Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Oct. 31, 2017 | |
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 | Sep. 30, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 34,331,173 |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Interest income: | ||||
Advances | $ 269,193 | $ 143,017 | $ 712,543 | $ 410,702 |
Prepayment fees on advances, net | 47 | 1,844 | 179 | 22,597 |
Interest-bearing deposits | 794 | 387 | 1,548 | 1,047 |
Securities purchased under agreements to resell | 337 | 1,344 | 972 | 2,837 |
Federal funds sold | 23,530 | 6,145 | 48,749 | 17,832 |
Trading securities | 2,817 | 2,817 | 8,449 | 8,449 |
Available-for-sale (AFS) securities | 50,109 | 39,244 | 140,328 | 116,644 |
Held-to-maturity (HTM) securities | 13,145 | 14,172 | 42,395 | 42,637 |
Mortgage loans held for portfolio | 32,645 | 29,311 | 95,255 | 87,948 |
Total interest income | 392,617 | 238,281 | 1,050,418 | 710,693 |
Interest expense: | ||||
Consolidated obligations - discount notes | 85,748 | 24,574 | 178,042 | 84,677 |
Consolidated obligations - bonds | 195,890 | 134,080 | 540,690 | 370,406 |
Mandatorily redeemable capital stock | 64 | 70 | 191 | 227 |
Deposits | 1,528 | 401 | 3,445 | 1,214 |
Other borrowings | 1 | 3 | 17 | 12 |
Total interest expense | 283,231 | 159,128 | 722,385 | 456,536 |
Net interest income | 109,386 | 79,153 | 328,033 | 254,157 |
Provision for credit losses | 137 | 704 | 45 | 1,142 |
Net interest income after provision for credit losses | 109,249 | 78,449 | 327,988 | 253,015 |
Other noninterest income (loss): | ||||
Total OTTI losses (Note 5) | 0 | 0 | 0 | 0 |
OTTI losses reclassified to (from) AOCI (Note 5) | (38) | 0 | (702) | (239) |
Net OTTI losses, credit portion (Note 5) | (38) | 0 | (702) | (239) |
Net gains (losses) on trading securities (Note 2) | 320 | (2,531) | 7,926 | 25,631 |
Net realized gains (losses) from sales of AFS securities (Note 3) | 0 | (117) | 0 | 12,591 |
Net (losses) on derivatives and hedging activities (Note 9) | (495) | (2,365) | (360) | (54,372) |
Gains on litigation settlements, net | 0 | 82 | 0 | 545 |
Standby letters of credit fees | 6,124 | 6,079 | 18,168 | 18,478 |
Other, net | 521 | 452 | 1,188 | 1,123 |
Total other noninterest income | 6,432 | 1,600 | 26,220 | 3,757 |
Other Expense | ||||
Compensation and benefits | 12,780 | 10,003 | 38,488 | 31,977 |
Other operating | 7,302 | 6,632 | 20,758 | 19,090 |
Finance Agency | 1,290 | 1,401 | 3,989 | 4,457 |
Office of Finance | 1,129 | 1,174 | 3,504 | 3,167 |
Total other expense | 22,501 | 19,210 | 66,739 | 58,691 |
Income before assessments | 93,180 | 60,839 | 287,469 | 198,081 |
Affordable Housing Program (AHP) assessment | 9,324 | 6,091 | 28,766 | 19,831 |
Net Income | $ 83,856 | $ 54,748 | $ 258,703 | $ 178,250 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Net Income | $ 83,856 | $ 54,748 | $ 258,703 | $ 178,250 |
Net unrealized gains (losses) on AFS securities: | ||||
Unrealized gains (losses) | 101 | (6,948) | 63,130 | 64,897 |
Reclassification of realized (gains) included in net income | 0 | 0 | 0 | (11,291) |
Total net unrealized gains (losses) on AFS | 101 | (6,948) | 63,130 | 53,606 |
Net non-credit portion of OTTI gains (losses) on AFS securities: | ||||
Net change in fair value of OTTI securities | 1,094 | 2,891 | 7,136 | (3,993) |
Reclassification of net (gains) losses included in net income | 0 | 117 | 0 | (1,300) |
Net amount of impairment losses reclassified to noninterest income | 38 | 0 | 702 | 239 |
Total net non-credit portion of OTTI gains (losses) on AFS securities | 1,132 | 3,008 | 7,838 | (5,054) |
Reclassification of net (gains) included in net income relating to hedging activities | (8) | (8) | (19) | (20) |
Pension and post-retirement benefits | 147 | 173 | 319 | 259 |
Total other comprehensive income (loss) | 1,372 | (3,775) | 71,268 | 48,791 |
Total comprehensive income | $ 85,228 | $ 50,973 | $ 329,971 | $ 227,041 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
ASSETS | ||
Cash and due from banks | $ 2,068,710 | $ 3,587,605 |
Interest-bearing deposits | 281,073 | 5,909 |
Federal funds sold | 6,025,000 | 3,222,000 |
Securities purchased under agreements to resell | 1,500,000 | 2,000,000 |
Investment securities | ||
Trading securities (Note 2) | 404,315 | 395,247 |
AFS securities at fair value (Note 3) | 9,028,864 | 9,038,081 |
HTM securities; fair value of $2,303,345 and $2,576,982 respectively (Note 4) | 2,289,653 | 2,566,135 |
Total investment securities | 11,722,832 | 11,999,463 |
Advances, net (Note 6) | 74,227,996 | 76,808,704 |
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $6,112 and $6,231, respectively (Note 8) | 3,763,262 | 3,390,727 |
Banking on Business (BOB) loans, net of allowance for credit losses of $1,937 and $2,177, respectively | 12,949 | 12,276 |
Accrued interest receivable | 153,434 | 124,247 |
Premises, software and equipment, net | 7,891 | 9,762 |
Derivative assets (Note 9) | 85,005 | 81,891 |
Other assets | 16,423 | 17,492 |
Total assets | 99,864,575 | 101,260,076 |
Deposits | ||
Interest-bearing | 607,169 | 505,430 |
Noninterest-bearing | 19,882 | 53,461 |
Total deposits | 627,051 | 558,891 |
Consolidated obligations, net: (Note 10) | ||
Discount notes | 38,877,041 | 28,500,341 |
Bonds | 55,140,239 | 67,156,031 |
Total consolidated obligations, net | 94,017,280 | 95,656,372 |
Mandatorily redeemable capital stock (Note 11) | 5,626 | 5,216 |
Accrued interest payable | 117,095 | 117,183 |
AHP payable | 88,743 | 76,712 |
Derivative liabilities (Note 9) | 9,477 | 14,010 |
Other liabilities | 59,469 | 37,777 |
Total liabilities | 94,924,741 | 96,466,161 |
Commitments and contingencies ( Note 14) | ||
Capital (Note 11) | ||
Capital stock - putable ($100 par value) issued and outstanding 36,969 and 37,554 shares, respectively | 3,696,869 | 3,755,411 |
Retained earnings: | ||
Unrestricted | 853,114 | 771,661 |
Restricted | 266,287 | 214,547 |
Total retained earnings | 1,119,401 | 986,208 |
Accumulated Other Comprehensive Income (AOCI) | 123,564 | 52,296 |
Total capital | 4,939,834 | 4,793,915 |
Total liabilities and capital | $ 99,864,575 | $ 101,260,076 |
Statement of Condition (Parenth
Statement of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
ASSETS | ||
Held to maturity securities - fair value | $ 2,303,345 | $ 2,576,982 |
Allowance for Credit losses, Mortgage Loans | (6,112) | (5,216) |
Allowance for Credit Losses, BOB loans | $ (1,937) | $ (2,177) |
Stockholders' Equity Attributable to Parent [Abstract] | ||
Capital Stock, Par value Per Share | $ 100 | $ 100 |
Capital Stock, Shares, Issued and Outstanding | 36,969 | 37,554 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
OPERATING ACTIVITIES | ||
Net Income | $ 258,703 | $ 178,250 |
Adjustments to reconcile net income to net cash provided by(used in) operating activities: | ||
Depreciation and amortization | 21,405 | (41,717) |
Net change in derivative and hedging activities | (9,390) | 46,046 |
Net OTTI credit losses | 702 | 239 |
Net realized (gains) from sales of AFS securities | 0 | (12,591) |
Other adjustments | 45 | 1,138 |
Net change in: | ||
Trading securities | (9,068) | (26,516) |
Accrued interest receivable | (29,222) | (7,387) |
Other assets | (716) | 1,068 |
Accrued interest payable | (88) | 31,319 |
Other liabilities | 12,039 | (9,878) |
Net cash provided by operating activities | 244,410 | 159,971 |
Net change in: | ||
Interest-bearing deposits (including $(164) and $(2,573) from/(to) other FHLBanks for mortgage loan program) | (258,314) | (107,802) |
Securities purchased under agreements to resell | 500,000 | 500,000 |
Federal funds sold | (2,803,000) | 330,000 |
AFS securities: | ||
Proceeds (includes $206,608 from sale of AFS securities in 2016) | 1,011,058 | 2,285,778 |
Purchases | (888,666) | (3,201,633) |
HTM securities: | ||
Net change in short-term | (50,000) | (1,500,000) |
Proceeds from long-term maturities | 423,542 | 448,460 |
Purchases of long-term | (98,286) | (71,498) |
Advances: | ||
Proceeds | 707,793,045 | 567,752,580 |
Made | (705,224,029) | (565,115,153) |
Mortgage loans held for portfolio: | ||
Proceeds | 339,025 | 345,046 |
Purchases | (725,752) | (539,228) |
Proceeds from sale of foreclosed assets | 5,904 | 8,254 |
Premises, software and equipment [Abstract] | ||
Proceeds from sale | 0 | 335 |
Purchases | (1,224) | (1,949) |
Net cash provided by investing activities | 23,303 | 1,133,190 |
Net change in: | ||
Deposits and pass-through reserves | 68,543 | (60,363) |
Net payments for derivative contracts with financing element | 0 | (18,504) |
Net proceeds from issuance of consolidated obligations: | ||
Discount notes | 174,665,491 | 72,605,830 |
Bonds | 33,094,565 | 54,753,367 |
Payments for maturing and retiring consolidated obligations | ||
Discount notes | (164,333,819) | (92,250,936) |
Bonds | (45,097,746) | (35,654,475) |
Proceeds from issuance of capital stock | 3,225,176 | 2,522,688 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (745) | (45,469) |
Payments for repurchase/redemption of capital stock | (3,282,563) | (2,461,035) |
Cash dividends paid | (125,510) | (117,366) |
Net cash (used in) financing activities | (1,786,608) | (726,263) |
Net increase (decrease) in cash and due from banks | (1,518,895) | 566,898 |
Cash and due from banks at beginning of the period | 3,587,605 | 2,376,964 |
Cash and due from banks at end of the period | 2,068,710 | 2,943,862 |
Supplemental disclosures: | ||
Interest paid | 563,904 | 381,949 |
AHP payments | 16,735 | 16,962 |
Transfers of mortgage loans to real estate owned | 4,144 | 4,560 |
Variation margin recharacterized as settlement payments on derivative contracts | $ 44,674 | $ 0 |
Statement of Cash Flows (Parent
Statement of Cash Flows (Parenthetical) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Increase (Decrease) in Deposits with Other Federal Home Loan Banks | $ 164 | $ 2,573 |
Proceeds from Sale of Available-for-sale Securities | $ 0 | $ 206,608 |
Statements of Changes in Capita
Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | $ 4,793,915 | $ 4,501,601 | ||
Comprehensive Income | $ 85,228 | $ 50,973 | 329,971 | 227,041 |
Issuance of capital stock | 3,225,176 | 2,522,688 | ||
Repurchase/redemption of capital stock | (3,282,563) | (2,461,035) | ||
Net shares reclassified to mandatorily redeemable capital stock | (1,155) | (44,832) | ||
Cash dividends | (125,510) | (117,366) | ||
Total capital, ending balance | $ 4,939,834 | $ 4,628,097 | $ 4,939,834 | $ 4,628,097 |
Capital Stock - Putable | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Balance, shares beginning balance | 37,554 | 35,396 | ||
Total capital, beginning balance | $ 3,755,411 | $ 3,539,648 | ||
Issuance of capital stock, shares | 32,252 | 25,227 | ||
Issuance of capital stock | $ 3,225,176 | $ 2,522,688 | ||
Repurchase/redemption of capital stock, shares | (32,825) | (24,610) | ||
Repurchase/redemption of capital stock | $ (3,282,563) | $ (2,461,035) | ||
Net shares reclassified to mandatorily redeemable capital stock, shares | (12) | (448) | ||
Net shares reclassified to mandatorily redeemable capital stock | $ (1,155) | $ (44,832) | ||
Balance, shares ending balance | 36,969 | 35,565 | 36,969 | 35,565 |
Total capital, ending balance | $ 3,696,869 | $ 3,556,469 | $ 3,696,869 | $ 3,556,469 |
Retained Earnings, Unrestricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 771,661 | 718,727 | ||
Comprehensive Income | 206,963 | 142,600 | ||
Cash dividends | (125,510) | (117,366) | ||
Total capital, ending balance | 853,114 | 743,961 | 853,114 | 743,961 |
Retained Earnings, Restricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 214,547 | 162,543 | ||
Comprehensive Income | 51,740 | 35,650 | ||
Total capital, ending balance | 266,287 | 198,193 | 266,287 | 198,193 |
Retained Earnings Total | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 986,208 | 881,270 | ||
Comprehensive Income | 258,703 | 178,250 | ||
Cash dividends | (125,510) | (117,366) | ||
Total capital, ending balance | 1,119,401 | 942,154 | 1,119,401 | 942,154 |
Accumulated Other Comprehensive Income (Loss) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 52,296 | 80,683 | ||
Comprehensive Income | 71,268 | 48,791 | ||
Total capital, ending balance | $ 123,564 | $ 129,474 | $ 123,564 | $ 129,474 |
Background Information Backgrou
Background Information Background Information (Notes) | 9 Months Ended |
Sep. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Operations [Text Block] | 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, do not 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, 2016 included in the Bank's 2016 Form 10-K. |
Accounting Adjustments, Changes
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | 9 Months Ended |
Sep. 30, 2017 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations The Bank did not adopt any new accounting standards during the nine months ended September 30, 2017. The following table provides a brief description of recently issued, not yet adopted, accounting standards which may have an impact on the Bank. Standard Description Effective Date and Transition Effect on the Financial Statements or Other Significant Matters Accounting Standards Update (ASU) 2017-12: Targeted Improvements to Accounting for Hedging Activities This ASU makes amendments to the accounting for derivatives and hedging activities intended to better portray the economics of the transactions. This ASU is effective for the Bank beginning January 1, 2019 and permits for early adoption. The guidance will be applied to existing hedging relationships as of the beginning of the year of adoption. The Bank is continuing to evaluate the impact of this ASU on its financial statements. The Bank's hedging strategies, documentation, effectiveness testing, and presentation and disclosure may be impacted by this ASU. ASU 2017-08: Premium Amortization on Purchased Callable Debt Securities This ASU requires that the amortization period for premiums on certain purchased callable debt securities be shortened to the earliest call date, rather than contractual maturity. This ASU is effective for the Bank beginning January 1, 2019 and will be adopted on a modified retrospective basis. The Bank is continuing to evaluate the impact of this ASU on its financial statements. The Bank does not believe that the impact will be material to its financial condition or results of operations as it does not typically purchase callable debt securities at premiums and believes this ASU is only applicable to purchased investments. ASU 2017-07: Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost This ASU requires entities to disaggregate the service cost component of net benefit cost from other components and present the other components outside of income from operations. It also requires that only the service cost component be eligible for capitalization. This ASU is effective for the Bank beginning January 1, 2018. The presentation of service costs separately will be adopted on a retrospective basis, and the limiting of capitalization to service costs will be adopted on a prospective basis. The Bank is continuing to evaluate the impact of this ASU, which may affect the presentation of other components of net benefit cost on its financial statements. The ASU is expected to impact the Bank's non-qualified defined benefit plans, but is not expected to impact its qualified, multi-employer defined benefit plan. The Bank does not anticipate that the impact will be material. ASU 2016-15: Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments This ASU is focused on reducing diversity in practice in the Statement of Cash Flows by providing clarification on eight classification issues. This ASU is effective for the Bank no later than January 1, 2018 and will be adopted on a retrospective basis. The Bank is continuing to evaluate the impact of this ASU on its financial statements, but it expects this ASU will not have any impact on its Statement of Cash Flows. ASU 2016-13: Financial Instruments - Credit Losses This ASU makes substantial changes to the accounting for credit losses on certain financial instruments. It replaces the current incurred loss model with a new model based on lifetime expected credit losses, which the FASB believes will result in more timely recognition of credit losses. This ASU is effective for the Bank no later than January 1, 2020 and will generally be adopted on a modified retrospective basis, with the exception of previously-OTTI AFS debt securities, for which the guidance will be applied prospectively. The Bank is continuing to evaluate the impact of this ASU on its financial statements and will continue to monitor interpretations made by standard-setters and regulators. The Bank expects its allowance for credit losses on MPF loans to increase; however, the Bank does not currently have an estimate of the amount of the expected increase. The Bank has not yet determined the impact this standard will have on its private label MBS securities. The Bank will continue to evaluate the appropriateness of an allowance for credit losses on other specific elements of its financial statements. Standard Description Effective Date and Transition Effect on the Financial Statements or Other Significant Matters ASU 2016-02: Leases This ASU amends the accounting for leases. It will require lessees to recognize a right-of-use asset and lease liability for virtually all leases. This ASU is effective for the Bank no later than January 1, 2019 and will be adopted on a modified retrospective basis. The Bank is continuing to evaluate the impact of this ASU on its financial statements. Upon adoption, the Bank will increase its assets and liabilities for capitalized leases. The Bank’s most significant lease is its headquarters. Future minimum lease payments under current accounting standards are disclosed in Note 20 - Commitments and Contingencies in the Bank's 2016 Form 10-K. Substantially all of these payments represent the building lease. ASU 2016-01: Financial Instruments - Recognition and Measurement of Financial Assets and Financial Liabilities This ASU amends certain requirements for accounting for the recognition and measurement of financial instruments. Most notably, this guidance revises the accounting for equity securities, financial instruments measured under the fair value option, and certain disclosure requirements for fair value of financial instruments. This ASU is effective for the Bank beginning January 1, 2018 and will be adopted on a modified retrospective basis. This ASU will not materially impact the Bank’s financial condition or results of operations. It will result in the reclassification of an immaterial equity investment to trading securities. The Bank will update its financial statement disclosures to reflect the updated disclosure requirements for financial instruments not recognized at fair value in the financial statements and to meet the disaggregation requirements of this guidance. ASU 2014-09: Revenue from Contracts with Customers in conjunction with ASU 2017-05: Gains and Losses from the Derecognition of Nonfinancial Assets ASU 2014-09 was issued to increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. It will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition. ASU 2017-05 clarifies that the guidance in ASU 2014-09 should also be applied to the accounting for derecognition of nonfinancial assets, including sales of real estate assets such as REO. These ASUs are effective for the Bank beginning January 1, 2018 and may be adopted on either a full or modified retrospective basis. The adoption of these ASUs will not impact the Bank's financial condition or results of operations, as the majority of the Bank’s revenue is derived from financial instruments, which are excluded from the scope of this guidance. |
Trading Securities
Trading Securities | 9 Months Ended |
Sep. 30, 2017 | |
Trading Securities [Abstract] | |
Trading Securities | Trading Securities The following table presents trading securities as of September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Mutual funds $ 9,063 $ 7,092 GSE and TVA obligations 395,252 388,155 Total $ 404,315 $ 395,247 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 $9.2 million and $7.2 million at September 30, 2017 and December 31, 2016 , respectively, and are included in Other liabilities in the Statement of Condition. The following table presents net gains (losses) on trading securities for the third quarter and the first nine months of 2017 and 2016 . Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Net unrealized gains (losses) on trading securities held at period-end $ 320 $ (2,531 ) $ 7,926 $ 25,631 Net realized gains on trading securities sold/matured during the period — — — — Net gains (losses) on trading securities $ 320 $ (2,531 ) $ 7,926 $ 25,631 |
Available-for-Sale (AFS) Securi
Available-for-Sale (AFS) Securities | 9 Months Ended |
Sep. 30, 2017 | |
Available-for-sale Securities [Abstract] | |
Available-for-Sale (AFS) Securities | Available-for-Sale (AFS) Securities The following tables present AFS securities as of September 30, 2017 and December 31, 2016 . September 30, 2017 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: Mutual funds $ 2,010 $ — $ — $ — $ 2,010 GSE and TVA obligations 3,065,699 — 34,564 (3,388 ) 3,096,875 State or local agency obligations 269,566 — 3,576 (3,554 ) 269,588 Total non-MBS $ 3,337,275 $ — $ 38,140 $ (6,942 ) $ 3,368,473 MBS: Other U.S. obligations single family MBS $ 187,921 $ — $ 231 $ (238 ) $ 187,914 GSE single-family MBS 2,729,233 — 14,297 (2,616 ) 2,740,914 GSE multifamily MBS 2,166,894 — 8,053 (467 ) 2,174,480 Private label residential MBS 481,984 — 75,262 (163 ) 557,083 Total MBS $ 5,566,032 $ — $ 97,843 $ (3,484 ) $ 5,660,391 Total AFS securities $ 8,903,307 $ — $ 135,983 $ (10,426 ) $ 9,028,864 December 31, 2016 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: Mutual funds $ 2,000 $ — $ — $ — $ 2,000 GSE and TVA obligations 3,181,110 — 11,889 (9,806 ) 3,183,193 State or local agency obligations 249,675 — 879 (14,142 ) 236,412 Total non-MBS $ 3,432,785 $ — $ 12,768 $ (23,948 ) $ 3,421,605 MBS: Other U.S. obligations single family MBS $ 217,577 $ — $ — $ (1,143 ) $ 216,434 GSE single-family MBS 3,218,268 — 5,577 (10,683 ) 3,213,162 GSE multifamily MBS 1,508,003 — 6,112 (1,211 ) 1,512,904 Private label residential MBS 606,859 (11 ) 67,435 (307 ) 673,976 Total MBS $ 5,550,707 $ (11 ) $ 79,124 $ (13,344 ) $ 5,616,476 Total AFS securities $ 8,983,492 $ (11 ) $ 91,892 $ (37,292 ) $ 9,038,081 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, OTTI recognized, 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 $9.6 million and $9.0 million at September 30, 2017 and December 31, 2016 , respectively, and are included in Other liabilities in the Statement of Condition. As of September 30, 2017 , the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $16.1 million , credit losses of $179.8 million and OTTI-related accretion adjustments of $58.1 million . As of December 31, 2016 , these amounts were $14.9 million , $192.6 million and $43.8 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 September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Non-credit portion of OTTI losses $ — $ (11 ) Net unrealized gains on OTTI securities since their last OTTI credit charge 75,262 67,435 Net non-credit portion of OTTI gains on AFS securities in AOCI $ 75,262 $ 67,424 The following tables summarize the AFS securities with unrealized losses as of September 30, 2017 and December 31, 2016 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. September 30, 2017 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 $ 217,282 $ (637 ) $ 1,108,821 $ (2,751 ) $ 1,326,103 $ (3,388 ) State or local agency obligations 39,920 (615 ) 75,836 (2,939 ) 115,756 (3,554 ) Total non-MBS $ 257,202 $ (1,252 ) $ 1,184,657 $ (5,690 ) $ 1,441,859 $ (6,942 ) MBS: Other U.S. obligations single family MBS $ 10,501 $ (1 ) $ 67,973 $ (237 ) $ 78,474 $ (238 ) GSE single-family MBS 87,526 (300 ) 309,722 (2,316 ) 397,248 (2,616 ) GSE multifamily MBS 385,026 (454 ) 11,788 (13 ) 396,814 (467 ) Private label residential MBS — — 2,997 (163 ) 2,997 (163 ) Total MBS $ 483,053 $ (755 ) $ 392,480 $ (2,729 ) $ 875,533 $ (3,484 ) Total $ 740,255 $ (2,007 ) $ 1,577,137 $ (8,419 ) $ 2,317,392 $ (10,426 ) December 31, 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 $ 1,976,842 $ (8,334 ) $ 155,292 $ (1,472 ) $ 2,132,134 $ (9,806 ) State or local agency obligations 161,288 (14,142 ) — — 161,288 (14,142 ) Total non-MBS $ 2,138,130 $ (22,476 ) $ 155,292 $ (1,472 ) $ 2,293,422 $ (23,948 ) MBS: Other U.S. obligations single family MBS $ 145,946 $ (523 ) $ 70,487 $ (620 ) $ 216,433 $ (1,143 ) GSE single-family MBS 1,775,502 (7,920 ) 351,883 (2,763 ) 2,127,385 (10,683 ) GSE multifamily MBS 461,916 (992 ) 92,755 (219 ) 554,671 (1,211 ) Private label residential MBS 47,364 (11 ) 2,853 (307 ) 50,217 (318 ) Total MBS $ 2,430,728 $ (9,446 ) $ 517,978 $ (3,909 ) $ 2,948,706 $ (13,355 ) Total $ 4,568,858 $ (31,922 ) $ 673,270 $ (5,381 ) $ 5,242,128 $ (37,303 ) 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. Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2017 and December 31, 2016 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) September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 1,255,975 $ 1,253,922 $ 378,123 $ 378,071 Due after one year through five years 594,656 601,498 1,408,405 1,405,080 Due after five years through ten years 683,527 697,496 644,126 651,857 Due in more than ten years 803,117 815,557 1,002,131 986,597 AFS securities excluding MBS 3,337,275 3,368,473 3,432,785 3,421,605 MBS 5,566,032 5,660,391 5,550,707 5,616,476 Total AFS securities $ 8,903,307 $ 9,028,864 $ 8,983,492 $ 9,038,081 Interest Rate Payment Terms. The following table details interest payment terms at September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Amortized cost of AFS securities other than MBS: Fixed-rate $ 3,252,403 $ 3,347,980 Variable-rate 84,872 84,805 Total non-MBS $ 3,337,275 $ 3,432,785 Amortized cost of AFS MBS: Fixed-rate $ 1,226,306 $ 1,343,699 Variable-rate 4,339,726 4,207,008 Total MBS $ 5,566,032 $ 5,550,707 Total amortized cost of AFS securities $ 8,903,307 $ 8,983,492 Realized Gains (Losses) on AFS Securities. The following table provides a summary of proceeds, gross gains and losses on sales of AFS securities for the three and nine months ended September 30, 2017 and 2016 , respectively. Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Proceeds from sale of AFS securities $ — $ 8,609 $ — $ 206,608 Gross gains on sale of AFS securities — 215 — 12,923 Gross losses on sale of AFS securities — (332 ) — (332 ) |
