |
Capital
Capital | 6 Months Ended |
Jun. 30, 2016 | |
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 16 to the audited financial statements in the Bank’s 2015 Form 10-K. At June 30, 2016 , the Bank was in compliance with all regulatory capital requirements. The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. At June 30, 2016 , the Bank had $0.3 billion and $2.9 billion in B1 membership stock and B2 activity stock, respectively. At December 31, 2015 , the Bank had $0.3 billion and $3.2 billion in B1 membership stock and B2 activity stock, respectively. The following table demonstrates the Bank’s compliance with the regulatory capital requirements at June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: Risk-based capital $ 701,316 $ 4,162,846 $ 820,621 $ 4,426,971 Total capital-to-asset ratio 4.0 % 4.8 % 4.0 % 4.6 % Total regulatory capital 3,476,258 4,162,846 3,853,451 4,426,971 Leverage ratio 5.0 % 7.2 % 5.0 % 6.9 % Leverage capital 4,345,323 6,244,269 4,816,814 6,640,456 When the Finance Agency implemented the prompt corrective action provisions of the Housing and Economic Recovery Act of 2008 (Housing Act), it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On June 15, 2016, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended March 31, 2016. 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 June 30, 2016 . 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 June 30, 2016 and December 31, 2015 . (dollars in thousands) June 30, 2016 Member (1) Capital Stock % of Total PNC Bank, N.A., Wilmington, DE $ 799,152 24.7 % Chase Bank USA, N.A., Wilmington, DE 430,152 13.3 Santander Bank, N.A., Wilmington, DE 404,787 12.5 (dollars in thousands) December 31, 2015 Member (1) Capital Stock % of Total PNC Bank, N.A., Wilmington, DE $ 881,552 24.9 % Santander Bank, N.A., Wilmington, DE 600,872 17.0 Chase Bank USA, N.A., Wilmington, DE 424,502 12.0 Ally Bank, Midvale, UT 391,287 11.0 Note: (1) For Bank membership purposes, the principal place of business for PNC Bank 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 capital stock. Shares cannot be purchased or sold except between an FHLBank and its members at the shares' par value of $100 , as mandated by each FHLBank's capital plan. At June 30, 2016 and December 31, 2015 , the Bank had $5.7 million and $6.0 million , 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. Estimated dividends on mandatorily redeemable capital stock recorded as interest expense were immaterial during the three and six months ended June 30, 2016 and 2015 . The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the six months ended June 30, 2016 and 2015. Six months ended June 30, (in thousands) 2016 2015 Balance, beginning of the period $ 6,053 $ 586 Capital stock subject to mandatory redemption reclassified from capital 44,832 — Redemption/repurchase of mandatorily redeemable stock (45,191 ) (24 ) Balance, end of the period $ 5,694 $ 562 As of June 30, 2016 , the total mandatorily redeemable capital stock reflected the balance for three institutions. Two institutions were merged out of district and are considered to be non-members. One other institution has notified the Bank of its intention to voluntary redeem its 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 June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Due in 1 year or less $ — $ — Due after 1 year through 2 years — — Due after 2 years through 3 years 467 — Due after 3 years through 4 years — 546 Due after 4 years through 5 years 5,227 5,507 Total $ 5,694 $ 6,053 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 terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding. 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 June 30, 2016 , retained earnings were $925.0 million , including $737.8 million of unrestricted retained earnings and $187.2 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 2016, the Bank paid a quarterly dividend equal to an annual yield of 5.0% and 3.0% on activity stock and membership stock, respectively. In both April and July 2016, the Bank paid a quarterly dividend equal to an annual yield of 5.0% and 2.0% on activity and membership stock, respectively. The following table summarizes the changes in AOCI for the three months ended June 30, 2016 and 2015. (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 (Losses) on Hedging Activities Pension and Post-Retirement Plans Total March 31, 2015 $ 54,948 $ 96,512 $ — $ 264 $ (2,668 ) $ 149,056 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) (24,755 ) (9,372 ) — — — (34,127 ) Noncredit OTTI losses transferred — (1,026 ) 1,026 — — — Net change in fair value of OTTI securities — (1,864 ) — — — (1,864 ) Reclassifications from OCI to net income: Noncredit OTTI to credit OTTI — — (1,026 ) — — (1,026 ) Amortization on hedging activities — — — (4 ) — (4 ) Pension and post-retirement — — — — 82 82 June 30, 2015 $ 30,193 $ 84,250 $ — $ 260 $ (2,586 ) $ 112,117 March 31, 2016 $ 35,261 $ 59,742 $ — $ 240 $ (1,239 ) $ 94,004 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 34,041 3,838 — — — 37,879 Net change in fair value of OTTI securities — 1,328 — — — 1,328 Reclassifications from OCI to net income: Amortization on hedging activities — — — (5 ) — (5 ) Pension and post-retirement — — — — 43 43 June 30, 2016 $ 69,302 $ 64,908 $ — $ 235 $ (1,196 ) $ 133,249 The following table summarizes the changes in AOCI for the six months ended June 30, 2016 and 2015. (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 (Losses) on Hedging Activities Pension and Post-Retirement Plans Total December 31, 2014 $ 32,460 $ 94,451 $ — $ 272 $ (2,750 ) $ 124,433 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) (2,267 ) (8,017 ) — — — (10,284 ) Noncredit OTTI losses transferred — (1,026 ) 1,026 — — — Net change in fair value of OTTI securities — (1,158 ) — — — (1,158 ) Reclassifications from OCI to net income: Noncredit OTTI to credit OTTI — — (1,026 ) — — (1,026 ) Amortization on hedging activities — — — (12 ) — (12 ) Pension and post-retirement — — — — 164 164 June 30, 2015 $ 30,193 $ 84,250 $ — $ 260 $ (2,586 ) $ 112,117 December 31, 2015 $ 8,748 $ 72,970 $ — $ 247 $ (1,282 ) $ 80,683 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 71,845 (6,122 ) — — — 65,723 Net change in fair value of OTTI securities — (762 ) — — — (762 ) Reclassifications from OCI to net income: Reclassification adjustment for gains included in net income (11,291 ) (1,417 ) — — — (12,708 ) Noncredit OTTI to credit OTTI — 239 — — — 239 Amortization on hedging activities — — — (12 ) — (12 ) Pension and post-retirement — — — — 86 86 June 30, 2016 $ 69,302 $ 64,908 $ — $ 235 $ (1,196 ) $ 133,249 |
Transactions with Related Parti
Transactions with Related Parties | 6 Months Ended |
Jun. 30, 2016 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Transactions with Related Parties The following table includes significant outstanding related party member balances. (in thousands) June 30, 2016 December 31, 2015 Federal funds sold $ 45,000 $ — Investments 225,255 176,345 Advances 38,530,188 54,610,238 Letters of credit (1) 6,814,235 8,245,423 MPF loans 951,223 1,052,569 Deposits 19,261 24,636 Capital stock 1,708,884 2,366,721 Note: (1) Letters of credit are off-balance sheet commitments. The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest income on Federal funds sold and interest expense on deposits were immaterial for the periods presented. Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Interest income on investments $ 652 $ 384 $ 1,261 $ 632 Interest income on advances (1) 79,973 44,843 155,276 83,896 Interest income on MPF loans 13,272 16,646 27,259 34,269 Letters of credit fees 2,258 3,819 4,575 6,847 Prepayment fees on advances 6,547 — 6,547 — Note: (1) For the three and six months ended June 30, 2016 , balances include contractual interest income of $92.3 million and $192.7 million , net interest settlements on derivatives in fair value hedge relationships of $(12.9) million and $(38.0) million and total amortization of basis adjustments was $0.6 million and $0.5 million . For the three and six months ended June 30, 2015 , balances include contractual interest income of $78.6 million and $151.4 million , net interest settlements on derivatives in fair value hedge relationships of $(33.6) million and $(67.0) million and total amortization of basis adjustments of $(0.2) million and $(0.6) million . The following table includes the MPF activity of the related party members. Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Total MPF loan volume purchased $ 5,312 $ 5,438 $ 7,973 $ 6,845 The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Servicing fee expense $ 324 $ 284 $ 634 $ 552 (in thousands) June 30, 2016 December 31, 2015 Interest-bearing deposits maintained with FHLBank of Chicago $ 5,105 $ 6,075 From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the six months ended June 30, 2016 and 2015 , 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 at fair value its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During the six months ended June 30, 2016 and 2015 , 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 six months ended June 30, 2016 and 2015 . Additional discussions regarding related party transactions can be found in Note 18 to the audited financial statements in the Bank's 2015 Form 10-K. |
Estimated Fair Values
Estimated Fair Values | 6 Months Ended |
Jun. 30, 2016 | |
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 recent market data and other pertinent information available to the Bank at June 30, 2016 and December 31, 2015 . Although the management of the Bank believes that the valuation methods 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 June 30, 2016 and December 31, 2015 are presented in the table below. Fair Value Summary Table June 30, 2016 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 2,645,861 $ 2,645,861 $ — $ — $ — $ 2,645,861 Interest-bearing deposits 5,105 — 5,105 — — 5,105 Federal funds sold 2,545,000 — 2,544,990 — — 2,544,990 Securities purchased under agreements to resell 500,000 — 500,000 — — 500,000 Trading securities 423,583 6,290 417,293 — — 423,583 AFS securities 8,635,820 1,998 7,885,911 747,911 — 8,635,820 HTM securities 2,419,172 — 1,995,037 454,625 — 2,449,662 Advances 66,336,391 — 66,326,070 — — 66,326,070 Mortgage loans held for portfolio, net 3,154,342 — 3,282,219 — — 3,282,219 BOB loans, net 11,204 — — 11,204 — 11,204 Accrued interest receivable 108,246 — 108,246 — — 108,246 Derivative assets 90,109 — 138,469 — (48,360 ) 90,109 Liabilities: Deposits $ 646,013 $ — $ 646,023 $ — $ — $ 646,023 Discount notes 20,814,244 — 20,819,777 — — 20,819,777 Bonds 60,769,201 — 61,035,926 — — 61,035,926 Mandatorily redeemable capital stock (1) 5,694 5,777 — — — 5,777 Accrued interest payable (1) 107,354 — 107,271 — — 107,271 Derivative liabilities 15,197 — 482,401 — (467,204 ) 15,197 December 31, 2015 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 2,376,964 $ 2,376,964 $ — $ — $ — $ 2,376,964 Interest-bearing deposits 6,075 — 6,075 — — 6,075 Federal funds sold 3,980,000 — 3,979,884 — — 3,979,884 Securities purchased under agreements to resell 1,000,000 — 999,984 — — 999,984 Trading securities 394,737 5,442 389,295 — — 394,737 AFS securities 8,099,894 1,998 7,265,988 831,908 — 8,099,894 HTM securities 2,663,304 — 2,171,206 512,865 — 2,684,071 Advances 74,504,776 — 74,434,577 — — 74,434,577 Mortgage loans held for portfolio, net 3,086,855 — 3,219,846 — — 3,219,846 BOB loans, net 11,276 — — 11,276 — 11,276 Accrued interest receivable 107,345 — 107,345 — — 107,345 Derivative assets 65,855 — 70,478 — (4,623 ) 65,855 Liabilities: Deposits $ 685,937 $ — $ 685,951 $ — $ — $ 685,951 Discount notes 42,276,815 — 42,269,700 — — 42,269,700 Bonds 48,605,982 — 48,660,776 — — 48,660,776 Mandatorily redeemable capital stock (1) 6,053 6,130 — — — 6,130 Accrued interest payable (1) 92,765 — 92,688 — — 92,688 Derivative liabilities 42,508 — 331,738 — (289,230 ) 42,508 Notes: (1) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. (2) 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. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value. 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 of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during the six months ended June 30, 2016 and 2015 . 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. These instruments’ maturity term is overnight. 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. These instruments’ maturity term is overnight. Securities Purchased Under Agreements to Resell. The fair values are determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at June 30, 2016 and December 31, 2015. These instruments’ maturity term is overnight. 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: GSE, state and local agency, and other U.S. obligations Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from four 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 such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. 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 of June 30, 2016 , four vendor prices were received for a majority of the Bank's MBS holdings, and the final prices for nearly all of those securities were computed by averaging the four prices. Based on the Bank's reviews of the pricing methods including inputs 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. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, as of June 30, 2016 , the Bank classified private label MBS 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 and a price adjustment reflective of a secondary mortgage market participant. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions used in the secondary market. 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 Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its uncleared derivative transactions. In addition, the Bank has entered into uncleared 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 clearing agent and/or 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 and, if negative, as 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 and a pricing adjustment reflective of the secondary mortgage market. 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. Substantially all of these instruments’ maturity terms are overnight. 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. The OF constructs an internal curve, referred to as the CO curve, using the U.S. Treasury curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally its par value plus estimated dividends at the time of reclassification and any subsequently estimated dividend. 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 considers the difference between current levels of interest rates and the committed rates. The Bank issues standby letters of credit for a fee. The unamortized fee is the letter of credit's carrying value and represents its fair value. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at June 30, 2016 and December 31, 2015 . 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 Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at June 30, 2016 and December 31, 2015 . The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount. June 30, 2016 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Recurring fair value measurements - Assets Trading securities: Non MBS: GSE and TVA obligations $ — $ 417,293 $ — $ — $ 417,293 Mutual funds 6,290 — — — 6,290 Total trading securities $ 6,290 $ 417,293 $ — $ — $ 423,583 AFS securities: Non-MBS: GSE and TVA obligations $ — $ 3,212,450 $ — $ — $ 3,212,450 State or local agency obligations — 233,894 — — 233,894 Mutual funds 1,998 — — — 1,998 Other U.S. obligations single family MBS — 242,969 — — 242,969 GSE single-family MBS — 3,009,458 — — 3,009,458 GSE multifamily MBS — 1,187,140 — — 1,187,140 Private label MBS: Private label residential MBS — — 747,911 — 747,911 Total AFS securities $ 1,998 $ 7,885,911 $ 747,911 $ — $ 8,635,820 Derivative assets: Interest rate related $ — $ 138,341 $ — $ (48,360 ) $ 89,981 Mortgage delivery commitments — 128 — — 128 Total derivative assets $ — $ 138,469 $ — $ (48,360 ) $ 90,109 Total recurring assets at fair value $ 8,288 $ 8,441,673 $ 747,911 $ (48,360 ) $ 9,149,512 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 482,399 $ — $ (467,204 ) $ 15,195 Mortgage delivery commitments — 2 — — 2 Total recurring liabilities at fair value (2) $ — $ 482,401 $ — $ (467,204 ) $ 15,197 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (3) $ — $ — $ 7,810 $ — $ 7,810 Real estate owned (3) — — 3,580 — 3,580 Total non-recurring assets at fair value $ — $ — $ 11,390 $ — $ 11,390 December 31, 2015 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Recurring fair value measurements - Assets Trading securities: GSE and TVA obligations $ — $ 389,295 $ — $ — $ 389,295 Mutual funds 5,442 — — — 5,442 Total trading securities $ 5,442 $ 389,295 $ — $ — $ 394,737 AFS securities: GSE and TVA obligations $ — $ 3,469,205 $ — $ — 3,469,205 State or local agency obligations — 134,120 — — 134,120 Mutual funds 1,998 — — — 1,998 Other U.S. obligations single family MBS — 268,536 — — 268,536 GSE single-family MBS — 2,383,630 — — 2,383,630 GSE multifamily MBS — 1,010,497 — — 1,010,497 Private label MBS: Private label residential MBS — — 822,740 — 822,740 HELOCs — — 9,168 — 9,168 Total AFS securities $ 1,998 $ 7,265,988 $ 831,908 $ — $ 8,099,894 Derivative assets: Interest rate related $ — $ 70,225 $ — $ (4,623 ) $ 65,602 Mortgage delivery commitments — 253 — — 253 Total derivative assets $ — $ 70,478 $ — $ (4,623 ) $ 65,855 Total recurring assets at fair value $ 7,440 $ 7,725,761 $ 831,908 $ (4,623 ) $ 8,560,486 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 331,738 $ — $ (289,230 ) $ 42,508 Total recurring liabilities at fair value (2) $ — $ 331,738 $ — $ (289,230 ) $ 42,508 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (3) $ — $ — $ 32,294 $ — $ 32,294 Real estate owned (3) — — 8,175 — 8,175 Total non-recurring assets at fair value $ — $ — $ 40,469 $ — $ 40,469 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. (3) The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. There were no transfers between Levels 1 or 2 during the first six months of 2016 or 2015. 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 six months ended June 30, 2016 and 2015. 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. There were no Level 3 transfers during the first six months of 2016. During the first six months of 2015, the Bank transferred one private label MBS from its HTM portfolio to its AFS portfolio, in the period in which the OTTI was recorded. (in thousands) AFS Private Label MBS-Residential Six Months Ended June 30, 2016 AFS Private Label MBS- HELOCs Six Months Ended June 30, 2016 Balance at January 1 $ 822,740 $ 9,168 Total gains (losses) (realized/unrealized) included in: Sale of AFS — 1,417 Accretion of credit losses in interest income 8,596 203 Net OTTI losses, credit portion (239 ) — Net unrealized (losses) on AFS in OCI (47 ) — Reclassification of non-credit portion included in net income 239 (1,417 ) Net change in fair value on OTTI AFS in OCI (762 ) — Unrealized (losses) on OTTI AFS in OCI (5,943 ) (179 ) Purchases, issuances, sales, and settlements: Sales — (8,510 ) Settlements (76,673 ) (682 ) Balance at June 30 $ 747,911 $ — Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at June 30, 2016 $ 8,357 $ — (in thousands) AFS Private Label MBS-Residential Six Months Ended June 30, 2015 AFS Private Label MBS- HELOCs Six Months Ended June 30, 2015 Balance at January 1 $ 971,083 $ 11,699 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 9,512 734 Net unrealized gains on AFS in OCI 42 — Net change in fair value on OTTI AFS in OCI (1,157 ) (1 ) Unrealized (losses) on OTTI AFS in OCI (7,555 ) (462 ) Purchases, issuances, sales, and settlements: Settlements (67,368 ) (1,499 ) Transfer of OTTI securities from HTM to AFS 3,368 — Balance at June 30 $ 907,925 $ 10,471 Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at June 30, 2015 $ 9,512 $ 734 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2016 | |
