Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Jul. 31, 2015 | |
Entity Information [Line Items] | ||
Entity Registrant Name | Federal Home Loan Bank of Chicago | |
Entity Central Index Key | 1,331,451 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 18,417,318 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes |
Statements of Condition
Statements of Condition - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Assets | ||
Cash and due from banks | $ 1,551 | $ 342 |
Interest bearing deposits | 560 | 560 |
Federal Funds sold | 751 | 1,525 |
Securities purchased under agreements to resell | 1,250 | 3,400 |
Investment securities - | ||
Trading, $64 and $71 pledged | 160 | 167 |
Available-for-sale | 18,830 | 19,975 |
Held-to-maturity, $7,171 and $7,824 fair value | 6,529 | 7,118 |
Total investment securities | 25,519 | 27,260 |
Advances, $94 and $83 carried at fair value | 34,553 | 32,485 |
MPF Loans held in portfolio, net of allowance for credit losses of $(3) and $(15) | 5,374 | 6,057 |
Derivative assets | 2 | 29 |
Other assets | 200 | 183 |
Total assets | 69,760 | 71,841 |
Liabilities | ||
Noninterest bearing | 49 | 49 |
Interest bearing, $14 and $13 from other FHLBs | 589 | 617 |
Total Deposits | 638 | 666 |
Consolidated obligations, net - | ||
Discount notes, $9,550 and $1,799 carried at fair value | 34,552 | 31,054 |
Bonds, $906 and $2,785 carried at fair value | 28,672 | 34,251 |
Total consolidated obligations, net | 63,224 | 65,305 |
Derivative liabilities | 68 | 55 |
Affordable Housing Program assessment payable | 97 | 90 |
Other liabilities | 240 | 256 |
Subordinated notes | 944 | 944 |
Total liabilities | $ 65,211 | $ 67,316 |
Commitments and contingencies - see notes to the financial statements | ||
Capital | ||
Class B1 activity stock - putable $100 par value - 9 million and 8 million shares issued and outstanding | $ 941 | $ 827 |
Class B2 membership stock - putable $100 par value - 9 million and 11 million shares issued and outstanding | 894 | 1,075 |
Total capital stock | 1,835 | 1,902 |
Retained earnings - unrestricted | 2,285 | 2,152 |
Retained earnings - restricted | 290 | 254 |
Total retained earnings | 2,575 | 2,406 |
Accumulated other comprehensive income (loss) (AOCI) | 139 | 217 |
Total capital | 4,549 | 4,525 |
Total liabilities and capital | $ 69,760 | $ 71,841 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Trading securities pledged | $ 64 | $ 71 |
Held-to-Maturity Fair Value | 7,171 | 7,824 |
Advances carried at fair value | 94 | 83 |
Allowance for credit losses on MPF Loans | (3) | (15) |
Interest bearing deposits from other FHLBs | 14 | 13 |
Discount notes carried at fair value | 9,550 | 1,799 |
Consolidated obligation bonds carried at fair value | $ 906 | $ 2,785 |
Capital stock par value | $ 100 | $ 100 |
Class B1 activity shares issued | 9 | 8 |
Class B1 activity shares outstanding | 9 | 8 |
Class B2 membership shares issued | 9 | 11 |
Class B2 membership shares outstanding | 9 | 11 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Income Statement [Abstract] | ||||
Interest income | $ 309 | $ 345 | $ 630 | $ 700 |
Interest expense | 188 | 226 | 379 | 454 |
Net interest income before provision for (reversal of) credit losses | 121 | 119 | 251 | 246 |
Provision for (reversal of) credit losses | 4 | (3) | 4 | (6) |
Net interest income | 117 | 122 | 247 | 252 |
Noninterest gain (loss) on - | ||||
Trading securities | 0 | (7) | (1) | (12) |
Derivatives and hedging activities | 9 | 2 | (2) | (12) |
Instruments held under fair value option | 0 | (3) | 3 | 1 |
Litigation settlement awards | 10 | 17 | 11 | 17 |
Other, net | 5 | 4 | 8 | 9 |
Noninterest gain (loss) | 24 | 13 | 19 | 3 |
Noninterest expense - | ||||
Compensation and benefits | 18 | 16 | 37 | 32 |
Other operating expenses | 14 | 12 | 25 | 22 |
Other | 1 | 3 | 4 | 7 |
Noninterest expense | 33 | 31 | 66 | 61 |
Income before assessments | 108 | 104 | 200 | 194 |
Affordable Housing Program assessment | 11 | 10 | 20 | 19 |
Net income | $ 97 | $ 94 | $ 180 | $ 175 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 97 | $ 94 | $ 180 | $ 175 |
Other comprehensive income (loss) - | ||||
Net unrealized gain (loss) on available-for-sale securities | (113) | 81 | (135) | 136 |
Non-credit OTTI on held-to-maturity securities | 13 | 14 | 26 | 28 |
Net unrealized gain (loss) on cash flow hedges | 67 | (15) | 39 | 6 |
Post-retirement plans | 0 | 2 | (8) | 3 |
Other comprehensive income (loss) | (33) | 82 | (78) | 173 |
Comprehensive income | $ 64 | $ 176 | $ 102 | $ 348 |
Statements of Stockholders' Equ
Statements of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Total Capital Stock | Retained Earnings, Unrestricted | Retained Earnings, Restricted | Retained Earnings, Total | AOCI | Capital Stock - Putable - B1 ActivityTotal Capital Stock | Capital Stock - Putable - B2 MembershipTotal Capital Stock |
Balance, beginning at Dec. 31, 2013 | $ 3,765 | $ 1,670 | $ 1,853 | $ 175 | $ 2,028 | $ 67 | $ 629 | $ 1,041 |
Shares, beginning at Dec. 31, 2013 | 17 | 7 | 10 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 348 | 140 | 35 | 175 | 173 | |||
Proceeds from issuance of capital stock | 189 | $ 189 | $ 152 | $ 37 | ||||
Proceeds from issuance of capital stock (shares) | 2 | 2 | 0 | |||||
Repurchases of capital stock | (63) | $ (63) | $ (17) | $ (46) | ||||
Repurchases of capital stock (shares) | (1) | (1) | 0 | |||||
Transfers between classes of capital stock | $ (76) | $ 76 | ||||||
Transfers between classes of capital stock (shares) | (1) | 1 | ||||||
Cash dividends - class B1 | (3) | (3) | (3) | |||||
Cash dividends - class B2 | (2) | (2) | (2) | |||||
Balance, ending at Jun. 30, 2014 | 4,234 | $ 1,796 | 1,988 | 210 | 2,198 | 240 | $ 688 | $ 1,108 |
Shares, ending at Jun. 30, 2014 | 18 | 7 | 11 | |||||
Balance, beginning at Dec. 31, 2014 | 4,525 | $ 1,902 | 2,152 | 254 | 2,406 | 217 | $ 827 | $ 1,075 |
Shares, beginning at Dec. 31, 2014 | 19 | 8 | 11 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 102 | 144 | 36 | 180 | (78) | |||
Proceeds from issuance of capital stock | 131 | $ 131 | $ 119 | $ 12 | ||||
Proceeds from issuance of capital stock (shares) | 1 | 1 | 0 | |||||
Repurchases of capital stock | (197) | $ (197) | $ (2) | $ (195) | ||||
Repurchases of capital stock (shares) | (2) | 0 | (2) | |||||
Capital stock reclassified to mandatorily redeemable capital stock | (1) | $ (1) | $ 0 | $ (1) | ||||
Capital stock reclassified to mandatorily redeemable capital stock (shares) | 0 | 0 | 0 | |||||
Transfers between classes of capital stock | $ (3) | $ 3 | ||||||
Transfers between classes of capital stock (shares) | 0 | 0 | ||||||
Cash dividends - class B1 | (8) | (8) | (8) | |||||
Cash dividends - class B2 | (3) | (3) | (3) | |||||
Balance, ending at Jun. 30, 2015 | $ 4,549 | $ 1,835 | $ 2,285 | $ 290 | $ 2,575 | $ 139 | $ 941 | $ 894 |
Shares, ending at Jun. 30, 2015 | 18 | 9 | 9 |
Statements of Stockholders' Eq7
Statements of Stockholders' Equity (Parenthetical) | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Capital Stock - Putable - B1 Activity | ||
Capital Unit [Line Items] | ||
Cash dividend - annualized rate per $100 par value share | 2.25% | 1.40% |
Capital Stock - Putable - B2 Membership | ||
Capital Unit [Line Items] | ||
Cash dividend - annualized rate per $100 par value share | 0.50% | 0.40% |
Condensed Statements of Cash Fl
Condensed Statements of Cash Flows - USD ($) $ in Millions | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | ||
Operating | |||
Net cash provided by (used in) operating activities | $ 316 | $ 333 | |
Investing | |||