Held-to-Maturity (HTM) Securiti
Held-to-Maturity (HTM) Securities | 9 Months Ended |
Sep. 30, 2017 | |
Held-to-maturity Securities [Abstract] | |
Held-to-Maturity (HTM) Securities | Held-to-Maturity (HTM) Securities The following tables present HTM securities as of September 30, 2017 and December 31, 2016 . September 30, 2017 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 450,000 $ 14 $ (4 ) $ 450,010 State or local agency obligations 127,195 — (9,268 ) 117,927 Total non-MBS $ 577,195 $ 14 $ (9,272 ) $ 567,937 MBS: Other U.S. obligations single-family MBS $ 457,749 $ 3,600 $ — $ 461,349 GSE single-family MBS 168,539 2,882 (33 ) 171,388 GSE multifamily MBS 774,753 14,321 (1,825 ) 787,249 Private label residential MBS 311,417 4,465 (460 ) 315,422 Total MBS $ 1,712,458 $ 25,268 $ (2,318 ) $ 1,735,408 Total HTM securities $ 2,289,653 $ 25,282 $ (11,590 ) $ 2,303,345 December 31, 2016 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 400,000 $ 61 $ (2 ) $ 400,059 State or local agency obligations 131,925 — (10,519 ) 121,406 Total non-MBS $ 531,925 $ 61 $ (10,521 ) $ 521,465 MBS: Other U.S. obligations single-family MBS $ 583,550 $ 3,320 $ (138 ) $ 586,732 GSE single-family MBS 212,097 3,097 (23 ) 215,171 GSE multifamily MBS 843,167 19,288 (3,569 ) 858,886 Private label residential MBS 395,396 1,932 (2,600 ) 394,728 Total MBS $ 2,034,210 $ 27,637 $ (6,330 ) $ 2,055,517 Total HTM securities $ 2,566,135 $ 27,698 $ (16,851 ) $ 2,576,982 The following tables summarize the HTM securities with unrealized losses as of September 30, 2017 and December 31, 2016 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. September 30, 2017 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: Certificates of deposit $ 149,996 $ (4 ) $ — $ — $ 149,996 $ (4 ) State or local agency obligations 12,639 (91 ) 105,288 (9,177 ) 117,927 (9,268 ) Total non-MBS $ 162,635 $ (95 ) $ 105,288 $ (9,177 ) $ 267,923 $ (9,272 ) MBS: GSE single-family MBS $ — $ — $ 5,965 $ (33 ) $ 5,965 $ (33 ) GSE multifamily MBS 119,999 (1,825 ) — — 119,999 (1,825 ) Private label residential MBS 1,202 (2 ) 45,042 (458 ) 46,244 (460 ) Total MBS $ 121,201 $ (1,827 ) $ 51,007 $ (491 ) $ 172,208 $ (2,318 ) Total $ 283,836 $ (1,922 ) $ 156,295 $ (9,668 ) $ 440,131 $ (11,590 ) December 31, 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: Certificates of deposit $ 124,998 $ (2 ) $ — $ — $ 124,998 $ (2 ) State or local agency obligations 13,612 (128 ) 107,794 (10,391 ) 121,406 (10,519 ) Total non-MBS $ 138,610 $ (130 ) $ 107,794 $ (10,391 ) $ 246,404 $ (10,521 ) MBS: Other U.S. obligations single-family MBS $ 53,513 $ (109 ) $ 41,253 $ (29 ) $ 94,766 $ (138 ) GSE single-family MBS — — 7,133 (23 ) 7,133 (23 ) GSE multifamily MBS 165,914 (3,569 ) — — 165,914 (3,569 ) Private label residential MBS 10,961 (115 ) 222,585 (2,485 ) 233,546 (2,600 ) Total MBS $ 230,388 $ (3,793 ) $ 270,971 $ (2,537 ) $ 501,359 $ (6,330 ) Total $ 368,998 $ (3,923 ) $ 378,765 $ (12,928 ) $ 747,763 $ (16,851 ) Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2017 and December 31, 2016 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) September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ 450,000 $ 450,010 $ 400,000 $ 400,059 Due after one year through five years — — — — Due after five years through ten years 44,935 43,077 47,850 45,605 Due after ten years 82,260 74,850 84,075 75,801 Total non-MBS 577,195 567,937 531,925 521,465 MBS 1,712,458 1,735,408 2,034,210 2,055,517 Total HTM securities $ 2,289,653 $ 2,303,345 $ 2,566,135 $ 2,576,982 Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Amortized cost of HTM securities other than MBS: Fixed-rate $ 450,000 $ 400,000 Variable-rate 127,195 131,925 Total non-MBS $ 577,195 $ 531,925 Amortized cost of HTM MBS: Fixed-rate $ 854,966 $ 952,329 Variable-rate 857,492 1,081,881 Total MBS $ 1,712,458 $ 2,034,210 Total HTM securities $ 2,289,653 $ 2,566,135 |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 9 Months Ended |
Sep. 30, 2017 | |
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 the amount of credit losses 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 2016 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 2016 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 is based upon an assessment of the individual housing markets. During the third quarter of 2017, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (6.0)% to 13.0% over the 12 month period beginning July 1, 2017. For the vast majority of markets the short-term forecast has changes from 1.0% 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 September 30, 2017 . The "Total OTTI securities" balances below summarize the Bank’s securities as of September 30, 2017 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 amounts reflects the total AFS private label MBS balance. OTTI Recognized During the Life of the Security (in thousands) Unpaid Principal Balance Amortized Cost (1) Fair Value Private label residential MBS: Prime $ 267,846 $ 210,954 $ 249,306 Alt-A 349,786 267,870 304,780 Total OTTI securities 617,632 478,824 554,086 Private label MBS with no OTTI 3,160 3,160 2,997 Total AFS private label MBS $ 620,792 $ 481,984 $ 557,083 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 OTTI recognized. 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 nine months ended September 30, 2017 and 2016 . Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Beginning balance $ 223,353 $ 251,487 $ 236,460 $ 265,379 Additions: Additional OTTI credit losses for which an OTTI charge was previously recognized (1) 38 — 702 239 Reductions: Securities sold and matured during the period (2) 286 (1,794 ) 95 (3,875 ) Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (7,712 ) (6,406 ) (21,292 ) (18,456 ) Ending balance $ 215,965 $ 243,287 $ 215,965 $ 243,287 Notes: (1) For the three months ended September 30, 2017 , additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of that year. For the nine months ended September 30, 2017 , 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 of that year. (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 September 30, 2017 , 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 September 30, 2017 . |
Advances
Advances | 9 Months Ended |
Sep. 30, 2017 | |
Advances [Abstract] | |
Advances | Advances General Terms. The Bank offers 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 September 30, 2017 and December 31, 2016 , the Bank had advances outstanding, including AHP advances, with interest rates ranging from 0.76% 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 September 30, 2017 and December 31, 2016 . (dollars in thousands) September 30, 2017 December 31, 2016 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 36,572,864 1.36 % $ 38,571,864 0.91 % Due after 1 year through 2 years 10,896,366 1.49 14,310,133 1.14 Due after 2 years through 3 years 14,098,096 1.61 7,477,536 1.29 Due after 3 years through 4 years 10,931,580 1.71 8,488,404 1.22 Due after 4 years through 5 years 923,782 2.01 7,161,763 1.23 Thereafter 842,922 2.71 825,608 2.64 Total par value 74,265,610 1.50 % 76,835,308 1.07 % Discount on AHP advances (1 ) (2 ) Deferred prepayment fees (825 ) (4,625 ) Hedging adjustments (36,788 ) (21,977 ) Total book value $ 74,227,996 $ 76,808,704 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 September 30, 2017 and December 31, 2016 , the Bank had convertible advances outstanding of $0.3 billion and $0.5 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 September 30, 2017 and December 31, 2016 , the Bank had $6.7 billion and $12.3 billion of returnable advances, respectively. At September 30, 2017 and December 31, 2016 , 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 September 30, 2017 and December 31, 2016 . Year of Contractual Maturity or Next Call Date Year of Contractual Maturity or Next Convertible Date (in thousands) September 30, 2017 December 31, 2016 September 30, 2017 December 31, 2016 Due in 1 year or less $ 36,622,864 $ 40,221,864 $ 36,613,364 $ 38,791,364 Due after 1 year through 2 years 10,896,366 12,700,133 10,875,866 14,116,133 Due after 2 years through 3 years 14,058,096 7,462,536 14,098,096 7,472,036 Due after 3 years through 4 years 10,931,580 8,463,404 10,931,580 8,488,404 Due after 4 years through 5 years 913,782 7,161,763 923,782 7,161,763 Thereafter 842,922 825,608 822,922 805,608 Total par value $ 74,265,610 $ 76,835,308 $ 74,265,610 $ 76,835,308 Interest Rate Payment Terms. The following table details interest rate payment terms for advances as of September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Fixed-rate – overnight $ 2,740,493 $ 4,696,431 Fixed-rate – term: Due in 1 year or less 21,387,023 16,177,369 Thereafter 13,106,346 9,815,844 Total fixed-rate 37,233,862 30,689,644 Variable-rate: Due in 1 year or less 12,445,348 17,698,064 Thereafter 24,586,400 28,447,600 Total variable-rate 37,031,748 46,145,664 Total par value $ 74,265,610 $ 76,835,308 Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of September 30, 2017 , the Bank had advances of $56.4 billion outstanding to the five largest borrowers, which represented 75.9% of total advances outstanding. Of these five , three had outstanding advance balances that were each in excess of 10% of the total portfolio at September 30, 2017 . As of December 31, 2016 , the Bank had advances of $61.2 billion outstanding to the five largest borrowers, which represented 79.7% of total advances outstanding. Of these five , three had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2016 . See Note 8 for information related to the Bank's allowance for credit losses. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | 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 September 30, 2017 and December 31, 2016 for mortgage loans held for portfolio. (in thousands) September 30, 2017 December 31, 2016 Fixed-rate long-term single-family mortgages (1) $ 3,420,691 $ 3,013,181 Fixed-rate medium-term single-family mortgages (1) 258,955 299,900 Total par value 3,679,646 3,313,081 Premiums 67,995 59,032 Discounts (3,553 ) (3,926 ) Hedging adjustments 25,286 28,771 Total mortgage loans held for portfolio $ 3,769,374 $ 3,396,958 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 September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Conventional loans $ 3,467,109 $ 3,088,810 Government-guaranteed/insured loans 212,537 224,271 Total par value $ 3,679,646 $ 3,313,081 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 | 9 Months Ended |
Sep. 30, 2017 | |
Loans and Leases Receivable Disclosure [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 MPF 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 requires 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 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 September 30, 2017 and December 31, 2016 , 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 September 30, 2017 and December 31, 2016 , 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. 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. The allowance for credit losses on BOB loans was immaterial as of September 30, 2017 and December 31, 2016 and is not included in any of the tables that follow. TDRs - 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. 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 September 30, 2017 and December 31, 2016 , the MPF exposure under the FLA was $25.5 million and $24.0 million , respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $0.9 million and $0.8 million for the third quarter 2017 and 2016 , respectively, and $2.7 million and $2.3 million for the nine months ended September 30, 2017 and 2016, respectively. Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. This includes impaired loans considered collateral-dependent 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, TDRs 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. Collectively Evaluated Mortgage Loans. For the remainder of the portfolio, 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. Rollforward of Allowance for Credit Losses - Mortgage Loans - Conventional MPF. Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Balance, beginning of period $ 6,341 $ 5,927 $ 6,231 $ 5,665 (Charge-offs) Recoveries, net (1) (141 ) (59 ) (151 ) 14 Provision (benefit) for credit losses (88 ) 647 32 836 Balance, September 30 $ 6,112 $ 6,515 $ 6,112 $ 6,515 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) September 30, 2017 December 31, 2016 Ending balance, individually evaluated for impairment $ 4,913 $ 5,105 Ending balance, collectively evaluated for impairment 1,199 1,126 Total allowance for credit losses $ 6,112 $ 6,231 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a related allowance $ 54,812 $ 58,522 Collectively evaluated for impairment 3,513,468 3,122,847 Total recorded investment $ 3,568,280 $ 3,181,369 Credit Quality Indicators - Mortgage Loans. Key credit quality indicators loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. (in thousands) September 30, 2017 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans Total Past due 30-59 days $ 37,865 $ 10,263 $ 48,128 Past due 60-89 days 9,237 3,341 12,578 Past due 90 days or more 17,881 4,318 22,199 Total past due loans $ 64,983 $ 17,922 $ 82,905 Total current loans 3,503,297 202,170 3,705,467 Total loans $ 3,568,280 $ 220,092 $ 3,788,372 Other delinquency statistics: In process of foreclosures, included above (2) $ 10,429 $ 659 $ 11,088 Serious delinquency rate (3) 0.5 % 2.0 % 0.6 % Past due 90 days or more still accruing interest $ — $ 4,318 $ 4,318 Loans on nonaccrual status $ 21,062 $ — $ 21,062 (in thousands) December 31, 2016 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans Total Past due 30-59 days $ 45,687 $ 14,293 $ 59,980 Past due 60-89 days 9,194 3,371 12,565 Past due 90 days or more 21,386 4,179 25,565 Total past due loans $ 76,267 $ 21,843 $ 98,110 Total current loans 3,105,102 210,624 3,315,726 Total loans $ 3,181,369 $ 232,467 $ 3,413,836 Other delinquency statistics: In process of foreclosures, included above (2) $ 11,464 $ 1,077 $ 12,541 Serious delinquency rate (3) 0.7 % 1.8 % 0.8 % Past due 90 days or more still accruing interest $ — $ 4,179 $ 4,179 Loans on nonaccrual status $ 24,092 $ — $ 24,092 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 - Mortgage Loans. Information regarding individually evaluated impaired mortgage loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. September 30, 2017 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 32,512 $ 32,162 $ — With a related allowance: Conventional MPF loans 22,300 22,026 4,913 Total: Conventional MPF loans $ 54,812 $ 54,188 $ 4,913 December 31, 2016 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 34,687 $ 34,344 $ — With a related allowance: Conventional MPF loans 23,835 23,577 5,105 Total: Conventional MPF loans $ 58,522 $ 57,921 $ 5,105 TDRs - Mortgage Loans - Conventional MPF. 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. 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 $11.4 million and $14.1 million as of September 30, 2017 and December 31, 2016 , respectively. The financial amounts related to TDRs are not material to the Bank’s financial condition, results of operations, or cash flows. Real Estate Owned (REO) . The Bank had $4.4 million and $3.9 million of REO reported in Other assets on the Statement of Condition at September 30, 2017 and December 31, 2016 , respectively. Purchases, Sales and Reclassifications. During the nine months ended September 30, 2017 and 2016 , 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 | 9 Months Ended |
Sep. 30, 2017 | |
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 that 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 interest-bearing liabilities. For additional information on the Bank's derivative transactions, see Note 11 to the audited financial statements in the Bank's 2016 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) 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. The Bank transacts uncleared derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. The Bank uses CME Clearing as the Clearing House for all cleared derivative transactions. Effective January 3, 2017, CME Clearing made certain amendments to its rulebook changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral. Initial margin continues to be considered cash collateral. Financial Statement Effect and Additional Financial Information. The following tables summarize the notional amount, net present value of derivative instruments including related accrued interest (excluding fair value adjustments related to variation margin on daily settled contracts) and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments, cash collateral and variation margin for daily settled contracts. September 30, 2017 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 26,052,326 $ 65,136 $ 128,164 Derivatives not designated as hedging instruments: Interest rate swaps $ 7,917,195 $ 13,410 $ 52,317 Interest rate caps or floors 6,455,000 2,531 — Mortgage delivery commitments 49,737 2 183 Total derivatives not designated as hedging instruments: $ 14,421,932 $ 15,943 $ 52,500 Total derivatives before netting and collateral adjustments $ 40,474,258 $ 81,079 $ 180,664 Netting adjustments, cash collateral, and variation margin for daily settled contracts (1) 3,926 (171,187 ) Derivative assets and derivative liabilities as reported on the Statement of $ 85,005 $ 9,477 December 31, 2016 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 29,133,421 $ 71,335 $ 142,648 Derivatives not designated as hedging instruments: Interest rate swaps $ 9,370,245 $ 21,429 $ 58,158 Interest rate caps 1,255,000 4,686 — Mortgage delivery commitments 15,450 26 98 Total derivatives not designated as hedging instruments: $ 10,640,695 $ 26,141 $ 58,256 Total derivatives before netting and collateral adjustments $ 39,774,116 $ 97,476 $ 200,904 Netting adjustments and cash collateral (1) (15,585 ) (186,894 ) Derivative assets and derivative liabilities as reported on the Statement of $ 81,891 $ 14,010 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. The September 30, 2017 table also includes fair value adjustment for which variation margin is characterized as a daily settled contract. At September 30, 2017 , cash collateral posted was $109.8 million while variation margin for daily settled contracts was $65.7 million . At December 31, 2016 , cash collateral posted was $171.3 million . Cash collateral received was immaterial for both September 30, 2017 and December 31, 2016 . 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 September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Derivatives designated as hedging instruments: Interest rate swaps (1) $ (494 ) $ (142 ) $ (291 ) $ (5,285 ) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ 2,029 $ (3,471 ) $ 6,369 $ (50,951 ) Interest rate caps or floors (532 ) (192 ) (3,177 ) (2,846 ) Net interest settlements (1,569 ) 1,252 (3,178 ) 2,277 Mortgage delivery commitments (175 ) 182 (602 ) 2,417 Other 8 6 18 16 Total net (losses) related to derivatives not designated as hedging instruments $ (239 ) $ (2,223 ) $ (570 ) $ (49,087 ) Other - price alignment amount on derivatives for which variation margin is characterized as a daily settled contract 238 — 501 — Net (losses) on derivatives and hedging activities $ (495 ) $ (2,365 ) $ (360 ) $ (54,372 ) Note: (1) Pertains to total net gains (losses) 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 nine months ended September 30, 2017 and 2016 . (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 September 30, 2017 Hedged item type: Advances $ 19,171 $ (19,064 ) $ 107 $ (7,186 ) Consolidated obligations – bonds (5,042 ) 4,463 (579 ) (875 ) AFS securities 554 (576 ) (22 ) (3,870 ) Total $ 14,683 $ (15,177 ) $ (494 ) $ (11,931 ) Nine months ended September 30, 2017 Hedged item type: Advances $ 14,166 $ (14,166 ) $ — $ (25,149 ) Consolidated obligations – bonds 7,264 (6,862 ) 402 7,952 AFS securities (6,857 ) 6,164 (693 ) (13,143 ) Total $ 14,573 $ (14,864 ) $ (291 ) $ (30,340 ) (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 September 30, 2016 Hedged item type: Advances $ 63,409 $ (63,064 ) $ 345 $ (19,883 ) Consolidated obligations – bonds (38,166 ) 37,561 (605 ) 13,858 AFS securities 11,438 (11,320 ) 118 (5,811 ) Total $ 36,681 $ (36,823 ) $ (142 ) $ (11,836 ) Nine months ended September 30, 2016 Hedged item type: Advances $ 37,307 $ (35,137 ) $ 2,170 $ (87,505 ) Consolidated obligations – bonds 22,316 (24,107 ) (1,791 ) 58,795 AFS securities (89,774 ) 84,110 (5,664 ) (17,926 ) Total $ (30,151 ) $ 24,866 $ (5,285 ) $ (46,636 ) 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 $(1.5) million and $(1.5) million for the third quarter of 2017 and 2016, respectively, and $(3.1) million and $(3.9) million for the nine months ended September 30, 2017 and 2016, 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 nine months of 2017 or 2016 . 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. Uncleared Derivatives. 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. 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 were to be 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 September 30, 2017 was $33.9 million , for which the Bank has posted cash collateral with a fair value of approximately $25.4 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 $2.7 million of collateral to its derivative counterparties at September 30, 2017 . Cleared 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 margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank 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. The use of cleared derivatives is intended to mitigate credit risk exposure through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. 