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) June 30, 2016 December 31, 2015 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 19,689,514 $ — $ 19,689,514 $ 20,171,604 Commitments to fund additional advances and BOB loans 327,562 — 327,562 480,634 Commitments to fund or purchase mortgage loans 20,594 — 20,594 9,950 Unsettled consolidated obligation bonds, at par (3) 193,650 — 193,650 261,000 Unsettled consolidated obligation discount notes, at par 300,000 — 300,000 — Notes : (1) Excludes approved requests to issue future standby letters of credit of $223.2 million and $136.4 million at June 30, 2016 and December 31, 2015 , respectively. (2) Letters of credit in the amount of $7.0 billion and $5.5 billion at June 30, 2016 and December 31, 2015 , respectively, have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of approximately 5 years . (3) Includes $78.7 million and $115.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at June 30, 2016 and December 31, 2015 , respectively. 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 overnight advance. Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $5.2 million and $5.7 million as of June 30, 2016 and December 31, 2015 , 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 June 30, 2016 and December 31, 2015 . However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding of $7.3 billion and $7.4 billion at June 30, 2016 and December 31, 2015 , 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 may pledge cash and securities, as collateral, related to derivatives. Refer to Note 9 - Derivatives and Hedging Activities 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. The Bank would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank's financial condition, results of operations or cash flows. Notes 6, 9, 10, 11, and 12 also discuss other commitments and contingencies. |
Significant Accounting Policies
Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Impairment of Investments, Policy | A significant input to the projection of cash flows expected to be collected 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. During the second quarter of 2016, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (2.0)% to 10.0% over the 12 month period beginning April 1, 2016. For the vast majority of markets the short-term forecast has changes from 2.0% to 6.0% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. |
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 credit enhancement (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 participating financial institution (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, 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 (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally calls 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 and 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 FHLBank Act and Finance Agency regulations. Specifically, the FHLBank 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 help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s 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, regardless of the member's 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 FHLBank 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 otherwise entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the 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 June 30, 2016 and December 31, 2015 , the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At June 30, 2016 and December 31, 2015 , the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any 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. |
Loans and Leases Receivable, Mortgage and Mortgage-Backed Securities, Valuation, Policy | Collectively Evaluated Mortgage Loans. The Bank evaluates the homogeneous mortgage loan portfolio collectively 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. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. 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 uncleared 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 uncleared derivatives. For cleared derivatives, the Clearing Houses are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin. The requirement that the Bank post initial and variation margin through the clearing agent, which notifies the FHLBank 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 their respective 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 fair value of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including 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 uncleared derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's 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 uncleared derivative instruments in net liability positions. |
Fair Value Measurement, Policy | Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value. 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 of certain assets or liabilities. These reclassifications are reported as transfers in/out 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. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from four 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 such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. 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 and a price adjustment reflective of a secondary mortgage market participant. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions used in the secondary market. 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 Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its uncleared derivative transactions. In addition, the Bank has entered into uncleared 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 clearing agent and/or 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 and, if negative, as 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 and a pricing adjustment reflective of the secondary mortgage market. 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. Substantially all of these instruments’ maturity terms are overnight. 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. The OF constructs an internal curve, referred to as the CO curve, using the U.S. Treasury curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally its par value plus estimated dividends at the time of reclassification and any subsequently estimated dividend. 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 considers the difference between current levels of interest rates and the committed rates. The Bank issues standby letters of credit for a fee. The unamortized fee is the letter of credit's carrying value and represents its fair value. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at June 30, 2016 and December 31, 2015 . 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) | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Schedule of Trading Securities | The following table presents trading securities as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Non-MBS: Mutual funds $ 6,290 $ 5,442 GSE and Tennessee Valley Authority (TVA) obligations 417,293 389,295 Total $ 423,583 $ 394,737 |
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 second quarter and the first six months of 2016 and 2015 . Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Net unrealized gains (losses) on trading securities held at period-end $ 10,888 $ (10,133 ) $ 28,162 $ (3,356 ) Net realized gains on securities sold/matured during the period — — — — Net gains (losses) on trading securities $ 10,888 $ (10,133 ) $ 28,162 $ (3,356 ) |
Available-for-Sale (AFS) Secu26
Available-for-Sale (AFS) Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |
Schedule of Realized Gain (Loss) | The following table provides a summary of proceeds and gross gains on sales of AFS securities for the three and six months ended 2016 and 2015, respectively. Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Proceeds from sale of AFS securities $ — $ — $ 197,999 $ — Gross gains on AFS securities — — 12,708 — |
Available-for-sale Securities | |
Schedule of Available-for-sale Securities [Line Items] | |
Schedule of Available-for-sale Securities Reconciliation | The following tables present AFS securities as of June 30, 2016 and December 31, 2015 . June 30, 2016 (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 TVA obligations 3,195,154 — 20,194 (2,898 ) 3,212,450 State or local agency obligations 216,176 — 17,718 — 233,894 Total non-MBS $ 3,413,323 $ — $ 37,917 $ (2,898 ) $ 3,448,342 MBS: Other U.S. obligations single family MBS $ 243,614 $ — $ 26 $ (671 ) $ 242,969 GSE single-family MBS 3,000,418 — 12,293 (3,253 ) 3,009,458 GSE multifamily MBS 1,160,868 — 27,124 (852 ) 1,187,140 Private label residential MBS 683,387 (1,651 ) 66,559 (384 ) 747,911 Total MBS $ 5,088,287 $ (1,651 ) $ 106,002 $ (5,160 ) $ 5,187,478 Total AFS securities $ 8,501,610 $ (1,651 ) $ 143,919 $ (8,058 ) $ 8,635,820 December 31, 2015 (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 TVA obligations 3,468,665 — 15,332 (14,792 ) 3,469,205 State or local agency obligations 133,038 — 2,055 (973 ) 134,120 Total non-MBS $ 3,603,696 $ — $ 17,392 $ (15,765 ) $ 3,605,323 MBS: Other U.S. obligations single family MBS $ 268,105 $ — $ 501 $ (70 ) $ 268,536 GSE single-family MBS 2,378,589 — 9,965 (4,924 ) 2,383,630 GSE multifamily MBS 1,008,511 — 5,614 (3,628 ) 1,010,497 Private label MBS: Private label residential MBS 751,703 (889 ) 72,263 (337 ) 822,740 HELOCs 7,572 — 1,596 — 9,168 Total private label MBS 759,275 (889 ) 73,859 (337 ) 831,908 Total MBS $ 4,414,480 $ (889 ) $ 89,939 $ (8,959 ) $ 4,494,571 Total AFS securities $ 8,018,176 $ (889 ) $ 107,331 $ (24,724 ) $ 8,099,894 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. |
Reconciliation of OTTI on Investments Recognized in AOCI | 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 June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Non-credit portion of OTTI losses $ (1,651 ) $ (889 ) Net unrealized gains on OTTI securities since their last OTTI credit charge 66,559 73,859 Net non-credit portion of OTTI gains on AFS securities in AOCI $ 64,908 $ 72,970 |
Schedule of Unrealized Loss on Investments | The following tables summarize the AFS securities with unrealized losses as of June 30, 2016 and December 31, 2015 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. June 30, 2016 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 TVA obligations $ 469,260 $ (522 ) $ 481,496 $ (2,376 ) $ 950,756 $ (2,898 ) MBS: Other U.S. obligations single family MBS $ 208,421 $ (604 ) $ 10,902 $ (67 ) $ 219,323 $ (671 ) GSE single-family MBS 1,253,936 (3,073 ) 111,438 (180 ) 1,365,374 (3,253 ) GSE multifamily MBS 97,556 (699 ) 22,373 (153 ) 119,929 (852 ) Private label residential MBS 82,939 (1,518 ) 8,796 (517 ) 91,735 (2,035 ) Total MBS $ 1,642,852 $ (5,894 ) $ 153,509 $ (917 ) $ 1,796,361 $ (6,811 ) Total $ 2,112,112 $ (6,416 ) $ 635,005 $ (3,293 ) $ 2,747,117 $ (9,709 ) December 31, 2015 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 TVA obligations $ 2,396,493 $ (12,937 ) $ 184,772 $ (1,855 ) $ 2,581,265 $ (14,792 ) State or local agency obligations 41,727 (863 ) 3,890 (110 ) 45,617 (973 ) Total non-MBS $ 2,438,220 $ (13,800 ) $ 188,662 $ (1,965 ) $ 2,626,882 $ (15,765 ) MBS: Other U.S. obligations single family MBS $ 70,490 $ (48 ) $ 11,984 $ (22 ) $ 82,474 $ (70 ) GSE single-family MBS 465,658 (761 ) 114,028 (4,163 ) 579,686 (4,924 ) GSE multifamily MBS 420,982 (3,628 ) — — 420,982 (3,628 ) Private label residential MBS 65,080 (775 ) 9,332 (451 ) 74,412 (1,226 ) Total MBS $ 1,022,210 $ (5,212 ) $ 135,344 $ (4,636 ) $ 1,157,554 $ (9,848 ) Total $ 3,460,430 $ (19,012 ) $ 324,006 $ (6,601 ) $ 3,784,436 $ (25,613 ) 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 June 30, 2016 and December 31, 2015 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) June 30, 2016 December 31, 2015 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 173,004 $ 173,133 $ 28,706 $ 28,688 Due after one year through five years 1,459,300 1,460,127 1,925,398 1,919,024 Due after five years through ten years 691,939 704,785 812,550 825,558 Due in more than ten years 1,089,080 1,110,297 837,042 832,053 AFS securities excluding MBS 3,413,323 3,448,342 3,603,696 3,605,323 MBS 5,088,287 5,187,478 4,414,480 4,494,571 Total AFS securities $ 8,501,610 $ 8,635,820 $ 8,018,176 $ 8,099,894 |
Schedule of Interest Rate Payment Terms For Investments | The following table details interest payment terms at June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Amortized cost of AFS securities other than MBS: Fixed-rate $ 3,328,563 $ 3,518,980 Variable-rate 84,760 84,716 Total non-MBS $ 3,413,323 $ 3,603,696 Amortized cost of AFS MBS: Fixed-rate $ 1,474,993 $ 1,593,414 Variable-rate 3,613,294 2,821,066 Total MBS $ 5,088,287 $ 4,414,480 Total amortized cost of AFS securities $ 8,501,610 $ 8,018,176 |
Held-to-Maturity (HTM) Securi27
Held-to-Maturity (HTM) Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Held-to-maturity Securities | The following tables present HTM securities as of June 30, 2016 and December 31, 2015 . June 30, 2016 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 136,845 $ 114 $ (12,360 ) $ 124,599 MBS: Other U.S. obligations single-family MBS $ 695,785 $ 3,746 $ (119 ) $ 699,412 GSE single-family MBS 252,200 4,593 (136 ) 256,657 GSE multifamily MBS 874,294 40,076 (1 ) 914,369 Private label residential MBS 460,048 1,410 (6,833 ) 454,625 Total MBS $ 2,282,327 $ 49,825 $ (7,089 ) $ 2,325,063 Total HTM securities $ 2,419,172 $ 49,939 $ (19,449 ) $ 2,449,662 December 31, 2015 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 169,520 $ 118 $ (14,484 ) $ 155,154 MBS: Other U.S. obligations single-family MBS $ 819,602 $ 5,651 $ (5 ) $ 825,248 GSE single-family MBS 294,568 4,459 (75 ) 298,952 GSE multifamily MBS 863,122 30,124 (1,394 ) 891,852 Private label residential MBS 516,492 1,717 (5,344 ) 512,865 Total MBS $ 2,493,784 $ 41,951 $ (6,818 ) $ 2,528,917 Total HTM securities $ 2,663,304 $ 42,069 $ (21,302 ) $ 2,684,071 |
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 June 30, 2016 and December 31, 2015 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. June 30, 2016 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 $ — $ — $ 109,410 $ (12,360 ) $ 109,410 $ (12,360 ) MBS: Other U.S. obligations single-family MBS $ 98,524 $ (119 ) $ — $ — $ 98,524 $ (119 ) GSE single-family MBS — — 7,833 (136 ) 7,833 (136 ) GSE multifamily MBS 448 (1 ) — — 448 (1 ) Private label residential MBS 83,719 (541 ) 260,043 (6,292 ) 343,762 (6,833 ) Total MBS $ 182,691 $ (661 ) $ 267,876 $ (6,428 ) $ 450,567 $ (7,089 ) Total $ 182,691 $ (661 ) $ 377,286 $ (18,788 ) $ 559,977 $ (19,449 ) December 31, 2015 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 $ 20,154 $ (1 ) $ 110,737 $ (14,483 ) $ 130,891 $ (14,484 ) MBS: Other U.S. obligations single-family MBS $ 10,237 $ (5 ) $ — $ — $ 10,237 $ (5 ) GSE single-family MBS — — 9,091 (75 ) 9,091 (75 ) GSE multifamily MBS 132,835 (1,394 ) — — 132,835 (1,394 ) Private label residential MBS 110,665 (717 ) 252,851 (4,627 ) 363,516 (5,344 ) Total MBS $ 253,737 $ (2,116 ) $ 261,942 $ (4,702 ) $ 515,679 $ (6,818 ) Total $ 273,891 $ (2,117 ) $ 372,679 $ (19,185 ) $ 646,570 $ (21,302 ) |
Investments Classified by Contractual Maturity Date | Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of June 30, 2016 and December 31, 2015 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) June 30, 2016 December 31, 2015 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ — $ — $ — $ — Due after one year through five years — — — — Due after five years through ten years 50,665 49,319 57,490 55,797 Due after ten years 86,180 75,280 112,030 99,357 Total non-MBS 136,845 124,599 169,520 155,154 MBS 2,282,327 2,325,063 2,493,784 2,528,917 Total HTM securities $ 2,419,172 $ 2,449,662 $ 2,663,304 $ 2,684,071 |
Schedule of Interest Rate Payment Terms For Investments | Interest Rate Payment Terms. The following table details interest rate payment terms at June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Amortized cost of HTM securities other than MBS: Fixed-rate $ 335 $ 28,565 Variable-rate 136,510 140,955 Total non-MBS $ 136,845 $ 169,520 Amortized cost of HTM MBS: Fixed-rate $ 1,010,543 $ 1,023,636 Variable-rate 1,271,784 1,470,148 Total MBS $ 2,282,327 $ 2,493,784 Total HTM securities $ 2,419,172 $ 2,663,304 |
Other-Than-Temporary Impairme28
Other-Than-Temporary Impairment (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Other Than Temporary Impairment [Abstract] | |