Net change interest bearing deposits | 0 | (560) | |
Net change Federal Funds sold | 774 | (1,295) | |
Net change securities purchased under agreements to resell | 2,150 | 600 | |
Advances - | |||
Principal collected | 150,185 | 121,002 | |
Issued | (152,279) | (122,233) | |
MPF Loans held in portfolio - | |||
Principal collected | 720 | 840 | |
Purchases | (44) | (36) | |
Trading securities - | |||
Sales | 0 | 2,002 | |
Proceeds from maturities and paydowns | 4 | 14 | |
Purchases | 0 | (1,812) | |
Held-to-maturity securities - | |||
Short-term held-to-maturity securities, net | [1] | 138 | 211 |
Proceeds from maturities and paydowns | 510 | 548 | |
Purchases | (9) | (18) | |
Available-for-sale securities - | |||
Proceeds from maturities and paydowns | 974 | 782 | |
Proceeds from sale of foreclosed assets | 32 | 43 | |
Capital expenditures for software and equipment | (5) | (5) | |
Net cash provided by (used in) investing activities | 3,150 | 83 | |
Financing | |||
Net change deposits | (28) | (12) | |
Net change in other short-term borrowing from other FHLBs | 0 | 120 | |
Net proceeds from issuance of consolidated obligations - | |||
Discount notes | 178,092 | 580,193 | |
Bonds | 7,426 | 13,843 | |
Payments for maturing and retiring consolidated obligations - | |||
Discount notes | (174,603) | (587,486) | |
Bonds | (13,035) | (8,113) | |
Net proceeds (payments) on derivative contracts with financing element | (30) | (30) | |
Proceeds from issuance of capital stock | 131 | 189 | |
Repurchase or redemption of capital stock | (197) | (63) | |
Redemptions of mandatorily redeemable capital stock | (2) | 0 | |
Cash dividends paid | (11) | (5) | |
Net cash provided by (used in) financing activities | (2,257) | (1,364) | |
Net increase (decrease) in cash and due from banks | 1,209 | (948) | |
Cash and due from banks at beginning of period | 342 | 971 | |
Cash and due from banks at end of period | $ 1,551 | $ 23 | |
[1] | Short-term held-to-maturity securities, net, consists of investment securities with a maturity of less than 90 days when purchased. |
Background and Basis of Present
Background and Basis of Presentation | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Background and Basis of Presentation [Text Block] | Background and Basis of Presentation The Federal Home Loan Bank of Chicago a is a federally chartered corporation and one of 11 Federal Home Loan Banks (the FHLBs) that, with the Office of Finance, comprise the Federal Home Loan Bank System (the System). The FHLBs are government-sponsored enterprises (GSE) of the United States of America and were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLB Act), in order to improve the availability of funds to support home ownership. The FHLBs are regulated by the Federal Housing Finance Agency (FHFA), an independent federal agency. We provide credit to members principally in the form of secured loans called advances. We also provide liquidity for home mortgage loans to members approved as Participating Financial Institutions (PFIs) through the Mortgage Partnership Finance ® (MPF ® ) Program b . Our accounting and financial reporting policies conform to generally accepted accounting principles in the United States of America (GAAP). Amounts in prior periods may be reclassified to conform to the current presentation and if material are disclosed in the following notes. 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 and the following footnotes should be read in conjunction with the audited financial statements and footnotes for the year ended December 31, 2014 , included in our Annual Report on Form 10-K ( 2014 Form 10-K) starting on page F-1, as filed with the SEC. Use of Estimates The preparation of financial statements in accordance with GAAP requires us to make assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these assumptions and estimates apply to the following: • Fair value measurements; • Determination of other-than-temporary impairments of securities; and • Allowance for credit losses. Actual results could differ from these assumptions and estimates. Consolidation of Variable Interest Entities We do not consolidate any of our investments in variable interest entities since we are not the primary beneficiary. We classify variable interest entities as investment securities in our statements of condition. Such investment securities include, but are not limited to, senior interests in private label mortgage backed securities (MBS) and Federal Family Education Loan Program - asset backed securities (FFELP ABS). The carrying amount for these investment securities is driven by our investment intent - that is, whether we hold the investment security as held-to-maturity, available-for-sale or trading. We have no liabilities related to these investments in variable interest entities. We have not provided financial or other support (explicitly or implicitly) to these investment securities that we were not previously contractually required to provide nor do we intend to provide such support in the future. Our maximum loss exposure for these investment securities is limited to their carrying amounts. Gross versus Net Presentation of Financial Instruments We present our derivative assets and liabilities on a net basis in our statements of condition. GAAP requires disclosure of both gross information and net information related to derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing or lending transactions regardless of whether we offset these transactions in our statements of condition. For the periods presented to date, these rights of offset only apply to our derivatives. a Unless otherwise specified, references to we, us, our, and the Bank are to the Federal Home Loan Bank of Chicago. b “Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, and "Community First" are registered trademarks of the Federal Home Loan Bank of Chicago. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Our Summary of Significant Accounting Policies through December 31, 2014, can be found in our 2014 Form 10-K starting on page F-10. We adopted the following policies in 2015: Asset Classification and Charge-off Provisions On April 9, 2012, the FHFA issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). The guidance in AB 2012-02 is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. AB 2012-02 establishes a standard and uniform methodology for classifying assets, prescribes the timing of asset charge-offs (excluding investment securities), and provides measurement guidance with respect to determining our allowance for credit losses, and fair value measurement guidance for conventional MPF Loans that are classified as Substandard, Doubtful, or Loss, and Real Estate Owned (REO) related to conventional MPF Loans. Subsequent to the issuance of AB 2012-02, the FHFA issued interpretative guidance clarifying that implementation of the asset classification framework may occur in two phases. We implemented the asset classification provisions effective January 1, 2014. We prospectively adopted the remaining provisions of AB 2012-02 on January 1, 2015. The effect of implementing the remaining provisions was as follows: • The AB 2012-02 allowance for credit losses measurement guidance did not have a material effect on our financial condition, results of operations, or cash flows at the time of adoption. • We recorded a $10 million charge-off in the first quarter of 2015 to our allowance for credit losses on MPF Loans to conform our charge-off policies to AB 2012-02. In particular, we now write-down a conventional MPF Loan to its