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 paid daily to settle the exposure arising from changes in the market value of the position. The amount disclosed is the accumulated variation margin paid. 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. 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 September 30, 2017 . 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 certain 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 net present value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties and variation margin for daily settled contracts. Net amounts reflect the adjustments of collateral received from or pledged to counterparties and variation margin for daily settled contracts. Derivative Assets (in thousands) September 30, 2017 December 31, 2016 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 7,040 $ 13,778 Cleared derivatives 74,037 83,672 Total gross recognized amount 81,077 97,450 Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) Uncleared derivatives (6,332 ) (10,792 ) Cleared derivatives 10,258 (4,793 ) Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) 3,926 (15,585 ) Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives 708 2,986 Cleared derivatives 84,295 78,879 Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 85,003 81,865 Derivative instruments not meeting netting requirements: (2) Uncleared derivatives 2 26 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 2 26 Total derivative assets: Uncleared derivatives 710 3,012 Cleared derivatives 84,295 78,879 Total derivative assets as reported in the Statement of Condition 85,005 81,891 Net unsecured amount: Uncleared derivatives 710 3,012 Cleared derivatives 84,295 78,879 Total net unsecured amount $ 85,005 $ 81,891 Derivative Liabilities (in thousands) September 30, 2017 December 31, 2016 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 40,600 $ 67,047 Cleared derivatives 139,881 133,759 Total gross recognized amount 180,481 200,806 Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) Uncleared derivatives (31,306 ) (53,135 ) Cleared derivatives (139,881 ) (133,759 ) Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) (171,187 ) (186,894 ) Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives 9,294 13,912 Cleared derivatives — — Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 9,294 13,912 Derivative instruments not meeting netting requirements: (2) Uncleared derivatives 183 98 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 183 98 Total derivative liabilities Uncleared derivatives 9,477 14,010 Cleared derivatives — — Total derivative liabilities as reported in the Statement of Condition 9,477 14,010 Net unsecured amount: Uncleared derivatives 9,477 14,010 Cleared derivatives — — Total net unsecured amount $ 9,477 $ 14,010 Note: (1) Variation margin for daily settled contracts was $65.7 million at September 30, 2017 . (2) 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 | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Consolidated Obligations Consolidated obligations consist of consolidated bonds and consolidated discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants to have issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. 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. 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. However, 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 $1,028.7 billion and $989.3 billion at September 30, 2017 and December 31, 2016 , 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 2016 Form 10-K. The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Par value of consolidated bonds: Fixed-rate $ 25,209,190 $ 30,020,671 Step-up 1,715,000 1,620,000 Floating-rate 27,865,000 35,155,000 Conversion bonds - fixed to floating 390,000 400,000 Total par value 55,179,190 67,195,671 Bond premiums 62,367 68,812 Bond discounts (7,165 ) (7,732 ) Concession fees (6,436 ) (6,706 ) Hedging adjustments (87,717 ) (94,014 ) Total book value $ 55,140,239 $ 67,156,031 Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2017 and December 31, 2016 . September 30, 2017 December 31, 2016 (dollars in thousands) Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 30,550,970 1.20 % $ 45,660,600 0.77 % Due after 1 year through 2 years 13,876,510 1.30 8,767,580 1.16 Due after 2 years through 3 years 3,365,000 1.72 4,575,505 1.36 Due after 3 years through 4 years 1,699,830 1.84 2,225,710 1.74 Due after 4 years through 5 years 1,730,750 2.22 1,884,400 2.05 Thereafter 3,937,350 2.39 3,958,850 2.26 Index amortizing notes 18,780 5.39 123,026 4.74 Total par value $ 55,179,190 1.39 % $ 67,195,671 1.02 % The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Noncallable $ 50,057,190 $ 61,585,171 Callable 5,122,000 5,610,500 Total par value $ 55,179,190 $ 67,195,671 The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2017 and December 31, 2016 . (in thousands) Year of Contractual Maturity or Next Call Date September 30, 2017 December 31, 2016 Due in 1 year or less $ 35,495,970 $ 50,586,100 Due after 1 year through 2 years 13,723,510 8,482,580 Due after 2 years through 3 years 3,055,000 4,375,505 Due after 3 years through 4 years 919,830 1,649,210 Due after 4 years through 5 years 1,065,750 849,400 Thereafter 900,350 1,129,850 Index amortizing notes 18,780 123,026 Total par value $ 55,179,190 $ 67,195,671 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 September 30, 2017 and December 31, 2016 . (dollars in thousands) September 30, 2017 December 31, 2016 Book value $ 38,877,041 $ 28,500,341 Par value 38,949,145 28,529,619 Weighted average interest rate (1) 1.05 % 0.51 % Notes: (1) Represents an implied rate. |
Capital
Capital | 9 Months Ended |
Sep. 30, 2017 | |
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 2016 Form 10-K. At September 30, 2017 , 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. The Bank had $0.4 billion and $3.3 billion in B1 membership stock and B2 activity stock at September 30, 2017 , respectively. The Bank had $0.3 billion and $3.4 billion in B1 membership stock and B2 activity stock at December 31, 2016 , respectively. The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2017 and December 31, 2016 . September 30, 2017 December 31, 2016 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 921,686 $ 4,821,896 $ 907,515 $ 4,746,834 Total capital-to-asset ratio 4.0 % 4.8 % 4.0 % 4.7 % Total regulatory capital 3,994,583 4,821,896 4,050,403 4,746,834 Leverage ratio 5.0 % 7.2 % 5.0 % 7.0 % Leverage capital 4,993,229 7,232,844 5,063,004 7,120,252 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 September 18, 2017 , the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2017. 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 September 30, 2017 . 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 September 30, 2017 and December 31, 2016 . (dollars in thousands) September 30, 2017 Member (1) Capital Stock % of Total PNC Bank, N.A., Pittsburgh, PA $ 957,525 25.9 % Chase Bank USA, N.A., Wilmington, DE 620,728 16.8 Ally Bank, Midvale, UT 581,387 15.7 (dollars in thousands) December 31, 2016 Member (1) Capital Stock % of Total Chase Bank USA, N.A., Wilmington, DE $ 873,834 23.2 % PNC Bank, N.A., Pittsburgh, PA 859,402 22.9 Ally Bank, Midvale, UT 577,404 15.4 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 per share, as mandated by each FHLBank's capital plan. The Bank had $5.6 million and $5.2 million 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 at September 30, 2017 and December 31, 2016 , respectively. Estimated dividends on mandatorily redeemable capital stock recorded as interest expense were immaterial during the three and nine months ended September 30, 2017 and 2016 . The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2017 and 2016 . Nine months ended September 30, (in thousands) 2017 2016 Balance, beginning of the period $ 5,216 $ 6,053 Capital stock subject to mandatory redemption reclassified from capital 1,155 44,832 Redemption/repurchase of mandatorily redeemable stock (745 ) (45,469 ) Balance, end of the period $ 5,626 $ 5,416 As of September 30, 2017 , the total mandatorily redeemable capital stock reflected the balance for five institutions. Four institutions were merged out of district and are considered to be non-members. One other institution has notified the Bank of its intention to voluntarily 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 September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Due in 1 year or less $ — $ — Due after 1 year through 2 years 348 — Due after 2 years through 3 years 4,388 419 Due after 3 years through 4 years — 4,797 Due after 4 years through 5 years 890 — Total $ 5,626 $ 5,216 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 September 30, 2017 , retained earnings were $1,119.4 million , including $853.1 million of unrestricted retained earnings and $266.3 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, April, July, and October 2017, the Bank paid a quarterly dividend equal to an annual yield of 5.0% and 2.0% on activity stock and membership stock, respectively. The following table summarizes the changes in AOCI for the three months ended September 30, 2017 and 2016 . (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 June 30, 2016 $ 69,302 $ 64,908 $ — $ 235 $ (1,196 ) $ 133,249 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) (6,948 ) 1,845 — — — (5,103 ) Net change in fair value of OTTI securities — 1,046 — — — 1,046 Reclassifications from OCI to net income: Reclassification adjustment for net (gains) losses included in net income — 117 — — — 117 Amortization on hedging activities — — — (8 ) — (8 ) Pension and post-retirement — — — — 173 173 September 30, 2016 $ 62,354 $ 67,916 $ — $ 227 $ (1,023 ) $ 129,474 June 30, 2017 $ 50,194 $ 74,130 $ — $ 212 $ (2,344 ) $ 122,192 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 101 108 — — — 209 Net change in fair value of OTTI securities — 986 — — — 986 Reclassifications from OCI to net income: Noncredit OTTI to credit OTTI — 38 — — — 38 Amortization on hedging activities — — — (8 ) — (8 ) Pension and post-retirement — — — — 147 147 September 30, 2017 $ 50,295 $ 75,262 $ — $ 204 $ (2,197 ) $ 123,564 The following table summarizes the changes in AOCI for the nine months ended September 30, 2017 and 2016 . (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, 2015 $ 8,748 $ 72,970 $ — $ 247 $ (1,282 ) $ 80,683 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 64,897 (4,277 ) — — — 60,620 Net change in fair value of OTTI securities — 284 — — — 284 Reclassifications from OCI to net income: Reclassification adjustment for net (gains) losses included in net income (11,291 ) (1,300 ) — — — (12,591 ) Noncredit OTTI to credit OTTI — 239 — — — 239 Amortization on hedging activities — — — (20 ) — (20 ) Pension and post-retirement — — — — 259 259 September 30, 2016 $ 62,354 $ 67,916 $ — $ 227 $ (1,023 ) $ 129,474 December 31, 2016 $ (12,835 ) $ 67,424 $ — $ 223 $ (2,516 ) $ 52,296 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 63,130 7,788 — — — 70,918 Net change in fair value of OTTI securities — (652 ) — — — (652 ) Reclassifications from OCI to net income: Noncredit OTTI to credit OTTI — 702 — — — 702 Amortization on hedging activities — — — (19 ) — (19 ) Pension and post-retirement — — — — 319 319 September 30, 2017 $ 50,295 $ 75,262 $ — $ 204 $ (2,197 ) $ 123,564 |
Transactions with Related Parti
Transactions with Related Parties | 9 Months Ended |
Sep. 30, 2017 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Transactions with Related Parties The following table includes significant outstanding related party member-activity balances. (in thousands) September 30, 2017 December 31, 2016 Advances $ 55,984,537 $ 60,916,692 Letters of credit (1) 5,846,906 6,236,508 MPF loans 731,676 880,877 Deposits 10,311 16,510 Capital stock 2,499,756 2,707,466 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 expense on deposits were immaterial for the periods presented. Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Interest income on advances (1) $ 202,054 $ 88,106 $ 528,648 $ 243,382 Interest income on MPF loans 11,153 12,797 32,721 40,056 Letters of credit fees 1,597 2,070 5,133 6,645 Prepayment fees on advances — 1,823 35 8,370 Note: (1) For the three and nine months ended September 30, 2017 , balances include contractual interest income of $204.8 million and $539.4 million , net interest settlements on derivatives in fair value hedge relationships of $(4.0) million and $(13.4) million and total amortization of basis adjustments was $1.2 million and $2.6 million . For the three and nine months ended September 30, 2016 , balances include contractual interest income of $95.1 million and $287.9 million , net interest settlements on derivatives in fair value hedge relationships of $(7.6) million and $(45.7) million and total amortization of basis adjustments was $0.6 million and $1.2 million . The following table includes the MPF activity of the related party members. Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Total MPF loan volume purchased $ 5,708 $ 6,033 $ 15,739 $ 14,006 The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Servicing fee expense $ 639 $ 364 $ 1,815 $ 998 (in thousands) September 30, 2017 December 31, 2016 Interest-bearing deposits maintained with FHLBank of Chicago $ 6,073 $ 5,909 From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three months ended September 30, 2017, there was no borrowing or lending activity between the Bank and other FHLBanks. During the nine months ended September 30, 2017 , the total amount borrowed from and repaid to other FHLBanks was $400.0 million . There were no loans to other FHLBanks during the same period. During the three and nine months ended September 30, 2016 , 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 nine months ended September 30, 2017 and 2016 , 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 nine months ended September 30, 2017 and 2016 . Additional discussions regarding related party transactions can be found in Note 18 to the audited financial statements in the Bank's 2016 Form 10-K. |
Estimated Fair Values
Estimated Fair Values | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 and December 31, 2016 . 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 September 30, 2017 and December 31, 2016 are presented in the table below. Fair Value Summary Table September 30, 2017 (in thousands) Carrying Level 1 Level 2 (1) Level 3 Netting Adjust. (2) Estimated Assets: Cash and due from banks $ 2,068,710 $ 2,068,710 $ — $ — $ — $ 2,068,710 Interest-bearing deposits 281,073 275,000 6,073 — — 281,073 Federal funds sold 6,025,000 — 6,024,920 — — 6,024,920 Securities purchased under agreement to resell 1,500,000 — 1,499,979 — — 1,499,979 Trading securities 404,315 9,063 395,252 — — 404,315 AFS securities 9,028,864 2,010 8,469,771 557,083 — 9,028,864 HTM securities 2,289,653 — 1,987,923 315,422 — 2,303,345 Advances 74,227,996 — 74,294,496 — — 74,294,496 Mortgage loans held for portfolio, net 3,763,262 — 3,780,633 — — 3,780,633 BOB loans, net 12,949 — — 12,949 — 12,949 Accrued interest receivable 153,434 — 153,434 — — 153,434 Derivative assets 85,005 — 81,079 — 3,926 85,005 Liabilities: Deposits $ 627,051 $ — $ 627,051 $ — $ — $ 627,051 Discount notes 38,877,041 — 38,876,826 — — 38,876,826 Bonds 55,140,239 — 55,160,698 — — 55,160,698 Mandatorily redeemable capital stock (3) 5,626 5,690 — — — 5,690 Accrued interest payable (3) 117,095 — 117,031 — — 117,031 Derivative liabilities 9,477 — 180,664 — (171,187 ) 9,477 December 31, 2016 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 3,587,605 $ 3,587,605 $ — $ — $ — $ 3,587,605 Interest-bearing deposits 5,909 — 5,909 — — 5,909 Federal funds sold 3,222,000 — 3,221,945 — — 3,221,945 Securities purchased under agreement to resell 2,000,000 — 1,999,962 — — 1,999,962 Trading securities 395,247 7,092 388,155 — — 395,247 AFS securities 9,038,081 2,000 8,362,105 673,976 — 9,038,081 HTM securities 2,566,135 — 2,182,254 394,728 — 2,576,982 Advances 76,808,704 — 76,843,531 — — 76,843,531 Mortgage loans held for portfolio, net 3,390,727 — 3,403,217 — — 3,403,217 BOB loans, net 12,276 — — 12,276 — 12,276 Accrued interest receivable 124,247 — 124,247 — — 124,247 Derivative assets 81,891 — 97,476 — (15,585 ) 81,891 Liabilities: Deposits $ 558,891 $ — $ 558,895 $ — $ — $ 558,895 Discount notes 28,500,341 — 28,499,258 — — 28,499,258 Bonds 67,156,031 — 67,163,445 — — 67,163,445 Mandatorily redeemable capital stock (3) 5,216 5,286 — — — 5,286 Accrued interest payable (3) 117,183 — 117,113 — — 117,113 Derivative liabilities 14,010 — 200,904 — (186,894 ) 14,010 Notes: (1) As of September 30, 2017 , the amounts reported for cleared derivatives, which are part of the Level 2 amounts in the Derivative assets and Derivative liabilities above, are the net present values of the derivative instruments excluding accumulated variation margin payments. (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. As of September 30, 2017 , the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017 . (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. 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 nine months ended September 30, 2017 and 2016 . 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. For certain interest-bearing deposits, fair values equal the carrying values due to the nature of the interest bearing deposit. 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 September 30, 2017 and December 31, 2016 . These instruments’ maturity term is overnight. Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities. For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows: • Treasury curve: U.S. Treasury obligations • LIBOR Swap curve: certificates of deposit • CO curve: GSE and other U.S. obligations The Bank uses a market approach for its state and local agency bonds. The Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from multiple 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 its 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 September 30, 2017 , multiple vendor prices, when available, were received on the Bank's MBS holdings. The final prices for those securities were computed by averaging the prices received from the multiple vendors. 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 September 30, 2017 , 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. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature. The discounted cash flow analysis used to determine the net present 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. 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 and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary. The Bank's credit risk exposure on cleared derivatives is mitigated by the substitution of a central counterparty for individual counterparties. In addition, the CME Clearing rulebook requires delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. Effective January 3, 2017, CME Clearing made certain amendments to its rulebook changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral. Therefore, the fair value of cleared derivatives is reduced on a trade by trade basis by variation margin due to its treatment as a settlement. The Bank's disclosure on cleared derivatives is described above and in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Initial margin continues to be treated as collateral and accounted for separately. 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. 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. 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 September 30, 2017 and December 31, 2016 . 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 September 30, 2017 and December 31, 2016 . 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. September 30, 2017 (in thousands) Level 1 Level 2 (1) Level 3 Netting Adjustment (2) Total Recurring fair value measurements - Assets Trading securities: Non MBS: GSE and TVA obligations $ — $ 395,252 $ — $ — $ 395,252 Mutual funds 9,063 — — — 9,063 Total trading securities $ 9,063 $ 395,252 $ — $ — $ 404,315 AFS securities: Non MBS: GSE and TVA obligations $ — $ 3,096,875 $ — $ — $ 3,096,875 State or local agency obligations — 269,588 — — 269,588 Mutual funds 2,010 — — — 2,010 MBS: Other U.S. obligations single family MBS — 187,914 — — 187,914 GSE single-family MBS — 2,740,914 — — 2,740,914 GSE multifamily MBS — 2,174,480 — — 2,174,480 Private label residential MBS — — 557,083 — 557,083 Total AFS securities $ 2,010 $ 8,469,771 $ 557,083 $ — $ 9,028,864 Derivative assets: Interest rate related $ — $ 81,077 $ — $ 3,926 $ 85,003 Mortgage delivery commitments — 2 — — 2 Total derivative assets $ — $ 81,079 $ — $ 3,926 $ 85,005 Total recurring assets at fair value $ 11,073 $ 8,946,102 $ 557,083 $ 3,926 $ 9,518,184 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 180,481 $ — $ (171,187 ) $ 9,294 Mortgage delivery commitments — 183 — — 183 Total recurring liabilities at fair value (3) $ — $ 180,664 $ — $ (171,187 ) $ 9,477 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (4) $ — $ — $ 12,921 $ — $ 12,921 Real estate owned (4) — — 6,009 — 6,009 Total non-recurring assets at fair value $ — $ — $ 18,930 $ — $ 18,930 December 31, 2016 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (2) Total Recurring fair value measurements - Assets Trading securities: Non MBS: GSE and TVA obligations $ — $ 388,155 $ — $ — $ 388,155 Mutual funds 7,092 — — — 7,092 Total trading securities $ 7,092 $ 388,155 $ — $ — $ 395,247 AFS securities: Non MBS: GSE and TVA obligations $ — $ 3,183,193 $ — $ — 3,183,193 State or local agency obligations — 236,412 — — 236,412 Mutual funds 2,000 — — — 2,000 MBS: Other U.S. obligations single family MBS — 216,434 — — 216,434 GSE single-family MBS — 3,213,162 — — 3,213,162 GSE multifamily MBS — 1,512,904 — — 1,512,904 Private label residential MBS — — 673,976 — 673,976 Total AFS securities $ 2,000 $ 8,362,105 $ 673,976 $ — $ 9,038,081 Derivative assets: Interest rate related $ — $ 97,450 $ — $ (15,585 ) $ 81,865 Mortgage delivery commitments — 26 — — 26 Total derivative assets $ — $ 97,476 $ — $ (15,585 ) $ 81,891 Total recurring assets at fair value $ 9,092 $ 8,847,736 $ 673,976 $ (15,585 ) $ 9,515,219 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 200,806 $ — $ (186,894 ) $ 13,912 Mortgage delivery commitments — 98 — — 98 Total recurring liabilities at fair value (3) $ — $ 200,904 $ — $ (186,894 ) $ 14,010 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (4) $ — $ — $ 13,359 $ — $ 13,359 Real estate owned (4) — — 6,475 — 6,475 Total non-recurring assets at fair value $ — $ — $ 19,834 $ — $ 19,834 Notes: (1) As of September 30, 2017 , the amounts reported for cleared derivatives, which are part of the Level 2 amounts in the Derivative assets and Derivative liabilities above, are the net present values of the derivative instruments excluding accumulated variation margin payments. (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. As of September 30, 2017 , the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017 . (3) Derivative liabilities represent the total liabilities at fair value. (4) 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 nine months of 2017 and 2016 . 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 nine months ended September 30, 2017 and 2016 . For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. 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 nine months of 2017 or 2016 . AFS Private Label MBS-Residential (in thousands) Three months ended September 30, 2017 Nine months ended September 30, 2017 Balance, beginning of period $ 610,376 $ 673,976 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 6,203 16,669 Net OTTI losses, credit portion (38 ) (702 ) Net unrealized gains on AFS in OCI 53 144 Reclassification of non-credit portion included in net income 38 702 Net change in fair value on OTTI AFS in OCI 986 (652 ) Unrealized gains on OTTI AFS in OCI 108 7,788 Purchases, issuances, sales, and settlements: Settlements (60,643 ) (140,842 ) Balance at September 30 $ 557,083 $ 557,083 Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30, 2017 $ 4,432 $ 13,500 AFS Private Label MBS-Residential AFS Private Label MBS-HELOCs (1) (in thousands) Three months ended September 30, 2016 Nine months ended September 30, 2016 Nine months ended September 30, 2016 Balance, beginning of period $ 747,911 $ 822,740 $ 9,168 Total gains (losses) (realized/unrealized) included in: Sale of AFS (117 ) (117 ) 1,417 Accretion of credit losses in interest income 4,749 13,345 203 Net OTTI losses, credit portion — (239 ) — Net unrealized (losses) on AFS in OCI (15 ) (62 ) — Reclassification of non-credit portion included in net income 117 356 (1,417 ) Net change in fair value on OTTI AFS in OCI 1,046 284 — Unrealized gains (losses) on OTTI AFS in OCI 1,845 (4,098 ) (179 ) Purchases, issuances, sales, and settlements: Sales (8,609 ) (8,609 ) (8,510 ) Settlements (40,939 ) (117,612 ) (682 ) Balance at September 30 $ 705,988 $ 705,988 $ — Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30, 2016 $ 4,749 $ 13,106 $ — Note: (1) All AFS Private Label MBS - HELOCs were sold during the first quarter of 2016. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 December 31, 2016 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 20,788,376 $ 712 $ 20,789,088 $ 19,736,792 Commitments to fund additional advances and BOB loans 31,752 — 31,752 158,167 Commitments to fund or purchase mortgage loans 49,737 — 49,737 15,450 Unsettled consolidated obligation bonds, at par 109,950 — 109,950 2,015,000 Unsettled consolidated obligation discount notes, at par 26,405 — 26,405 — Notes : (1) Excludes approved requests to issue future standby letters of credit of $131.4 million and $467.0 million at September 30, 2017 and December 31, 2016 , respectively. (2) Letters of credit in the amount of $3.8 billion and $7.0 billion at September 30, 2017 and December 31, 2016 , 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 . 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 $3.8 million and $5.0 million as of September 30, 2017 and December 31, 2016 , 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. Refer to Note 8 - Allowance for Credit Losses in this Form 10-Q. 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 September 30, 2017 and December 31, 2016 . However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding of $8.5 billion and $7.1 billion at September 30, 2017 and December 31, 2016 , 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 60 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) | 9 Months Ended |