Schedule of Other Than Temporarily Impaired Charges of Securities | The "Total OTTI securities" balances below summarize the Bank’s securities as of June 30, 2016 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 total AFS private label MBS balance below. OTTI Recognized During the Life of the Security (in thousands) Unpaid Principal Balance Amortized Cost (1) Fair Value Private label residential MBS: Prime $ 389,167 $ 315,481 $ 349,018 Alt-A 471,595 363,653 394,923 Subprime 1,836 1,093 1,194 Total OTTI securities 862,598 680,227 745,135 Private label MBS with no OTTI 3,160 3,160 2,776 Total AFS private label MBS $ 865,758 $ 683,387 $ 747,911 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 and six months ended June 30, 2016 and 2015 . Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Beginning balance $ 257,493 $ 283,916 $ 265,379 $ 290,935 Additions: Credit losses for which OTTI was not previously recognized — 483 — 483 Additional OTTI credit losses for which an OTTI charge was previously recognized (1) — — 239 — Reductions: Securities sold and matured during the period (2) — — (2,081 ) — Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (6,006 ) (7,148 ) (12,050 ) (14,167 ) Ending balance $ 251,487 $ 277,251 $ 251,487 $ 277,251 Notes: (1) For the six months ended June 30, 2016 , additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016. (2) Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Advances [Abstract] | |
Schedule of Advances Classified by Contractual Maturity Date | The following table details interest rate payment terms for advances as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Fixed-rate – overnight $ 4,819,764 $ 4,681,918 Fixed-rate – term: Due in 1 year or less 12,446,692 13,532,806 Thereafter 9,932,479 13,121,108 Total fixed-rate 27,198,935 31,335,832 Variable-rate: Due in 1 year or less 16,272,241 14,977,532 Thereafter 22,667,909 28,019,909 Total variable-rate 38,940,150 42,997,441 Total par value $ 66,139,085 $ 74,333,273 The following table summarizes advances by the earlier of (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of June 30, 2016 and December 31, 2015 . Year of Contractual Maturity or Next Call Date Year of Contractual Maturity or Next Convertible Date (in thousands) June 30, 2016 December 31, 2015 June 30, 2016 December 31, 2015 Due in 1 year or less $ 35,488,697 $ 34,692,256 $ 33,973,197 $ 33,771,756 Due after 1 year through 2 years 15,890,557 18,939,266 16,996,557 18,629,266 Due after 2 years through 3 years 9,254,041 11,661,338 9,349,041 12,877,338 Due after 3 years through 4 years 3,650,309 6,245,864 3,959,809 6,255,364 Due after 4 years through 5 years 983,102 1,775,994 1,008,102 1,800,994 Thereafter 872,379 1,018,555 852,379 998,555 Total par value $ 66,139,085 $ 74,333,273 $ 66,139,085 $ 74,333,273 The following table details the Bank’s advances portfolio by year of contractual maturity as of June 30, 2016 and December 31, 2015 . (dollars in thousands) June 30, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 33,538,697 0.73% $ 33,192,256 0.70 % Due after 1 year through 2 years 17,340,557 0.91 18,989,266 0.99 Due after 2 years through 3 years 9,414,041 1.19 13,071,338 0.96 Due after 3 years through 4 years 3,965,309 1.26 6,260,864 0.93 Due after 4 years through 5 years 1,008,102 2.02 1,800,994 1.68 Thereafter 872,379 2.69 1,018,555 2.66 Total par value 66,139,085 0.92 % 74,333,273 0.89 % Discount on AHP advances (8 ) (21 ) Deferred prepayment fees (2,776 ) (4,749 ) Hedging adjustments 200,090 176,273 Total book value $ 66,336,391 $ 74,504,776 |
Mortgage Loans Held for Portf30
Mortgage Loans Held for Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Schedule of Mortgage Loans Held for Portfolio | The following table presents balances as of June 30, 2016 and December 31, 2015 for mortgage loans held for portfolio. (in thousands) June 30, 2016 December 31, 2015 Fixed-rate long-term single-family mortgages (1) $ 2,749,784 $ 2,660,615 Fixed-rate medium-term single-family mortgages (1) 326,990 352,082 Total par value 3,076,774 3,012,697 Premiums 54,122 50,857 Discounts (3,466 ) (3,899 ) Hedging adjustments 32,839 32,865 Total mortgage loans held for portfolio $ 3,160,269 $ 3,092,520 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Conventional loans $ 2,839,321 $ 2,763,930 Government-guaranteed/insured loans 237,453 248,767 Total par value $ 3,076,774 $ 3,012,697 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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) June 30, 2016 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans BOB Loans Total Past due 30-59 days $ 35,439 $ 11,387 $ — $ 46,826 Past due 60-89 days 8,603 3,067 — 11,670 Past due 90 days or more 22,307 3,159 89 25,555 Total past due loans $ 66,349 $ 17,613 $ 89 $ 84,051 Total current loans 2,863,591 228,635 13,073 3,105,299 Total loans $ 2,929,940 $ 246,248 $ 13,162 $ 3,189,350 Other delinquency statistics: In process of foreclosures, included above (2) $ 13,644 $ 772 $ — $ 14,416 Serious delinquency rate (3) 0.8 % 1.3 % 0.7 % 0.8 % Past due 90 days or more still accruing interest $ — $ 3,159 $ — $ 3,159 Loans on nonaccrual status $ 25,026 $ — $ 281 $ 25,307 (in thousands) December 31, 2015 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans BOB Loans Total Past due 30-59 days $ 42,746 $ 14,997 $ 86 $ 57,829 Past due 60-89 days 11,752 4,260 78 16,090 Past due 90 days or more 25,169 4,382 156 29,707 Total past due loans $ 79,667 $ 23,639 $ 320 $ 103,626 Total current loans 2,770,612 234,376 13,090 3,018,078 Total loans $ 2,850,279 $ 258,015 $ 13,410 $ 3,121,704 Other delinquency statistics: In process of foreclosures, included above (2) $ 15,353 $ 1,356 $ — $ 16,709 Serious delinquency rate (3) 0.9 % 1.7 % 1.2 % 1.0 % Past due 90 days or more still accruing interest $ — $ 4,382 $ — $ 4,382 Loans on nonaccrual status $ 29,075 $ — $ 383 $ 29,458 Notes: (1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. 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. |
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. BOB loans are not significant and are excluded from the tables below. June 30, 2016 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 34,234 $ 33,903 $ — With a related allowance: Conventional MPF loans 25,531 25,274 4,962 Total: Conventional MPF loans $ 59,765 $ 59,177 $ 4,962 December 31, 2015 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 33,737 $ 33,428 $ — With a related allowance: Conventional MPF loans 27,025 26,774 5,018 Total: Conventional MPF loans $ 60,762 $ 60,202 $ 5,018 |
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 June 30, 2016 Three months ended June 30, 2015 (in thousands) Average Recorded Investment (1) Interest Income Recognized Average Recorded Investment (1) Interest Income Recognized Conventional MPF loans $ 60,171 $ 578 $ 64,133 $ 457 Six months ended June 30, 2016 Six months ended June 30, 2015 (in thousands) Average Recorded Investment (1) Interest Income Recognized Average Recorded Investment (1) Interest Income Recognized Conventional MPF loans $ 61,265 $ 1,138 $ 64,028 $ 880 Notes: (1) Includes gross charge-offs. |
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 June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Balance, beginning of period $ 5,962 $ 6,566 $ 5,665 $ 7,260 (Charge-offs) Recoveries, net (1) 40 (311 ) 73 (413 ) Provision (benefit) for credit losses (75 ) 45 189 (547 ) Balance, June 30 $ 5,927 $ 6,300 $ 5,927 $ 6,300 Notes: (1) Net charge-offs that the Bank does not expect to recover through CE receivable. |
Allowance for Credit Losses and Recorded Investment By Impairment Methodology | (in thousands) June 30, 2016 December 31, 2015 Ending balance, individually evaluated for impairment $ 4,962 $ 5,018 Ending balance, collectively evaluated for impairment 965 647 Total allowance for credit losses $ 5,927 $ 5,665 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a related allowance $ 59,765 $ 60,762 Collectively evaluated for impairment 2,870,175 2,789,517 Total recorded investment $ 2,929,940 $ 2,850,279 |
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 June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Balance, Beginning of period $ 1,904 $ 1,660 $ 2,052 $ 1,840 (Charge-offs) Recoveries, net — (167 ) (196 ) (451 ) Provision (benefit) for credit losses (18 ) 265 30 369 Balance, June 30 $ 1,886 $ 1,758 $ 1,886 $ 1,758 |
Allowance for Credit Losses and Recorded Investment By Impairment Methodology | (in thousands) June 30, 2016 December 31, 2015 Ending balance, individually evaluated for impairment $ 96 $ 25 Ending balance, collectively evaluated for impairment 1,790 2,027 Total allowance for credit losses $ 1,886 $ 2,052 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a related allowance $ 192 $ 63 Collectively evaluated for impairment 12,970 13,347 Total recorded investment $ 13,162 $ 13,410 |
Derivatives and Hedging Activ32
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, including the effect of netting adjustments and cash collateral as of June 30, 2016 and December 31, 2015 . For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. June 30, 2016 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 32,341,331 $ 76,753 $ 352,444 Derivatives not designated as hedging instruments: Interest rate swaps $ 15,281,559 $ 59,394 $ 129,955 Interest rate caps 1,255,000 2,194 — Mortgage delivery commitments 20,594 128 2 Total derivatives not designated as hedging instruments: $ 16,557,153 $ 61,716 $ 129,957 Total derivatives before netting and collateral adjustments $ 48,898,484 $ 138,469 $ 482,401 Netting adjustments and cash collateral (1) (48,360 ) (467,204 ) Derivative assets and derivative liabilities as reported on the Statement of $ 90,109 $ 15,197 December 31, 2015 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 30,416,262 $ 49,104 $ 269,354 Derivatives not designated as hedging instruments: Interest rate swaps $ 13,363,652 $ 18,426 $ 62,384 Interest rate swaptions 25,000 — — Interest rate caps 755,000 2,695 — Mortgage delivery commitments 9,950 253 — Total derivatives not designated as hedging instruments: $ 14,153,602 $ 21,374 $ 62,384 Total derivatives before netting and collateral adjustments $ 44,569,864 $ 70,478 $ 331,738 Netting adjustments and cash collateral (1) (4,623 ) (289,230 ) Derivative assets and derivative liabilities as reported on the Statement of $ 65,855 $ 42,508 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $430.3 million and $287.0 million at June 30, 2016 and December 31, 2015 . Cash collateral received was $11.5 million and $2.4 million at June 30, 2016 and December 31, 2015 . |
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 June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Derivatives designated as hedging instruments: Interest rate swaps (1) $ 4 $ 2,812 $ (5,143 ) $ 3,397 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (15,956 ) $ 20,093 $ (47,480 ) $ 4,243 Interest rate swaptions — 26 — 165 Interest rate caps (1,454 ) (620 ) (2,654 ) (908 ) Net interest settlements 746 4,226 1,025 9,918 Mortgage delivery commitments 270 2,591 2,235 4,734 Other 4 5 10 12 Total net gains (losses) related to derivatives not designated as hedging instruments $ (16,390 ) $ 26,321 $ (46,864 ) $ 18,164 Net gains (losses) on derivatives and hedging activities $ (16,386 ) $ 29,133 $ (52,007 ) $ 21,561 Note: (1) Pertains to total net gains for fair value hedge ineffectiveness. |
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 three and six months ended June 30, 2016 and 2015 . (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 June 30, 2016 Hedged item type: Advances $ 34,859 $ (33,315 ) $ 1,544 $ (26,470 ) Consolidated obligations – bonds 4,386 (3,772 ) 614 20,522 AFS securities (36,642 ) 34,488 (2,154 ) (6,041 ) Total $ 2,603 $ (2,599 ) $ 4 $ (11,989 ) Six months ended June 30, 2016 Hedged item type: Advances $ (26,102 ) $ 27,927 $ 1,825 $ (67,622 ) Consolidated obligations – bonds 60,482 (61,668 ) (1,186 ) 44,937 AFS securities (101,212 ) 95,430 (5,782 ) (12,115 ) Total $ (66,832 ) $ 61,689 $ (5,143 ) $ (34,800 ) (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 June 30, 2015 Hedged item type: Advances $ 62,731 $ (62,164 ) $ 567 $ (48,368 ) Consolidated obligations – bonds (38,730 ) 38,775 45 62,223 AFS securities 29,259 (27,059 ) 2,200 (4,330 ) Total $ 53,260 $ (50,448 ) $ 2,812 $ 9,525 Six months ended June 30, 2015 Hedged item type: Advances $ 52,718 $ (51,989 ) $ 729 $ (95,362 ) Consolidated obligations – bonds 15,860 (15,120 ) 740 123,838 AFS securities 17,524 (15,596 ) 1,928 (7,762 ) Total $ 86,102 $ (82,705 ) $ 3,397 $ 20,714 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 $(1.4) million and $0.9 million for the second quarter of 2016 and 2015, respectively, and $(2.4) million and $2.9 million for the six months ended June 30, 2016 and 2015, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships. |
Offsetting Assets | 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. The following tables present 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) June 30, 2016 December 31, 2015 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 39,188 $ 39,068 Cleared derivatives 99,153 31,157 Total gross recognized amount 138,341 70,225 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (34,899 ) (37,981 ) Cleared derivatives (13,461 ) 33,358 Total gross amounts of netting adjustments and cash collateral (48,360 ) (4,623 ) Net amounts after netting adjustments: Uncleared derivatives 4,289 1,087 Cleared derivatives 85,692 64,515 Total net amounts after netting adjustments 89,981 65,602 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 128 253 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 128 253 Total derivative assets: Uncleared derivatives 4,417 1,340 Cleared derivatives 85,692 64,515 Total derivative assets as reported in the Statement of Condition 90,109 65,855 Net unsecured amount: Uncleared derivatives 4,417 1,340 Cleared derivatives 85,692 64,515 Total net unsecured amount $ 90,109 $ 65,855 |
Offsetting Liabilities | Derivative Liabilities (in thousands) June 30, 2016 December 31, 2015 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 78,953 $ 132,910 Cleared derivatives 403,446 198,828 Total gross recognized amount 482,399 331,738 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (63,758 ) (90,402 ) Cleared derivatives (403,446 ) (198,828 ) Total gross amounts of netting adjustments and cash collateral (467,204 ) (289,230 ) Net amounts after netting adjustments: Uncleared derivatives 15,195 42,508 Cleared derivatives — — Total net amounts after netting adjustments 15,195 42,508 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 2 — Cleared derivatives — — Derivative instruments without legal right of offset 2 — Total derivative liabilities Uncleared derivatives 15,197 42,508 Cleared derivatives — — Total derivative liabilities as reported in the Statement of Condition 15,197 42,508 Net unsecured amount: Uncleared derivatives 15,197 42,508 Total net unsecured amount $ 15,197 $ 42,508 Note: (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) | 6 Months Ended |
Jun. 30, 2016 | |
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 the Bank's consolidated obligation bonds as of June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Par value of consolidated bonds: Fixed-rate $ 35,964,128 $ 31,945,658 Step-up 1,180,000 1,860,000 Floating-rate 23,070,000 14,650,000 Conversion bonds - fixed to floating 430,000 60,000 Total par value 60,644,128 48,515,658 Debt issuance costs (1) 72,352 92,481 Hedging adjustments 52,721 (7,386 ) Total book value $ 60,769,201 $ 48,600,753 Note: (1) Includes bond discounts, premiums and concession fees. |
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 June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 (dollars in thousands) Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 40,043,860 0.70 % $ 26,814,155 0.68 % Due after 1 year through 2 years 10,604,510 1.24 8,753,810 1.21 Due after 2 years through 3 years 2,844,025 1.48 4,998,335 1.46 Due after 3 years through 4 years 1,768,200 2.14 2,017,720 1.84 Due after 4 years through 5 years 1,537,450 1.69 2,040,940 1.91 Thereafter 3,704,300 2.76 3,733,950 2.66 Index amortizing notes 141,783 4.73 156,748 4.73 Total par value $ 60,644,128 1.03 % $ 48,515,658 1.12 % |
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 June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Noncallable $ 55,289,128 $ 41,462,658 Callable 5,355,000 7,053,000 Total par value $ 60,644,128 $ 48,515,658 |
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 June 30, 2016 and December 31, 2015 . (in thousands) Year of Contractual Maturity or Next Call Date June 30, 2016 December 31, 2015 Due in 1 year or less $ 44,981,860 $ 33,517,155 Due after 1 year through 2 years 10,049,510 7,778,810 Due after 2 years through 3 years 2,015,025 3,672,335 Due after 3 years through 4 years 1,443,200 1,202,720 Due after 4 years through 5 years 598,450 810,940 Thereafter 1,414,300 1,376,950 Index amortizing notes 141,783 156,748 Total par value $ 60,644,128 $ 48,515,658 |
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 June 30, 2016 and December 31, 2015 . (dollars in thousands) June 30, 2016 December 31, 2015 Book value $ 20,814,244 $ 42,275,544 Par value 20,839,515 42,318,509 Weighted average interest rate (1) 0.44 % 0.32 % Notes: (1) Represents an implied rate. |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | The following table demonstrates the Bank’s compliance with the regulatory capital requirements at June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: Risk-based capital $ 701,316 $ 4,162,846 $ 820,621 $ 4,426,971 Total capital-to-asset ratio 4.0 % 4.8 % 4.0 % 4.6 % Total regulatory capital 3,476,258 4,162,846 3,853,451 4,426,971 Leverage ratio 5.0 % 7.2 % 5.0 % 6.9 % Leverage capital 4,345,323 6,244,269 4,816,814 6,640,456 |
Schedule of Concentration in Capital Stock Held | (dollars in thousands) June 30, 2016 Member (1) Capital Stock % of Total PNC Bank, N.A., Wilmington, DE $ 799,152 24.7 % Chase Bank USA, N.A., Wilmington, DE 430,152 13.3 Santander Bank, N.A., Wilmington, DE 404,787 12.5 (dollars in thousands) December 31, 2015 Member (1) Capital Stock % of Total PNC Bank, N.A., Wilmington, DE $ 881,552 24.9 % Santander Bank, N.A., Wilmington, DE 600,872 17.0 Chase Bank USA, N.A., Wilmington, DE 424,502 12.0 Ally Bank, Midvale, UT 391,287 11.0 Note: (1) For Bank membership purposes, the principal place of business for PNC Bank 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 six months ended June 30, 2016 and 2015. Six months ended June 30, (in thousands) 2016 2015 Balance, beginning of the period $ 6,053 $ 586 Capital stock subject to mandatory redemption reclassified from capital 44,832 — Redemption/repurchase of mandatorily redeemable stock (45,191 ) (24 ) Balance, end of the period $ 5,694 $ 562 |