fair value less estimated selling costs when such a loan is classified as "Loss" and when a conventional MPF Loan is transferred to REO. Our prior practice was to record a charge-off when a conventional MPF Loan was transferred to REO. Exposures classified "Loss" are considered uncollectible and of such little value that the exposures continuance as a balance sheet asset is not warranted. This classification does not mean that the exposure has absolutely no recovery or salvage value; rather, it is not practical or desirable to defer charging off this asset, even though partial recovery may occur in the future. Examples of confirming events indicating that a "Loss" exists include, but are not limited to, the following: ▪ A current assessment of value is made before a single family residential loan is more than 180 days past due. Any outstanding loan balance in excess of the fair value of the property, less cost to sell, is classified as "Loss" when the loan is no more than 180 days delinquent. • When a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less costs to sell, within 60 days of receipt of the notification of filing from the bankruptcy court or within the delinquency time frames specified in the guidance, whichever is shorter. A loan is not written down if the loan is performing, the borrower continues making payments on the loan, and repayment in full is expected. • Fraudulent loans, not covered by any existing representations and warranties in the loan purchase agreement, are charged off within 90 days of discovery of the fraud, or within the delinquency time frames specified in the adverse classification guidance, whichever is shorter. • We began using an Automated Valuation Methodology (AVM) to determine the fair value of our impaired conventional MPF Loans held in portfolio and REO. Our prior practice was to determine fair value using broker price opinions, if available, to measure impaired conventional MPF Loans held in portfolio and REO. If a current broker price opinion was not available, we estimated fair value based on our current actual loss severity rates we experienced on sales, excluding any estimated selling costs. The use of AVM's to determine fair value may result in increased volatility with respect to our provision for credit losses. • We now place a conventional MPF Loan held in portfolio on nonaccrual when it is adversely classified as either "Substandard," "Doubtful", or "Loss". An adverse classification means that such a loan is not considered well secured and in the process of collection. Exposures classified "Substandard" are inadequately protected by the current worth and paying capacity of the obligor or by the collateral pledged, if any. Exposure so classified must have a well-defined weakness or weaknesses that jeopardize the liquidation of the exposure. These weaknesses are characterized by the distinct possibility that we will sustain some loss if the deficiencies are not corrected. Exposures classified "Doubtful" have all the weaknesses inherent in those exposures classified "Substandard" with the added characteristic that the weaknesses make collection or liquidation in full, on the basis of currently known facts, conditions and values, highly questionable and improbable. Our prior practice was to place conventional MPF Loans held in portfolio on nonaccrual when the loan was 90 or more days past due (or 60 days past due in the case of a bankruptcy) and the loan was not well-secured and in the process of collection. This change in nonaccrual practice did not have a material effect on our nonaccrual loans outstanding at the time of adoption. Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure In August of 2014, the FASB issued new guidance that requires certain government-guaranteed mortgage loans to be derecognized upon foreclosure and established as a separate receivable. Specifically, such accounting treatment is applied to a government-guaranteed mortgage loan in which the loan guarantee is not separable from the loan prior to foreclosure, the creditor has the intent to make a claim on the guarantee and the ability to recover under the claim, and at the time of foreclosure any amount of the claim that is determined on the basis of the fair value of the real estate is fixed. We prospectively adopted this new guidance on January 1, 2015 for our government MPF Loans. Specifically, our foreclosed government MPF Loans meet the conditions specified by the new guidance and will be classified as a receivable rather than REO. The new guidance did not have a material effect on our operating activities or our financial statements since our credit risk on government MPF Loans is limited to whether or not the servicing PFI fails to pay for losses not covered by Federal Housing Administration (FHA) insurance, or Department of Veteran Affairs (VA), Department of Housing and Urban Development (HUD) or Department of Agriculture Rural Housing Service (RHS) guarantees. Our foreclosed government MPF Loans were previously classified in REO in Other Assets. Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure In January of 2014, the FASB issued new accounting guidance clarifying that consumer mortgage loans collateralized by real estate should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. We adopted the new guidance effective January 1, 2015, on a prospective basis. The new guidance is consistent with our previous accounting and did not have an effect on our operating activities or financial statements. Held for Sale Mortgage Loans We classify MPF Xtra, MPF Direct, and government mortgage loans obtained for a Ginnie Mae securitization transaction as mortgage loans held for sale (HFS), as we sell such loans in an outright sale or in a securitization transaction. If material, HFS mortgage loans are classified as a separate line item in our statements of condition; otherwise, we classify HFS mortgage loans in Other Assets. We have elected the fair value option for HFS mortgage loans. Since these HFS mortgage loans are carried at fair value, the loans do not require an allowance for credit losses. We measure the fair value of HFS mortgage loans based on to-be-announced (TBA) securities, which represent quoted market prices for new mortgage-backed securities issued by U.S. government sponsored enterprises. Any initial premium or discount is recognized as part of the fair value measurement process rather than amortized as a yield adjustment. Any transaction fees, such as extension fees, or costs are immediately recognized into other noninterest income. HFS mortgage loans are classified as an operating activity within our statements of cash flows. |
Recently Issued but Not Yet Ado
Recently Issued but Not Yet Adopted Accounting Standards | 6 Months Ended |