Sep. 30, 2017 | |
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 is based upon an assessment of the individual housing markets. During the third quarter of 2017, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (6.0)% to 13.0% over the 12 month period beginning July 1, 2017. For the vast majority of markets the short-term forecast has changes from 1.0% 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 MPF 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 requires 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 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 September 30, 2017 and December 31, 2016 , 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 September 30, 2017 and December 31, 2016 , 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 | 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. Uncleared Derivatives. 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. 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 were to be 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. 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. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature. The discounted cash flow analysis used to determine the net present 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. 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 and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary. The Bank's credit risk exposure on cleared derivatives is mitigated by the substitution of a central counterparty for individual counterparties. In addition, the CME Clearing rulebook requires delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. Effective January 3, 2017, CME Clearing made certain amendments to its rulebook changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral. Therefore, the fair value of cleared derivatives is reduced on a trade by trade basis by variation margin due to its treatment as a settlement. The Bank's disclosure on cleared derivatives is described above and in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Initial margin continues to be treated as collateral and accounted for separately. 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. 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. 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 September 30, 2017 and December 31, 2016 . 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. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from multiple 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. |
Fair Value Transfer, Policy | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. 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) | 9 Months Ended |
Sep. 30, 2017 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Schedule of Trading Securities | The following table presents trading securities as of September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Mutual funds $ 9,063 $ 7,092 GSE and TVA obligations 395,252 388,155 Total $ 404,315 $ 395,247 |
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 third quarter and the first nine months of 2017 and 2016 . Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Net unrealized gains (losses) on trading securities held at period-end $ 320 $ (2,531 ) $ 7,926 $ 25,631 Net realized gains on trading securities sold/matured during the period — — — — Net gains (losses) on trading securities $ 320 $ (2,531 ) $ 7,926 $ 25,631 |
Available-for-Sale (AFS) Secu26
Available-for-Sale (AFS) Securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | |
Schedule of Realized Gain (Loss) | The following table provides a summary of proceeds, gross gains and losses on sales of AFS securities for the three and nine months ended September 30, 2017 and 2016 , respectively. Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Proceeds from sale of AFS securities $ — $ 8,609 $ — $ 206,608 Gross gains on sale of AFS securities — 215 — 12,923 Gross losses on sale of AFS securities — (332 ) — (332 ) |
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 September 30, 2017 and December 31, 2016 . September 30, 2017 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: Mutual funds $ 2,010 $ — $ — $ — $ 2,010 GSE and TVA obligations 3,065,699 — 34,564 (3,388 ) 3,096,875 State or local agency obligations 269,566 — 3,576 (3,554 ) 269,588 Total non-MBS $ 3,337,275 $ — $ 38,140 $ (6,942 ) $ 3,368,473 MBS: Other U.S. obligations single family MBS $ 187,921 $ — $ 231 $ (238 ) $ 187,914 GSE single-family MBS 2,729,233 — 14,297 (2,616 ) 2,740,914 GSE multifamily MBS 2,166,894 — 8,053 (467 ) 2,174,480 Private label residential MBS 481,984 — 75,262 (163 ) 557,083 Total MBS $ 5,566,032 $ — $ 97,843 $ (3,484 ) $ 5,660,391 Total AFS securities $ 8,903,307 $ — $ 135,983 $ (10,426 ) $ 9,028,864 December 31, 2016 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: Mutual funds $ 2,000 $ — $ — $ — $ 2,000 GSE and TVA obligations 3,181,110 — 11,889 (9,806 ) 3,183,193 State or local agency obligations 249,675 — 879 (14,142 ) 236,412 Total non-MBS $ 3,432,785 $ — $ 12,768 $ (23,948 ) $ 3,421,605 MBS: Other U.S. obligations single family MBS $ 217,577 $ — $ — $ (1,143 ) $ 216,434 GSE single-family MBS 3,218,268 — 5,577 (10,683 ) 3,213,162 GSE multifamily MBS 1,508,003 — 6,112 (1,211 ) 1,512,904 Private label residential MBS 606,859 (11 ) 67,435 (307 ) 673,976 Total MBS $ 5,550,707 $ (11 ) $ 79,124 $ (13,344 ) $ 5,616,476 Total AFS securities $ 8,983,492 $ (11 ) $ 91,892 $ (37,292 ) $ 9,038,081 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, OTTI recognized, 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 September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Non-credit portion of OTTI losses $ — $ (11 ) Net unrealized gains on OTTI securities since their last OTTI credit charge 75,262 67,435 Net non-credit portion of OTTI gains on AFS securities in AOCI $ 75,262 $ 67,424 |
Schedule of Unrealized Loss on Investments | The following tables summarize the AFS securities with unrealized losses as of September 30, 2017 and December 31, 2016 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. September 30, 2017 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 $ 217,282 $ (637 ) $ 1,108,821 $ (2,751 ) $ 1,326,103 $ (3,388 ) State or local agency obligations 39,920 (615 ) 75,836 (2,939 ) 115,756 (3,554 ) Total non-MBS $ 257,202 $ (1,252 ) $ 1,184,657 $ (5,690 ) $ 1,441,859 $ (6,942 ) MBS: Other U.S. obligations single family MBS $ 10,501 $ (1 ) $ 67,973 $ (237 ) $ 78,474 $ (238 ) GSE single-family MBS 87,526 (300 ) 309,722 (2,316 ) 397,248 (2,616 ) GSE multifamily MBS 385,026 (454 ) 11,788 (13 ) 396,814 (467 ) Private label residential MBS — — 2,997 (163 ) 2,997 (163 ) Total MBS $ 483,053 $ (755 ) $ 392,480 $ (2,729 ) $ 875,533 $ (3,484 ) Total $ 740,255 $ (2,007 ) $ 1,577,137 $ (8,419 ) $ 2,317,392 $ (10,426 ) December 31, 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 $ 1,976,842 $ (8,334 ) $ 155,292 $ (1,472 ) $ 2,132,134 $ (9,806 ) State or local agency obligations 161,288 (14,142 ) — — 161,288 (14,142 ) Total non-MBS $ 2,138,130 $ (22,476 ) $ 155,292 $ (1,472 ) $ 2,293,422 $ (23,948 ) MBS: Other U.S. obligations single family MBS $ 145,946 $ (523 ) $ 70,487 $ (620 ) $ 216,433 $ (1,143 ) GSE single-family MBS 1,775,502 (7,920 ) 351,883 (2,763 ) 2,127,385 (10,683 ) GSE multifamily MBS 461,916 (992 ) 92,755 (219 ) 554,671 (1,211 ) Private label residential MBS 47,364 (11 ) 2,853 (307 ) 50,217 (318 ) Total MBS $ 2,430,728 $ (9,446 ) $ 517,978 $ (3,909 ) $ 2,948,706 $ (13,355 ) Total $ 4,568,858 $ (31,922 ) $ 673,270 $ (5,381 ) $ 5,242,128 $ (37,303 ) 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 September 30, 2017 and December 31, 2016 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) September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 1,255,975 $ 1,253,922 $ 378,123 $ 378,071 Due after one year through five years 594,656 601,498 1,408,405 1,405,080 Due after five years through ten years 683,527 697,496 644,126 651,857 Due in more than ten years 803,117 815,557 1,002,131 986,597 AFS securities excluding MBS 3,337,275 3,368,473 3,432,785 3,421,605 MBS 5,566,032 5,660,391 5,550,707 5,616,476 Total AFS securities $ 8,903,307 $ 9,028,864 $ 8,983,492 $ 9,038,081 |
Schedule of Interest Rate Payment Terms For Investments | The following table details interest payment terms at September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Amortized cost of AFS securities other than MBS: Fixed-rate $ 3,252,403 $ 3,347,980 Variable-rate 84,872 84,805 Total non-MBS $ 3,337,275 $ 3,432,785 Amortized cost of AFS MBS: Fixed-rate $ 1,226,306 $ 1,343,699 Variable-rate 4,339,726 4,207,008 Total MBS $ 5,566,032 $ 5,550,707 Total amortized cost of AFS securities $ 8,903,307 $ 8,983,492 |
Held-to-Maturity (HTM) Securi27
Held-to-Maturity (HTM) Securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Held-to-maturity Securities | The following tables present HTM securities as of September 30, 2017 and December 31, 2016 . September 30, 2017 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 450,000 $ 14 $ (4 ) $ 450,010 State or local agency obligations 127,195 — (9,268 ) 117,927 Total non-MBS $ 577,195 $ 14 $ (9,272 ) $ 567,937 MBS: Other U.S. obligations single-family MBS $ 457,749 $ 3,600 $ — $ 461,349 GSE single-family MBS 168,539 2,882 (33 ) 171,388 GSE multifamily MBS 774,753 14,321 (1,825 ) 787,249 Private label residential MBS 311,417 4,465 (460 ) 315,422 Total MBS $ 1,712,458 $ 25,268 $ (2,318 ) $ 1,735,408 Total HTM securities $ 2,289,653 $ 25,282 $ (11,590 ) $ 2,303,345 December 31, 2016 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 400,000 $ 61 $ (2 ) $ 400,059 State or local agency obligations 131,925 — (10,519 ) 121,406 Total non-MBS $ 531,925 $ 61 $ (10,521 ) $ 521,465 MBS: Other U.S. obligations single-family MBS $ 583,550 $ 3,320 $ (138 ) $ 586,732 GSE single-family MBS 212,097 3,097 (23 ) 215,171 GSE multifamily MBS 843,167 19,288 (3,569 ) 858,886 Private label residential MBS 395,396 1,932 (2,600 ) 394,728 Total MBS $ 2,034,210 $ 27,637 $ (6,330 ) $ 2,055,517 Total HTM securities $ 2,566,135 $ 27,698 $ (16,851 ) $ 2,576,982 |
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 September 30, 2017 and December 31, 2016 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. September 30, 2017 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: Certificates of deposit $ 149,996 $ (4 ) $ — $ — $ 149,996 $ (4 ) State or local agency obligations 12,639 (91 ) 105,288 (9,177 ) 117,927 (9,268 ) Total non-MBS $ 162,635 $ (95 ) $ 105,288 $ (9,177 ) $ 267,923 $ (9,272 ) MBS: GSE single-family MBS $ — $ — $ 5,965 $ (33 ) $ 5,965 $ (33 ) GSE multifamily MBS 119,999 (1,825 ) — — 119,999 (1,825 ) Private label residential MBS 1,202 (2 ) 45,042 (458 ) 46,244 (460 ) Total MBS $ 121,201 $ (1,827 ) $ 51,007 $ (491 ) $ 172,208 $ (2,318 ) Total $ 283,836 $ (1,922 ) $ 156,295 $ (9,668 ) $ 440,131 $ (11,590 ) December 31, 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: Certificates of deposit $ 124,998 $ (2 ) $ — $ — $ 124,998 $ (2 ) State or local agency obligations 13,612 (128 ) 107,794 (10,391 ) 121,406 (10,519 ) Total non-MBS $ 138,610 $ (130 ) $ 107,794 $ (10,391 ) $ 246,404 $ (10,521 ) MBS: Other U.S. obligations single-family MBS $ 53,513 $ (109 ) $ 41,253 $ (29 ) $ 94,766 $ (138 ) GSE single-family MBS — — 7,133 (23 ) 7,133 (23 ) GSE multifamily MBS 165,914 (3,569 ) — — 165,914 (3,569 ) Private label residential MBS 10,961 (115 ) 222,585 (2,485 ) 233,546 (2,600 ) Total MBS $ 230,388 $ (3,793 ) $ 270,971 $ (2,537 ) $ 501,359 $ (6,330 ) Total $ 368,998 $ (3,923 ) $ 378,765 $ (12,928 ) $ 747,763 $ (16,851 ) |
Investments Classified by Contractual Maturity Date | Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2017 and December 31, 2016 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) September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ 450,000 $ 450,010 $ 400,000 $ 400,059 Due after one year through five years — — — — Due after five years through ten years 44,935 43,077 47,850 45,605 Due after ten years 82,260 74,850 84,075 75,801 Total non-MBS 577,195 567,937 531,925 521,465 MBS 1,712,458 1,735,408 2,034,210 2,055,517 Total HTM securities $ 2,289,653 $ 2,303,345 $ 2,566,135 $ 2,576,982 |
Schedule of Interest Rate Payment Terms For Investments | Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Amortized cost of HTM securities other than MBS: Fixed-rate $ 450,000 $ 400,000 Variable-rate 127,195 131,925 Total non-MBS $ 577,195 $ 531,925 Amortized cost of HTM MBS: Fixed-rate $ 854,966 $ 952,329 Variable-rate 857,492 1,081,881 Total MBS $ 1,712,458 $ 2,034,210 Total HTM securities $ 2,289,653 $ 2,566,135 |
Other-Than-Temporary Impairme28
Other-Than-Temporary Impairment (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 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 amounts reflects the total AFS private label MBS balance. OTTI Recognized During the Life of the Security (in thousands) Unpaid Principal Balance Amortized Cost (1) Fair Value Private label residential MBS: Prime $ 267,846 $ 210,954 $ 249,306 Alt-A 349,786 267,870 304,780 Total OTTI securities 617,632 478,824 554,086 Private label MBS with no OTTI 3,160 3,160 2,997 Total AFS private label MBS $ 620,792 $ 481,984 $ 557,083 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 OTTI recognized. |
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 nine months ended September 30, 2017 and 2016 . Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Beginning balance $ 223,353 $ 251,487 $ 236,460 $ 265,379 Additions: Additional OTTI credit losses for which an OTTI charge was previously recognized (1) 38 — 702 239 Reductions: Securities sold and matured during the period (2) 286 (1,794 ) 95 (3,875 ) Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (7,712 ) (6,406 ) (21,292 ) (18,456 ) Ending balance $ 215,965 $ 243,287 $ 215,965 $ 243,287 Notes: (1) For the three months ended September 30, 2017 , additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of that year. For the nine months ended September 30, 2017 , 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 of that year. (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) | 9 Months Ended |
Sep. 30, 2017 | |
Advances [Abstract] | |
Schedule of Advances Classified by Contractual Maturity Date | The following table details interest rate payment terms for advances as of September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Fixed-rate – overnight $ 2,740,493 $ 4,696,431 Fixed-rate – term: Due in 1 year or less 21,387,023 16,177,369 Thereafter 13,106,346 9,815,844 Total fixed-rate 37,233,862 30,689,644 Variable-rate: Due in 1 year or less 12,445,348 17,698,064 Thereafter 24,586,400 28,447,600 Total variable-rate 37,031,748 46,145,664 Total par value $ 74,265,610 $ 76,835,308 The following table details the Bank’s advances portfolio by year of contractual maturity as of September 30, 2017 and December 31, 2016 . (dollars in thousands) September 30, 2017 December 31, 2016 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 36,572,864 1.36 % $ 38,571,864 0.91 % Due after 1 year through 2 years 10,896,366 1.49 14,310,133 1.14 Due after 2 years through 3 years 14,098,096 1.61 7,477,536 1.29 Due after 3 years through 4 years 10,931,580 1.71 8,488,404 1.22 Due after 4 years through 5 years 923,782 2.01 7,161,763 1.23 Thereafter 842,922 2.71 825,608 2.64 Total par value 74,265,610 1.50 % 76,835,308 1.07 % Discount on AHP advances (1 ) (2 ) Deferred prepayment fees (825 ) (4,625 ) Hedging adjustments (36,788 ) (21,977 ) Total book value $ 74,227,996 $ 76,808,704 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 September 30, 2017 and December 31, 2016 . Year of Contractual Maturity or Next Call Date Year of Contractual Maturity or Next Convertible Date (in thousands) September 30, 2017 December 31, 2016 September 30, 2017 December 31, 2016 Due in 1 year or less $ 36,622,864 $ 40,221,864 $ 36,613,364 $ 38,791,364 Due after 1 year through 2 years 10,896,366 12,700,133 10,875,866 14,116,133 Due after 2 years through 3 years 14,058,096 7,462,536 14,098,096 7,472,036 Due after 3 years through 4 years 10,931,580 8,463,404 10,931,580 8,488,404 Due after 4 years through 5 years 913,782 7,161,763 923,782 7,161,763 Thereafter 842,922 825,608 822,922 805,608 Total par value $ 74,265,610 $ 76,835,308 $ 74,265,610 $ 76,835,308 |
Mortgage Loans Held for Portf30
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Schedule of Mortgage Loans Held for Portfolio | The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Conventional loans $ 3,467,109 $ 3,088,810 Government-guaranteed/insured loans 212,537 224,271 Total par value $ 3,679,646 $ 3,313,081 The following table presents balances as of September 30, 2017 and December 31, 2016 for mortgage loans held for portfolio. (in thousands) September 30, 2017 December 31, 2016 Fixed-rate long-term single-family mortgages (1) $ 3,420,691 $ 3,013,181 Fixed-rate medium-term single-family mortgages (1) 258,955 299,900 Total par value 3,679,646 3,313,081 Premiums 67,995 59,032 Discounts (3,553 ) (3,926 ) Hedging adjustments 25,286 28,771 Total mortgage loans held for portfolio $ 3,769,374 $ 3,396,958 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |
Past Due Financing Receivables | Credit Quality Indicators - Mortgage Loans. Key credit quality indicators loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. (in thousands) September 30, 2017 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans Total Past due 30-59 days $ 37,865 $ 10,263 $ 48,128 Past due 60-89 days 9,237 3,341 12,578 Past due 90 days or more 17,881 4,318 22,199 Total past due loans $ 64,983 $ 17,922 $ 82,905 Total current loans 3,503,297 202,170 3,705,467 Total loans $ 3,568,280 $ 220,092 $ 3,788,372 Other delinquency statistics: In process of foreclosures, included above (2) $ 10,429 $ 659 $ 11,088 Serious delinquency rate (3) 0.5 % 2.0 % 0.6 % Past due 90 days or more still accruing interest $ — $ 4,318 $ 4,318 Loans on nonaccrual status $ 21,062 $ — $ 21,062 (in thousands) December 31, 2016 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans Total Past due 30-59 days $ 45,687 $ 14,293 $ 59,980 Past due 60-89 days 9,194 3,371 12,565 Past due 90 days or more 21,386 4,179 25,565 Total past due loans $ 76,267 $ 21,843 $ 98,110 Total current loans 3,105,102 210,624 3,315,726 Total loans $ 3,181,369 $ 232,467 $ 3,413,836 Other delinquency statistics: In process of foreclosures, included above (2) $ 11,464 $ 1,077 $ 12,541 Serious delinquency rate (3) 0.7 % 1.8 % 0.8 % Past due 90 days or more still accruing interest $ — $ 4,179 $ 4,179 Loans on nonaccrual status $ 24,092 $ — $ 24,092 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 - Mortgage Loans. Information regarding individually evaluated impaired mortgage loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. September 30, 2017 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 32,512 $ 32,162 $ — With a related allowance: Conventional MPF loans 22,300 22,026 4,913 Total: Conventional MPF loans $ 54,812 $ 54,188 $ 4,913 December 31, 2016 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 34,687 $ 34,344 $ — With a related allowance: Conventional MPF loans 23,835 23,577 5,105 Total: Conventional MPF loans $ 58,522 $ 57,921 $ 5,105 |
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 September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Balance, beginning of period $ 6,341 $ 5,927 $ 6,231 $ 5,665 (Charge-offs) Recoveries, net (1) (141 ) (59 ) (151 ) 14 Provision (benefit) for credit losses (88 ) 647 32 836 Balance, September 30 $ 6,112 $ 6,515 $ 6,112 $ 6,515 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) September 30, 2017 December 31, 2016 Ending balance, individually evaluated for impairment $ 4,913 $ 5,105 Ending balance, collectively evaluated for impairment 1,199 1,126 Total allowance for credit losses $ 6,112 $ 6,231 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a related allowance $ 54,812 $ 58,522 Collectively evaluated for impairment 3,513,468 3,122,847 Total recorded investment $ 3,568,280 $ 3,181,369 |
Derivatives and Hedging Activ32
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following tables summarize the notional amount, net present value of derivative instruments including related accrued interest (excluding fair value adjustments related to variation margin on daily settled contracts) and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments, cash collateral and variation margin for daily settled contracts. September 30, 2017 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 26,052,326 $ 65,136 $ 128,164 Derivatives not designated as hedging instruments: Interest rate swaps $ 7,917,195 $ 13,410 $ 52,317 Interest rate caps or floors 6,455,000 2,531 — Mortgage delivery commitments 49,737 2 183 Total derivatives not designated as hedging instruments: $ 14,421,932 $ 15,943 $ 52,500 Total derivatives before netting and collateral adjustments $ 40,474,258 $ 81,079 $ 180,664 Netting adjustments, cash collateral, and variation margin for daily settled contracts (1) 3,926 (171,187 ) Derivative assets and derivative liabilities as reported on the Statement of $ 85,005 $ 9,477 December 31, 2016 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 29,133,421 $ 71,335 $ 142,648 Derivatives not designated as hedging instruments: Interest rate swaps $ 9,370,245 $ 21,429 $ 58,158 Interest rate caps 1,255,000 4,686 — Mortgage delivery commitments 15,450 26 98 Total derivatives not designated as hedging instruments: $ 10,640,695 $ 26,141 $ 58,256 Total derivatives before netting and collateral adjustments $ 39,774,116 $ 97,476 $ 200,904 Netting adjustments and cash collateral (1) (15,585 ) (186,894 ) Derivative assets and derivative liabilities as reported on the Statement of $ 81,891 $ 14,010 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. The September 30, 2017 table also includes fair value adjustment for which variation margin is characterized as a daily settled contract. At September 30, 2017 , cash collateral posted was $109.8 million while variation margin for daily settled contracts was $65.7 million . At December 31, 2016 , cash collateral posted was $171.3 million . Cash collateral received was immaterial for both September 30, 2017 and December 31, 2016 . |