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 June 30, 2016 and December 31, 2015 . (in thousands) June 30, 2016 December 31, 2015 Due in 1 year or less $ — $ — Due after 1 year through 2 years — — Due after 2 years through 3 years 467 — Due after 3 years through 4 years — 546 Due after 4 years through 5 years 5,227 5,507 Total $ 5,694 $ 6,053 |
Schedule of Accumulated Other Comprehensive Income (Loss) | (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 (Losses) on Hedging Activities Pension and Post-Retirement Plans Total March 31, 2015 $ 54,948 $ 96,512 $ — $ 264 $ (2,668 ) $ 149,056 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) (24,755 ) (9,372 ) — — — (34,127 ) Noncredit OTTI losses transferred — (1,026 ) 1,026 — — — Net change in fair value of OTTI securities — (1,864 ) — — — (1,864 ) Reclassifications from OCI to net income: Noncredit OTTI to credit OTTI — — (1,026 ) — — (1,026 ) Amortization on hedging activities — — — (4 ) — (4 ) Pension and post-retirement — — — — 82 82 June 30, 2015 $ 30,193 $ 84,250 $ — $ 260 $ (2,586 ) $ 112,117 March 31, 2016 $ 35,261 $ 59,742 $ — $ 240 $ (1,239 ) $ 94,004 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 34,041 3,838 — — — 37,879 Net change in fair value of OTTI securities — 1,328 — — — 1,328 Reclassifications from OCI to net income: Amortization on hedging activities — — — (5 ) — (5 ) Pension and post-retirement — — — — 43 43 June 30, 2016 $ 69,302 $ 64,908 $ — $ 235 $ (1,196 ) $ 133,249 The following table summarizes the changes in AOCI for the six months ended June 30, 2016 and 2015. (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 (Losses) on Hedging Activities Pension and Post-Retirement Plans Total December 31, 2014 $ 32,460 $ 94,451 $ — $ 272 $ (2,750 ) $ 124,433 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) (2,267 ) (8,017 ) — — — (10,284 ) Noncredit OTTI losses transferred — (1,026 ) 1,026 — — — Net change in fair value of OTTI securities — (1,158 ) — — — (1,158 ) Reclassifications from OCI to net income: Noncredit OTTI to credit OTTI — — (1,026 ) — — (1,026 ) Amortization on hedging activities — — — (12 ) — (12 ) Pension and post-retirement — — — — 164 164 June 30, 2015 $ 30,193 $ 84,250 $ — $ 260 $ (2,586 ) $ 112,117 December 31, 2015 $ 8,748 $ 72,970 $ — $ 247 $ (1,282 ) $ 80,683 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 71,845 (6,122 ) — — — 65,723 Net change in fair value of OTTI securities — (762 ) — — — (762 ) Reclassifications from OCI to net income: Reclassification adjustment for gains included in net income (11,291 ) (1,417 ) — — — (12,708 ) Noncredit OTTI to credit OTTI — 239 — — — 239 Amortization on hedging activities — — — (12 ) — (12 ) Pension and post-retirement — — — — 86 86 June 30, 2016 $ 69,302 $ 64,908 $ — $ 235 $ (1,196 ) $ 133,249 |
Transactions with Related Par35
Transactions with Related Parties (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Related Party Transaction [Line Items] | |
Related Party Transactions, by Balance Sheet Grouping | The following table includes significant outstanding related party member balances. (in thousands) June 30, 2016 December 31, 2015 Federal funds sold $ 45,000 $ — Investments 225,255 176,345 Advances 38,530,188 54,610,238 Letters of credit (1) 6,814,235 8,245,423 MPF loans 951,223 1,052,569 Deposits 19,261 24,636 Capital stock 1,708,884 2,366,721 Note: (1) Letters of credit are off-balance sheet commitments. |
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 interest income on Federal funds sold and interest expense on deposits were immaterial for the periods presented. Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Interest income on investments $ 652 $ 384 $ 1,261 $ 632 Interest income on advances (1) 79,973 44,843 155,276 83,896 Interest income on MPF loans 13,272 16,646 27,259 34,269 Letters of credit fees 2,258 3,819 4,575 6,847 Prepayment fees on advances 6,547 — 6,547 — Note: (1) For the three and six months ended June 30, 2016 , balances include contractual interest income of $92.3 million and $192.7 million , net interest settlements on derivatives in fair value hedge relationships of $(12.9) million and $(38.0) million and total amortization of basis adjustments was $0.6 million and $0.5 million . For the three and six months ended June 30, 2015 , balances include contractual interest income of $78.6 million and $151.4 million , net interest settlements on derivatives in fair value hedge relationships of $(33.6) million and $(67.0) million and total amortization of basis adjustments of $(0.2) million and $(0.6) million . |
Schedule of Related Party Transactions, Mortgage Loans | The following table includes the MPF activity of the related party members. Three months ended June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Total MPF loan volume purchased $ 5,312 $ 5,438 $ 7,973 $ 6,845 |
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 June 30, Six months ended June 30, (in thousands) 2016 2015 2016 2015 Servicing fee expense $ 324 $ 284 $ 634 $ 552 (in thousands) June 30, 2016 December 31, 2015 Interest-bearing deposits maintained with FHLBank of Chicago $ 5,105 $ 6,075 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | The carrying value and estimated fair value of the Bank’s financial instruments at June 30, 2016 and December 31, 2015 are presented in the table below. Fair Value Summary Table June 30, 2016 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 2,645,861 $ 2,645,861 $ — $ — $ — $ 2,645,861 Interest-bearing deposits 5,105 — 5,105 — — 5,105 Federal funds sold 2,545,000 — 2,544,990 — — 2,544,990 Securities purchased under agreements to resell 500,000 — 500,000 — — 500,000 Trading securities 423,583 6,290 417,293 — — 423,583 AFS securities 8,635,820 1,998 7,885,911 747,911 — 8,635,820 HTM securities 2,419,172 — 1,995,037 454,625 — 2,449,662 Advances 66,336,391 — 66,326,070 — — 66,326,070 Mortgage loans held for portfolio, net 3,154,342 — 3,282,219 — — 3,282,219 BOB loans, net 11,204 — — 11,204 — 11,204 Accrued interest receivable 108,246 — 108,246 — — 108,246 Derivative assets 90,109 — 138,469 — (48,360 ) 90,109 Liabilities: Deposits $ 646,013 $ — $ 646,023 $ — $ — $ 646,023 Discount notes 20,814,244 — 20,819,777 — — 20,819,777 Bonds 60,769,201 — 61,035,926 — — 61,035,926 Mandatorily redeemable capital stock (1) 5,694 5,777 — — — 5,777 Accrued interest payable (1) 107,354 — 107,271 — — 107,271 Derivative liabilities 15,197 — 482,401 — (467,204 ) 15,197 December 31, 2015 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 2,376,964 $ 2,376,964 $ — $ — $ — $ 2,376,964 Interest-bearing deposits 6,075 — 6,075 — — 6,075 Federal funds sold 3,980,000 — 3,979,884 — — 3,979,884 Securities purchased under agreements to resell 1,000,000 — 999,984 — — 999,984 Trading securities 394,737 5,442 389,295 — — 394,737 AFS securities 8,099,894 1,998 7,265,988 831,908 — 8,099,894 HTM securities 2,663,304 — 2,171,206 512,865 — 2,684,071 Advances 74,504,776 — 74,434,577 — — 74,434,577 Mortgage loans held for portfolio, net 3,086,855 — 3,219,846 — — 3,219,846 BOB loans, net 11,276 — — 11,276 — 11,276 Accrued interest receivable 107,345 — 107,345 — — 107,345 Derivative assets 65,855 — 70,478 — (4,623 ) 65,855 Liabilities: Deposits $ 685,937 $ — $ 685,951 $ — $ — $ 685,951 Discount notes 42,276,815 — 42,269,700 — — 42,269,700 Bonds 48,605,982 — 48,660,776 — — 48,660,776 Mandatorily redeemable capital stock (1) 6,053 6,130 — — — 6,130 Accrued interest payable (1) 92,765 — 92,688 — — 92,688 Derivative liabilities 42,508 — 331,738 — (289,230 ) 42,508 Notes: (1) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. (2) 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. |
Fair Value Measurements | Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at June 30, 2016 and December 31, 2015 . The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount. June 30, 2016 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Recurring fair value measurements - Assets Trading securities: Non MBS: GSE and TVA obligations $ — $ 417,293 $ — $ — $ 417,293 Mutual funds 6,290 — — — 6,290 Total trading securities $ 6,290 $ 417,293 $ — $ — $ 423,583 AFS securities: Non-MBS: GSE and TVA obligations $ — $ 3,212,450 $ — $ — $ 3,212,450 State or local agency obligations — 233,894 — — 233,894 Mutual funds 1,998 — — — 1,998 Other U.S. obligations single family MBS — 242,969 — — 242,969 GSE single-family MBS — 3,009,458 — — 3,009,458 GSE multifamily MBS — 1,187,140 — — 1,187,140 Private label MBS: Private label residential MBS — — 747,911 — 747,911 Total AFS securities $ 1,998 $ 7,885,911 $ 747,911 $ — $ 8,635,820 Derivative assets: Interest rate related $ — $ 138,341 $ — $ (48,360 ) $ 89,981 Mortgage delivery commitments — 128 — — 128 Total derivative assets $ — $ 138,469 $ — $ (48,360 ) $ 90,109 Total recurring assets at fair value $ 8,288 $ 8,441,673 $ 747,911 $ (48,360 ) $ 9,149,512 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 482,399 $ — $ (467,204 ) $ 15,195 Mortgage delivery commitments — 2 — — 2 Total recurring liabilities at fair value (2) $ — $ 482,401 $ — $ (467,204 ) $ 15,197 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (3) $ — $ — $ 7,810 $ — $ 7,810 Real estate owned (3) — — 3,580 — 3,580 Total non-recurring assets at fair value $ — $ — $ 11,390 $ — $ 11,390 December 31, 2015 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Recurring fair value measurements - Assets Trading securities: GSE and TVA obligations $ — $ 389,295 $ — $ — $ 389,295 Mutual funds 5,442 — — — 5,442 Total trading securities $ 5,442 $ 389,295 $ — $ — $ 394,737 AFS securities: GSE and TVA obligations $ — $ 3,469,205 $ — $ — 3,469,205 State or local agency obligations — 134,120 — — 134,120 Mutual funds 1,998 — — — 1,998 Other U.S. obligations single family MBS — 268,536 — — 268,536 GSE single-family MBS — 2,383,630 — — 2,383,630 GSE multifamily MBS — 1,010,497 — — 1,010,497 Private label MBS: Private label residential MBS — — 822,740 — 822,740 HELOCs — — 9,168 — 9,168 Total AFS securities $ 1,998 $ 7,265,988 $ 831,908 $ — $ 8,099,894 Derivative assets: Interest rate related $ — $ 70,225 $ — $ (4,623 ) $ 65,602 Mortgage delivery commitments — 253 — — 253 Total derivative assets $ — $ 70,478 $ — $ (4,623 ) $ 65,855 Total recurring assets at fair value $ 7,440 $ 7,725,761 $ 831,908 $ (4,623 ) $ 8,560,486 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 331,738 $ — $ (289,230 ) $ 42,508 Total recurring liabilities at fair value (2) $ — $ 331,738 $ — $ (289,230 ) $ 42,508 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (3) $ — $ — $ 32,294 $ — $ 32,294 Real estate owned (3) — — 8,175 — 8,175 Total non-recurring assets at fair value $ — $ — $ 40,469 $ — $ 40,469 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. (3) The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. |
Rollforward of Level 3 Assets and Liabilities | 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 six months ended June 30, 2016 and 2015. 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. There were no Level 3 transfers during the first six months of 2016. During the first six months of 2015, the Bank transferred one private label MBS from its HTM portfolio to its AFS portfolio, in the period in which the OTTI was recorded. (in thousands) AFS Private Label MBS-Residential Six Months Ended June 30, 2016 AFS Private Label MBS- HELOCs Six Months Ended June 30, 2016 Balance at January 1 $ 822,740 $ 9,168 Total gains (losses) (realized/unrealized) included in: Sale of AFS — 1,417 Accretion of credit losses in interest income 8,596 203 Net OTTI losses, credit portion (239 ) — Net unrealized (losses) on AFS in OCI (47 ) — Reclassification of non-credit portion included in net income 239 (1,417 ) Net change in fair value on OTTI AFS in OCI (762 ) — Unrealized (losses) on OTTI AFS in OCI (5,943 ) (179 ) Purchases, issuances, sales, and settlements: Sales — (8,510 ) Settlements (76,673 ) (682 ) Balance at June 30 $ 747,911 $ — Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at June 30, 2016 $ 8,357 $ — (in thousands) AFS Private Label MBS-Residential Six Months Ended June 30, 2015 AFS Private Label MBS- HELOCs Six Months Ended June 30, 2015 Balance at January 1 $ 971,083 $ 11,699 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 9,512 734 Net unrealized gains on AFS in OCI 42 — Net change in fair value on OTTI AFS in OCI (1,157 ) (1 ) Unrealized (losses) on OTTI AFS in OCI (7,555 ) (462 ) Purchases, issuances, sales, and settlements: Settlements (67,368 ) (1,499 ) Transfer of OTTI securities from HTM to AFS 3,368 — Balance at June 30 $ 907,925 $ 10,471 Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at June 30, 2015 $ 9,512 $ 734 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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) June 30, 2016 December 31, 2015 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 19,689,514 $ — $ 19,689,514 $ 20,171,604 Commitments to fund additional advances and BOB loans 327,562 — 327,562 480,634 Commitments to fund or purchase mortgage loans 20,594 — 20,594 9,950 Unsettled consolidated obligation bonds, at par (3) 193,650 — 193,650 261,000 Unsettled consolidated obligation discount notes, at par 300,000 — 300,000 — Notes : (1) Excludes approved requests to issue future standby letters of credit of $223.2 million and $136.4 million at June 30, 2016 and December 31, 2015 , respectively. (2) Letters of credit in the amount of $7.0 billion and $5.5 billion at June 30, 2016 and December 31, 2015 , respectively, have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of approximately 5 years . (3) Includes $78.7 million and $115.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at June 30, 2016 and December 31, 2015 , respectively. |
Background Information (Details
Background Information (Details) | Jun. 30, 2016Banks |
Nature of Operations [Line Items] | |
Number of Federal Home Loan Banks | 11 |
Minimum | |
Nature of Operations [Line Items] | |
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent | 10.00% |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 423,583 | $ 394,737 |
Deferred Compensation Liabilities | 6,400 | 5,600 |
Mutual Funds [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 6,290 | 5,442 |
GSE and TVA obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 417,293 | $ 389,295 |
Trading Securities (Net Gains (
Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Trading Securities [Abstract] | ||||
Net unrealized gains on trading securities held at period-end | $ 10,888 | $ (10,133) | $ 28,162 | $ (3,356) |
Net realized gains on securities sold/matured during the period | 0 | 0 | 0 | 0 |
Net gains on trading securities | $ 10,888 | $ (10,133) | $ 28,162 | $ (3,356) |
Available-for-Sale (AFS) Secu41
Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 8,501,610,000 | $ 8,018,176,000 |
OTTI Recognized in AOCI (2) | [2] | (1,651,000) | (889,000) |
Gross Unrealized Gains | 143,919,000 | 107,331,000 | |
Gross Unrealized Losses | (8,058,000) | (24,724,000) | |
Fair Value | 8,635,820,000 | 8,099,894,000 | |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 3,413,323,000 | 3,603,696,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 37,917,000 | 17,392,000 | |
Gross Unrealized Losses | (2,898,000) | (15,765,000) | |
Fair Value | 3,448,342,000 | 3,605,323,000 | |
Mutual Funds [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 1,993,000 | 1,993,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 5,000 | 5,000 | |
Gross Unrealized Losses | 0 | 0 | |
Fair Value | 1,998,000 | 1,998,000 | |
GSE and TVA obligations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 3,195,154,000 | 3,468,665,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 20,194,000 | 15,332,000 | |
Gross Unrealized Losses | (2,898,000) | (14,792,000) | |
Fair Value | 3,212,450,000 | 3,469,205,000 | |
State or local agency obligations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 216,176,000 | 133,038,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 17,718,000 | 2,055,000 | |
Gross Unrealized Losses | 0 | (973,000) | |
Fair Value | 233,894,000 | 134,120,000 | |
Total MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 5,088,287,000 | 4,414,480,000 |
OTTI Recognized in AOCI (2) | [2] | (1,651,000) | (889,000) |
Gross Unrealized Gains | 106,002,000 | 89,939,000 | |
Gross Unrealized Losses | (5,160,000) | (8,959,000) | |
Fair Value | 5,187,478,000 | 4,494,571,000 | |
Other U.S. obligations single family MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 243,614,000 | 268,105,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 26,000 | 501,000 | |
Gross Unrealized Losses | (671,000) | (70,000) | |
Fair Value | 242,969,000 | 268,536,000 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 3,000,418,000 | 2,378,589,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 12,293,000 | 9,965,000 | |
Gross Unrealized Losses | (3,253,000) | (4,924,000) | |
Fair Value | 3,009,458,000 | 2,383,630,000 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 1,160,868,000 | 1,008,511,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 27,124,000 | 5,614,000 | |
Gross Unrealized Losses | (852,000) | (3,628,000) | |
Fair Value | 1,187,140,000 | 1,010,497,000 | |
Private label MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 759,275,000 | |
OTTI Recognized in AOCI (2) | [2] | (889,000) | |
Gross Unrealized Gains | 73,859,000 | ||
Gross Unrealized Losses | (337,000) | ||
Fair Value | 831,908,000 | ||
HELOCs | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 7,572,000 | |
OTTI Recognized in AOCI (2) | [2] | 0 | |
Gross Unrealized Gains | 1,596,000 | ||
Gross Unrealized Losses | 0 | ||
Fair Value | 9,168,000 | ||
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 683,387,000 | 751,703,000 |
OTTI Recognized in AOCI (2) | [2] | (1,651,000) | (889,000) |
Gross Unrealized Gains | 66,559,000 | 72,263,000 | |
Gross Unrealized Losses | (384,000) | (337,000) | |
Fair Value | $ 747,911,000 | $ 822,740,000 | |
[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 (AFS) Secu42
Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Reconciliation Table of AFS AOCI [Line Items] | |||
Non-credit portion of OTTI losses | $ (1,651) | $ (889) | |
Net unrealized gains on OTTI securities since their last OTTI credit charge | 66,559 | 73,859 | |
Net noncredit portion of OTTI gains on AFS securities in AOCI | [1] | 1,651 | 889 |
Accumulated Other-than-Temporary Impairment [Member] | |||
Reconciliation Table of AFS AOCI [Line Items] | |||