Jun. 30, 2015 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued but Not Yet Adopted Accounting Standards [Text Block] | Recently Issued but Not Yet Adopted Accounting Standards Simplifying the Presentation of Debt Issuance Cost (i.e., Concession Fees) In April of 2015, the FASB issued new guidance requiring concession fees to be presented as a direct deduction from the debt it relates to rather than separately presented as a deferred cost in Other Assets. As required, we expect to adopt the new guidance January 1, 2016 on a retrospective basis for all periods presented in our financial statements. The new guidance is not expected to have a material effect on our financial statements. Amendments to Consolidation Analysis In February of 2015, the FASB issued amended guidance concerning consolidation analysis. The new guidance is intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance will be effective for periods beginning after December 15, 2015. Early adoption is permitted, including adoption in an interim period. We do not expect the new guidance to affect our financial condition, results of operations, or cash flows. Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern In August of 2014, the FASB issued guidance that requires an entity's management to assess the entity's ability to continue as a going concern. Specifically, for each annual and interim reporting period, an entity’s management should evaluate whether there are conditions or events, considered in the aggregate, that raise “substantial doubt” about the entity’s ability to continue as a going concern. Substantial doubt about an entity’s ability to continue as a going concern exists when relevant conditions and events, considered in the aggregate, indicate that it is probable that the entity is unable to meet its obligations as they become due within one year after the date that the financial statements are issued. The guidance becomes effective for the interim and annual periods ending after December 15, 2016, and early application is permitted. This guidance is not expected to have any effect on our financial condition or results of operations at the time of adoption. Revenue from Contracts with Customers In May of 2014, the FASB issued new guidance governing revenue recognition from contracts with customers. The new guidance focuses on the timing and amount of revenue recognition that best depicts the transfer by an entity of promised goods or services to its customers. Financial instruments and other contractual rights within the scope of other GAAP guidance are excluded from the scope of this new revenue recognition guidance. As a result, we anticipate that a majority of our contracts with members would be excluded from the scope of this new guidance. The new revenue recognition guidance becomes effective for annual interim reporting periods beginning January 1, 2017. We are in the process of reviewing our contracts with members to determine the effect, if any, on our operating activities and financial statements. |
Interest Income and Interest Ex
Interest Income and Interest Expense | 6 Months Ended |
Jun. 30, 2015 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense [Text Block] | Interest Income and Interest Expense The following table presents interest income and interest expense for the periods indicated: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Interest income - Interest bearing deposits, Federal Funds sold and securities purchased under agreements to resell $ 1 $ 3 $ 4 $ 4 Investment securities - Trading 1 8 2 15 Available-for-sale 130 136 264 279 Held-to-maturity 69 74 138 151 Total investment securities 200 218 404 445 Advances - Advance interest income 42 35 81 73 Advance prepayment fees, including related hedge adjustment gains (losses) of $0, $0, $1, and $0 — 3 6 4 Total Advances 42 38 87 77 MPF Loans held in portfolio 66 86 135 174 Total interest income 309 345 630 700 Interest expense - Consolidated obligations - Discount notes 72 66 144 133 Bonds 103 147 208 294 Total consolidated obligations 175 213 352 427 Subordinated notes 13 13 27 27 Total interest expense 188 226 379 454 Net interest income before provision for (reversal of) credit losses 121 119 251 246 Provision for (reversal of) credit losses 4 (3 ) 4 (6 ) Net interest income $ 117 $ 122 $ 247 $ 252 |
Investment Securities
Investment Securities | 6 Months Ended |
Jun. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities [Text Block] | Investment Securities Our major security types presented in the tables below are defined as follows: • U.S. Government & other government related may consist of the sovereign debt of the United States; debt issued by Fannie Mae, Freddie Mac, and the Federal Farm Credit Banks Funding Corporation; and non-mortgage-backed securities of the Small Business Administration and Tennessee Valley Authority. • Federal Family Education Loan Program - asset backed securities (FFELP ABS). • Government Sponsored Enterprises (GSE) residential mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac. • Government-guaranteed residential, multifamily, and reverse mortgage MBS. • Private-label residential MBS. • State or local housing agency obligations. Pledged Collateral We transact most of our derivatives with large banks and major broker-dealers. Derivative transactions may be entered into either through an over-the-counter bilateral agreement with an individual counterparty or through a Futures Commission Merchant (FCM or clearing member) with a derivatives clearing organization (clearinghouse). We may pledge investment securities as collateral under these agreements, and in such cases, the amount pledged will be noted on the face of the statements of condition. We pledged $64 million of investment securities as collateral for our initial margin with derivative clearing organizations as of June 30, 2015 , and $71 million as of December 31, 2014 . See Note 9 - Derivatives and Hedging Activities for further details. Trading Securities The following table presents the fair value of our trading securities. We had no material gains or losses realized from the sales of trading securities. As of June 30, 2015 December 31, 2014 U.S. Government & other government related $ 101 $ 102 Residential MBS: GSE 57 63 Government-guaranteed 2 2 Total Residential MBS 59 65 Trading securities $ 160 $ 167 At June 30, 2015 , we had net year-to-date unrealized gains (losses) of $(1) million on trading securities still held at period end. Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS) Amortized Cost Basis Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Carrying Amount and Fair Value As of June 30, 2015 U.S. Government & other government related $ 435 $ 26 $ (1 ) $ 460 State or local housing agency 4 — — 4 FFELP ABS 5,456 335 (12 ) 5,779 Residential MBS: GSE 9,895 501 (10 ) 10,386 Government-guaranteed 2,052 81 — 2,133 Private-label 63 5 — 68 Total Residential MBS 12,010 587 (10 ) 12,587 Total $ 17,905 $ 948 $ (23 ) $ 18,830 As of December 31, 2014 U.S. Government & other government related $ 479 $ 29 $ — $ 508 State or local housing agency 3 — — 3 FFELP ABS 5,824 408 (11 ) 6,221 Residential MBS: GSE 10,285 550 (8 ) 10,827 Government-guaranteed 2,258 87 — 2,345 Private-label 66 5 — 71 Total Residential MBS 12,609 642 (8 ) 13,243 Total $ 18,915 $ 1,079 $ (19 ) $ 19,975 We had no sales of AFS securities for the periods presented. Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Securities (HTM) Amortized Cost Basis Non-credit OTTI Recognized in AOCI (Loss) Carrying Amount Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of June 30, 2015 U.S. Government & other government related $ 2,002 $ — $ 2,002 $ 68 $ (1 ) $ 2,069 State or local housing agency 17 — 17 — — 17 Residential MBS: GSE 2,473 — 2,473 173 — 2,646 Government-guaranteed 1,054 — 1,054 26 — 1,080 Private-label 1,221 (238 ) 983 377 (1 ) 1,359 Total Residential MBS 4,748 (238 ) 4,510 576 (1 ) 5,085 Total $ 6,767 $ (238 ) $ 6,529 $ 644 $ (2 ) $ 7,171 As of December 31, 2014 U.S. Government & other government related $ 2,222 $ — $ 2,222 $ 76 $ (1 ) $ 2,297 State or local housing agency 18 — 18 — — 18 Residential MBS: GSE 2,695 — 2,695 189 — 2,884 Government-guaranteed 1,129 — 1,129 28 — 1,157 Private-label 1,318 (264 ) 1,054 415 (1 ) 1,468 Total Residential MBS 5,142 (264 ) 4,878 632 (1 ) 5,509 Total $ 7,382 $ (264 ) $ 7,118 $ 708 $ (2 ) $ 7,824 We had no sales of HTM securities for the periods presented. Aging of Unrealized Temporary Losses The following tables present unrealized temporary losses on our AFS and HTM portfolio for periods less than 12 months and for 12 months or more. We recognized no OTTI charges on these unrealized loss positions because we expect to recover the entire amortized cost basis, we do not intend to sell these securities, and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported. Available-for-Sale Securities Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses As of June 30, 2015 U.S. Government & other government related $ 46 $ (1 ) $ — $ — $ 46 $ (1 ) State or local housing agency 3 — — — 3 — FFELP ABS 11 — 831 (12 ) 842 (12 ) Residential MBS: GSE — — 1,819 (10 ) 1,819 (10 ) Private-label — — 1 — 1 — Total Residential MBS — — 1,820 (10 ) 1,820 (10 ) Total $ 60 $ (1 ) $ 2,651 $ (22 ) $ 2,711 $ (23 ) As of December 31, 2014 U.S. Government & other government related $ 48 $ — $ — $ — $ 48 $ — State or local housing agency 3 — — — 3 — FFELP ABS 14 — 877 (11 ) 891 (11 ) Residential MBS: GSE — — 1,996 (8 ) 1,996 (8 ) Private-label — — 16 — 16 — Total Residential MBS — — 2,012 (8 ) 2,012 (8 ) Total $ 65 $ — $ 2,889 $ (19 ) $ 2,954 $ (19 ) Held-to-Maturity Securities Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses As of June 30, 2015 U.S. Government & other government related $ 2 $ — $ 16 $ (1 ) $ 18 $ (1 ) State or local housing agency 1 — 10 — 11 — Residential MBS: GSE — — 5 — 5 — Private-label — — 1,296 (239 ) 1,296 (239 ) Total Residential MBS — — 1,301 (239 ) 1,301 (239 ) Total $ 3 $ — $ 1,327 $ (240 ) $ 1,330 $ (240 ) As of December 31, 2014 U.S. Government & other government related $ 13 $ — $ 5 $ (1 ) $ 18 $ (1 ) State or local housing agency 10 — — — 10 — Residential MBS: GSE — — 5 — 5 — Private-label 12 — 1,384 (265 ) 1,396 (265 ) Total Residential MBS 12 — 1,389 (265 ) 1,401 (265 ) Total $ 35 $ — $ 1,394 $ (266 ) $ 1,429 $ (266 ) Contractual Maturity Terms The table below presents the amortized cost basis and fair value of AFS and HTM securities by contractual maturity, excluding ABS and MBS securities. These securities are excluded because their expected maturities may differ from their contractual maturities if borrowers of the underlying loans elect to prepay their loans. Available-for-Sale Held-to-Maturity As of June 30, 2015 Amortized Cost Basis Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ — $ — $ 671 $ 671 Due after one year through five years 80 84 72 73 Due after five years through ten years 17 19 365 379 Due after ten years 342 361 911 963 ABS and MBS without a single maturity date 17,466 18,366 4,510 5,085 Total securities $ 17,905 $ 18,830 $ 6,529 $ 7,171 Other-Than-Temporary Impairment Analysis Significant Inputs Used to Determine OTTI Our analysis for OTTI on our private-label MBS includes key modeling assumptions, inputs, and methodologies provided by an FHLB System OTTI Committee. We use the information provided to generate cash flow projections used in analyzing credit losses and determining OTTI for private-label MBS. The OTTI Committee was formed by the FHLBs to achieve consistency among the FHLBs in their analyses of the OTTI of private-label MBS. We are responsible for making our own determination of impairment, which includes determining the reasonableness of assumptions, inputs, and methodologies used, and performing the required present value calculations using appropriate historical cost bases and yields. As of June 30, 2015 , we had a short-term housing price forecast with projected changes ranging from -2.0% to +8.0% over the twelve month period beginning April 1, 2015 for all markets. For the vast majority of markets, the short-term forecast has changes ranging from +2.0% to +5.0% . Previously, long-term home price projections following the short-term period were projected to recover using one of five different recovery paths. Starting with the second quarter of 2014, a unique path was projected for each geographic area based on an internally developed framework derived from historical data. Based on these inputs and assumptions, we had no OTTI charges for the three or six months ended June 30, 2015 , and 2014 . The following table presents the changes in the cumulative amount of credit losses (recognized into earnings) on OTTI investment securities for the periods stated. Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Beginning Balance $ 605 $ 663 $ 620 $ 677 Reductions: Increases in expected future cash flows recorded as credit-related accretion into interest income (14 ) (14 ) (29 ) (28 ) Ending Balance $ 591 $ 649 $ 591 $ 649 |
Advances
Advances | 6 Months Ended |
Jun. 30, 2015 | |
Federal Home Loan Banks [Abstract] | |
Advances [Text Block] | Advances We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. The following table presents our advances by callable/putable features: As of June 30, 2015 December 31, 2014 Noncallable/nonputable $ 31,748 $ 29,666 Callable 961 964 Putable 1,687 1,673 Total par value 34,396 32,303 Hedging adjustments 137 166 Other adjustments 20 16 Total advances $ 34,553 $ 32,485 The following table presents our advances by redemption terms: As of June 30, 2015 Amount Weighted Average Interest Rate Next Maturity or Call Date Next Maturity or Put Date Due in one year or less $ 8,347 0.44 % $ 9,208 $ 9,533 One to two years 4,384 1.35 % 4,226 3,909 Two to three years 4,699 1.14 % 4,272 4,032 Three to four years 4,953 0.33 % a 4,753 4,939 Four to five years 9,985 0.26 % a 9,914 10,037 More than five years 2,028 2.55 % 2,023 1,946 Total par value $ 34,396 0.71 % $ 34,396 $ 34,396 a The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates. See Note 8 - Allowance for Credit Losses for information related to our credit risk on advances and allowance methodology for credit losses. |
MPF Loans
MPF Loans | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
MPF Loans [Text Block] | MPF Loans The following table presents information on MPF Loans held in our portfolio by contractual maturity at the time of purchase. All are fixed-rate. Government is comprised of loans insured by the FHA and loans guaranteed by the VA, HUD or RHS. As of June 30, 2015 December 31, 2014 Medium term (15 years or less) $ 855 $ 1,094 Long term (greater than 15 years) 4,458 4,905 Total unpaid principal balance 5,313 5,999 Net premiums, credit enhancement and deferred loan fees 21 23 Hedging adjustments 43 50 Total before allowance for credit losses 5,377 6,072 Allowance for credit losses on MPF Loans (3 ) (15 ) Total MPF Loans held in portfolio, net $ 5,374 $ 6,057 Conventional mortgage loans $ 4,011 $ 4,619 Government insured mortgage loans 1,302 1,380 Total unpaid principal balance $ 5,313 $ 5,999 See Note 8 - Allowance for Credit Losses for information related to our credit risk on MPF Loans and allowance for credit losses methodology . In addition to our portfolio MPF products, PFIs sell eligible MPF Loans to us through the MPF Program infrastructure and we concurrently sell them to Fannie Mae under the MPF Xtra product and to third party investors under the MPF Direct product. Under our MPF Government MBS product, PFIs sell us Government Loans that we intend to hold in our portfolio for a short period of time until such loans are pooled into Ginnie Mae MBS. Other MPF Banks that offer these three products allow their PFIs to sell MPF Loans directly to us. As of June 30, 2015, we held an immaterial amount of MPF Loans held for sale, recorded in Other Assets in our statements of condition. See Note 2 - Summary of Significant Accounting Policies for information related to our accounting for MPF Loans that are held for sale. |