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 September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Derivatives designated as hedging instruments: Interest rate swaps (1) $ (494 ) $ (142 ) $ (291 ) $ (5,285 ) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ 2,029 $ (3,471 ) $ 6,369 $ (50,951 ) Interest rate caps or floors (532 ) (192 ) (3,177 ) (2,846 ) Net interest settlements (1,569 ) 1,252 (3,178 ) 2,277 Mortgage delivery commitments (175 ) 182 (602 ) 2,417 Other 8 6 18 16 Total net (losses) related to derivatives not designated as hedging instruments $ (239 ) $ (2,223 ) $ (570 ) $ (49,087 ) Other - price alignment amount on derivatives for which variation margin is characterized as a daily settled contract 238 — 501 — Net (losses) on derivatives and hedging activities $ (495 ) $ (2,365 ) $ (360 ) $ (54,372 ) Note: (1) Pertains to total net gains (losses) 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 nine months ended September 30, 2017 and 2016 . (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 September 30, 2017 Hedged item type: Advances $ 19,171 $ (19,064 ) $ 107 $ (7,186 ) Consolidated obligations – bonds (5,042 ) 4,463 (579 ) (875 ) AFS securities 554 (576 ) (22 ) (3,870 ) Total $ 14,683 $ (15,177 ) $ (494 ) $ (11,931 ) Nine months ended September 30, 2017 Hedged item type: Advances $ 14,166 $ (14,166 ) $ — $ (25,149 ) Consolidated obligations – bonds 7,264 (6,862 ) 402 7,952 AFS securities (6,857 ) 6,164 (693 ) (13,143 ) Total $ 14,573 $ (14,864 ) $ (291 ) $ (30,340 ) (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 September 30, 2016 Hedged item type: Advances $ 63,409 $ (63,064 ) $ 345 $ (19,883 ) Consolidated obligations – bonds (38,166 ) 37,561 (605 ) 13,858 AFS securities 11,438 (11,320 ) 118 (5,811 ) Total $ 36,681 $ (36,823 ) $ (142 ) $ (11,836 ) Nine months ended September 30, 2016 Hedged item type: Advances $ 37,307 $ (35,137 ) $ 2,170 $ (87,505 ) Consolidated obligations – bonds 22,316 (24,107 ) (1,791 ) 58,795 AFS securities (89,774 ) 84,110 (5,664 ) (17,926 ) Total $ (30,151 ) $ 24,866 $ (5,285 ) $ (46,636 ) 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 $(1.5) million and $(1.5) million for the third quarter of 2017 and 2016, respectively, and $(3.1) million and $(3.9) million for the nine months ended September 30, 2017 and 2016, 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 certain 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 net present value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties and variation margin for daily settled contracts. Net amounts reflect the adjustments of collateral received from or pledged to counterparties and variation margin for daily settled contracts. Derivative Assets (in thousands) September 30, 2017 December 31, 2016 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 7,040 $ 13,778 Cleared derivatives 74,037 83,672 Total gross recognized amount 81,077 97,450 Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) Uncleared derivatives (6,332 ) (10,792 ) Cleared derivatives 10,258 (4,793 ) Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) 3,926 (15,585 ) Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives 708 2,986 Cleared derivatives 84,295 78,879 Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 85,003 81,865 Derivative instruments not meeting netting requirements: (2) Uncleared derivatives 2 26 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 2 26 Total derivative assets: Uncleared derivatives 710 3,012 Cleared derivatives 84,295 78,879 Total derivative assets as reported in the Statement of Condition 85,005 81,891 Net unsecured amount: Uncleared derivatives 710 3,012 Cleared derivatives 84,295 78,879 Total net unsecured amount $ 85,005 $ 81,891 |
Offsetting Liabilities | Derivative Liabilities (in thousands) September 30, 2017 December 31, 2016 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 40,600 $ 67,047 Cleared derivatives 139,881 133,759 Total gross recognized amount 180,481 200,806 Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) Uncleared derivatives (31,306 ) (53,135 ) Cleared derivatives (139,881 ) (133,759 ) Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) (171,187 ) (186,894 ) Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives 9,294 13,912 Cleared derivatives — — Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 9,294 13,912 Derivative instruments not meeting netting requirements: (2) Uncleared derivatives 183 98 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 183 98 Total derivative liabilities Uncleared derivatives 9,477 14,010 Cleared derivatives — — Total derivative liabilities as reported in the Statement of Condition 9,477 14,010 Net unsecured amount: Uncleared derivatives 9,477 14,010 Cleared derivatives — — Total net unsecured amount $ 9,477 $ 14,010 Note: (1) Variation margin for daily settled contracts was $65.7 million at September 30, 2017 . (2) 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) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Par value of consolidated bonds: Fixed-rate $ 25,209,190 $ 30,020,671 Step-up 1,715,000 1,620,000 Floating-rate 27,865,000 35,155,000 Conversion bonds - fixed to floating 390,000 400,000 Total par value 55,179,190 67,195,671 Bond premiums 62,367 68,812 Bond discounts (7,165 ) (7,732 ) Concession fees (6,436 ) (6,706 ) Hedging adjustments (87,717 ) (94,014 ) Total book value $ 55,140,239 $ 67,156,031 |
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 September 30, 2017 and December 31, 2016 . September 30, 2017 December 31, 2016 (dollars in thousands) Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 30,550,970 1.20 % $ 45,660,600 0.77 % Due after 1 year through 2 years 13,876,510 1.30 8,767,580 1.16 Due after 2 years through 3 years 3,365,000 1.72 4,575,505 1.36 Due after 3 years through 4 years 1,699,830 1.84 2,225,710 1.74 Due after 4 years through 5 years 1,730,750 2.22 1,884,400 2.05 Thereafter 3,937,350 2.39 3,958,850 2.26 Index amortizing notes 18,780 5.39 123,026 4.74 Total par value $ 55,179,190 1.39 % $ 67,195,671 1.02 % |
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 September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Noncallable $ 50,057,190 $ 61,585,171 Callable 5,122,000 5,610,500 Total par value $ 55,179,190 $ 67,195,671 |
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 September 30, 2017 and December 31, 2016 . (in thousands) Year of Contractual Maturity or Next Call Date September 30, 2017 December 31, 2016 Due in 1 year or less $ 35,495,970 $ 50,586,100 Due after 1 year through 2 years 13,723,510 8,482,580 Due after 2 years through 3 years 3,055,000 4,375,505 Due after 3 years through 4 years 919,830 1,649,210 Due after 4 years through 5 years 1,065,750 849,400 Thereafter 900,350 1,129,850 Index amortizing notes 18,780 123,026 Total par value $ 55,179,190 $ 67,195,671 |
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 September 30, 2017 and December 31, 2016 . (dollars in thousands) September 30, 2017 December 31, 2016 Book value $ 38,877,041 $ 28,500,341 Par value 38,949,145 28,529,619 Weighted average interest rate (1) 1.05 % 0.51 % Notes: (1) Represents an implied rate. |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 and December 31, 2016 . September 30, 2017 December 31, 2016 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 921,686 $ 4,821,896 $ 907,515 $ 4,746,834 Total capital-to-asset ratio 4.0 % 4.8 % 4.0 % 4.7 % Total regulatory capital 3,994,583 4,821,896 4,050,403 4,746,834 Leverage ratio 5.0 % 7.2 % 5.0 % 7.0 % Leverage capital 4,993,229 7,232,844 5,063,004 7,120,252 |
Schedule of Concentration in Capital Stock Held | (dollars in thousands) September 30, 2017 Member (1) Capital Stock % of Total PNC Bank, N.A., Pittsburgh, PA $ 957,525 25.9 % Chase Bank USA, N.A., Wilmington, DE 620,728 16.8 Ally Bank, Midvale, UT 581,387 15.7 (dollars in thousands) December 31, 2016 Member (1) Capital Stock % of Total Chase Bank USA, N.A., Wilmington, DE $ 873,834 23.2 % PNC Bank, N.A., Pittsburgh, PA 859,402 22.9 Ally Bank, Midvale, UT 577,404 15.4 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 nine months ended September 30, 2017 and 2016 . Nine months ended September 30, (in thousands) 2017 2016 Balance, beginning of the period $ 5,216 $ 6,053 Capital stock subject to mandatory redemption reclassified from capital 1,155 44,832 Redemption/repurchase of mandatorily redeemable stock (745 ) (45,469 ) Balance, end of the period $ 5,626 $ 5,416 |
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 September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 December 31, 2016 Due in 1 year or less $ — $ — Due after 1 year through 2 years 348 — Due after 2 years through 3 years 4,388 419 Due after 3 years through 4 years — 4,797 Due after 4 years through 5 years 890 — Total $ 5,626 $ 5,216 |
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 June 30, 2016 $ 69,302 $ 64,908 $ — $ 235 $ (1,196 ) $ 133,249 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) (6,948 ) 1,845 — — — (5,103 ) Net change in fair value of OTTI securities — 1,046 — — — 1,046 Reclassifications from OCI to net income: Reclassification adjustment for net (gains) losses included in net income — 117 — — — 117 Amortization on hedging activities — — — (8 ) — (8 ) Pension and post-retirement — — — — 173 173 September 30, 2016 $ 62,354 $ 67,916 $ — $ 227 $ (1,023 ) $ 129,474 June 30, 2017 $ 50,194 $ 74,130 $ — $ 212 $ (2,344 ) $ 122,192 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 101 108 — — — 209 Net change in fair value of OTTI securities — 986 — — — 986 Reclassifications from OCI to net income: Noncredit OTTI to credit OTTI — 38 — — — 38 Amortization on hedging activities — — — (8 ) — (8 ) Pension and post-retirement — — — — 147 147 September 30, 2017 $ 50,295 $ 75,262 $ — $ 204 $ (2,197 ) $ 123,564 The following table summarizes the changes in AOCI for the nine months ended September 30, 2017 and 2016 . (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, 2015 $ 8,748 $ 72,970 $ — $ 247 $ (1,282 ) $ 80,683 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 64,897 (4,277 ) — — — 60,620 Net change in fair value of OTTI securities — 284 — — — 284 Reclassifications from OCI to net income: Reclassification adjustment for net (gains) losses included in net income (11,291 ) (1,300 ) — — — (12,591 ) Noncredit OTTI to credit OTTI — 239 — — — 239 Amortization on hedging activities — — — (20 ) — (20 ) Pension and post-retirement — — — — 259 259 September 30, 2016 $ 62,354 $ 67,916 $ — $ 227 $ (1,023 ) $ 129,474 December 31, 2016 $ (12,835 ) $ 67,424 $ — $ 223 $ (2,516 ) $ 52,296 Other comprehensive income (loss) before reclassification: Net unrealized gains (losses) 63,130 7,788 — — — 70,918 Net change in fair value of OTTI securities — (652 ) — — — (652 ) Reclassifications from OCI to net income: Noncredit OTTI to credit OTTI — 702 — — — 702 Amortization on hedging activities — — — (19 ) — (19 ) Pension and post-retirement — — — — 319 319 September 30, 2017 $ 50,295 $ 75,262 $ — $ 204 $ (2,197 ) $ 123,564 |
Transactions with Related Par35
Transactions with Related Parties (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Related Party Transaction [Line Items] | |
Related Party Transactions, by Balance Sheet Grouping | The following table includes significant outstanding related party member-activity balances. (in thousands) September 30, 2017 December 31, 2016 Advances $ 55,984,537 $ 60,916,692 Letters of credit (1) 5,846,906 6,236,508 MPF loans 731,676 880,877 Deposits 10,311 16,510 Capital stock 2,499,756 2,707,466 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 expense on deposits were immaterial for the periods presented. Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Interest income on advances (1) $ 202,054 $ 88,106 $ 528,648 $ 243,382 Interest income on MPF loans 11,153 12,797 32,721 40,056 Letters of credit fees 1,597 2,070 5,133 6,645 Prepayment fees on advances — 1,823 35 8,370 Note: (1) For the three and nine months ended September 30, 2017 , balances include contractual interest income of $204.8 million and $539.4 million , net interest settlements on derivatives in fair value hedge relationships of $(4.0) million and $(13.4) million and total amortization of basis adjustments was $1.2 million and $2.6 million . For the three and nine months ended September 30, 2016 , balances include contractual interest income of $95.1 million and $287.9 million , net interest settlements on derivatives in fair value hedge relationships of $(7.6) million and $(45.7) million and total amortization of basis adjustments was $0.6 million and $1.2 million . |
Schedule of Related Party Transactions, Mortgage Loans | The following table includes the MPF activity of the related party members. Three months ended September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Total MPF loan volume purchased $ 5,708 $ 6,033 $ 15,739 $ 14,006 |
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 September 30, Nine months ended September 30, (in thousands) 2017 2016 2017 2016 Servicing fee expense $ 639 $ 364 $ 1,815 $ 998 (in thousands) September 30, 2017 December 31, 2016 Interest-bearing deposits maintained with FHLBank of Chicago $ 6,073 $ 5,909 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2017 and December 31, 2016 are presented in the table below. Fair Value Summary Table September 30, 2017 (in thousands) Carrying Level 1 Level 2 (1) Level 3 Netting Adjust. (2) Estimated Assets: Cash and due from banks $ 2,068,710 $ 2,068,710 $ — $ — $ — $ 2,068,710 Interest-bearing deposits 281,073 275,000 6,073 — — 281,073 Federal funds sold 6,025,000 — 6,024,920 — — 6,024,920 Securities purchased under agreement to resell 1,500,000 — 1,499,979 — — 1,499,979 Trading securities 404,315 9,063 395,252 — — 404,315 AFS securities 9,028,864 2,010 8,469,771 557,083 — 9,028,864 HTM securities 2,289,653 — 1,987,923 315,422 — 2,303,345 Advances 74,227,996 — 74,294,496 — — 74,294,496 Mortgage loans held for portfolio, net 3,763,262 — 3,780,633 — — 3,780,633 BOB loans, net 12,949 — — 12,949 — 12,949 Accrued interest receivable 153,434 — 153,434 — — 153,434 Derivative assets 85,005 — 81,079 — 3,926 85,005 Liabilities: Deposits $ 627,051 $ — $ 627,051 $ — $ — $ 627,051 Discount notes 38,877,041 — 38,876,826 — — 38,876,826 Bonds 55,140,239 — 55,160,698 — — 55,160,698 Mandatorily redeemable capital stock (3) 5,626 5,690 — — — 5,690 Accrued interest payable (3) 117,095 — 117,031 — — 117,031 Derivative liabilities 9,477 — 180,664 — (171,187 ) 9,477 December 31, 2016 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 3,587,605 $ 3,587,605 $ — $ — $ — $ 3,587,605 Interest-bearing deposits 5,909 — 5,909 — — 5,909 Federal funds sold 3,222,000 — 3,221,945 — — 3,221,945 Securities purchased under agreement to resell 2,000,000 — 1,999,962 — — 1,999,962 Trading securities 395,247 7,092 388,155 — — 395,247 AFS securities 9,038,081 2,000 8,362,105 673,976 — 9,038,081 HTM securities 2,566,135 — 2,182,254 394,728 — 2,576,982 Advances 76,808,704 — 76,843,531 — — 76,843,531 Mortgage loans held for portfolio, net 3,390,727 — 3,403,217 — — 3,403,217 BOB loans, net 12,276 — — 12,276 — 12,276 Accrued interest receivable 124,247 — 124,247 — — 124,247 Derivative assets 81,891 — 97,476 — (15,585 ) 81,891 Liabilities: Deposits $ 558,891 $ — $ 558,895 $ — $ — $ 558,895 Discount notes 28,500,341 — 28,499,258 — — 28,499,258 Bonds 67,156,031 — 67,163,445 — — 67,163,445 Mandatorily redeemable capital stock (3) 5,216 5,286 — — — 5,286 Accrued interest payable (3) 117,183 — 117,113 — — 117,113 Derivative liabilities 14,010 — 200,904 — (186,894 ) 14,010 Notes: (1) As of September 30, 2017 , the amounts reported for cleared derivatives, which are part of the Level 2 amounts in the Derivative assets and Derivative liabilities above, are the net present values of the derivative instruments excluding accumulated variation margin payments. (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. As of September 30, 2017 , the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017 . (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. |
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 September 30, 2017 and December 31, 2016 . 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. September 30, 2017 (in thousands) Level 1 Level 2 (1) Level 3 Netting Adjustment (2) Total Recurring fair value measurements - Assets Trading securities: Non MBS: GSE and TVA obligations $ — $ 395,252 $ — $ — $ 395,252 Mutual funds 9,063 — — — 9,063 Total trading securities $ 9,063 $ 395,252 $ — $ — $ 404,315 AFS securities: Non MBS: GSE and TVA obligations $ — $ 3,096,875 $ — $ — $ 3,096,875 State or local agency obligations — 269,588 — — 269,588 Mutual funds 2,010 — — — 2,010 MBS: Other U.S. obligations single family MBS — 187,914 — — 187,914 GSE single-family MBS — 2,740,914 — — 2,740,914 GSE multifamily MBS — 2,174,480 — — 2,174,480 Private label residential MBS — — 557,083 — 557,083 Total AFS securities $ 2,010 $ 8,469,771 $ 557,083 $ — $ 9,028,864 Derivative assets: Interest rate related $ — $ 81,077 $ — $ 3,926 $ 85,003 Mortgage delivery commitments — 2 — — 2 Total derivative assets $ — $ 81,079 $ — $ 3,926 $ 85,005 Total recurring assets at fair value $ 11,073 $ 8,946,102 $ 557,083 $ 3,926 $ 9,518,184 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 180,481 $ — $ (171,187 ) $ 9,294 Mortgage delivery commitments — 183 — — 183 Total recurring liabilities at fair value (3) $ — $ 180,664 $ — $ (171,187 ) $ 9,477 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (4) $ — $ — $ 12,921 $ — $ 12,921 Real estate owned (4) — — 6,009 — 6,009 Total non-recurring assets at fair value $ — $ — $ 18,930 $ — $ 18,930 December 31, 2016 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (2) Total Recurring fair value measurements - Assets Trading securities: Non MBS: GSE and TVA obligations $ — $ 388,155 $ — $ — $ 388,155 Mutual funds 7,092 — — — 7,092 Total trading securities $ 7,092 $ 388,155 $ — $ — $ 395,247 AFS securities: Non MBS: GSE and TVA obligations $ — $ 3,183,193 $ — $ — 3,183,193 State or local agency obligations — 236,412 — — 236,412 Mutual funds 2,000 — — — 2,000 MBS: Other U.S. obligations single family MBS — 216,434 — — 216,434 GSE single-family MBS — 3,213,162 — — 3,213,162 GSE multifamily MBS — 1,512,904 — — 1,512,904 Private label residential MBS — — 673,976 — 673,976 Total AFS securities $ 2,000 $ 8,362,105 $ 673,976 $ — $ 9,038,081 Derivative assets: Interest rate related $ — $ 97,450 $ — $ (15,585 ) $ 81,865 Mortgage delivery commitments — 26 — — 26 Total derivative assets $ — $ 97,476 $ — $ (15,585 ) $ 81,891 Total recurring assets at fair value $ 9,092 $ 8,847,736 $ 673,976 $ (15,585 ) $ 9,515,219 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 200,806 $ — $ (186,894 ) $ 13,912 Mortgage delivery commitments — 98 — — 98 Total recurring liabilities at fair value (3) $ — $ 200,904 $ — $ (186,894 ) $ 14,010 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (4) $ — $ — $ 13,359 $ — $ 13,359 Real estate owned (4) — — 6,475 — 6,475 Total non-recurring assets at fair value $ — $ — $ 19,834 $ — $ 19,834 Notes: (1) As of September 30, 2017 , the amounts reported for cleared derivatives, which are part of the Level 2 amounts in the Derivative assets and Derivative liabilities above, are the net present values of the derivative instruments excluding accumulated variation margin payments. (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. As of September 30, 2017 , the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017 . (3) Derivative liabilities represent the total liabilities at fair value. (4) 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 nine months ended September 30, 2017 and 2016 . For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. 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 nine months of 2017 or 2016 . AFS Private Label MBS-Residential (in thousands) Three months ended September 30, 2017 Nine months ended September 30, 2017 Balance, beginning of period $ 610,376 $ 673,976 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 6,203 16,669 Net OTTI losses, credit portion (38 ) (702 ) Net unrealized gains on AFS in OCI 53 144 Reclassification of non-credit portion included in net income 38 702 Net change in fair value on OTTI AFS in OCI 986 (652 ) Unrealized gains on OTTI AFS in OCI 108 7,788 Purchases, issuances, sales, and settlements: Settlements (60,643 ) (140,842 ) Balance at September 30 $ 557,083 $ 557,083 Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30, 2017 $ 4,432 $ 13,500 AFS Private Label MBS-Residential AFS Private Label MBS-HELOCs (1) (in thousands) Three months ended September 30, 2016 Nine months ended September 30, 2016 Nine months ended September 30, 2016 Balance, beginning of period $ 747,911 $ 822,740 $ 9,168 Total gains (losses) (realized/unrealized) included in: Sale of AFS (117 ) (117 ) 1,417 Accretion of credit losses in interest income 4,749 13,345 203 Net OTTI losses, credit portion — (239 ) — Net unrealized (losses) on AFS in OCI (15 ) (62 ) — Reclassification of non-credit portion included in net income 117 356 (1,417 ) Net change in fair value on OTTI AFS in OCI 1,046 284 — Unrealized gains (losses) on OTTI AFS in OCI 1,845 (4,098 ) (179 ) Purchases, issuances, sales, and settlements: Sales (8,609 ) (8,609 ) (8,510 ) Settlements (40,939 ) (117,612 ) (682 ) Balance at September 30 $ 705,988 $ 705,988 $ — Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30, 2016 $ 4,749 $ 13,106 $ — |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 December 31, 2016 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 20,788,376 $ 712 $ 20,789,088 $ 19,736,792 Commitments to fund additional advances and BOB loans 31,752 — 31,752 158,167 Commitments to fund or purchase mortgage loans 49,737 — 49,737 15,450 Unsettled consolidated obligation bonds, at par 109,950 — 109,950 2,015,000 Unsettled consolidated obligation discount notes, at par 26,405 — 26,405 — Notes : (1) Excludes approved requests to issue future standby letters of credit of $131.4 million and $467.0 million at September 30, 2017 and December 31, 2016 , respectively. (2) Letters of credit in the amount of $3.8 billion and $7.0 billion at September 30, 2017 and December 31, 2016 , respectively, have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of approximately 5 years . |
Background Information (Details
Background Information (Details) | Sep. 30, 2017Banks |
Nature of Operations [Line Items] | |
Number of Federal Home Loan Banks | 11 |
Minimum | |
Nature of Operations [Line Items] | |
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent | 10.00% |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 404,315 | $ 395,247 |
Deferred Compensation Liabilities | 9,200 | 7,200 |
Mutual Funds [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 9,063 | 7,092 |
GSE and TVA obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 395,252 | $ 388,155 |
Trading Securities (Net Gains (
Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Trading Securities [Abstract] | ||||
Net unrealized gains on trading securities held at period-end | $ 320 | $ (2,531) | $ 7,926 | $ 25,631 |