Net noncredit portion of OTTI gains on AFS securities in AOCI | $ 64,908 | $ 72,970 | |
[1] | Represents the non-credit portion of an OTTI recognized during the life of the security. |
Available-for-Sale (AFS) Secu43
Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Fair Value: | |||
Less than 12 Months | $ 2,112,112 | $ 3,460,430 | |
Greater than 12 Months | 635,005 | 324,006 | |
Fair Value | 2,747,117 | 3,784,436 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (6,416) | (19,012) | |
UnrealizedLossPositiongreaterthan12Months | (3,293) | (6,601) | |
Unrealized Losses (1) | [1] | (9,709) | (25,613) |
Total non-MBS | |||
Fair Value: | |||
Less than 12 Months | 2,438,220 | ||
Greater than 12 Months | 188,662 | ||
Fair Value | 2,626,882 | ||
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (13,800) | ||
UnrealizedLossPositiongreaterthan12Months | (1,965) | ||
Unrealized Losses (1) | [1] | (15,765) | |
GSE and TVA obligations [Member] | |||
Fair Value: | |||
Less than 12 Months | 469,260 | 2,396,493 | |
Greater than 12 Months | 481,496 | 184,772 | |
Fair Value | 950,756 | 2,581,265 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (522) | (12,937) | |
UnrealizedLossPositiongreaterthan12Months | (2,376) | (1,855) | |
Unrealized Losses (1) | [1] | (2,898) | (14,792) |
State or local agency obligations [Member] | |||
Fair Value: | |||
Less than 12 Months | 41,727 | ||
Greater than 12 Months | 3,890 | ||
Fair Value | 45,617 | ||
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (863) | ||
UnrealizedLossPositiongreaterthan12Months | (110) | ||
Unrealized Losses (1) | [1] | (973) | |
Total MBS [Member] | |||
Fair Value: | |||
Less than 12 Months | 1,642,852 | 1,022,210 | |
Greater than 12 Months | 153,509 | 135,344 | |
Fair Value | 1,796,361 | 1,157,554 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (5,894) | (5,212) | |
UnrealizedLossPositiongreaterthan12Months | (917) | (4,636) | |
Unrealized Losses (1) | [1] | (6,811) | (9,848) |
Other U.S. obligations single family MBS | |||
Fair Value: | |||
Less than 12 Months | 208,421 | 70,490 | |
Greater than 12 Months | 10,902 | 11,984 | |
Fair Value | 219,323 | 82,474 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (604) | (48) | |
UnrealizedLossPositiongreaterthan12Months | (67) | (22) | |
Unrealized Losses (1) | [1] | (671) | (70) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | |||
Fair Value: | |||
Less than 12 Months | 1,253,936 | 465,658 | |
Greater than 12 Months | 111,438 | 114,028 | |
Fair Value | 1,365,374 | 579,686 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (3,073) | (761) | |
UnrealizedLossPositiongreaterthan12Months | (180) | (4,163) | |
Unrealized Losses (1) | [1] | (3,253) | (4,924) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||
Fair Value: | |||
Less than 12 Months | 97,556 | 420,982 | |
Greater than 12 Months | 22,373 | 0 | |
Fair Value | 119,929 | 420,982 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (699) | (3,628) | |
UnrealizedLossPositiongreaterthan12Months | (153) | 0 | |
Unrealized Losses (1) | [1] | (852) | (3,628) |
Private label MBS [Member] | Private label residential MBS | |||
Fair Value: | |||
Less than 12 Months | 82,939 | 65,080 | |
Greater than 12 Months | 8,796 | 9,332 | |
Fair Value | 91,735 | 74,412 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (1,518) | (775) | |
UnrealizedLossPositiongreaterthan12Months | (517) | (451) | |
Unrealized Losses (1) | [1] | $ (2,035) | $ (1,226) |
[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. |
Available-for-Sale (AFS) Secu44
Available-for-Sale (AFS) Securities (Securities Transferred) (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2015USD ($)loan | Jun. 30, 2016USD ($)loan | Jun. 30, 2015USD ($)loan | |
Schedule of Available-for-sale Securities [Line Items] | |||
Number of Available-for-sale Securities Transferred from Held-to-maturity Securities | loan | 1 | 0 | |
Non-cash transfer of OTTI HTM securities to AFS | $ 0 | $ 3,368 | |
Private label MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Number of Available-for-sale Securities Transferred from Held-to-maturity Securities | loan | 0 | ||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Amortized Cost Basis | $ 4,400 | ||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Other Than Temporary Impairment Recognized in Accumulated Other Comprehensive Income | 1,000 | ||
Non-cash transfer of OTTI HTM securities to AFS | $ 3,400 |
Available-for-Sale (AFS) Secu45
Available-for-Sale (AFS) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Amortized Cost: | |||
Amortized Cost | [1] | $ 8,501,610 | $ 8,018,176 |
Fair Value: | |||
Fair Value | 8,635,820 | 8,099,894 | |
Total non-MBS | |||
Amortized Cost: | |||
Due in one year or less | 173,004 | 28,706 | |
Due after one year through five years | 1,459,300 | 1,925,398 | |
Due after five years through ten years | 691,939 | 812,550 | |
Due in more than ten years | 1,089,080 | 837,042 | |
Amortized Cost | [1] | 3,413,323 | 3,603,696 |
Fair Value: | |||
Due in one year or less | 173,133 | 28,688 | |
Due after one year through five years | 1,460,127 | 1,919,024 | |
Due after five years through ten years | 704,785 | 825,558 | |
Due in more than ten years | 1,110,297 | 832,053 | |
Fair Value | 3,448,342 | 3,605,323 | |
MBS [Member] | |||
Amortized Cost: | |||
Amortized Cost | [1] | 5,088,287 | 4,414,480 |
Fair Value: | |||
Fair Value | $ 5,187,478 | $ 4,494,571 | |
[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. |
Available-for-Sale (AFS) Secu46
Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | [1] | $ 8,501,610 | $ 8,018,176 |
Total non-MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | [1] | 3,413,323 | 3,603,696 |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | [1] | 5,088,287 | 4,414,480 |
Fixed Interest Rate [Member] | Total non-MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | 3,328,563 | 3,518,980 | |
Fixed Interest Rate [Member] | MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | 1,474,993 | 1,593,414 | |
Variable interest rate [Member] | Total non-MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | 84,760 | 84,716 | |
Variable interest rate [Member] | MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | $ 3,613,294 | $ 2,821,066 | |
[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. |
Available-for-Sale (AFS) Secu47
Available-for-Sale (AFS) Securities (Narrative) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||||||
Credit losses | $ 251,487 | $ 257,493 | $ 265,379 | $ 277,251 | $ 283,916 | $ 290,935 |
MBS [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Net purchased discounts | 13,300 | 9,700 | ||||
SERP [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Supplemental retirement obligation | 6,900 | 6,700 | ||||
Available-for-sale Securities | MBS [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Credit losses | 199,400 | 205,900 | ||||
OTTI-related accretion adjustment | $ 33,800 | $ 31,500 |
Available-for-Sale (AFS) Securt
Available-for-Sale (AFS) Securties (Realized Gain Loss Table)(Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Proceeds from sale of AFS securities | $ 0 | $ 0 | $ 197,999 | $ 0 |
Gross gains on AFS securities | $ 0 | $ 0 | $ 12,708 | $ 0 |
Held-to-Maturity (HTM) Securi49
Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,419,172 | $ 2,663,304 |
Gross Unrealized Holding Gains | 49,939 | 42,069 |
Gross Unrealized Holding Losses | (19,449) | (21,302) |
Fair Value | 2,449,662 | 2,684,071 |
State or local agency obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 136,845 | 169,520 |
Gross Unrealized Holding Gains | 114 | 118 |
Gross Unrealized Holding Losses | (12,360) | (14,484) |
Fair Value | 124,599 | 155,154 |
Total non-MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 136,845 | 169,520 |
Fair Value | 124,599 | 155,154 |
Other U.S. obligations single-family MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 695,785 | 819,602 |
Gross Unrealized Holding Gains | 3,746 | 5,651 |
Gross Unrealized Holding Losses | (119) | (5) |
Fair Value | 699,412 | 825,248 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,282,327 | 2,493,784 |
Gross Unrealized Holding Gains | 49,825 | 41,951 |
Gross Unrealized Holding Losses | (7,089) | (6,818) |
Fair Value | 2,325,063 | 2,528,917 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 252,200 | 294,568 |
Gross Unrealized Holding Gains | 4,593 | 4,459 |
Gross Unrealized Holding Losses | (136) | (75) |
Fair Value | 256,657 | 298,952 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 874,294 | 863,122 |
Gross Unrealized Holding Gains | 40,076 | 30,124 |
Gross Unrealized Holding Losses | (1) | (1,394) |
Fair Value | 914,369 | 891,852 |
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 460,048 | 516,492 |
Gross Unrealized Holding Gains | 1,410 | 1,717 |
Gross Unrealized Holding Losses | (6,833) | (5,344) |
Fair Value | $ 454,625 | $ 512,865 |
Held-to-Maturity (HTM) Securi50
Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value: | ||
Less than 12 Months | $ 182,691 | $ 273,891 |
Greater than 12 Months | 377,286 | 372,679 |
Fair Value | 559,977 | 646,570 |
Unrealized Losses: | ||
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (661) | (2,117) |
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (18,788) | (19,185) |
Total, Continuous Unrealized Loss Position, Accumulated Loss | (19,449) | (21,302) |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Fair Value: | ||
Less than 12 Months | 448 | 132,835 |
Greater than 12 Months | 0 | 0 |
Fair Value | 448 | 132,835 |
Unrealized Losses: | ||
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (1) | (1,394) |
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Total, Continuous Unrealized Loss Position, Accumulated Loss | (1) | (1,394) |
State or local agency obligations [Member] | ||
Fair Value: | ||
Less than 12 Months | 0 | 20,154 |
Greater than 12 Months | 109,410 | 110,737 |
Fair Value | 109,410 | 130,891 |
Unrealized Losses: | ||
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | (1) |
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (12,360) | (14,483) |
Total, Continuous Unrealized Loss Position, Accumulated Loss | (12,360) | (14,484) |
Other U.S. obligations single-family MBS | ||
Fair Value: | ||
Less than 12 Months | 98,524 | 10,237 |
Greater than 12 Months | 0 | 0 |
Fair Value | 98,524 | 10,237 |
Unrealized Losses: | ||
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (119) | (5) |
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Total, Continuous Unrealized Loss Position, Accumulated Loss | (119) | (5) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | ||
Fair Value: | ||
Less than 12 Months | 0 | 0 |
Greater than 12 Months | 7,833 | 9,091 |
Fair Value | 7,833 | 9,091 |
Unrealized Losses: | ||
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 0 |
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (136) | (75) |
Total, Continuous Unrealized Loss Position, Accumulated Loss | (136) | (75) |
Private label MBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value: | ||
Less than 12 Months | 83,719 | 110,665 |
Greater than 12 Months | 260,043 | 252,851 |
Fair Value | 343,762 | 363,516 |
Unrealized Losses: | ||
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (541) | (717) |
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (6,292) | (4,627) |
Total, Continuous Unrealized Loss Position, Accumulated Loss | (6,833) | (5,344) |
MBS [Member] | ||
Fair Value: | ||
Less than 12 Months | 182,691 | 253,737 |
Greater than 12 Months | 267,876 | 261,942 |
Fair Value | 450,567 | 515,679 |
Unrealized Losses: | ||
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (661) | (2,116) |
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (6,428) | (4,702) |
Total, Continuous Unrealized Loss Position, Accumulated Loss | $ (7,089) | $ (6,818) |
Held-to-Maturity (HTM) Securi51
Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Amortized Cost: | ||
Amortized Cost | $ 2,419,172 | $ 2,663,304 |
Fair Value: | ||
Fair Value | 2,449,662 | 2,684,071 |
Total non-MBS | ||
Amortized Cost: | ||
Due in one year or less | 0 | 0 |
Due after one year through five years | 0 | 0 |
Due after five years through ten years | 50,665 | 57,490 |
Due after ten years | 86,180 | 112,030 |
Amortized Cost | 136,845 | 169,520 |
Fair Value: | ||
Due in one year or less | 0 | 0 |
Due after one year through five years | 0 | 0 |
Due after five years through ten years | 49,319 | 55,797 |
Due after ten years | 75,280 | 99,357 |
Fair Value | 124,599 | 155,154 |
MBS [Member] | ||
Amortized Cost: | ||
Amortized Cost | 2,282,327 | 2,493,784 |
Fair Value: | ||
Fair Value | $ 2,325,063 | $ 2,528,917 |
Held-to-Maturity (HTM) Securi52
Held-to-Maturity (HTM) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,419,172 | $ 2,663,304 |
Total non-MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 136,845 | 169,520 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,282,327 | 2,493,784 |
Fixed Interest Rate [Member] | Total non-MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 335 | 28,565 |
Fixed Interest Rate [Member] | MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 1,010,543 | 1,023,636 |
Variable interest rate [Member] | Total non-MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 136,510 | 140,955 |
Variable interest rate [Member] | MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 1,271,784 | $ 1,470,148 |
Other-Than-Temporary Impairme53
Other-Than-Temporary Impairment (OTTI Securities) (Details) - Private label MBS [Member] $ in Thousands | Jun. 30, 2016USD ($) | |
Other than Temporary Impairment, Disclosure [Line Items] | ||
AFS Securities-Unpaid Principal Balance | $ 865,758 | |
AFS Securities-Amortized Cost | 683,387 | [1] |
AFS Securities-Fair Value | 747,911 | |
Available-for-sale Securities | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
OTTI Securities-Unpaid Principal Balance | 862,598 | |
Private label MBS with no OTTI-Unpaid Principal Balance | 3,160 | |
OTTI Securities-Amortized Cost | 680,227 | [1] |
Private label MBS with no OTTI - Amortized Cost | 3,160 | [1] |
OTTI Securities-Fair Value | 745,135 | |
Private label MBS with no OTTI-Fair Value | 2,776 | |
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities | Prime [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
OTTI Securities-Unpaid Principal Balance | 389,167 | |
OTTI Securities-Amortized Cost | 315,481 | [1] |
OTTI Securities-Fair Value | 349,018 | |
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities | Alt-A [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
OTTI Securities-Unpaid Principal Balance | 471,595 | |
OTTI Securities-Amortized Cost | 363,653 | [1] |
OTTI Securities-Fair Value | 394,923 | |
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities | Subprime [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
OTTI Securities-Unpaid Principal Balance | 1,836 | |
OTTI Securities-Amortized Cost | 1,093 | [1] |
OTTI Securities-Fair Value | $ 1,194 | |
[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 Impairme54
Other-Than-Temporary Impairment (Rollforward) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Beginning balance | $ 257,493 | $ 283,916 | $ 265,379 | $ 290,935 | |
Credit losses for which OTTI was not previously recognized | 0 | 483 | 0 | 483 | |
Additional OTTI credit losses for which an OTTI charge was previously recognized(1) | [1] | 0 | 0 | 239 | 0 |
Securities sold and matured during the period(2) | [2] | 0 | 0 | (2,081) | 0 |
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (6,006) | (7,148) | (12,050) | (14,167) | |
Ending balance | $ 251,487 | $ 277,251 | $ 251,487 | $ 277,251 | |
[1] | For the six months ended June 30, 2016, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016. | ||||
[2] | Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. |
Other-Than-Temporary Impairme55
Other-Than-Temporary Impairment (Narrative) (Details) | Jun. 30, 2016 |
Other than Temporary Impairment, Disclosure [Line Items] | |
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Decrease | (2.00%) |
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Increase | 10.00% |
Projected Change In The Short-term Housing Price Percentage Rate, Maximum Decrease In Vast Majority Of Markets | 2.00% |
Projected Change In The Short-term Housing Price Percentage Rate, Maximum Increase In Vast Majority Of Markets | 6.00% |
Advances (Narrative) (Details)
Advances (Narrative) (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016USD ($)Institutions | Dec. 31, 2015USD ($)Institutions | |
Federal Home Loan Bank Advances | ||
Total Par Value | $ 66,139,085 | $ 74,333,273 |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $ 46,500,000 | $ 55,100,000 |
Number Of Top Advances Borrowers | Institutions | 5 | 5 |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 70.30% | 74.10% |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | Institutions | 4 | 4 |
Minimum | ||
Federal Home Loan Bank Advances | ||
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate | 1 day | |
Interest rate of advances | 0.33% | |
AHP subsidized loans, interest rate | 2.00% | |
Maximum | ||
Federal Home Loan Bank Advances | ||
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate | 30 years | |
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate | 10 years | |
Interest rate of advances | 7.40% | |
AHP subsidized loans, interest rate | 5.50% | |
Federal Home Loan Bank, Advances, Convertible Option [Member] | ||
Federal Home Loan Bank Advances | ||
Total Par Value | $ 700,000 | $ 1,500,000 |
Federal Home Loan Bank, Advances, Callable Option [Member] | ||
Federal Home Loan Bank Advances | ||
Total Par Value | $ 10,600,000 | $ 12,600,000 |
Advances (Portfolio by Year of
Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | ||
Due in 1 year or less | 0.73% | 0.70% |
Due after 1 year through 2 years | 0.91% | 0.99% |
Due after 2 years through 3 years | 1.19% | 0.96% |
Due after 3 years through 4 years | 1.26% | 0.93% |
Due after 4 years through 5 years | 2.02% | 1.68% |
Thereafter | 2.69% | 2.66% |
Total par value, Weighted Average Interest Rate | 0.92% | 0.89% |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | $ 33,538,697 | $ 33,192,256 |
Due after 1 year through 2 years | 17,340,557 | 18,989,266 |
Due after 2 years through 3 years | 9,414,041 | 13,071,338 |
Due after 3 years through 4 years | 3,965,309 | 6,260,864 |
Due after 4 years through 5 years | 1,008,102 | 1,800,994 |
Thereafter | 872,379 | 1,018,555 |
Total Par Value | 66,139,085 | 74,333,273 |
Discount on AHP advances | (8) | (21) |
Deferred prepayment fees | (2,776) | (4,749) |
Hedging adjustments | 200,090 | 176,273 |
Total book value | $ 66,336,391 | $ 74,504,776 |
Advances (Advances by Year of C
Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Advances [Abstract] | ||
Due in 1 year or less | $ 35,488,697 | $ 34,692,256 |
Due after 1 year through 2 years | 15,890,557 | 18,939,266 |
Due after 2 years through 3 years | 9,254,041 | 11,661,338 |
Due after 3 years through 4 years | 3,650,309 | 6,245,864 |
Due after 4 years through 5 years | 983,102 | 1,775,994 |
Thereafter | 872,379 | 1,018,555 |
Due in 1 year or less | 33,973,197 | 33,771,756 |
Due after 1 year through 2 years | 16,996,557 | 18,629,266 |
Due after 2 years through 3 years | 9,349,041 | 12,877,338 |
Due after 3 years through 4 years | 3,959,809 | 6,255,364 |
Due after 4 years through 5 years | 1,008,102 | 1,800,994 |
Thereafter | 852,379 | 998,555 |
Total Par Value | $ 66,139,085 | $ 74,333,273 |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Fixed rate – overnight | $ 4,819,764 | $ 4,681,918 |
Due in 1 year or less | 12,446,692 | 13,532,806 |
Thereafter | 9,932,479 | 13,121,108 |
Total Fixed Rate | 27,198,935 | 31,335,832 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Due in 1 year or less | 16,272,241 | 14,977,532 |
Thereafter | 22,667,909 | 28,019,909 |
Total Variable Rate | 38,940,150 | 42,997,441 |
Total Par Value | $ 66,139,085 | $ 74,333,273 |
Mortgage Loans Held for Portf60
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | $ 3,076,774 | $ 3,012,697 | |
Premiums | 54,122 | 50,857 | |
Discounts | (3,466) | (3,899) | |
Hedging adjustments | 32,839 | 32,865 | |
Total mortgage loans held for portfolio | 3,160,269 | 3,092,520 | |
Single Family [Member] | Fixed-rate long-term single-family mortgages (1) | |||
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | [1] | 2,749,784 | 2,660,615 |
Single Family [Member] | Fixed-rate medium-term single-family mortgages (1) | |||
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | [1] | $ 326,990 | $ 352,082 |
[1] | Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. |
Mortgage Loans Held for Portf61
Mortgage Loans Held for Portfolio (Collateral or Guarantee Type) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Mortgage Loans on Real Estate [Line Items] | ||
Par value of mortgage loans held for portfolio | $ 3,076,774 | $ 3,012,697 |
Conventional Mortgage Loan [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par value of mortgage loans held for portfolio | 2,839,321 | 2,763,930 |
Government-guaranteed/insured loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par value of mortgage loans held for portfolio | $ 237,453 | $ 248,767 |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Beginning Balance | $ 5,665 | |||||
Provision for credit losses | $ 212 | $ 278 | 438 | $ (183) | ||
Ending Balance | 5,927 | 5,927 | ||||
Total recorded investment | [1] | 3,189,350 | 3,189,350 | $ 3,121,704 | ||
Conventional MPF Loan [Member] | ||||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Beginning Balance | 5,962 | 6,566 | 5,665 | 7,260 | ||
(Charge-offs) Recoveries, net | [2] | 40 | (311) | (73) | 413 | |
Provision for credit losses | (75) | 45 | 189 | (547) | ||
Ending Balance | 5,927 | 6,300 | 5,927 | 6,300 | ||
Ending balance, individually evaluated for impairment | 4,962 | 4,962 | 5,018 | |||
Ending balance, collectively evaluated for impairment | 965 | 965 | 647 | |||
Individually evaluated for impairment, with or without a related allowance | 59,765 | 59,765 | 60,762 | |||
Collectively evaluated for impairment | 2,870,175 | 2,870,175 | 2,789,517 | |||
Total recorded investment | [1] | 2,929,940 | 2,929,940 | 2,850,279 | ||
Banking on Business Loans | ||||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Beginning Balance | 1,904 | 1,660 | 2,052 | 1,840 | ||
(Charge-offs) Recoveries, net | [2] | 0 | (167) | 196 | 451 | |
Provision for credit losses | (18) | 265 | 30 | 369 | ||
Ending Balance | 1,886 | $ 1,758 | 1,886 | $ 1,758 | ||
Ending balance, individually evaluated for impairment | 96 | 96 | 25 | |||
Ending balance, collectively evaluated for impairment | 1,790 | 1,790 | 2,027 | |||
Individually evaluated for impairment, with or without a related allowance | 192 | 192 | 63 | |||
Collectively evaluated for impairment | 12,970 | 12,970 | 13,347 | |||
Total recorded investment | [1] | $ 13,162 | $ 13,162 | $ 13,410 | ||
[1] | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance. | |||||
[2] | Net charge-offs that the Bank does not expect to recover through CE receivable. |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | $ 84,051 | $ 103,626 |
Total current loans | [1] | 3,105,299 | 3,018,078 |
Total recorded investment | [1] | 3,189,350 | 3,121,704 |
Mortgage Loans in Process of Foreclosure, Amount | [2] | $ 14,416 | $ 16,709 |
Serious delinquency rate (3) | [3] | 0.80% | 1.00% |
Past due 90 days or more still accruing interest | $ 3,159 | $ 4,382 | |
Loans on nonaccrual status (4) | 25,307 | 29,458 | |
Conventional MPF Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 66,349 | 79,667 |
Total current loans | [1] | 2,863,591 | 2,770,612 |
Total recorded investment | [1] | 2,929,940 | 2,850,279 |
Mortgage Loans in Process of Foreclosure, Amount | [2] | $ 13,644 | $ 15,353 |
Serious delinquency rate (3) | [3] | 0.80% | 0.90% |
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |
Loans on nonaccrual status (4) | 25,026 | 29,075 | |
Banking on Business Loans | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 89 | 320 |
Total current loans | [1] | 13,073 | 13,090 |
Total recorded investment | [1] | 13,162 | 13,410 |
Mortgage Loans in Process of Foreclosure, Amount | [2] | $ 0 | $ 0 |
Serious delinquency rate (3) | [3] | 0.70% | 1.20% |
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |
Loans on nonaccrual status (4) | 281 | 383 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 46,826 | 57,829 |
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional MPF Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 35,439 | 42,746 |
Financing Receivables, 30 to 59 Days Past Due [Member] | Banking on Business Loans | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 0 | 86 |
Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 11,670 | 16,090 |
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional MPF Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 8,603 | 11,752 |
Financing Receivables, 60 to 89 Days Past Due [Member] | Banking on Business Loans | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 0 | 78 |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 25,555 | 29,707 |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Conventional MPF Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 22,307 | 25,169 |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Banking on Business Loans | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 89 | 156 |
Government-guaranteed/insured loans | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 17,613 | 23,639 |
Total current loans | [1] | 228,635 | 234,376 |
Total recorded investment | [1] | 246,248 | 258,015 |
Mortgage Loans in Process of Foreclosure, Amount | [2] | $ 772 | $ 1,356 |
Serious delinquency rate (3) | [3] | 1.30% | 1.70% |
Past due 90 days or more still accruing interest | $ 3,159 | $ 4,382 | |
Loans on nonaccrual status (4) | 0 | 0 | |
Government-guaranteed/insured loans | Financing Receivables, 30 to 59 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 11,387 | 14,997 |
Government-guaranteed/insured loans | Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 3,067 | 4,260 |
Government-guaranteed/insured loans | Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | $ 3,159 | $ 4,382 |
[1] | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. 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. |
Allowance for Credit Losses (In
Allowance for Credit Losses (Individually Evaluated Impaired Loans) (Details) - Conventional MPF Loan [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Impaired Financing Receivable, Interest Income, Accrual Method | $ 578 | $ 457 | $ 1,138 | $ 880 | |
Recorded Investment | |||||
With no related allowance | 34,234 | 34,234 | $ 33,737 | ||
With a related allowance | 25,531 | 25,531 | 27,025 | ||
Total recorded investment | 59,765 | 59,765 | 60,762 | ||
Unpaid Principal Balance | |||||
With no related allowance | 33,903 | 33,903 | 33,428 | ||
With a related allowance | 25,274 | 25,274 | 26,774 | ||
Total Unpaid Principal Balance | 59,177 | 59,177 | 60,202 | ||
Related Allowance for Credit Losses | $ 4,962 | $ 4,962 | $ 5,018 |
Allowance for Credit Losses (TD
Allowance for Credit Losses (TDR Modifications) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | ||
Financing Receivable, Impaired [Line Items] | ||||||
TDR | $ 15,300 | $ 15,300 | $ 16,900 | |||
Conventional MPF Loan [Member] | ||||||
Financing Receivable, Impaired [Line Items] | ||||||
Average Recorded Investment | [1] | 60,171 | $ 64,133 | 61,265 | $ 64,028 | |
Interest Income Recognized | $ 578 | $ 457 | $ 1,138 | $ 880 | ||
[1] | Includes gross charge-offs. |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Maximum Exposure Under First Loss Account | $ 22.8 | $ 22.8 | $ 22.7 | ||
Credit Enhancement Fees | 0.8 | $ 0.8 | 1.5 | $ 1.5 | |
REO | 6.1 | 6.1 | 6.5 | ||
TDR | $ 15.3 | $ 15.3 | $ 16.9 |
Derivatives and Hedging Activ67
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | $ 48,898,484 | $ 44,569,864 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 138,469 | 70,478 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 482,401 | 331,738 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2] | (48,360) | (4,623) |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2] | (467,204) | (289,230) |
Derivative assets | 90,109 | 65,855 | |
Derivative liabilities | 15,197 | 42,508 | |
Cash Collateral received | 11,500 | 2,400 | |
Cash Collateral posted | 430,300 | 287,000 | |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 32,341,331 | 30,416,262 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 76,753 | 49,104 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 352,444 | 269,354 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 16,557,153 | 14,153,602 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 61,716 | 21,374 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 129,957 | 62,384 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 15,281,559 | 13,363,652 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 59,394 | 18,426 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 129,955 | 62,384 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 25,000 | ||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Caps or Floors [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 1,255,000 | 755,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,194 | 2,695 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 20,594 | 9,950 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 128 | 253 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 2 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $430.3 million and $287.0 million at June 30, 2016 and December 31, 2015. Cash collateral received was $11.5 million and $2.4 million at June 30, 2016 and December 31, 2015. | ||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. |
Derivatives and Hedging Activ68
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Fair Value Hedge Ineffectiveness | $ 4 | $ 2,812 | $ (5,143) | $ 3,397 | |
Net gains (losses) related to derivatives not designated as hedging instruments | (16,390) | 26,321 | (46,864) | 18,164 | |
Net gains (losses) on derivatives and hedging activities | (16,386) | 29,133 | (52,007) | 21,561 | |
Interest Rate Swap [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Fair Value Hedge Ineffectiveness | [1] | 4 | 2,812 | (5,143) | 3,397 |
Net gains (losses) related to derivatives not designated as hedging instruments | (15,956) | 20,093 | (47,480) | 4,243 | |
Interest Rate Swaption [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | 0 | 26 | 0 | 165 | |
Interest Rate Caps or Floors [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | (1,454) | (620) | (2,654) | (908) | |
Net Interest Settlements [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | 746 | 4,226 | 1,025 | 9,918 | |
Intermediary Transactions Other Contract [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | 4 | 5 | 10 | 12 | |
Mortgages [Member] | Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ 270 | $ 2,591 | $ 2,235 | $ 4,734 | |
[1] | Pertains to total net gains for fair value hedge ineffectiveness. |
Derivatives and Hedging Activ69
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains/(Losses) on Derivative | $ 2,603 | $ 53,260 | $ (66,832) | $ 86,102 | |
Gains/(Losses) on Hedged Item | (2,599) | (50,448) | 61,689 | (82,705) | |
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 4 | 2,812 | (5,143) | 3,397 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1] | (11,989) | 9,525 | (34,800) | 20,714 |
amortization and accretion of hedged items | (1,400) | 900 | (2,400) | 2,900 | |
Advances [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains/(Losses) on Derivative | 34,859 | 62,731 | (26,102) | 52,718 | |
Gains/(Losses) on Hedged Item | (33,315) | (62,164) | 27,927 | (51,989) | |
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 1,544 | 567 | 1,825 | 729 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1] | (26,470) | (48,368) | (67,622) | (95,362) |
Federal Home Loan Bank, Consolidated Obligations, Bonds [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains/(Losses) on Derivative | 4,386 | (38,730) | 60,482 | 15,860 | |
Gains/(Losses) on Hedged Item | (3,772) | 38,775 | (61,668) | (15,120) | |
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 614 | 45 | (1,186) | 740 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1] | 20,522 | 62,223 | 44,937 | 123,838 |
Available-for-sale Securities | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains/(Losses) on Derivative | (36,642) | 29,259 | (101,212) | 17,524 | |
Gains/(Losses) on Hedged Item | 34,488 | (27,059) | 95,430 | (15,596) | |
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | (2,154) | 2,200 | (5,782) | 1,928 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1] | $ (6,041) | $ (4,330) | $ (12,115) | $ (7,762) |
[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 $(1.4) million and $0.9 million for the second quarter of 2016 and 2015, respectively, and $(2.4) million and $2.9 million for the six months ended June 30, 2016 and 2015, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships. |
Derivatives and Hedging Activ70
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Jun. 30, 2016USD ($) |
Derivative [Line Items] | |
Derivative, Net Liability Position, Aggregate Fair Value | $ 52.7 |
Collateral Already Posted, Aggregate Fair Value | 40.3 |
Additional Collateral, Aggregate Fair Value | $ 6.4 |
Derivatives and Hedging Activ71
Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | $ 138,341,000 | $ 70,225,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2] | (48,360,000) | (4,623,000) |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 89,981,000 | 65,602,000 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [3] | 128,000 | 253,000 |
Derivative assets | 90,109,000 | 65,855,000 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 90,109,000 | 65,855,000 | |
Over the Counter [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 39,188,000 | 39,068,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (34,899,000) | (37,981,000) | |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 4,289,000 | 1,087,000 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [3] | 128,000 | 253,000 |
Derivative assets | 4,417,000 | 1,340,000 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 4,417,000 | 1,340,000 | |
Exchange Cleared [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 99,153,000 | 31,157,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (13,461,000) | 33,358,000 | |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 85,692,000 | 64,515,000 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [3] | 0 | 0 |
Derivative assets | 85,692,000 | 64,515,000 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 85,692,000 | $ 64,515,000 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $430.3 million and $287.0 million at June 30, 2016 and December 31, 2015. Cash collateral received was $11.5 million and $2.4 million at June 30, 2016 and December 31, 2015. | ||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | ||
[3] | Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest rate futures or forwards). |
Derivatives and Hedging Activ72
Derivatives and Hedging Activities (Offsetting Liabilities) (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | $ 482,399,000 | $ 331,738,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2] | (467,204,000) | (289,230,000) |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 15,195,000 | 42,508,000 | |
Derivative Liability, Not Subject to Master Netting Arrangement | [3] | 2,000 | 0 |
Derivative liabilities | 15,197,000 | 42,508,000 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 15,197,000 | 42,508,000 | |
Over the Counter [Member] | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 78,953,000 | 132,910,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (63,758,000) | (90,402,000) | |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 15,195,000 | 42,508,000 | |
Derivative Liability, Not Subject to Master Netting Arrangement | [3] | 2,000 | 0 |
Derivative liabilities | 15,197,000 | 42,508,000 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 15,197,000 | 42,508,000 | |
Exchange Cleared [Member] | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 403,446,000 | 198,828,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (403,446,000) | (198,828,000) | |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 0 | 0 | |
Derivative Liability, Not Subject to Master Netting Arrangement | [3] | 0 | 0 |
Derivative liabilities | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $430.3 million and $287.0 million at June 30, 2016 and December 31, 2015. Cash collateral received was $11.5 million and $2.4 million at June 30, 2016 and December 31, 2015. | ||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | ||
[3] | Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest rate futures or forwards). |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Par amounts for the FHLBanks' outstanding Consolidated Obligation | $ 963,800,000 | $ 905,200,000 | |