Net realized gains on trading securities sold/matured during the period | 0 | 0 | 0 | 0 |
Net gains (losses) on trading securities | $ 320 | $ (2,531) | $ 7,926 | $ 25,631 |
Available-for-Sale (AFS) Secu41
Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 8,903,307,000 | $ 8,983,492,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | (11,000) |
Gross Unrealized Gains | 135,983,000 | 91,892,000 | |
Gross Unrealized Losses | (10,426,000) | (37,292,000) | |
Fair Value | 9,028,864,000 | 9,038,081,000 | |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 3,337,275,000 | 3,432,785,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 38,140,000 | 12,768,000 | |
Gross Unrealized Losses | (6,942,000) | (23,948,000) | |
Fair Value | 3,368,473,000 | 3,421,605,000 | |
Mutual Funds [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 2,010,000 | 2,000,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 0 | 0 | |
Gross Unrealized Losses | 0 | 0 | |
Fair Value | 2,010,000 | 2,000,000 | |
GSE and TVA obligations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 3,065,699,000 | 3,181,110,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 34,564,000 | 11,889,000 | |
Gross Unrealized Losses | (3,388,000) | (9,806,000) | |
Fair Value | 3,096,875,000 | 3,183,193,000 | |
State or local agency obligations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 269,566,000 | 249,675,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 3,576,000 | 879,000 | |
Gross Unrealized Losses | (3,554,000) | (14,142,000) | |
Fair Value | 269,588,000 | 236,412,000 | |
Total MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 5,566,032,000 | 5,550,707,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | (11,000) |
Gross Unrealized Gains | 97,843,000 | 79,124,000 | |
Gross Unrealized Losses | (3,484,000) | (13,344,000) | |
Fair Value | 5,660,391,000 | 5,616,476,000 | |
Other U.S. obligations single family MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 187,921,000 | 217,577,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 231,000 | 0 | |
Gross Unrealized Losses | (238,000) | (1,143,000) | |
Fair Value | 187,914,000 | 216,434,000 | |
GSE MBS [Member] | GSE single-family MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 2,729,233,000 | 3,218,268,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 14,297,000 | 5,577,000 | |
Gross Unrealized Losses | (2,616,000) | (10,683,000) | |
Fair Value | 2,740,914,000 | 3,213,162,000 | |
GSE MBS [Member] | GSE multifamily MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 2,166,894,000 | 1,508,003,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | 0 |
Gross Unrealized Gains | 8,053,000 | 6,112,000 | |
Gross Unrealized Losses | (467,000) | (1,211,000) | |
Fair Value | 2,174,480,000 | 1,512,904,000 | |
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 481,984,000 | 606,859,000 |
OTTI Recognized in AOCI (2) | [2] | 0 | (11,000) |
Gross Unrealized Gains | 75,262,000 | 67,435,000 | |
Gross Unrealized Losses | (163,000) | (307,000) | |
Fair Value | $ 557,083,000 | $ 673,976,000 | |
[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, OTTI recognized, 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 | Sep. 30, 2017 | Dec. 31, 2016 | |
Reconciliation Table of AFS AOCI [Line Items] | |||
Non-credit portion of OTTI losses | $ 0 | $ (11) | |
Net unrealized gains on OTTI securities since their last OTTI credit charge | 75,262 | 67,435 | |
Net non-credit portion of OTTI gains on AFS securities in AOCI | [1] | 0 | 11 |
Accumulated Other-than-Temporary Impairment [Member] | |||
Reconciliation Table of AFS AOCI [Line Items] | |||
Net non-credit portion of OTTI gains on AFS securities in AOCI | $ 75,262 | $ 67,424 | |
[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 | Sep. 30, 2017 | Dec. 31, 2016 | |
Fair Value: | |||
Less than 12 Months | $ 740,255 | $ 4,568,858 | |
Greater than 12 Months | 1,577,137 | 673,270 | |
Fair Value | 2,317,392 | 5,242,128 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (2,007) | (31,922) | |
UnrealizedLossPositiongreaterthan12Months | (8,419) | (5,381) | |
Unrealized Losses (1) | [1] | (10,426) | (37,303) |
Total non-MBS | |||
Fair Value: | |||
Less than 12 Months | 257,202 | 2,138,130 | |
Greater than 12 Months | 1,184,657 | 155,292 | |
Fair Value | 1,441,859 | 2,293,422 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (1,252) | (22,476) | |
UnrealizedLossPositiongreaterthan12Months | (5,690) | (1,472) | |
Unrealized Losses (1) | [1] | (6,942) | (23,948) |
GSE and TVA obligations [Member] | |||
Fair Value: | |||
Less than 12 Months | 217,282 | 1,976,842 | |
Greater than 12 Months | 1,108,821 | 155,292 | |
Fair Value | 1,326,103 | 2,132,134 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (637) | (8,334) | |
UnrealizedLossPositiongreaterthan12Months | (2,751) | (1,472) | |
Unrealized Losses (1) | [1] | (3,388) | (9,806) |
State or local agency obligations [Member] | |||
Fair Value: | |||
Less than 12 Months | 39,920 | 161,288 | |
Greater than 12 Months | 75,836 | 0 | |
Fair Value | 115,756 | 161,288 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (615) | (14,142) | |
UnrealizedLossPositiongreaterthan12Months | (2,939) | 0 | |
Unrealized Losses (1) | [1] | (3,554) | (14,142) |
Total MBS [Member] | |||
Fair Value: | |||
Less than 12 Months | 483,053 | 2,430,728 | |
Greater than 12 Months | 392,480 | 517,978 | |
Fair Value | 875,533 | 2,948,706 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (755) | (9,446) | |
UnrealizedLossPositiongreaterthan12Months | (2,729) | (3,909) | |
Unrealized Losses (1) | [1] | (3,484) | (13,355) |
Other U.S. obligations single family MBS | |||
Fair Value: | |||
Less than 12 Months | 10,501 | 145,946 | |
Greater than 12 Months | 67,973 | 70,487 | |
Fair Value | 78,474 | 216,433 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (1) | (523) | |
UnrealizedLossPositiongreaterthan12Months | (237) | (620) | |
Unrealized Losses (1) | [1] | (238) | (1,143) |
GSE MBS [Member] | GSE single-family MBS | |||
Fair Value: | |||
Less than 12 Months | 87,526 | 1,775,502 | |
Greater than 12 Months | 309,722 | 351,883 | |
Fair Value | 397,248 | 2,127,385 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (300) | (7,920) | |
UnrealizedLossPositiongreaterthan12Months | (2,316) | (2,763) | |
Unrealized Losses (1) | [1] | (2,616) | (10,683) |
GSE MBS [Member] | GSE multifamily MBS | |||
Fair Value: | |||
Less than 12 Months | 385,026 | 461,916 | |
Greater than 12 Months | 11,788 | 92,755 | |
Fair Value | 396,814 | 554,671 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | (454) | (992) | |
UnrealizedLossPositiongreaterthan12Months | (13) | (219) | |
Unrealized Losses (1) | [1] | (467) | (1,211) |
Private label residential MBS | Private label residential MBS | |||
Fair Value: | |||
Less than 12 Months | 0 | 47,364 | |
Greater than 12 Months | 2,997 | 2,853 | |
Fair Value | 2,997 | 50,217 | |
Unrealized Losses: | |||
UnrealizedLossPositionLessThan12Months | 0 | (11) | |
UnrealizedLossPositiongreaterthan12Months | (163) | (307) | |
Unrealized Losses (1) | [1] | $ (163) | $ (318) |
[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) | 9 Months Ended |
Sep. 30, 2017loan | |
Private label MBS [Member] | |
Schedule of Available-for-sale Securities [Line Items] | |
Number of Available-for-sale Securities Transferred from Held-to-maturity Securities | 0 |
Available-for-Sale (AFS) Secu45
Available-for-Sale (AFS) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Amortized Cost: | |||
Amortized Cost | [1] | $ 8,903,307 | $ 8,983,492 |
Fair Value: | |||
Fair Value | 9,028,864 | 9,038,081 | |
Total non-MBS | |||
Amortized Cost: | |||
Due in one year or less | 1,255,975 | 378,123 | |
Due after one year through five years | 594,656 | 1,408,405 | |
Due after five years through ten years | 683,527 | 644,126 | |
Due in more than ten years | 803,117 | 1,002,131 | |
Amortized Cost | [1] | 3,337,275 | 3,432,785 |
Fair Value: | |||
Due in one year or less | 1,253,922 | 378,071 | |
Due after one year through five years | 601,498 | 1,405,080 | |
Due after five years through ten years | 697,496 | 651,857 | |
Due in more than ten years | 815,557 | 986,597 | |
Fair Value | 3,368,473 | 3,421,605 | |
MBS [Member] | |||
Amortized Cost: | |||
Amortized Cost | [1] | 5,566,032 | 5,550,707 |
Fair Value: | |||
Fair Value | $ 5,660,391 | $ 5,616,476 | |
[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, OTTI recognized, 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 | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | [1] | $ 8,903,307 | $ 8,983,492 |
Total non-MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | [1] | 3,337,275 | 3,432,785 |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | [1] | 5,566,032 | 5,550,707 |
Fixed Interest Rate [Member] | Total non-MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | 3,252,403 | 3,347,980 | |
Fixed Interest Rate [Member] | MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | 1,226,306 | 1,343,699 | |
Variable interest rate [Member] | Total non-MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | 84,872 | 84,805 | |
Variable interest rate [Member] | MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Total amortized cost of AFS securities | $ 4,339,726 | $ 4,207,008 | |
[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, OTTI recognized, and/or fair value hedge accounting adjustments. |
Available-for-Sale (AFS) Secu47
Available-for-Sale (AFS) Securities (Narrative) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||||||
Credit losses | $ 215,965 | $ 223,353 | $ 236,460 | $ 243,287 | $ 251,487 | $ 265,379 |
MBS [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Net purchased discounts | 16,100 | 14,900 | ||||
SERP [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Supplemental retirement obligation | 9,600 | 9,000 | ||||
Available-for-sale Securities | MBS [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Credit losses | 179,800 | 192,600 | ||||
OTTI-related accretion adjustment | $ 58,100 | $ 43,800 |
Available-for-Sale (AFS) Securt
Available-for-Sale (AFS) Securties (Realized Gain Loss Table)(Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Proceeds from sale of AFS securities | $ 0 | $ 8,609 | $ 0 | $ 206,608 |
Gross gains on sale of AFS securities | 0 | 215 | 0 | 12,923 |
Gross losses on sale of AFS securities | $ 0 | $ (332) | $ 0 | $ (332) |
Held-to-Maturity (HTM) Securi49
Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,289,653 | $ 2,566,135 |
Gross Unrealized Holding Gains | 25,282 | 27,698 |
Gross Unrealized Holding Losses | (11,590) | (16,851) |
Fair Value | 2,303,345 | 2,576,982 |
Certificates of Deposit [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 450,000 | 400,000 |
Gross Unrealized Holding Gains | 14 | 61 |
Gross Unrealized Holding Losses | (4) | (2) |
Fair Value | 450,010 | 400,059 |
State or local agency obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 127,195 | 131,925 |
Gross Unrealized Holding Gains | 0 | 0 |
Gross Unrealized Holding Losses | (9,268) | (10,519) |
Fair Value | 117,927 | 121,406 |
Total non-MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 577,195 | 531,925 |
Gross Unrealized Holding Gains | 14 | 61 |
Gross Unrealized Holding Losses | (9,272) | (10,521) |
Fair Value | 567,937 | 521,465 |
Other U.S. obligations single-family MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 457,749 | 583,550 |
Gross Unrealized Holding Gains | 3,600 | 3,320 |
Gross Unrealized Holding Losses | 0 | (138) |
Fair Value | 461,349 | 586,732 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 1,712,458 | 2,034,210 |
Gross Unrealized Holding Gains | 25,268 | 27,637 |
Gross Unrealized Holding Losses | (2,318) | (6,330) |
Fair Value | 1,735,408 | 2,055,517 |
GSE MBS [Member] | Single Family [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 168,539 | 212,097 |
Gross Unrealized Holding Gains | 2,882 | 3,097 |
Gross Unrealized Holding Losses | (33) | (23) |
Fair Value | 171,388 | 215,171 |
GSE MBS [Member] | Multifamily [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 774,753 | 843,167 |
Gross Unrealized Holding Gains | 14,321 | 19,288 |
Gross Unrealized Holding Losses | (1,825) | (3,569) |
Fair Value | 787,249 | 858,886 |
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 311,417 | 395,396 |
Gross Unrealized Holding Gains | 4,465 | 1,932 |
Gross Unrealized Holding Losses | (460) | (2,600) |
Fair Value | $ 315,422 | $ 394,728 |
Held-to-Maturity (HTM) Securi50
Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value: | ||
Less than 12 Months | $ 283,836 | $ 368,998 |
Greater than 12 Months | 156,295 | 378,765 |
Fair Value | 440,131 | 747,763 |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | (1,922) | (3,923) |
Unrealized Loss Position 12 Months or Longer | (9,668) | (12,928) |
Total Unrealized Loss Position | (11,590) | (16,851) |
Multifamily [Member] | GSE MBS [Member] | ||
Fair Value: | ||
Less than 12 Months | 119,999 | 165,914 |
Greater than 12 Months | 0 | 0 |
Fair Value | 119,999 | 165,914 |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | (1,825) | (3,569) |
Unrealized Loss Position 12 Months or Longer | 0 | 0 |
Total Unrealized Loss Position | (1,825) | (3,569) |
Certificates of Deposit [Member] | ||
Fair Value: | ||
Less than 12 Months | 149,996 | 124,998 |
Greater than 12 Months | 0 | 0 |
Fair Value | 149,996 | 124,998 |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | (4) | (2) |
Unrealized Loss Position 12 Months or Longer | 0 | 0 |
Total Unrealized Loss Position | (4) | (2) |
State or local agency obligations [Member] | ||
Fair Value: | ||
Less than 12 Months | 12,639 | 13,612 |
Greater than 12 Months | 105,288 | 107,794 |
Fair Value | 117,927 | 121,406 |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | (91) | (128) |
Unrealized Loss Position 12 Months or Longer | (9,177) | (10,391) |
Total Unrealized Loss Position | (9,268) | (10,519) |
Total non-MBS | ||
Fair Value: | ||
Less than 12 Months | 162,635 | 138,610 |
Greater than 12 Months | 105,288 | 107,794 |
Fair Value | 267,923 | 246,404 |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | (95) | (130) |
Unrealized Loss Position 12 Months or Longer | (9,177) | (10,391) |
Total Unrealized Loss Position | (9,272) | (10,521) |
Other U.S. obligations single-family MBS | ||
Fair Value: | ||
Less than 12 Months | 53,513 | |
Greater than 12 Months | 41,253 | |
Fair Value | 94,766 | |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | (109) | |
Unrealized Loss Position 12 Months or Longer | (29) | |
Total Unrealized Loss Position | (138) | |
GSE MBS [Member] | Single Family [Member] | ||
Fair Value: | ||
Less than 12 Months | 0 | 0 |
Greater than 12 Months | 5,965 | 7,133 |
Fair Value | 5,965 | 7,133 |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | 0 | 0 |
Unrealized Loss Position 12 Months or Longer | (33) | (23) |
Total Unrealized Loss Position | (33) | (23) |
Private label MBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value: | ||
Less than 12 Months | 1,202 | 10,961 |
Greater than 12 Months | 45,042 | 222,585 |
Fair Value | 46,244 | 233,546 |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | (2) | (115) |
Unrealized Loss Position 12 Months or Longer | (458) | (2,485) |
Total Unrealized Loss Position | (460) | (2,600) |
MBS [Member] | ||
Fair Value: | ||
Less than 12 Months | 121,201 | 230,388 |
Greater than 12 Months | 51,007 | 270,971 |
Fair Value | 172,208 | 501,359 |
Unrealized Losses: | ||
Unrealized Loss Position Less than 12 Months | (1,827) | (3,793) |
Unrealized Loss Position 12 Months or Longer | (491) | (2,537) |
Total Unrealized Loss Position | $ (2,318) | $ (6,330) |
Held-to-Maturity (HTM) Securi51
Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Amortized Cost: | ||
Amortized Cost | $ 2,289,653 | $ 2,566,135 |
Fair Value: | ||
Fair Value | 2,303,345 | 2,576,982 |
Total non-MBS | ||
Amortized Cost: | ||
Due in one year or less | 450,000 | 400,000 |
Due after one year through five years | 0 | 0 |
Due after five years through ten years | 44,935 | 47,850 |
Due after ten years | 82,260 | 84,075 |
Amortized Cost | 577,195 | 531,925 |
Fair Value: | ||
Due in one year or less | 450,010 | 400,059 |
Due after one year through five years | 0 | 0 |
Due after five years through ten years | 43,077 | 45,605 |
Due after ten years | 74,850 | 75,801 |
Fair Value | 567,937 | 521,465 |
MBS [Member] | ||
Amortized Cost: | ||
Amortized Cost | 1,712,458 | 2,034,210 |
Fair Value: | ||
Fair Value | $ 1,735,408 | $ 2,055,517 |
Held-to-Maturity (HTM) Securi52
Held-to-Maturity (HTM) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,289,653 | $ 2,566,135 |
Total non-MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 577,195 | 531,925 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 1,712,458 | 2,034,210 |
Fixed Interest Rate [Member] | Total non-MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 450,000 | 400,000 |
Fixed Interest Rate [Member] | MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 854,966 | 952,329 |
Variable interest rate [Member] | Total non-MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 127,195 | 131,925 |
Variable interest rate [Member] | MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 857,492 | $ 1,081,881 |
Other-Than-Temporary Impairme53
Other-Than-Temporary Impairment (OTTI Securities) (Details) - Private label MBS [Member] $ in Thousands | Sep. 30, 2017USD ($) | |
Other than Temporary Impairment, Disclosure [Line Items] | ||
AFS Securities-Unpaid Principal Balance | $ 620,792 | |
AFS Securities-Amortized Cost | 481,984 | [1] |
AFS Securities-Fair Value | 557,083 | |
Available-for-sale Securities | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
OTTI Securities-Unpaid Principal Balance | 617,632 | |
OTTI Securities-Amortized Cost | 478,824 | [1] |
OTTI Securities-Fair Value | 554,086 | |
Available-for-sale Securities | Residential Mortgage Backed Securities [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Private label MBS with no OTTI-Unpaid Principal Balance | 3,160 | |
Private label MBS with no OTTI - Amortized Cost | 3,160 | [1] |
Private label MBS with no OTTI-Fair Value | 2,997 | |
Available-for-sale Securities | Residential Mortgage Backed Securities [Member] | Prime [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
OTTI Securities-Unpaid Principal Balance | 267,846 | |
OTTI Securities-Amortized Cost | 210,954 | [1] |
OTTI Securities-Fair Value | 249,306 | |
Available-for-sale Securities | Residential Mortgage Backed Securities [Member] | Alt-A [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
OTTI Securities-Unpaid Principal Balance | 349,786 | |
OTTI Securities-Amortized Cost | 267,870 | [1] |
OTTI Securities-Fair Value | $ 304,780 | |
[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 OTTI recognized. |
Other-Than-Temporary Impairme54
Other-Than-Temporary Impairment (Rollforward) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Beginning balance | $ 223,353 | $ 251,487 | $ 236,460 | $ 265,379 | |
Additional OTTI credit losses for which an OTTI charge was previously recognized(1) | [1] | 38 | 0 | 702 | 239 |
Securities sold and matured during the period(2) | [2] | 286 | (1,794) | 95 | (3,875) |
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (7,712) | (6,406) | (21,292) | (18,456) | |
Ending balance | $ 215,965 | $ 243,287 | $ 215,965 | $ 243,287 | |
[1] | For the three months ended September 30, 2017, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of that year. For the nine months ended September 30, 2017, 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 of that year. | ||||
[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) | Sep. 30, 2017 |
Other than Temporary Impairment, Disclosure [Line Items] | |
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Decrease | (6.00%) |
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Increase | 13.00% |
Projected Change In The Short-term Housing Price Percentage Rate, Maximum Decrease In Vast Majority Of Markets | 1.00% |
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 | 9 Months Ended | |
Sep. 30, 2017USD ($)Institutions | Dec. 31, 2016USD ($)Institutions | |
Federal Home Loan Bank Advances | ||
Total Par Value | $ 74,265,610 | $ 76,835,308 |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $ 56,400,000 | $ 61,200,000 |
Number Of Top Advances Borrowers | Institutions | 5 | 5 |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 75.90% | 79.70% |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | Institutions | 3 | 3 |
Minimum | ||
Federal Home Loan Bank Advances | ||
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate | 1 day | |
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate | 30 days | |
Interest rate of advances | 0.76% | |
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 | $ 300,000 | $ 500,000 |
Federal Home Loan Bank, Advances, Callable Option [Member] | ||
Federal Home Loan Bank Advances | ||
Total Par Value | $ 6,700,000 | $ 12,300,000 |
Advances (Portfolio by Year of
Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | ||
Due in 1 year or less | 1.36% | 0.91% |
Due after 1 year through 2 years | 1.49% | 1.14% |
Due after 2 years through 3 years | 1.61% | 1.29% |
Due after 3 years through 4 years | 1.71% | 1.22% |
Due after 4 years through 5 years | 2.01% | 1.23% |
Thereafter | 2.71% | 2.64% |
Total par value, Weighted Average Interest Rate | 1.50% | 1.07% |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | $ 36,572,864 | $ 38,571,864 |
Due after 1 year through 2 years | 10,896,366 | 14,310,133 |
Due after 2 years through 3 years | 14,098,096 | 7,477,536 |
Due after 3 years through 4 years | 10,931,580 | 8,488,404 |
Due after 4 years through 5 years | 923,782 | 7,161,763 |
Thereafter | 842,922 | 825,608 |
Total Par Value | 74,265,610 | 76,835,308 |
Discount on AHP advances | (1) | (2) |
Deferred prepayment fees | (825) | (4,625) |
Hedging adjustments | (36,788) | (21,977) |
Total book value | $ 74,227,996 | $ 76,808,704 |
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 | Sep. 30, 2017 | Dec. 31, 2016 |
Advances [Abstract] | ||
Due in 1 year or less | $ 36,622,864 | $ 40,221,864 |
Due after 1 year through 2 years | 10,896,366 | 12,700,133 |
Due after 2 years through 3 years | 14,058,096 | 7,462,536 |
Due after 3 years through 4 years | 10,931,580 | 8,463,404 |
Due after 4 years through 5 years | 913,782 | 7,161,763 |
Thereafter | 842,922 | 825,608 |
Due in 1 year or less | 36,613,364 | 38,791,364 |
Due after 1 year through 2 years | 10,875,866 | 14,116,133 |
Due after 2 years through 3 years | 14,098,096 | 7,472,036 |
Due after 3 years through 4 years | 10,931,580 | 8,488,404 |
Due after 4 years through 5 years | 923,782 | 7,161,763 |
Thereafter | 822,922 | 805,608 |
Total Par Value | $ 74,265,610 | $ 76,835,308 |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Fixed rate – overnight | $ 2,740,493 | $ 4,696,431 |
Due in 1 year or less | 21,387,023 | 16,177,369 |
Thereafter | 13,106,346 | 9,815,844 |
Total Fixed Rate | 37,233,862 | 30,689,644 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Due in 1 year or less | 12,445,348 | 17,698,064 |
Thereafter | 24,586,400 | 28,447,600 |
Total Variable Rate | 37,031,748 | 46,145,664 |
Total Par Value | $ 74,265,610 | $ 76,835,308 |
Mortgage Loans Held for Portf60
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | $ 3,679,646 | $ 3,313,081 | |
Premiums | 67,995 | 59,032 | |
Discounts | (3,553) | (3,926) | |
Hedging adjustments | 25,286 | 28,771 | |
Total mortgage loans held for portfolio | 3,769,374 | 3,396,958 | |
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] | 3,420,691 | 3,013,181 |
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] | $ 258,955 | $ 299,900 |
[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 | Sep. 30, 2017 | Dec. 31, 2016 |
Mortgage Loans on Real Estate [Line Items] | ||
Par value of mortgage loans held for portfolio | $ 3,679,646 | $ 3,313,081 |
Conventional Mortgage Loan [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par value of mortgage loans held for portfolio | 3,467,109 | 3,088,810 |