Fixed-rate | 35,964,128 | 31,945,658 | |
Step-up | 1,180,000 | 1,860,000 | |
Floating-rate | 23,070,000 | 14,650,000 | |
Conversion bonds - fixed to floating | 430,000 | 60,000 | |
Total par value | 60,644,128 | 48,515,658 | |
Debt issuance costs (1) | [1] | 72,352 | 92,481 |
Hedging adjustments | 52,721 | (7,386) | |
Total book value | $ 60,769,201 | $ 48,600,753 | |
[1] | Includes bond discounts, premiums and concession fees. |
Consolidated Obligations (Contr
Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Due in 1 year or less | $ 40,043,860 | $ 26,814,155 |
Due in 1 year or less, Weighted Average Interest Rate | 0.70% | 0.68% |
Due after 1 year through 2 years | $ 10,604,510 | $ 8,753,810 |
Due after 1 year through 2 years, Weighted Average Interest Rate | 1.24% | 1.21% |
Due after 2 years through 3 years | $ 2,844,025 | $ 4,998,335 |
Due after 2 years through 3 years, Weighted Average Interest Rate | 1.48% | 1.46% |
Due after 3 years through 4 years | $ 1,768,200 | $ 2,017,720 |
Due after 3 years through 4 years, Weighted Average Interest | 2.14% | 1.84% |
Due after 4 years through 5 years | $ 1,537,450 | $ 2,040,940 |
Due after 4 years through 5 years, Weighted Average Interest Rate | 1.69% | 1.91% |
Thereafter | $ 3,704,300 | $ 3,733,950 |
Thereafter, Weighted Average Interest Rate | 2.76% | 2.66% |
Index amortizing notes | $ 141,783 | $ 156,748 |
Index amortizing notes, Weighted Average Interest Rate | 4.73% | 4.73% |
Total par value | $ 60,644,128 | $ 48,515,658 |
Total par, Weighted Average Interest Rate | 1.03% | 1.12% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value | $ 60,644,128 | $ 48,515,658 |
Noncallable | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value | 55,289,128 | 41,462,658 |
Callable | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value | $ 5,355,000 | $ 7,053,000 |
Consolidated Obligations (Con76
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Due in 1 year or less | $ 44,981,860 | $ 33,517,155 |
Due after 1 year through 2 years | 10,049,510 | 7,778,810 |
Due after 2 years through 3 years | 2,015,025 | 3,672,335 |
Due after 3 years through 4 years | 1,443,200 | 1,202,720 |
Due after 4 years through 5 years | 598,450 | 810,940 |
Thereafter | 1,414,300 | 1,376,950 |
Index amortizing notes | 141,783 | 156,748 |
Total par value | $ 60,644,128 | $ 48,515,658 |
Consolidated Obligations (Con77
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Short-term Debt [Line Items] | |||
Discount Notes, Book value | $ 20,814,244 | $ 42,275,544 | |
Discount Notes, Par value | $ 20,839,515 | $ 42,318,509 | |
Discount Notes, Weighted Average Interest Rate | [1] | 0.44% | 0.32% |
[1] | Represents an implied rate. |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Capital [Abstract] | ||
Number of Finance Agency Regualtory Capital Requirements | 3 | |
Federal Home Loan Bank, Risk-Based Capital, Required | $ 701,316 | $ 820,621 |
Federal Home Loan Bank, Risk-Based Capital, Actual | $ 4,162,846 | $ 4,426,971 |
Regulatory Capital Ratio, Required | 4.00% | 4.00% |
Federal Home Loan Bank, Regulatory Capital Ratio, Actual | 4.80% | 4.60% |
Federal Home Loan Bank, Regulatory Capital, Required | $ 3,476,258 | $ 3,853,451 |
Federal Home Loan Bank, Regulatory Capital, Actual | $ 4,162,846 | $ 4,426,971 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage ratio - Actual | 7.20% | 6.90% |
Federal Home Loan Bank, Leverage Capital, Required | $ 4,345,323 | $ 4,816,814 |
Federal Home Loan Bank, Leverage Capital, Actual | $ 6,244,269 | $ 6,640,456 |
Capital (Capital Concentrations
Capital (Capital Concentrations) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Capital [Line Items] | |||
Capital stock | $ 3,232,118 | $ 3,539,648 | |
Capital Stock Ownership By Third Party | |||
Capital [Line Items] | |||
Concentration Risk Benchmark, Percent | 10.00% | ||
Capital Stock Ownership By Third Party | PNC Bank N.A. | |||
Capital [Line Items] | |||
Capital Stock Members | [1] | $ 799,152 | $ 881,552 |
Concentration Risk Benchmark, Percent | [1] | 24.70% | 24.90% |
Capital Stock Ownership By Third Party | Santander Bank N.A. | |||
Capital [Line Items] | |||
Capital Stock Members | $ 404,787 | $ 600,872 | |
Concentration Risk Benchmark, Percent | 12.50% | 17.00% | |
Capital Stock Ownership By Third Party | Chase Bank USA, N.A. | |||
Capital [Line Items] | |||
Capital Stock Members | $ 430,152 | $ 424,502 | |
Concentration Risk Benchmark, Percent | 13.30% | 12.00% | |
Capital Stock Ownership By Third Party | Ally Bank [Member] | |||
Capital [Line Items] | |||
Capital Stock Members | [1] | $ 391,287 | |
Concentration Risk Benchmark, Percent | [1] | 11.00% | |
[1] | For Bank membership purposes, the principal place of business for PNC Bank is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, PA. |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) | 6 Months Ended | ||
Jun. 30, 2016USD ($)Institutions$ / shares | Jun. 30, 2015USD ($) | Dec. 31, 2015$ / shares | |
Capital [Abstract] | |||
Balance, beginning of the period | $ 6,053,000 | $ 586,000 | |
Capital stock subject to mandatory redemption reclassified from capital | 44,832,000 | 0 | |
Redemption/repurchase of mandatorily redeemable stock | (45,191,000) | (24,000) | |
Balance, end of the period | $ 5,694,000 | $ 562,000 | |
Capital stock, Par value Per Share | $ / shares | $ 100 | $ 100 | |
Financial Instruments Subject to Mandatory Redemption, Number of Institutions | Institutions | 3 | ||
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions | 2 | ||
Financial Instruments Subject to Mandatory Redemption, Redemption, Withdrawals | 1 |
Capital (Mandatorily Redeemab81
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | 6 Months Ended | |||
Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |
Capital [Abstract] | ||||
Due in 1 year or less | $ 0 | $ 0 | ||
Due after 1 year through 2 years | 0 | 0 | ||
Due after 2 years through 3 years | 467 | 0 | ||
Due after 3 years through 4 years | 0 | 546 | ||
Due after 4 years through 5 years | 5,227 | 5,507 | ||
Total | $ 5,694 | $ 6,053 | $ 562 | $ 586 |
Redemption Period | 5 years |
Capital (Dividends and Retained
Capital (Dividends and Retained Earnings) (Details) $ in Thousands | Jul. 29, 2016 | Apr. 29, 2016 | Feb. 29, 2016 | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) |
Capital [Line Items] | |||||
NumberOfSubclassesOfCapitalStock | 2 | ||||
Capital stock | $ 3,232,118 | $ 3,539,648 | |||
Joint Capital Enhancement Agreement Percentage | 20.00% | ||||
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter | 1.00% | ||||
Retained Earnings (Accumulated Deficit) | $ 925,034 | 881,270 | |||
Unrestricted | 737,790 | 718,727 | |||
Restricted | 187,244 | 162,543 | |||
Subclass B1 [Member] | |||||
Capital [Line Items] | |||||
Common Stock, Value, Outstanding | 300,000 | 300,000 | |||
Dividends Cash, Annualized Rate | 2.00% | 3.00% | |||
Subclass B1 [Member] | Subsequent Event [Member] | |||||
Capital [Line Items] | |||||
Dividends Cash, Annualized Rate | 2.00% | ||||
Subclass B2 [Member] | |||||
Capital [Line Items] | |||||
Common Stock, Value, Outstanding | $ 2,900,000 | $ 3,200,000 | |||
Dividends Cash, Annualized Rate | 5.00% | 5.00% | |||
Subclass B2 [Member] | Subsequent Event [Member] | |||||
Capital [Line Items] | |||||
Dividends Cash, Annualized Rate | 5.00% |
Capital (Accumulated Other Comp
Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | $ 133,249 | $ 133,249 | $ 80,683 | |||||
Unrealized gains (losses) | 34,041 | $ (24,755) | 71,845 | $ (2,267) | ||||
Other than Temporary Impairment Losses, Investments, Portion in Other Comprehensive Loss, before Tax, Portion Attributable to Parent | 0 | 1,026 | (239) | 1,026 | ||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax | 0 | 1,026 | 0 | 1,026 | ||||
Transfer of non-credit portion from HTM to AFS securities | 0 | 1,026 | 0 | 1,026 | ||||
Net change in fair value of OTTI securities | 5,166 | (11,236) | (6,884) | (9,175) | ||||
Other Comprehensive Income (Loss), Reclassification Adjustment from AOCI for Sale of Securities, before Tax | 0 | 0 | 11,291 | 0 | ||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Availabe-for-sale Securities, before Tax | 0 | 0 | 239 | 0 | ||||
Reclassification of net losses (gains) included in net income relating to hedging activities | 5 | 4 | 12 | 12 | ||||
Non-credit portion | 0 | 1,026 | 0 | 1,026 | ||||
Net Unrealized Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 69,302 | 30,193 | 69,302 | 30,193 | $ 35,261 | 8,748 | $ 54,948 | $ 32,460 |
Unrealized gains (losses) | 34,041 | (24,755) | 71,845 | (2,267) | ||||
Other Comprehensive Income (Loss), Reclassification Adjustment from AOCI for Sale of Securities, before Tax | (11,291) | |||||||
Net Unrealized Gains on Hedging Activities[Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 235 | 260 | 235 | 260 | 240 | 247 | 264 | 272 |
Reclassification of net losses (gains) included in net income relating to hedging activities | (5) | (4) | (12) | (12) | ||||
Pension and Post Retirement Plans | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | (1,196) | (2,586) | (1,196) | (2,586) | (1,239) | (1,282) | (2,668) | (2,750) |
Other Comprehensive (Income) Loss, Reclassification Adjustment from AOCI, Pension and Other Postretirement Benefit Plans, before Tax | 43 | 82 | 86 | 164 | ||||
AOCI Attributable to Parent [Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 133,249 | 112,117 | 133,249 | 112,117 | 94,004 | 80,683 | 149,056 | 124,433 |
Unrealized gains (losses) | 37,879 | (34,127) | 65,723 | (10,284) | ||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax | 0 | 0 | ||||||
Net change in fair value of OTTI securities | 1,328 | (1,864) | (762) | (1,158) | ||||
Other Comprehensive Income (Loss), Reclassification Adjustment from AOCI for Sale of Securities, before Tax | (12,708) | |||||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Total Securities, before Tax | (1,026) | 239 | (1,026) | |||||
Reclassification of net losses (gains) included in net income relating to hedging activities | (5) | (4) | (12) | (12) | ||||
Other Comprehensive (Income) Loss, Reclassification Adjustment from AOCI, Pension and Other Postretirement Benefit Plans, before Tax | 43 | 82 | 86 | 164 | ||||
Held-to-maturity Securities | Noncredit OTTI Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax | 1,026 | 1,026 | ||||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Held-to-maturity Securities, before Tax | (1,026) | (1,026) | ||||||
Available-for-sale Securities | Noncredit OTTI Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 64,908 | 84,250 | 64,908 | 84,250 | $ 59,742 | $ 72,970 | $ 96,512 | $ 94,451 |
Unrealized gains (losses) | 3,838 | (9,372) | (6,122) | (8,017) | ||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax | (1,026) | (1,026) | ||||||
Net change in fair value of OTTI securities | $ 1,328 | $ (1,864) | (762) | $ (1,158) | ||||
Other Comprehensive Income (Loss), Reclassification Adjustment from AOCI for Sale of Securities, before Tax | (1,417) | |||||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Availabe-for-sale Securities, before Tax | $ 239 |
Transactions with Related Par84
Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Related Party Transaction [Line Items] | |||
Federal funds sold | $ 2,545,000 | $ 3,980,000 | |
Investments | 11,478,575 | 11,157,935 | |
Advances | 66,336,391 | 74,504,776 | |
MPF loans | 3,076,774 | 3,012,697 | |
Capital stock | 3,232,118 | 3,539,648 | |
Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Federal funds sold | 45,000 | 0 | |
Investments | 225,255 | 176,345 | |
Advances | 38,530,188 | 54,610,238 | |
Letters of credit | [1] | 6,814,235 | 8,245,423 |
MPF loans | 951,223 | 1,052,569 | |
Deposits | 19,261 | 24,636 | |
Capital stock | $ 1,708,884 | $ 2,366,721 | |
[1] | Letters of credit are off-balance sheet commitments. |
Transactions with Related Par85
Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Related Party Transaction [Line Items] | |||||
Interest income on advances (1) | $ 135,829 | $ 81,632 | $ 267,685 | $ 155,373 | |
Interest Income on MPF loans | 28,937 | 29,719 | 58,637 | 60,475 | |
Letters of credit fees | 255 | 708 | 671 | 1,274 | |
Prepayment fees on advances | 20,676 | 248 | 20,753 | 1,316 | |
Net gains (losses) on derivatives and hedging activities | (16,386) | 29,133 | (52,007) | 21,561 | |
Principal Owner [Member] | |||||
Related Party Transaction [Line Items] | |||||
Interest income on investments | 652 | 384 | 1,261 | 632 | |
Interest income on advances (1) | [1] | 79,973 | 44,843 | 155,276 | 83,896 |
Interest Income on MPF loans | 13,272 | 16,646 | 27,259 | 34,269 | |
Prepayment fees on advances | 6,547 | 0 | 6,547 | 0 | |
Contractual Interest Income, Federal Home Loan Bank Advances | 92,300 | 78,600 | 192,700 | 151,400 | |
Net gains (losses) on derivatives and hedging activities | (12,900) | (33,600) | (38,000) | (67,000) | |
Amortization of basis adjustments | 600 | (200) | 500 | (600) | |
Standby Letters of Credit | Principal Owner [Member] | |||||
Related Party Transaction [Line Items] | |||||
Letters of credit fees | $ 2,258 | $ 3,819 | $ 4,575 | $ 6,847 | |
[1] | For the three and six months ended June 30, 2016, balances include contractual interest income of $92.3 million and $192.7 million, net interest settlements on derivatives in fair value hedge relationships of $(12.9) million and $(38.0) million and total amortization of basis adjustments was $0.6 million and $0.5 million. For the three and six months ended June 30, 2015, balances include contractual interest income of $78.6 million and $151.4 million, net interest settlements on derivatives in fair value hedge relationships of $(33.6) million and $(67.0) million and total amortization of basis adjustments of $(0.2) million and $(0.6) million. |
Transactions with Related Par86
Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Related Party Transaction [Line Items] | |||||
Total MPF Loan Volume Purchased | $ 289,040 | $ 192,739 | |||
Principal Owner [Member] | |||||
Related Party Transaction [Line Items] | |||||
Total MPF Loan Volume Purchased | $ 5,312 | $ 5,438 | 7,973 | 6,845 | |
FHLBank of Chicago [Member] | |||||
Related Party Transaction [Line Items] | |||||
Servicing fee expense | 324 | $ 284 | 634 | $ 552 | |
Interest-bearing deposits maintained with FHLBank of Chicago | $ 5,105 | $ 5,105 | $ 6,075 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | $ 2,645,861 | $ 2,376,964 | |||
Trading securities | 423,583 | 394,737 | |||
AFS securities | 8,635,820 | 8,099,894 | |||
Held-to-maturity Securities | 2,419,172 | 2,663,304 | |||
Held to maturity securities - fair value | 2,449,662 | 2,684,071 | |||
Accrued interest receivable | 108,246 | 107,345 | |||
Derivative assets | 90,109 | 65,855 | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2] | (48,360) | (4,623) | ||
Mandatorily redeemable capital stock | 5,694 | 6,053 | $ 562 | $ 586 | |
Accrued interest payable | 107,354 | 92,765 | |||
Derivative liabilities | 15,197 | 42,508 | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2] | (467,204) | (289,230) | ||
Fair Value, Inputs, Level 1 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | 2,645,861 | 2,376,964 | |||
Interest-bearing deposits | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 0 | 0 | |||
Trading securities | 6,290 | 5,442 | |||
AFS securities | 1,998 | 1,998 | |||
Held to maturity securities - fair value | 0 | 0 | |||
Advances | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock | [3] | 5,777 | 6,130 | ||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 2 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | 0 | 0 | |||
Interest-bearing deposits | 5,105 | 6,075 | |||
Federal funds sold | 2,544,990 | 3,979,884 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 500,000 | 999,984 | |||
Trading securities | 417,293 | 389,295 | |||
AFS securities | 7,885,911 | 7,265,988 | |||
Held to maturity securities - fair value | 1,995,037 | 2,171,206 | |||
Advances | 66,326,070 | 74,434,577 | |||
Accrued interest receivable | 108,246 | 107,345 | |||
Derivative assets | 138,469 | 70,478 | |||
Deposits | 646,023 | 685,951 | |||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued interest payable | [3] | 107,271 | 92,688 | ||
Derivative liabilities | 482,401 | 331,738 | |||
Fair Value, Inputs, Level 3 | |||||
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 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 0 | 0 | |||
Trading securities | 0 | 0 | |||
AFS securities | 747,911 | 831,908 | |||
Held to maturity securities - fair value | 454,625 | 512,865 | |||
Advances | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Estimate of Fair Value, Fair Value Disclosure | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | 2,645,861 | 2,376,964 | |||
Interest-bearing deposits | 5,105 | 6,075 | |||
Federal funds sold | 2,544,990 | 3,979,884 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 500,000 | 999,984 | |||
Trading securities | 423,583 | 394,737 | |||
AFS securities | 8,635,820 | 8,099,894 | |||
Held to maturity securities - fair value | 2,449,662 | 2,684,071 | |||
Advances | 66,326,070 | 74,434,577 | |||
Accrued interest receivable | 108,246 | 107,345 | |||
Derivative assets | 90,109 | 65,855 | |||
Deposits | 646,023 | 685,951 | |||
Mandatorily redeemable capital stock | [3] | 5,777 | 6,130 | ||
Accrued interest payable | [3] | 107,271 | 92,688 | ||
Derivative liabilities | 15,197 | 42,508 | |||
Reported Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | 2,645,861 | 2,376,964 | |||
Interest-bearing deposits | 5,105 | 6,075 | |||
Federal funds sold | 2,545,000 | 3,980,000 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 500,000 | 1,000,000 | |||
Trading securities | 423,583 | 394,737 | |||
AFS securities | 8,635,820 | 8,099,894 | |||
Held-to-maturity Securities | 2,419,172 | 2,663,304 | |||
Advances | 66,336,391 | 74,504,776 | |||
Accrued interest receivable | 108,246 | 107,345 | |||
Derivative assets | 90,109 | 65,855 | |||
Deposits | 646,013 | 685,937 | |||
Mandatorily redeemable capital stock | [3] | 5,694 | 6,053 | ||
Accrued interest payable | [3] | 107,354 | 92,765 | ||
Derivative liabilities | 15,197 | 42,508 | |||
Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [4] | (48,360) | (4,623) | ||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [4],[5] | (467,204) | (289,230) | ||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Trading securities | 6,290 | 5,442 | |||
AFS securities | 1,998 | 1,998 | |||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | ||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Trading securities | 417,293 | 389,295 | |||
AFS securities | 7,885,911 | 7,265,988 | |||
Derivative assets | 138,469 | 70,478 | |||
Derivative liabilities | [5] | 482,401 | 331,738 | ||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 747,911 | 831,908 | |||
Derivative assets | 0 | 0 | |||
Derivative liabilities | [5] | 0 | |||
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value, Fair Value Disclosure | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Trading securities | 423,583 | 394,737 | |||
AFS securities | 8,635,820 | 8,099,894 | |||
Derivative assets | 90,109 | 65,855 | |||
Derivative liabilities | [5] | 15,197 | 42,508 | ||
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 1 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 0 | 0 | |||
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 2 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 20,819,777 | 42,269,700 | |||
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 3 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 0 | 0 | |||
Consolidated Obligations, Discount Notes | Estimate of Fair Value, Fair Value Disclosure | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 20,819,777 | 42,269,700 | |||
Consolidated Obligations, Discount Notes | Reported Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 20,814,244 | 42,276,815 | |||
Consolidated Obligation Bonds | Fair Value, Inputs, Level 1 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 0 | 0 | |||
Consolidated Obligation Bonds | Fair Value, Inputs, Level 2 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 61,035,926 | 48,660,776 | |||
Consolidated Obligation Bonds | Fair Value, Inputs, Level 3 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 0 | 0 | |||
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 61,035,926 | 48,660,776 | |||
Consolidated Obligation Bonds | Reported Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 60,769,201 | 48,605,982 | |||
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 1 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 0 | 0 | |||
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 2 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 3,282,219 | 3,219,846 | |||
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 3 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 0 | 0 | |||
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 3,282,219 | 3,219,846 | |||
Mortgage loans held for portfolio, net | Reported Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 3,154,342 | 3,086,855 | |||
Banking on Business Loans | Fair Value, Inputs, Level 1 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 0 | 0 | |||
Banking on Business Loans | Fair Value, Inputs, Level 2 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 0 | 0 | |||
Banking on Business Loans | Fair Value, Inputs, Level 3 | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 11,204 | 11,276 | |||
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | 11,204 | 11,276 | |||
Banking on Business Loans | Reported Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
MPF & BOB Loans , Net of Allowance | $ 11,204 | $ 11,276 | |||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $430.3 million and $287.0 million at June 30, 2016 and December 31, 2015. Cash collateral received was $11.5 million and $2.4 million at June 30, 2016 and December 31, 2015. | ||||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | ||||
[3] | The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. | ||||
[4] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | ||||
[5] | Derivative liabilities represent the total liabilities at fair value. |
Estimated Fair Values (Valuatio
Estimated Fair Values (Valuation Techniques) (Details) | Jun. 30, 2016vendor |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Fair Value Measurements, Valuation Techniques, Number of Third Party Vendor Prices Received | 4 |
Estimated Fair Values (Fair Val
Estimated Fair Values (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | $ 423,583 | $ 394,737 | ||
AFS securities | 8,635,820 | 8,099,894 | ||
Derivative assets | 90,109 | 65,855 | ||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2] | (48,360) | (4,623) | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2] | (467,204) | (289,230) | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 138,469 | 70,478 | ||
Total Derivative liabilities | 15,197 | 42,508 | ||
Fair Value, Inputs, Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 6,290 | 5,442 | ||
AFS securities | 1,998 | 1,998 | ||
Derivative assets | 0 | 0 | ||
Total Derivative liabilities | 0 | 0 | ||
Fair Value, Inputs, Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 417,293 | 389,295 | ||
AFS securities | 7,885,911 | 7,265,988 | ||
Derivative assets | 138,469 | 70,478 | ||
Total Derivative liabilities | 482,401 | 331,738 | ||
Fair Value, Inputs, Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
AFS securities | 747,911 | 831,908 | ||
Derivative assets | 0 | 0 | ||
Total Derivative liabilities | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [3] | (48,360) | (4,623) | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3],[4] | (467,204) | (289,230) | |
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 | 6,290 | 5,442 | ||
AFS securities | 1,998 | 1,998 | ||
Derivative assets | 0 | 0 | ||
Total Derivative liabilities | 0 | |||
Total assets at fair value | 8,288 | 7,440 | ||
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 | 417,293 | 389,295 | ||
AFS securities | 7,885,911 | 7,265,988 | ||
Derivative assets | 138,469 | 70,478 | ||
Total Derivative liabilities | [4] | 482,401 | 331,738 | |
Total assets at fair value | 8,441,673 | 7,725,761 | ||
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 | 747,911 | 831,908 | ||
Derivative assets | 0 | 0 | ||
Total Derivative liabilities | [4] | 0 | ||
Total assets at fair value | 747,911 | 831,908 | ||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets at fair value | 11,390 | 40,469 | ||
Mortgage loans held for portfolio | [5] | 7,810 | 32,294 | |
Real estate owned fair value disclosure | [5] | 3,580 | 8,175 | |
Interest Rate Swap [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (48,360) | [3] | (4,623) | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3],[4] | (467,204) | (289,230) | |
Interest Rate Swap [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 | 0 | |||
Total Derivative liabilities | 0 | |||
Interest Rate Swap [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 | 138,341 | 70,225 | ||
Total Derivative liabilities | 482,399 | 331,738 | ||
Interest Rate Swap [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 | 0 | |||
Total Derivative liabilities | 0 | |||
GSE and TVA obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 417,293 | 389,295 | ||
AFS securities | 3,212,450 | 3,469,205 | ||
GSE and TVA 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 | |||
GSE and TVA 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] | ||||
Trading securities | 417,293 | 389,295 | ||
AFS securities | 3,212,450 | 3,469,205 | ||
GSE and TVA 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] | ||||
Trading securities | 0 | |||
AFS securities | 0 | |||
Mutual Funds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 6,290 | 5,442 | ||
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 | 6,290 | 5,442 | ||
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 | |||
AFS securities | 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] | ||||
AFS securities | 0 | |||
State or local agency obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 233,894 | 134,120 | ||
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 | 233,894 | 134,120 | ||
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 | |||
Other U.S. obligations single-family MBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 242,969 | 268,536 | ||
Other U.S. obligations single-family MBS | 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 | |||
Other U.S. obligations single-family MBS | 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 | 242,969 | 268,536 | ||
Other U.S. obligations single-family MBS | 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 | |||
Private label MBS [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 831,908 | |||
Private label 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 | |||
Private label 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 | |||
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 | 9,168 | |||
Mortgages [Member] | Forward Contracts [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 | 0 | |||
Mortgages [Member] | Forward Contracts [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 | 128 | 253 | ||
Total Derivative liabilities | 2 | |||
Mortgages [Member] | Forward Contracts [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 | 0 | |||
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 747,911 | 822,740 | ||
Residential Mortgage Backed Securities [Member] | Private label 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 | 747,911 | 822,740 | ||
Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 423,583 | 394,737 | ||
AFS securities | 8,635,820 | 8,099,894 | ||
Derivative assets | 90,109 | 65,855 | ||
Total Derivative liabilities | 15,197 | 42,508 | ||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 423,583 | 394,737 | ||
AFS securities | 8,635,820 | 8,099,894 | ||
Derivative assets | 90,109 | 65,855 | ||
Total Derivative liabilities | [4] | 15,197 | 42,508 | |
Total assets at fair value | 9,149,512 | 8,560,486 | ||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets at fair value | 11,390 | 40,469 | ||
Mortgage loans held for portfolio | [5] | 7,810 | 32,294 | |
Real estate owned fair value disclosure | [5] | 3,580 | 8,175 | |
Estimate of Fair Value Measurement [Member] | Interest Rate Swap [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 89,981 | 65,602 | ||
Total Derivative liabilities | 15,195 | 42,508 | ||
Estimate of Fair Value Measurement [Member] | GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 417,293 | 389,295 | ||
AFS securities | 3,212,450 | 3,469,205 | ||
Estimate of Fair Value Measurement [Member] | Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 6,290 | 5,442 | ||
AFS securities | 1,998 | 1,998 | ||
Estimate of Fair Value Measurement [Member] | State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 233,894 | 134,120 | ||
Estimate of Fair Value Measurement [Member] | Other U.S. obligations single-family MBS | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 242,969 | 268,536 | ||
Estimate of Fair Value Measurement [Member] | HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 9,168 | |||
Estimate of Fair Value Measurement [Member] | Mortgages [Member] | Forward Contracts [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 128 | 253 | ||
Total Derivative liabilities | 2 | |||
Estimate of Fair Value Measurement [Member] | Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 747,911 | 822,740 | ||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 3,009,458 | 2,383,630 | ||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [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 | |||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [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 | 3,009,458 | 2,383,630 | ||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [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 | |||
Single Family [Member] | Estimate of Fair Value Measurement [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 3,009,458 | 2,383,630 | ||
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 1,187,140 | 1,010,497 | ||
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [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 | |||
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [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 | 1,187,140 | 1,010,497 | ||
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [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 | |||
Multifamily [Member] | Estimate of Fair Value Measurement [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | $ 1,187,140 | $ 1,010,497 | ||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $430.3 million and $287.0 million at June 30, 2016 and December 31, 2015. Cash collateral received was $11.5 million and $2.4 million at June 30, 2016 and December 31, 2015. | |||
[2] | 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. | |||
[3] | 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. | |||
[4] | Derivative liabilities represent the total liabilities at fair value. | |||
[5] | The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($)loan | Jun. 30, 2016USD ($)loan | Jun. 30, 2015USD ($)loan | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Number of Available-for-sale Securities Transferred from Held-to-maturity Securities | loan | 1 | 0 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Sale of AFS | $ 0 | $ 0 | $ 1,417 | $ 0 | |
Net OTTI losses, credit portion | [1] | 0 | 0 | (239) | 0 |
Net change in fair value on OTTI AFS in OCI | 5,166 | (11,236) | (6,884) | $ (9,175) | |
Private label MBS [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||||
Number of Available-for-sale Securities Transferred from Held-to-maturity Securities | loan | 0 | ||||
Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | Available-for-sale Securities | |||||
Purchases, issuances, sales, and settlements: | |||||
Sales | 0 | ||||
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | Available-for-sale Securities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance at January 1 | 9,168 | $ 11,699 | |||
Sale of AFS | 1,417 | ||||
Accretion of credit losses in interest income | 203 | 734 | |||
Net OTTI losses, credit portion | 0 | ||||
Net unrealized (losses) on AFS in OCI | 0 | 0 | |||
Reclassification of non-credit portion included in net income | (1,417) | ||||
Net change in fair value on OTTI AFS in OCI | 0 | (1) | |||
Unrealized gains (losses) on OTTI AFS in OCI | (179) | (462) | |||
Transfer of OTTI securities from HTM to AFS | 0 | ||||
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 period end | 0 | 734 | |||
Purchases, issuances, sales, and settlements: | |||||
Sales | (8,510) | ||||
Settlements | (682) | (1,499) | |||
Balance at June 30 | 0 | 10,471 | 0 | 10,471 | |
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | Available-for-sale Securities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance at January 1 | 822,740 | 971,083 | |||
Sale of AFS | 0 | ||||
Accretion of credit losses in interest income | 8,596 | 9,512 | |||
Net OTTI losses, credit portion | (239) | ||||
Net unrealized (losses) on AFS in OCI | (47) | 42 | |||
Reclassification of non-credit portion included in net income | 239 | ||||
Net change in fair value on OTTI AFS in OCI | (762) | (1,157) | |||
Unrealized gains (losses) on OTTI AFS in OCI | (5,943) | (7,555) | |||
Transfer of OTTI securities from HTM to AFS | 3,368 | ||||
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 period end | 8,357 | 9,512 | |||
Purchases, issuances, sales, and settlements: | |||||
Settlements | (76,673) | (67,368) | |||
Balance at June 30 | $ 747,911 | $ 907,925 | $ 747,911 | $ 907,925 | |
[1] | For the six months ended June 30, 2016, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2016. |
Commitments and Contingencies91
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 6 Months Ended | |||
Jun. 30, 2016 | Dec. 31, 2015 | |||
Loss Contingencies [Line Items] | ||||
Other Liabilities - Standby Letter of Credit Fees | $ 184,594 | $ 53,715 | ||
Maximum Commitment Period | 45 days | |||
Standby Letters of Credit Issuance Commitments [Member] | ||||
Loss Contingencies [Line Items] | ||||
Off-balance Sheet Risks, Total Liability | $ 223,200 | 136,400 | ||
Open RepoPlus Advance Product | ||||
Loss Contingencies [Line Items] | ||||
Open Repo Plus Product Outstanding | $ 7,300,000 | 7,400,000 | ||
Maximum | ||||
Loss Contingencies [Line Items] | ||||
Letter of Credit Renewal Period | 5 years | |||
Standby Letters of Credit | ||||
Loss Contingencies [Line Items] | ||||
Off-balance Sheet Risks, Expiring Within One Year | [1],[2] | $ 19,689,514 | ||
Off-balance Sheet Risks, Expiring After One Year | 0 | |||
Off-balance Sheet Risks, Total Liability | 19,689,514 | [1],[2] | 20,171,604 | |
Off-balance Sheet Risks, with annual renewal option | 7,000,000 | 5,500,000 | ||
Other Liabilities - Standby Letter of Credit Fees | 5,200 | 5,700 | ||
Commitments to fund additional advances and BOB loans | ||||
Loss Contingencies [Line Items] | ||||
Off-balance Sheet Risks, Expiring Within One Year | 327,562 | |||
Off-balance Sheet Risks, Expiring After One Year | 0 | |||
Off-balance Sheet Risks, Total Liability | 327,562 | 480,634 | ||
Commitments to fund or purchase mortgage loans | Mortgages [Member] | ||||
Loss Contingencies [Line Items] | ||||
Off-balance Sheet Risks, Expiring Within One Year | 20,594 | |||
Off-balance Sheet Risks, Expiring After One Year | 0 | |||
Off-balance Sheet Risks, Total Liability | 20,594 | 9,950 | ||
Unsettled consolidated obligation bonds, at par (3) | ||||
Loss Contingencies [Line Items] | ||||
Off-balance Sheet Risks, Expiring Within One Year | [3] | 193,650 | ||
Off-balance Sheet Risks, Expiring After One Year | 0 | |||
Off-balance Sheet Risks, Total Liability | 193,650 | [3] | 261,000 | |
Unsettled consolidated obligation bonds, at par (3) | Interest Rate Swap [Member] | ||||
Loss Contingencies [Line Items] | ||||
Off-balance Sheet Risks, Total Liability | 78,700 | 115,000 | ||
Unsettled consolidated obligation discount notes, at par | ||||
Loss Contingencies [Line Items] | ||||
Off-balance Sheet Risks, Expiring Within One Year | 300,000 | |||
Off-balance Sheet Risks, Expiring After One Year | 0 | |||
Off-balance Sheet Risks, Total Liability | $ 300,000 | $ 0 | ||
[1] | $7.0 billion and $5.5 billion at June 30, 2016 and December 31, 2015, respectively, have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of approximately 5 years. | |||
[2] | Excludes approved requests to issue future standby letters of credit of $223.2 million and $136.4 million at June 30, 2016 and December 31, 2015, respectively. | |||
[3] | Includes $78.7 million and $115.0 million of consolidated obligation bonds which were hedged with associated interest rate swaps at June 30, 2016 and December 31, 2015, respectively. |