Government-guaranteed/insured loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par value of mortgage loans held for portfolio | $ 212,537 | $ 224,271 |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Beginning Balance | $ 5,216 | |||||
Ending Balance | $ 6,112 | 6,112 | ||||
Total recorded investment | [1] | 3,788,372 | 3,788,372 | $ 3,413,836 | ||
Conventional MPF Loan [Member] | ||||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Beginning Balance | 6,341 | $ 5,927 | 6,231 | $ 5,665 | ||
(Charge-offs) Recoveries, net | [2] | (141) | (59) | (151) | 14 | |
Provision for Loan and Lease Losses | (88) | 647 | 32 | 836 | ||
Ending Balance | 6,112 | $ 6,515 | 6,112 | $ 6,515 | ||
Ending balance, individually evaluated for impairment | 4,913 | 4,913 | 5,105 | |||
Ending balance, collectively evaluated for impairment | 1,199 | 1,199 | 1,126 | |||
Individually evaluated for impairment, with or without a related allowance | 54,812 | 54,812 | 58,522 | |||
Collectively evaluated for impairment | 3,513,468 | 3,513,468 | 3,122,847 | |||
Total recorded investment | [1] | $ 3,568,280 | $ 3,568,280 | $ 3,181,369 | ||
[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 | Sep. 30, 2017 | Dec. 31, 2016 | |
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | $ 82,905 | $ 98,110 |
Total current loans | [1] | 3,705,467 | 3,315,726 |
Total recorded investment | [1] | 3,788,372 | 3,413,836 |
Mortgage Loans in Process of Foreclosure, Amount | [2] | $ 11,088 | $ 12,541 |
Serious delinquency rate (3) | [3] | 0.60% | 0.80% |
Past due 90 days or more still accruing interest | $ 4,318 | $ 4,179 | |
Loans on nonaccrual status (4) | 21,062 | 24,092 | |
Conventional MPF Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 64,983 | 76,267 |
Total current loans | [1] | 3,503,297 | 3,105,102 |
Total recorded investment | [1] | 3,568,280 | 3,181,369 |
Mortgage Loans in Process of Foreclosure, Amount | [2] | $ 10,429 | $ 11,464 |
Serious delinquency rate (3) | [3] | 0.50% | 0.70% |
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |
Loans on nonaccrual status (4) | 21,062 | 24,092 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 48,128 | 59,980 |
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional MPF Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 37,865 | 45,687 |
Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 12,578 | 12,565 |
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional MPF Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 9,237 | 9,194 |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 22,199 | 25,565 |
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] | 17,881 | 21,386 |
Government-guaranteed/insured loans | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 17,922 | 21,843 |
Total current loans | [1] | 202,170 | 210,624 |
Total recorded investment | [1] | 220,092 | 232,467 |
Mortgage Loans in Process of Foreclosure, Amount | [2] | $ 659 | $ 1,077 |
Serious delinquency rate (3) | [3] | 2.00% | 1.80% |
Past due 90 days or more still accruing interest | $ 4,318 | $ 4,179 | |
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] | 10,263 | 14,293 |
Government-guaranteed/insured loans | Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due loans | [1] | 3,341 | 3,371 |
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] | $ 4,318 | $ 4,179 |
[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 | Sep. 30, 2017 | Dec. 31, 2016 |
Recorded Investment | ||
With no related allowance | $ 32,512 | $ 34,687 |
With a related allowance | 22,300 | 23,835 |
Total recorded investment | 54,812 | 58,522 |
Unpaid Principal Balance | ||
With no related allowance | 32,162 | 34,344 |
With a related allowance | 22,026 | 23,577 |
Total Unpaid Principal Balance | 54,188 | 57,921 |
Related Allowance for Credit Losses | $ 4,913 | $ 5,105 |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Maximum Exposure Under First Loss Account | $ 25.5 | $ 25.5 | $ 24 | ||
Credit Enhancement Fees | 0.9 | $ 0.8 | 2.7 | $ 2.3 | |
REO | 4.4 | 4.4 | 3.9 | ||
TDR | $ 11.4 | $ 11.4 | $ 14.1 |
Derivatives and Hedging Activ66
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | $ 40,474,258 | $ 39,774,116 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 81,079 | 97,476 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 180,664 | 200,904 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2],[3] | 3,926 | (15,585) |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2],[3] | (171,187) | (186,894) |
Derivative assets | 85,005 | 81,891 | |
Derivative liabilities | 9,477 | 14,010 | |
Cash Collateral posted | 109,800 | 171,300 | |
Variation Margin for Daily Settled Contracts | 65,700 | ||
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 | 26,052,326 | 29,133,421 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 65,136 | 71,335 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 128,164 | 142,648 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives | 14,421,932 | 10,640,695 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 15,943 | 26,141 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 52,500 | 58,256 | |
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 | 7,917,195 | 9,370,245 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 13,410 | 21,429 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 52,317 | 58,158 | |
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 | 6,455,000 | 1,255,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,531 | 4,686 | |
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 | 49,737 | 15,450 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2 | 26 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 183 | $ 98 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. The September 30, 2017 table also includes fair value adjustment for which variation margin is characterized as a daily settled contract. At September 30, 2017, cash collateral posted was $109.8 million while variation margin for daily settled contracts was $65.7 million. At December 31, 2016, cash collateral posted was $171.3 million. Cash collateral received was immaterial for both September 30, 2017 and December 31, 2016. | ||
[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. As of September 30, 2017, the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||
[3] | Variation margin for daily settled contracts was $65.7 million at September 30, 2017. |
Derivatives and Hedging Activ67
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Fair Value Hedge Ineffectiveness | $ (494) | $ (142) | $ (291) | $ (5,285) | |
Net gains (losses) related to derivatives not designated as hedging instruments | (239) | (2,223) | (570) | (49,087) | |
Derivative Instruments, Other Gain (Loss) | 238 | 0 | 501 | 0 | |
Net gains (losses) on derivatives and hedging activities | (495) | (2,365) | (360) | (54,372) | |
Interest Rate Swap [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Fair Value Hedge Ineffectiveness | [1] | (494) | (142) | (291) | (5,285) |
Net gains (losses) related to derivatives not designated as hedging instruments | 2,029 | (3,471) | 6,369 | (50,951) | |
Interest Rate Caps or Floors [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | (532) | (192) | (3,177) | (2,846) | |
Net Interest Settlements [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | (1,569) | 1,252 | (3,178) | 2,277 | |
Intermediary Transactions Other Contract [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | 8 | 6 | 18 | 16 | |
Mortgages [Member] | Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ (175) | $ 182 | $ (602) | $ 2,417 | |
[1] | Pertains to total net gains (losses) for fair value hedge ineffectiveness. |
Derivatives and Hedging Activ68
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains/(Losses) on Derivative | $ 14,683 | $ 36,681 | $ 14,573 | $ (30,151) | |
Gains/(Losses) on Hedged Item | (15,177) | (36,823) | (14,864) | 24,866 | |
Net Fair Value Hedge Ineffectiveness | (494) | (142) | (291) | (5,285) | |
Effect of Derivatives on Net Interest Income (1) | [1] | (11,931) | (11,836) | (30,340) | (46,636) |
amortization and accretion of hedged items | (1,500) | (1,500) | (3,100) | (3,900) | |
Advances [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains/(Losses) on Derivative | 19,171 | 63,409 | 14,166 | 37,307 | |
Gains/(Losses) on Hedged Item | (19,064) | (63,064) | (14,166) | (35,137) | |
Net Fair Value Hedge Ineffectiveness | 107 | 345 | 0 | 2,170 | |
Effect of Derivatives on Net Interest Income (1) | [1] | (7,186) | (19,883) | (25,149) | (87,505) |
Federal Home Loan Bank, Consolidated Obligations, Bonds [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains/(Losses) on Derivative | (5,042) | (38,166) | 7,264 | 22,316 | |
Gains/(Losses) on Hedged Item | 4,463 | 37,561 | (6,862) | (24,107) | |
Net Fair Value Hedge Ineffectiveness | (579) | (605) | 402 | (1,791) | |
Effect of Derivatives on Net Interest Income (1) | [1] | (875) | 13,858 | 7,952 | 58,795 |
Available-for-sale Securities | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains/(Losses) on Derivative | 554 | 11,438 | (6,857) | (89,774) | |
Gains/(Losses) on Hedged Item | (576) | (11,320) | 6,164 | 84,110 | |
Net Fair Value Hedge Ineffectiveness | (22) | 118 | (693) | (5,664) | |
Effect of Derivatives on Net Interest Income (1) | [1] | $ (3,870) | $ (5,811) | $ (13,143) | $ (17,926) |
[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 $(1.5) million and $(1.5) million for the third quarter of 2017 and 2016, respectively, and $(3.1) million and $(3.9) million for the nine months ended September 30, 2017 and 2016, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships. |
Derivatives and Hedging Activ69
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Sep. 30, 2017USD ($) |
Derivative [Line Items] | |
Derivative, Net Liability Position, Aggregate Fair Value | $ 33.9 |
Collateral Already Posted, Aggregate Fair Value | 25.4 |
Additional Collateral, Aggregate Fair Value | $ 2.7 |
Derivatives and Hedging Activ70
Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 | |
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | $ 81,077,000 | $ 97,450,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2],[3] | 3,926,000 | (15,585,000) |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 85,003,000 | 81,865,000 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 2,000 | 26,000 |
Derivative assets | 85,005,000 | 81,891,000 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 85,005,000 | 81,891,000 | |
Over the Counter [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 7,040,000 | 13,778,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3] | (6,332,000) | (10,792,000) |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 708,000 | 2,986,000 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 2,000 | 26,000 |
Derivative assets | 710,000 | 3,012,000 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 710,000 | 3,012,000 | |
Exchange Cleared [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 74,037,000 | 83,672,000 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3] | 10,258,000 | (4,793,000) |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 84,295,000 | 78,879,000 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 0 | 0 |
Derivative assets | 84,295,000 | 78,879,000 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 84,295,000 | $ 78,879,000 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. The September 30, 2017 table also includes fair value adjustment for which variation margin is characterized as a daily settled contract. At September 30, 2017, cash collateral posted was $109.8 million while variation margin for daily settled contracts was $65.7 million. At December 31, 2016, cash collateral posted was $171.3 million. Cash collateral received was immaterial for both September 30, 2017 and December 31, 2016. | ||
[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. As of September 30, 2017, the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||
[3] | Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||
[4] | Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest rate futures or forwards). |
Derivatives and Hedging Activ71
Derivatives and Hedging Activities (Offsetting Liabilities) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | $ 180,481 | $ 200,806 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2],[3] | (171,187) | (186,894) |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 9,294 | 13,912 | |
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 183 | 98 |
Derivative liabilities | 9,477 | 14,010 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 9,477 | 14,010 | |
Over the Counter [Member] | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 40,600 | 67,047 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3] | (31,306) | (53,135) |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 9,294 | 13,912 | |
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 183 | 98 |
Derivative liabilities | 9,477 | 14,010 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 9,477 | 14,010 | |
Exchange Cleared [Member] | |||
Offsetting Liabilities [Line Items] | |||
Derivative Liability, Fair Value, Gross Liability | 139,881 | 133,759 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3] | (139,881) | (133,759) |
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 0 | 0 | |
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 0 | 0 |
Derivative liabilities | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. The September 30, 2017 table also includes fair value adjustment for which variation margin is characterized as a daily settled contract. At September 30, 2017, cash collateral posted was $109.8 million while variation margin for daily settled contracts was $65.7 million. At December 31, 2016, cash collateral posted was $171.3 million. Cash collateral received was immaterial for both September 30, 2017 and December 31, 2016. | ||
[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. As of September 30, 2017, the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||
[3] | Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||
[4] | Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest rate futures or forwards). |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par amounts for the FHLBanks' outstanding Consolidated Obligation | $ 1,028,700,000 | $ 989,300,000 |
Fixed-rate | 25,209,190 | 30,020,671 |
Step-up | 1,715,000 | 1,620,000 |
Floating-rate | 27,865,000 | 35,155,000 |
Conversion bonds - fixed to floating | 390,000 | 400,000 |
Total par value | 55,179,190 | 67,195,671 |
Bond premiums | 62,367 | 68,812 |
Bond discounts | (7,165) | (7,732) |
Concession fees | (6,436) | (6,706) |
Hedging adjustments | (87,717) | (94,014) |
Total book value | $ 55,140,239 | $ 67,156,031 |
Consolidated Obligations (Contr
Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Due in 1 year or less | $ 30,550,970 | $ 45,660,600 |
Due in 1 year or less, Weighted Average Interest Rate | 1.20% | 0.77% |
Due after 1 year through 2 years | $ 13,876,510 | $ 8,767,580 |
Due after 1 year through 2 years, Weighted Average Interest Rate | 1.30% | 1.16% |
Due after 2 years through 3 years | $ 3,365,000 | $ 4,575,505 |
Due after 2 years through 3 years, Weighted Average Interest Rate | 1.72% | 1.36% |
Due after 3 years through 4 years | $ 1,699,830 | $ 2,225,710 |
Due after 3 years through 4 years, Weighted Average Interest | 1.84% | 1.74% |
Due after 4 years through 5 years | $ 1,730,750 | $ 1,884,400 |
Due after 4 years through 5 years, Weighted Average Interest Rate | 2.22% | 2.05% |
Thereafter | $ 3,937,350 | $ 3,958,850 |
Thereafter, Weighted Average Interest Rate | 2.39% | 2.26% |
Index amortizing notes | $ 18,780 | $ 123,026 |
Index amortizing notes, Weighted Average Interest Rate | 5.39% | 4.74% |
Total par value | $ 55,179,190 | $ 67,195,671 |
Total par, Weighted Average Interest Rate | 1.39% | 1.02% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value | $ 55,179,190 | $ 67,195,671 |
Noncallable | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value | 50,057,190 | 61,585,171 |
Callable | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value | $ 5,122,000 | $ 5,610,500 |
Consolidated Obligations (Con75
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Due in 1 year or less | $ 35,495,970 | $ 50,586,100 |
Due after 1 year through 2 years | 13,723,510 | 8,482,580 |
Due after 2 years through 3 years | 3,055,000 | 4,375,505 |
Due after 3 years through 4 years | 919,830 | 1,649,210 |
Due after 4 years through 5 years | 1,065,750 | 849,400 |
Thereafter | 900,350 | 1,129,850 |
Index amortizing notes | 18,780 | 123,026 |
Total par value | $ 55,179,190 | $ 67,195,671 |
Consolidated Obligations (Con76
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Short-term Debt [Line Items] | |||
Discount Notes, Book value | $ 38,877,041 | $ 28,500,341 | |
Discount Notes, Par value | $ 38,949,145 | $ 28,529,619 | |
Discount Notes, Weighted Average Interest Rate | [1] | 1.05% | 0.51% |
[1] | Represents an implied rate. |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Capital [Abstract] | ||
Number of Finance Agency Regualtory Capital Requirements | 3 | |
Number Of Subclasses Of Capital Stock | 2 | |
Federal Home Loan Bank, Risk-Based Capital, Required | $ 921,686 | $ 907,515 |
Federal Home Loan Bank, Risk-Based Capital, Actual | $ 4,821,896 | $ 4,746,834 |
Regulatory Capital Ratio, Required | 4.00% | 4.00% |
Federal Home Loan Bank, Regulatory Capital Ratio, Actual | 4.80% | 4.70% |
Federal Home Loan Bank, Regulatory Capital, Required | $ 3,994,583 | $ 4,050,403 |
Federal Home Loan Bank, Regulatory Capital, Actual | $ 4,821,896 | $ 4,746,834 |
Leverage ratio - Required | 5.00% | 5.00% |
Federal Home Loan Bank, Leverage Ratio, Actual | 7.20% | 7.00% |
Federal Home Loan Bank, Leverage Capital, Required | $ 4,993,229 | $ 5,063,004 |
Federal Home Loan Bank, Leverage Capital, Actual | $ 7,232,844 | $ 7,120,252 |
Capital (Capital Concentrations
Capital (Capital Concentrations) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Capital [Line Items] | |||
Capital stock | $ 3,696,869 | $ 3,755,411 | |
Capital Stock Ownership By Member | |||
Capital [Line Items] | |||
Concentration Risk Benchmark, Percent | 10.00% | ||
Capital Stock Ownership By Member | Chase Bank USA, N.A. | |||
Capital [Line Items] | |||
Capital Stock Members | $ 620,728 | $ 873,834 | |
Concentration Risk Benchmark, Percent | 16.80% | 23.20% | |
Capital Stock Ownership By Member | PNC Bank N.A. [Member] | |||
Capital [Line Items] | |||
Capital Stock Members | [1] | $ 957,525 | $ 859,402 |
Concentration Risk Benchmark, Percent | [1] | 25.90% | 22.90% |
Capital Stock Ownership By Member | Ally Bank [Member] | |||
Capital [Line Items] | |||
Capital Stock Members | [1] | $ 581,387 | $ 577,404 |
Concentration Risk Benchmark, Percent | [1] | 15.70% | 15.40% |
Subclass B1 [Member] | |||
Capital [Line Items] | |||
Common Stock, Value, Outstanding | $ 400,000 | $ 300,000 | |
Subclass B2 [Member] | |||
Capital [Line Items] | |||
Common Stock, Value, Outstanding | $ 3,300,000 | $ 3,400,000 | |
[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) | 9 Months Ended | ||
Sep. 30, 2017USD ($)Institutions$ / shares | Sep. 30, 2016USD ($) | Dec. 31, 2016$ / shares | |
Capital [Abstract] | |||
Balance, beginning of the period | $ 5,216,000 | $ 6,053,000 | |
Capital stock subject to mandatory redemption reclassified from capital | 1,155,000 | 44,832,000 | |
Redemption/repurchase of mandatorily redeemable stock | (745,000) | (45,469,000) | |
Balance, end of the period | $ 5,626,000 | $ 5,416,000 | |
Capital stock, Par value Per Share | $ / shares | $ 100 | $ 100 | |
Financial Instruments Subject to Mandatory Redemption, Number of Institutions | Institutions | 5 | ||
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions | 4 | ||
Financial Instruments Subject to Mandatory Redemption, Redemption, Withdrawals | 1 |
Capital (Mandatorily Redeemab80
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | 9 Months Ended | |||
Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |
Capital [Abstract] | ||||
Due in 1 year or less | $ 0 | $ 0 | ||
Due after 1 year through 2 years | 348 | 0 | ||
Due after 2 years through 3 years | 4,388 | 419 | ||
Due after 3 years through 4 years | 0 | 4,797 | ||
Due after 4 years through 5 years | 890 | 0 | ||
Total | $ 5,626 | $ 5,216 | $ 5,416 | $ 6,053 |
Redemption Period | 5 years |
Capital (Dividends and Retained
Capital (Dividends and Retained Earnings) (Details) - USD ($) $ in Thousands | Oct. 31, 2017 | Jul. 28, 2017 | Apr. 28, 2017 | Feb. 28, 2017 | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 |
Capital [Line Items] | ||||||||
Capital stock | $ 3,696,869 | $ 3,755,411 | ||||||
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) | $ 1,119,401 | 986,208 | ||||||
Unrestricted | 853,114 | 771,661 | ||||||
Restricted | 266,287 | 214,547 | ||||||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount | 5,626 | 5,216 | $ 5,416 | $ 6,053 | ||||
Subclass B1 [Member] | ||||||||
Capital [Line Items] | ||||||||
Common Stock, Value, Outstanding | 400,000 | 300,000 | ||||||
Dividends Cash, Annualized Rate | 2.00% | 2.00% | 2.00% | |||||
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 | $ 3,300,000 | $ 3,400,000 | ||||||
Dividends Cash, Annualized Rate | 5.00% | 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 ($) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | $ 123,564,000 | $ 123,564,000 | $ 52,296,000 | |||||
Net unrealized gains (losses) | 101,000 | $ (6,948,000) | 63,130,000 | $ 64,897,000 | ||||
Net change in fair value of OTTI securities | 1,094,000 | 2,891,000 | 7,136,000 | (3,993,000) | ||||
Reclassification adjustment for net (gains) losses included in net income | 0 | 0 | 0 | (11,291,000) | ||||
Noncredit OTTI to credit OTTI | 38,000 | 0 | 702,000 | 239,000 | ||||
Amortization on hedging activities | (8,000) | (8,000) | (19,000) | (20,000) | ||||
Net Unrealized Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 50,295,000 | 62,354,000 | 50,295,000 | 62,354,000 | $ 50,194,000 | (12,835,000) | $ 69,302,000 | $ 8,748,000 |
Noncredit OTTI Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Net unrealized gains (losses) | 108,000 | 1,845,000 | 7,788,000 | (4,277,000) | ||||
Net Unrealized Gains on Hedging Activities[Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 204,000 | 227,000 | 204,000 | 227,000 | 212,000 | 223,000 | 235,000 | 247,000 |
Amortization on hedging activities | (8,000) | (8,000) | (19,000) | (20,000) | ||||
Pension and Post Retirement Plans | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | (2,197,000) | (1,023,000) | (2,197,000) | (1,023,000) | (2,344,000) | (2,516,000) | (1,196,000) | (1,282,000) |
Pension and post-retirement | 147,000 | 173,000 | 319,000 | 259,000 | ||||
AOCI Attributable to Parent [Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 123,564,000 | 129,474,000 | 123,564,000 | 129,474,000 | 122,192,000 | 52,296,000 | 133,249,000 | 80,683,000 |
Net unrealized gains (losses) | 209,000 | (5,103,000) | 70,918,000 | 60,620,000 | ||||
Net change in fair value of OTTI securities | 986,000 | 1,046,000 | (652,000) | 284,000 | ||||
Reclassification adjustment for net (gains) losses included in net income | 117,000 | (12,591,000) | ||||||
Total Noncredit OTTI to credit OTTI | 38,000 | 702,000 | 239,000 | |||||
Amortization on hedging activities | (8,000) | (8,000) | (19,000) | (20,000) | ||||
Pension and post-retirement | 147,000 | 173,000 | 319,000 | 259,000 | ||||
Available-for-sale Securities | Noncredit OTTI Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Accumulated Other Comprehensive Income (AOCI) | 75,262,000 | 67,916,000 | 75,262,000 | 67,916,000 | 74,130,000 | 67,424,000 | 64,908,000 | 72,970,000 |
Net change in fair value of OTTI securities | 986,000 | 1,046,000 | (652,000) | 284,000 | ||||
Reclassification adjustment for net (gains) losses included in net income | 117,000 | (1,300,000) | ||||||
Noncredit OTTI to credit OTTI | 38,000 | 702,000 | 239,000 | |||||
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 |
Transactions with Related Par83
Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||
Investments | $ 11,722,832 | $ 11,999,463 | |
Advances | 74,227,996 | 76,808,704 | |
MPF loans | 3,679,646 | 3,313,081 | |
Capital stock | 3,696,869 | 3,755,411 | |
Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Advances | 55,984,537 | 60,916,692 | |
Letters of credit | [1] | 5,846,906 | 6,236,508 |
MPF loans | 731,676 | 880,877 | |
Deposits | 10,311 | 16,510 | |
Capital stock | $ 2,499,756 | $ 2,707,466 | |
[1] | Letters of credit are off-balance sheet commitments. |
Transactions with Related Par84
Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Related Party Transaction [Line Items] | |||||
Interest income on advances (1) | $ 269,193 | $ 143,017 | $ 712,543 | $ 410,702 | |
Interest Income on MPF loans | 32,645 | 29,311 | 95,255 | 87,948 | |
Letters of credit fees | 521 | 452 | 1,188 | 1,123 | |
Net gains (losses) on derivatives and hedging activities | (495) | (2,365) | (360) | (54,372) | |
Prepayment fees on advances, net | 47 | 1,844 | 179 | 22,597 | |
Principal Owner [Member] | |||||
Related Party Transaction [Line Items] | |||||
Interest income on advances (1) | [1] | 202,054 | 88,106 | 528,648 | 243,382 |
Interest Income on MPF loans | 11,153 | 12,797 | 32,721 | 40,056 | |
Contractual Interest Income, Federal Home Loan Bank Advances | 204,800 | 95,100 | 539,400 | 287,900 | |
Net gains (losses) on derivatives and hedging activities | (4,000) | (7,600) | (13,400) | (45,700) | |
Amortization of basis adjustments | 1,200 | 600 | 2,600 | 1,200 | |
Prepayment fees on advances, net | 0 | 1,823 | 35 | 8,370 | |
Standby Letters of Credit | Principal Owner [Member] | |||||
Related Party Transaction [Line Items] | |||||
Letters of credit fees | $ 1,597 | $ 2,070 | $ 5,133 | $ 6,645 | |
[1] | For the three and nine months ended September 30, 2017, balances include contractual interest income of $204.8 million and $539.4 million, net interest settlements on derivatives in fair value hedge relationships of $(4.0) million and $(13.4) million and total amortization of basis adjustments was $1.2 million and $2.6 million. For the three and nine months ended September 30, 2016, balances include contractual interest income of $95.1 million and $287.9 million, net interest settlements on derivatives in fair value hedge relationships of $(7.6) million and $(45.7) million and total amortization of basis adjustments |
Transactions with Related Par85
Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Related Party Transaction [Line Items] | |||||
Proceeds from Federal Home Loan Bank Borrowings | $ 400,000,000 | $ 400,000,000 | |||
Total MPF Loan Volume Purchased | 725,752,000 | $ 539,228,000 | |||
Repayments of Federal Home Loan Bank Borrowings | 400,000,000 | 400,000,000 | |||
Principal Owner [Member] | |||||
Related Party Transaction [Line Items] | |||||
Total MPF Loan Volume Purchased | 5,708,000 | $ 6,033,000 | 15,739,000 | 14,006,000 | |
FHLBank of Chicago [Member] | |||||
Related Party Transaction [Line Items] | |||||
Servicing fee expense | 639,000 | $ 364,000 | 1,815,000 | $ 998,000 | |
Interest-bearing deposits maintained with FHLBank of Chicago | $ 6,073,000 | $ 6,073,000 | $ 5,909,000 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and due from banks | $ 2,068,710 | $ 3,587,605 | |||||
Trading securities | 404,315 | 395,247 | |||||
AFS securities | 9,028,864 | 9,038,081 | |||||
Held-to-maturity Securities | 2,289,653 | 2,566,135 | |||||
Held to maturity securities - fair value | 2,303,345 | 2,576,982 | |||||
Accrued interest receivable | 153,434 | 124,247 | |||||
Derivative assets | 85,005 | 81,891 | |||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2],[3] | 3,926 | (15,585) | ||||
Mandatorily redeemable capital stock (Note 11) | 5,626 | 5,216 | $ 5,416 | $ 6,053 | |||
Accrued interest payable | 117,095 | 117,183 | |||||
Derivative liabilities | 9,477 | 14,010 | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2],[3] | (171,187) | (186,894) | ||||
Variation Margin for Daily Settled Contracts | 65,700 | ||||||
Fair Value, Inputs, Level 1 | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and due from banks | 2,068,710 | 3,587,605 | |||||
Interest-bearing deposits | 275,000 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Securities purchased under agreement to resell | 0 | 0 | |||||
Trading securities | 9,063 | 7,092 | |||||
AFS securities | 2,010 | 2,000 | |||||
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 (Note 11) | [4] | 5,690 | 5,286 | ||||
Accrued interest payable | 0 | 0 | |||||
Derivative liabilities | 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 | 6,073 | 5,909 | |||||
Federal funds sold | 6,024,920 | 3,221,945 | |||||
Securities purchased under agreement to resell | 1,499,979 | 1,999,962 | |||||
Trading securities | 395,252 | 388,155 | |||||
AFS securities | 8,469,771 | 8,362,105 | |||||
Held to maturity securities - fair value | 1,987,923 | 2,182,254 | |||||
Advances | 74,294,496 | 76,843,531 | |||||
Accrued interest receivable | 153,434 | 124,247 | |||||
Derivative assets | [5] | 81,079 | 97,476 | ||||
Deposits | 627,051 | 558,895 | |||||
Mandatorily redeemable capital stock (Note 11) | 0 | 0 | |||||
Accrued interest payable | [4] | 117,031 | 117,113 | ||||
Derivative liabilities | 180,664 | [5] | 200,904 | [6] | |||
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 agreement to resell | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
AFS securities | 557,083 | 673,976 | |||||
Held to maturity securities - fair value | 315,422 | 394,728 | |||||
Advances | 0 | 0 | |||||
Accrued interest receivable | 0 | 0 | |||||
Derivative assets | 0 | 0 | |||||
Deposits | 0 | 0 | |||||
Mandatorily redeemable capital stock (Note 11) | 0 | 0 | |||||
Accrued interest payable | 0 | 0 | |||||
Derivative liabilities | 0 | ||||||
Estimate of Fair Value, Fair Value Disclosure | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and due from banks | 2,068,710 | 3,587,605 | |||||
Interest-bearing deposits | 281,073 | 5,909 | |||||
Federal funds sold | 6,024,920 | 3,221,945 | |||||
Securities purchased under agreement to resell | 1,499,979 | 1,999,962 | |||||
Trading securities | 404,315 | 395,247 | |||||
AFS securities | 9,028,864 | 9,038,081 | |||||
Held to maturity securities - fair value | 2,303,345 | 2,576,982 | |||||
Advances | 74,294,496 | 76,843,531 | |||||
Accrued interest receivable | 153,434 | 124,247 | |||||
Derivative assets | 85,005 | 81,891 | |||||
Deposits | 627,051 | 558,895 | |||||
Mandatorily redeemable capital stock (Note 11) | [4] | 5,690 | 5,286 | ||||
Accrued interest payable | [4] | 117,031 | 117,113 | ||||
Derivative liabilities | 9,477 | 14,010 | |||||
Reported Value Measurement [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and due from banks | 2,068,710 | 3,587,605 | |||||
Interest-bearing deposits | 281,073 | 5,909 | |||||
Federal funds sold | 6,025,000 | 3,222,000 | |||||
Securities purchased under agreement to resell | 1,500,000 | 2,000,000 | |||||
Trading securities | 404,315 | 395,247 | |||||
AFS securities | 9,028,864 | 9,038,081 | |||||
Held-to-maturity Securities | 2,289,653 | 2,566,135 | |||||
Advances | 74,227,996 | 76,808,704 | |||||
Accrued interest receivable | 153,434 | 124,247 | |||||
Derivative assets | 85,005 | 81,891 | |||||
Deposits | 627,051 | 558,891 | |||||
Mandatorily redeemable capital stock (Note 11) | [4] | 5,626 | 5,216 | ||||
Accrued interest payable | [4] | 117,095 | 117,183 | ||||
Derivative liabilities | 9,477 | 14,010 | |||||
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 | 38,876,826 | 28,499,258 | |||||
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 | 38,876,826 | 28,499,258 | |||||
Consolidated Obligations, Discount Notes | Reported Value Measurement [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Discount notes | 38,877,041 | 28,500,341 | |||||
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 | 55,160,698 | 67,163,445 | |||||
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 | 55,160,698 | 67,163,445 | |||||
Consolidated Obligation Bonds | Reported Value Measurement [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Bonds | 55,140,239 | 67,156,031 | |||||
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 | 3,780,633 | 3,403,217 | |||||
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 | 3,780,633 | 3,403,217 | |||||
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 | 3,763,262 | 3,390,727 | |||||
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 | 12,949 | 12,276 | |||||
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 | 12,949 | 12,276 | |||||
Banking on Business Loans | Reported Value Measurement [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
MPF & BOB Loans , Net of Allowance | $ 12,949 | $ 12,276 | |||||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. The September 30, 2017 table also includes fair value adjustment for which variation margin is characterized as a daily settled contract. At September 30, 2017, cash collateral posted was $109.8 million while variation margin for daily settled contracts was $65.7 million. At December 31, 2016, cash collateral posted was $171.3 million. Cash collateral received was immaterial for both September 30, 2017 and December 31, 2016. | ||||||
[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. As of September 30, 2017, the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||||||
[3] | Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||||||
[4] | The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. | ||||||
[5] | As of September 30, 2017, the amounts reported for cleared derivatives, which are part of the Level 2 amounts in the Derivative assets and Derivative liabilities above, are the net present values of the derivative instruments excluding accumulated variation margin payments. | ||||||
[6] | As of September 30, 2017, the amounts reported for cleared derivatives, which are part of the Level 2 amounts in the Derivative assets and Derivative liabilities above, are the net present values of the derivative instruments excluding accumulated variation margin payments. |
Estimated Fair Values (Fair Val
Estimated Fair Values (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Variation Margin for Daily Settled Contracts | $ 65,700,000 | ||||
Trading securities | 404,315,000 | $ 395,247,000 | |||
AFS securities | 9,028,864,000 | 9,038,081,000 | |||
Derivative assets | 85,005,000 | 81,891,000 | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2],[3] | 3,926,000 | (15,585,000) | ||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2],[3] | (171,187,000) | (186,894,000) | ||
Derivative liabilities | 9,477,000 | 14,010,000 | |||
Fair Value, Inputs, Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 9,063,000 | 7,092,000 | |||
AFS securities | 2,010,000 | 2,000,000 | |||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | ||||
Fair Value, Inputs, Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 395,252,000 | 388,155,000 | |||
AFS securities | 8,469,771,000 | 8,362,105,000 | |||
Derivative assets | [4] | 81,079,000 | 97,476,000 | ||
Derivative liabilities | 180,664,000 | [4] | 200,904,000 | [5] | |
Fair Value, Inputs, Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 557,083,000 | 673,976,000 | |||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 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 | [6] | 3,926,000 | (15,585,000) | ||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [7] | (171,187,000) | [2] | (186,894,000) | [6] |
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 | 9,063,000 | 7,092,000 | |||
AFS securities | 2,010,000 | 2,000,000 | |||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Total assets at fair value | 11,073,000 | 9,092,000 | |||
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 | 395,252,000 | 388,155,000 | |||
AFS securities | 8,469,771,000 | 8,362,105,000 | |||
Derivative assets | 81,079,000 | [4] | 97,476,000 | ||
Derivative liabilities | [7] | 180,664,000 | 200,904,000 | ||
Total assets at fair value | 8,946,102,000 | 8,847,736,000 | |||
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 | 557,083,000 | 673,976,000 | |||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Total assets at fair value | 557,083,000 | 673,976,000 | |||
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 | 18,930,000 | 19,834,000 | |||
Mortgage loans held for portfolio | [8] | 12,921,000 | 13,359,000 | ||
Real estate owned fair value disclosure | [8] | 6,009,000 | 6,475,000 | ||
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 | [6] | 3,926,000 | (15,585,000) | ||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [2] | (171,187,000) | (186,894,000) | ||
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 | 0 | |||
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 | 81,077,000 | [4] | 97,450,000 | ||
Derivative liabilities | 180,481,000 | [5] | 200,806,000 | ||
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 | 0 | |||
Derivative liabilities | 0 | ||||
GSE and TVA obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 395,252,000 | 388,155,000 | |||
AFS securities | 3,096,875,000 | 3,183,193,000 | |||
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 | 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 | 395,252,000 | 388,155,000 | |||
AFS securities | 3,096,875,000 | 3,183,193,000 | |||
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 | 0 | |||
AFS securities | 0 | ||||
State or local agency obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 269,588,000 | 236,412,000 | |||
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 269,588,000 | 236,412,000 | |||
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 | ||||
Mutual Funds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 9,063,000 | 7,092,000 | |||
AFS securities | 2,010,000 | 2,000,000 | |||
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 | 9,063,000 | 7,092,000 | |||
AFS securities | 2,010,000 | 2,000,000 | |||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | ||||
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 | 187,914,000 | 216,434,000 | |||
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 | 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 | 187,914,000 | 216,434,000 | |||
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, 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 | ||||
Mortgages [Member] | Forward Contracts [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 | 0 | 0 | |||
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 | 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 | 2,000 | [4] | 26,000 | ||
Derivative liabilities | 183,000 | [4] | 98,000 | ||
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 | 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 | 557,083,000 | 673,976,000 | |||
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 | 557,083,000 | 673,976,000 | |||
Estimate of Fair Value Measurement [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 404,315,000 | 395,247,000 | |||
AFS securities | 9,028,864,000 | 9,038,081,000 | |||
Derivative assets | 85,005,000 | 81,891,000 | |||
Derivative liabilities | 9,477,000 | 14,010,000 | |||
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 | 404,315,000 | 395,247,000 | |||
AFS securities | 9,028,864,000 | 9,038,081,000 | |||
Derivative assets | 85,005,000 | 81,891,000 | |||
Derivative liabilities | [7] | 9,477,000 | 14,010,000 | ||
Total assets at fair value | 9,518,184,000 | 9,515,219,000 | |||
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 | 18,930,000 | 19,834,000 | |||
Mortgage loans held for portfolio | [8] | 12,921,000 | 13,359,000 | ||
Real estate owned fair value disclosure | [8] | 6,009,000 | 6,475,000 | ||
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 | 85,003,000 | 81,865,000 | |||
Derivative liabilities | 9,294,000 | 13,912,000 | |||
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 | 395,252,000 | 388,155,000 | |||
AFS securities | 3,096,875,000 | 3,183,193,000 | |||
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 | 269,588,000 | 236,412,000 | |||
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 | 9,063,000 | 7,092,000 | |||
AFS securities | 2,010,000 | 2,000,000 | |||
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 | 187,914,000 | 216,434,000 | |||
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 | 2,000 | 26,000 | |||
Derivative liabilities | 183,000 | 98,000 | |||
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 | 557,083,000 | 673,976,000 | |||
Single Family [Member] | GSE MBS [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 2,740,914,000 | 3,213,162,000 | |||
Single Family [Member] | GSE 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 | ||||
Single Family [Member] | GSE 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 | 2,740,914,000 | 3,213,162,000 | |||
Single Family [Member] | GSE MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | ||||
Single Family [Member] | Estimate of Fair Value Measurement [Member] | GSE MBS [Member] | Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 2,740,914,000 | 3,213,162,000 | |||
Multifamily [Member] | GSE MBS [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 2,174,480,000 | 1,512,904,000 | |||
Multifamily [Member] | GSE 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 | ||||
Multifamily [Member] | GSE 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 | 2,174,480,000 | 1,512,904,000 | |||
Multifamily [Member] | GSE MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | ||||
Multifamily [Member] | Estimate of Fair Value Measurement [Member] | GSE MBS [Member] | Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | $ 2,174,480,000 | $ 1,512,904,000 | |||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. The September 30, 2017 table also includes fair value adjustment for which variation margin is characterized as a daily settled contract. At September 30, 2017, cash collateral posted was $109.8 million while variation margin for daily settled contracts was $65.7 million. At December 31, 2016, cash collateral posted was $171.3 million. Cash collateral received was immaterial for both September 30, 2017 and December 31, 2016. | ||||
[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. As of September 30, 2017, the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||||
[3] | Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||||
[4] | As of September 30, 2017, the amounts reported for cleared derivatives, which are part of the Level 2 amounts in the Derivative assets and Derivative liabilities above, are the net present values of the derivative instruments excluding accumulated variation margin payments. | ||||
[5] | As of September 30, 2017, the amounts reported for cleared derivatives, which are part of the Level 2 amounts in the Derivative assets and Derivative liabilities above, are the net present values of the derivative instruments excluding accumulated variation margin payments. | ||||
[6] | ) 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. As of September 30, 2017, the Bank continues to report accumulated variation margin paid on cleared derivatives with collateral, although they are accounted for as daily settlement payments. This is consistent with disclosure as further described in Note 9 - Derivatives and Hedging Activities in this Form 10-Q. Variation margin for daily settled contracts was $65.7 million at September 30, 2017. | ||||
[7] | Derivative liabilities represent the total liabilities at fair value. | ||||
[8] | 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 | 9 Months Ended | |||
Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)loan | Sep. 30, 2016USD ($) | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Sale of AFS | $ 0 | $ (117) | $ 0 | $ 1,300 | |
Net OTTI losses, credit portion | [1] | (38) | 0 | (702) | (239) |
Net change in fair value on OTTI AFS in OCI | 1,094 | 2,891 | $ 7,136 | (3,993) | |
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 | ||||
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, beginning of period | 9,168 | ||||
Sale of AFS | [2] | 1,417 | |||
Accretion of credit losses in interest income | 203 | ||||
Net OTTI losses, credit portion | 0 | ||||
Net unrealized gains on AFS in OCI | 0 | ||||
Reclassification of non-credit portion included in net income | (1,417) | ||||
Net change in fair value on OTTI AFS in OCI | 0 | ||||
Unrealized gains (losses) on OTTI AFS in OCI | (179) | ||||
Purchases, issuances, sales, and settlements: | |||||
Sales | [2] | (8,510) | |||
Settlements | [2] | (682) | |||
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 | [2] | 0 | |||
Balance at September 30 | [2] | 0 | 0 | ||
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, beginning of period | 610,376 | 747,911 | $ 673,976 | 822,740 | |
Sale of AFS | (117) | (117) | |||
Accretion of credit losses in interest income | 6,203 | 4,749 | 16,669 | 13,345 | |
Net OTTI losses, credit portion | (38) | 0 | (702) | (239) | |
Net unrealized gains on AFS in OCI | 53 | (15) | 144 | (62) | |
Reclassification of non-credit portion included in net income | 38 | 117 | 702 | 356 | |
Net change in fair value on OTTI AFS in OCI | 986 | 1,046 | (652) | 284 | |
Unrealized gains (losses) on OTTI AFS in OCI | 108 | 1,845 | 7,788 | (4,098) | |
Purchases, issuances, sales, and settlements: | |||||
Sales | (8,609) | (8,609) | |||
Settlements | (60,643) | (40,939) | (140,842) | (117,612) | |
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 | 4,432 | 4,749 | 13,500 | 13,106 | |
Balance at September 30 | $ 557,083 | $ 705,988 | $ 557,083 | $ 705,988 | |
[1] | For the three months ended September 30, 2017, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were previously impaired prior to July 1 of that year. For the nine months ended September 30, 2017, 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 of that year. | ||||
[2] | ) All AFS Private Label MBS - HELOCs were sold during the first quarter of 2016. |
Commitments and Contingencies89
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2017 | Dec. 31, 2016 | ||
Loss Contingencies [Line Items] | |||
Off-balance Sheet Risks, with annual renewal option | $ 3,800,000 | $ 7,000,000 | |
Other Liabilities - Standby Letter of Credit Fees | $ 59,469 | 37,777 | |
Maximum Commitment Period | 60 days | ||
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Total | $ 131,400 | 467,000 | |
Open RepoPlus Advance Product | |||
Loss Contingencies [Line Items] | |||
Open Repo Plus Product Outstanding | $ 8,500,000 | 7,100,000 | |
Maximum | |||
Loss Contingencies [Line Items] | |||
Letter of Credit Renewal Period | 5 years | ||
Standby letters of credit outstanding (1) (2) | |||
Loss Contingencies [Line Items] | |||
Expiration Date Within One Year | [1],[2] | $ 20,788,376 | |
Expiration Date After One Year | [1],[2] | 712 | |
Total | [1],[2] | 20,789,088 | 19,736,792 |
Other Liabilities - Standby Letter of Credit Fees | 3,800 | 5,000 | |
Commitments to fund additional advances and BOB loans | |||
Loss Contingencies [Line Items] | |||
Expiration Date Within One Year | 31,752 | ||
Expiration Date After One Year | 0 | ||
Total | 31,752 | 158,167 | |
Commitments to fund or purchase mortgage loans | Mortgages [Member] | |||
Loss Contingencies [Line Items] | |||
Expiration Date Within One Year | 49,737 | ||
Expiration Date After One Year | 0 | ||
Total | 49,737 | 15,450 | |
Unsettled consolidated obligation bonds, at par | |||
Loss Contingencies [Line Items] | |||
Expiration Date Within One Year | 109,950 | ||
Expiration Date After One Year | 0 | ||
Total | 109,950 | 2,015,000 | |
Unsettled consolidated obligation discount notes, at par | |||
Loss Contingencies [Line Items] | |||
Expiration Date Within One Year | 26,405 | ||
Expiration Date After One Year | 0 | ||
Total | $ 26,405 | $ 0 | |
[1] | Excludes approved requests to issue future standby letters of credit of $131.4 million and $467.0 million at September 30, 2017 and December 31, 2016, respectively. | ||
[2] | Letters of credit in the amount of $3.8 billion and $7.0 billion at September 30, 2017 and December 31, 2016, 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. |