Allowance for Credit Losses
Allowance for Credit Losses | 6 Months Ended |
Jun. 30, 2015 | |
Receivables [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses We have established an allowance methodology for each of our portfolio segments: • member credit products (advances, letters of credit and other extensions of credit to borrowers); • conventional MPF Loans held for portfolio; • government MPF Loans held for portfolio; and • term Federal Funds sold and term securities purchased under agreements to resell. For detailed information on these methodologies and our accounting policies please see Note 8 - Allowance for Credit Losses to the financial statements in our 2014 Form 10-K. Any updates to these accounting policies are noted below. Member Credit Products We lend to members within our district according to federal statutes, including the FHLB Act, and FHFA regulations. The FHLB Act requires us to obtain sufficient collateral to fully secure our credit products, and we do not expect to incur any credit losses on advances. We perfect our security interest in pledged collateral and enter into control agreements for securities collateral. We take a risk-based approach in requiring delivery of pledged collateral. We have policies and procedures in place that are designed to manage our credit risk, including requirements for restrictions on borrowing, verifications of collateral and monitoring of borrowings and the borrower's financial condition. Based upon the collateral we held as security, our credit extension and collateral policies, our credit analysis and the repayment history on credit products, we do not believe that any credit losses have been incurred on our credit products. Accordingly, we have not recorded any allowance for credit losses for our on-balance sheet credit products nor a liability for our credit products with off-balance sheet credit exposure. Further, we expect to collect all amounts due according to contractual terms of our credit products. Accordingly, for the periods presented, we had no credit products that were past due, on nonaccrual status, considered impaired, or considered a troubled debt restructuring. Conventional MPF Loans MPF Risk Sharing Structure We share the risk of credit losses on conventional MPF Loan products held in portfolio with our PFIs by structuring potential losses on conventional MPF Loans into layers with respect to each master commitment (MC). The credit risk analysis determines the degree to which layers of the MPF Risk Sharing Structure are available to recover losses on MPF Loans. PFIs deliver MPF Loans into pools designated by product specific MCs. The credit risk analysis is performed at an individual MC level as loss recovery is MC-specific and no risk layer can be applied across a PFI's MCs. With respect to participation interests in MPF Loans, losses are allocated amongst the participating MPF Banks pro-ratably based upon their respective percentage participation interest in the related MC. For further detail of our MPF Risk Sharing Structure see page F-31 in our 2014 Form 10-K. The following table presents the changes in the allowance for credit losses on conventional MPF Loans. Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Balance, beginning of period $ 4 $ 24 $ 15 $ 29 Losses charged to the allowance (5 ) (2 ) (16 ) (4 ) Provision for (reversal of) credit losses 4 (3 ) 4 (6 ) Balance, end of period $ 3 $ 19 $ 3 $ 19 The following table presents the recorded investment by impairment methodology on conventional MPF Loans. As of June 30, 2015 December 31, 2014 Specifically identified and individually evaluated for impairment $ — $ 12 Homogeneous pools of loans and collectively evaluated for impairment 3 3 Allowance for credit losses on conventional MPF Loans $ 3 $ 15 Individually evaluated for impairment $ 126 $ 160 Collectively evaluated for impairment 3,951 4,538 Total recorded investment $ 4,077 $ 4,698 Government MPF Loans Held in Portfolio The PFI provides and maintains insurance or a guaranty from governmental agencies, which includes ensuring compliance with all of their requirements, and obtaining the benefit of the applicable insurance or guaranty with respect to defaulted government MPF Loans. Any losses incurred on government MPF Loans that are not recovered from the government insurer or guarantor are absorbed by the servicing PFI. Accordingly, our credit risk on government MPF Loans is limited to whether or not the servicing PFI fails to pay for losses not covered by FHA insurance, or VA, HUD or RHS guarantees. In this regard, based on our assessment of the servicing PFIs, we did not establish an allowance for credit losses for our government MPF Loan portfolio as of the periods presented. Further, due to the government guarantee or insurance and the servicing PFIs ability to absorb losses, government MPF Loans are not placed on nonaccrual status or disclosed as troubled debt restructurings. Credit Quality Indicators - MPF Loans The table below summarizes our recorded investment in MPF Loans by our key credit quality indicators. Serious delinquency rate is defined as 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. Past due 90 days or more still accruing interest is defined as MPF Loans that are either government guaranteed or conventional mortgage loans that are well secured (by collateral that have a fair value sufficient to discharge the debt or by the guarantee or insurance, such as PMI, of a financially responsible party) and in the process of collection. June 30, 2015 December 31, 2014 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 109 $ 74 $ 183 $ 138 $ 92 $ 230 Past due 60-89 days 33 18 51 43 23 66 Past due 90 days or more 116 38 154 153 44 197 Total past due 258 130 388 334 159 493 Total current 3,819 1,198 5,017 4,364 1,246 5,610 Total recorded investment $ 4,077 $ 1,328 $ 5,405 $ 4,698 $ 1,405 $ 6,103 Also in process of foreclosure $ 60 $ 13 $ 73 $ 77 $ 11 $ 88 Serious delinquency rate 2.88 % 2.85 % 2.87 % 3.28 % 3.15 % 3.25 % Past due 90 days or more still accruing interest $ 9 $ 38 $ 47 $ 25 $ 44 $ 69 On nonaccrual status $ 126 $ — $ 126 $ 163 $ — $ 163 Troubled Debt Restructurings As of June 30, 2015 and December 31, 2014 , our recorded investment balances of mortgage loans classified as troubled debt restructurings were $66 million and $73 million , respectively. The financial amounts related to troubled debt restructurings are not material to our financial condition, results of operations, or cash flows. Individually Evaluated Impaired Loans The following table summarizes the recorded investment, unpaid principal balance, and related allowance of impaired MPF Loans individually assessed for impairment, which includes impaired collateral dependent MPF Loans and troubled debt restructurings. As of June 30, 2015 , we had no allowance for our impaired MPF Loans. For further details see Note 2 - Summary of Significant Accounting Policies to the financial statements. As of June 30, 2015 December 31, 2014 Recorded investment with an allowance $ — $ 160 Recorded investment without an allowance 126 — Unpaid principal balance with an allowance — 158 Unpaid principal balance without an allowance 137 — Related allowance — 12 The following table summarizes the average recorded investment of impaired conventional MPF Loans. We do not recognize interest income on impaired loans. Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Average recorded investment with an allowance $ — $ 190 $ — $ 197 Average recorded investment without an allowance 131 — 140 — Term Federal Funds Sold and Term Securities Purchased Under Agreements to Resell Federal Funds sold are only evaluated for purposes of an allowance for credit losses if payment is not made when due. In this regard, all Federal Funds sold were repaid according to their contractual terms. We did not establish an allowance for credit losses for Securities Purchased Under Agreements to Resell since all payments due under the contractual terms have been received and because we hold sufficient underlying collateral. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Refer to Note 2 - Summary of Significant Accounting Polices to the financial statements in our 2014 Form 10-K for our accounting policies for derivatives. We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Derivative transactions may be entered into through an over-the-counter bilateral agreement with an individual counterparty. Additionally, we clear derivatives transactions through an FCM with a derivatives clearing organization (clearinghouse). We are not a derivatives dealer and do not trade derivatives for speculative purposes. Managing Credit Risk on Derivative Agreements We are subject to credit risk due to the risk of nonperformance by counterparties to our derivative agreements. For bilateral derivative agreements, the degree of counterparty risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies and FHFA regulations. We require collateral agreements on all derivatives that establish collateral delivery thresholds. Additionally, collateral related to derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement, and held by the member institution for our benefit. Based on credit analyses and collateral requirements, we do not anticipate any credit losses on our derivative agreements. See Note 16 - Fair Value Accounting to the financial statements in our 2014 Form 10-K for discussion regarding our 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. Our over-the-counter bilateral derivative agreements contain provisions that require us to post additional collateral with our counterparties if there is deterioration in our credit rating, except for those derivative agreements with a zero unsecured collateral threshold for both parties, in which case positions are required to be fully collateralized regardless of credit rating. If our credit rating is lowered by a major credit rating agency, such as Standard and Poor's or Moody’s, we would be required to deliver additional collateral on derivatives in net liability positions. If our credit rating had been lowered from its current rating to the next lower rating, we would have been required to deliver up to an additional $59 million of collateral at fair value to our derivatives counterparties at June 30, 2015 . Cleared swaps are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. We post initial and variation margin through the clearing member, on behalf of the clearinghouse, which could expose us to institutional credit risk in the event that a clearing member or the clearinghouse fail to meet their obligations. Clearing derivatives through a clearinghouse mitigates counterparty credit risk exposure because a central clearinghouse counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives through an FCM. The clearinghouse determines initial margin requirements for cleared derivatives. In this regard, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to, credit rating downgrades. We were not required to post additional initial margin by our clearing agents at June 30, 2015 . We present our derivative assets and liabilities on a net basis in our statements of condition. Refer to Note 1 - Background and Basis of Presentation and Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2014 Form 10-K for further discussion. In addition to the cash collateral as noted in the following table, we also pledged $64 million of investment securities at June 30, 2015 , of which $64 million can be sold or repledged, as part of our initial margin related to cleared derivative transactions. The following table presents our gross and net derivative assets and liabilities by contract type and amount for our derivative agreements. June 30, 2015 December 31, 2014 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate swaps $ 30,038 $ 49 $ 1,219 $ 30,940 $ 53 $ 1,348 Derivatives not in hedge accounting relationships- Interest rate swaps 25,226 459 342 19,159 487 329 Interest rate swaptions 1,710 60 — 1,850 56 — Interest rate caps or floors 1,131 98 — 1,164 105 — Interest rate futures 7 — — 3 — — Mortgage delivery commitments 469 1 1 284 3 3 Other 14 — — — — — Derivatives not in hedge accounting relationships 28,557 618 343 22,460 651 332 Gross derivative amount before adjustments $ 58,595 667 1,562 $ 53,400 704 1,680 Netting adjustments and cash collateral (665 ) a (1,494 ) a (675 ) a (1,625 ) a Derivatives on statements of condition $ 2 $ 68 $ 29 $ 55 a Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $865 million at June 30, 2015, and $978 million at December 31, 2014. Cash collateral received was $35 million at June 30, 2015, and $29 million at December 31, 2014. The following table presents our gross recognized amount of offsetting derivative assets and liabilities for derivatives with legal right of offset as well as derivatives without the legal right of offset. Any over-collateralization received by or paid from us to an individual clearing member and/or at a counterparty arrangement level is not included in the determination of the net amount. Specifically, any such over-collateralization amount received by us is not offset against another derivative asset counterparty exposure for which there is no legal right of offset, while any over-collateralization delivered by us is not offset against another derivative liability counterparty exposure for which there is no legal right of offset. Derivative Assets Derivative Liabilities As of June 30, 2015 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 599 $ 67 $ 666 $ 1,355 $ 206 $ 1,561 Netting adjustments and cash collateral (598 ) (67 ) (665 ) (1,293 ) (201 ) (1,494 ) Derivatives with legal right of offset - net 1 — 1 62 5 67 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 2 — 2 63 5 68 Noncash collateral received (pledged) and cannot be sold or repledged — — — — 5 5 Net amount $ 2 $ — $ 2 $ 63 $ — $ 63 As of December 31, 2014 Derivatives with legal right of offset - Gross recognized amount $ 656 $ 45 $ 701 $ 1,466 $ 211 $ 1,677 Netting adjustments and cash collateral (632 ) (43 ) (675 ) (1,414 ) (211 ) (1,625 ) Derivatives with legal right of offset - net 24 2 26 52 — 52 Derivatives without legal right of offset 3 — 3 3 — 3 Derivatives on statements of condition 27 2 29 55 — 55 Noncash collateral received (pledged) and cannot be sold or repledged 23 — 23 — — — Net amount $ 4 $ 2 $ 6 $ 55 $ — $ 55 At June 30, 2015 , we had $59 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a clearinghouse for initial margin, which exceeded our net derivative liability position. We had $4 million comparable exposure at December 31, 2014 . The table below presents the gains (losses) of derivatives and hedging activities as presented in the statements of income. Three months ended June 30, Six months ended June 30, For the periods ending 2015 2014 2015 2014 Fair value hedges - Interest rate swaps $ 6 $ (6 ) $ (13 ) $ (12 ) Cash flow hedges 1 — 1 1 Economic hedges - Interest rate swaps (6 ) (4 ) (29 ) (3 ) Interest rate swaptions (5 ) (1 ) 3 (16 ) Interest rate caps or floors (7 ) (5 ) (8 ) (15 ) Mortgage delivery commitments — 1 — 1 Net interest settlements 20 17 44 32 Economic hedges 2 8 10 (1 ) Gains (losses) on derivatives and hedging activities $ 9 $ 2 $ (2 ) $ (12 ) Fair Value Hedges The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the effect of those derivatives on our net interest income. We had no gain (loss) for hedged firm commitments on forward-starting advances that no longer qualified as a fair value hedge. Gain (loss) Net Interest Settlements Recorded in Net Interest Income Closed Hedge Adjustments Amortized into Net Interest Income On Derivative On Hedged Item Total Ineffectiveness Recognized in Derivatives and Hedging Activities Three months ended Available-for-sale securities $ 48 $ (45 ) $ 3 $ (34 ) a $ — b Advances 89 (86 ) 3 (21 ) a (1 ) b MPF Loans held for portfolio — — — — a (3 ) b Consolidated obligation bonds (44 ) 44 — 60 a (3 ) b Total $ 93 $ (87 ) $ 6 $ 5 a $ (7 ) b Three months ended Available-for-sale securities $ (28 ) $ 26 $ (2 ) $ (35 ) a $ — b Advances (33 ) 35 2 (20 ) a (1 ) b MPF Loans held for portfolio — — — — a (4 ) b Consolidated obligation bonds 149 (155 ) (6 ) 65 a (5 ) b Total $ 88 $ (94 ) $ (6 ) $ 10 a $ (10 ) b Six months ended Available-for-sale securities $ 12 $ (14 ) $ (2 ) $ (68 ) $ (10 ) Advances 28 (29 ) (1 ) (41 ) — MPF Loans held for portfolio — — — — (7 ) Consolidated obligation bonds 30 (40 ) (10 ) 118 (3 ) Total $ 70 $ (83 ) $ (13 ) $ 9 $ (20 ) Six months ended Available-for-sale securities $ (30 ) $ 27 $ (3 ) $ (70 ) $ — Advances (63 ) 67 4 (40 ) (2 ) MPF Loans held for portfolio — — — — (9 ) Consolidated obligation bonds 282 (295 ) (13 ) 126 (10 ) Total $ 189 $ (201 ) $ (12 ) $ 16 $ (21 ) a Represents the effect of net interest settlements attributable to open derivative hedging instruments on net interest income. The effect of derivatives on net interest income is included in the interest income/expense line item of the respective hedged item type. b Amortization of hedge adjustments is included in the interest income/expense line item of the respective hedged item type. Cash Flow Hedges The following table presents our gains (losses) on our cash-flow hedging relationships recorded in income and other comprehensive income (loss). In cases where amounts are insignificant in the aggregate, we do not report a balance. Amortization of Effective Portion Reclassified From AOCI to Interest Ineffective Portion Reclassified From AOCI to Derivatives and Hedging Activities Total Reclassified From AOCI to Statements of Income Net Change in Other Comprehensive Income Effective Portion Recorded in AOCI Net Interest Settlements Recorded in Net Interest Income Three months ended Advances - interest rate floors $ 3 $ — $ 3 $ (3 ) $ — $ — Discount notes - interest rate swaps — 1 1 69 70 (62 ) a Bonds - interest rate swaps (1 ) — (1 ) 1 — — Total $ 2 $ 1 $ 3 $ 67 $ 70 $ (62 ) a Three months ended Advances - interest rate floors $ 2 $ — $ 2 $ (2 ) $ — $ — Discount notes - interest rate swaps — — — (14 ) (14 ) (61 ) a Bonds - interest rate swaps (1 ) — (1 ) 1 — — Total $ 1 $ — $ 1 $ (15 ) $ (14 ) $ (61 ) a Six months ended Advances - interest rate floors $ 6 $ — $ 6 $ (6 ) $ — $ — Discount notes - interest rate swaps (1 ) 1 — 43 43 (124 ) a Bonds - interest rate swaps (2 ) — (2 ) 2 — — Total $ 3 $ 1 $ 4 $ 39 $ 43 $ (124 ) a Six months ended Advances - interest rate floors $ 5 $ — $ 5 $ (5 ) $ — $ — Discount notes - interest rate swaps (1 ) 1 — 10 10 (122 ) a Bonds - interest rate swaps (1 ) — (1 ) 1 — — Total $ 3 $ 1 $ 4 $ 6 $ 10 $ (122 ) a a Represents the effect of net interest settlements attributable to open derivative hedging instruments on net interest income. The effect of derivatives on net interest income is included in the interest income/expense line item of the respective hedged item type. There were no amounts reclassified from AOCI into earnings for the periods presented as a result of the discontinuance of cash-flow hedges because the original forecasted transactions failed to occur by the end of the originally specified time period or within a two-month period thereafter. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were $(1) million as of June 30, 2015 . The maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is 5 years . |
Consolidated Obligations
Consolidated Obligations | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations The FHLBs issue consolidated obligations through the Office of Finance as their agent. Consolidated obligations consist of discount notes and consolidated obligation bonds. Consolidated discount notes are issued primarily to raise short-term funds. Discount notes are issued at less than their face amount and redeemed at par value when they mature. The maturity of consolidated bonds range from less than one year to over 20 years , but they are not subject to any statutory or regulatory limits on maturity. The following table presents our consolidated obligation bonds, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates. As of June 30, 2015 Contractual Maturity Weighted Average Interest Rate By Next Maturity or Call Date Due in one year or less $ 3,232 3.56 % $ 20,513 One to two years 3,464 2.01 % 2,584 Two to three years 5,797 1.74 % 2,369 Three to four years 3,788 1.34 % 1,899 Four to five years 4,843 1.62 % 211 Thereafter 7,664 2.63 % 1,212 Total par value $ 28,788 2.14 % $ 28,788 The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of June 30, 2015 December 31, 2014 Carrying Amount $ 34,552 $ 31,054 Par Value 34,562 31,060 Weighted Average Interest Rate 0.12 % 0.09 % The following table presents consolidated obligation bonds outstanding by call feature: As of June 30, 2015 December 31, 2014 Noncallable $ 10,882 $ 11,046 Callable 17,906 23,355 Par value 28,788 34,401 Bond premiums (discounts), net 12 17 Hedging adjustments (134 ) (177 ) Fair value option adjustments 6 10 Total consolidated obligation bonds $ 28,672 $ 34,251 Joint and Several Liability We do not expect to pay any additional amounts on behalf of other FHLBs under our joint and several liability as of June 30, 2015 . As a result, we did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of June 30, 2015 and December 31, 2014 . The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor: June 30, 2015 December 31, 2014 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 454,603 $ 398,180 $ 852,783 $ 484,812 $ 362,363 $ 847,175 FHLB Chicago as primary obligor 28,788 34,562 63,350 34,401 31,060 65,461 As a percent of the FHLB System 6 % 9 % 7 % 7 % 9 % 8 % |
Capital
Capital | 6 Months Ended |
Jun. 30, 2015 | |
Capital [Abstract] | |
Capital [Text Block] | Capital Under our Capital Plan our stock consists of two sub-classes of stock, Class B1 activity stock and Class B2 membership stock (together, Class B stock), both with a par value of $100 and redeemable on five years ' written notice, subject to certain conditions. Under the Capital Plan, each member is required to own capital stock in an amount equal to the greater of a membership stock requirement or an activity stock requirement. Class B1 activity stock is available for purchase only to support a member ' s activity stock requirement. Class B2 membership stock is available to be purchased to support a member ' s membership stock requirement and any activity stock requirement. Minimum Capital Requirements For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-44 of our 2014 Form 10-K. We complied with our minimum regulatory capital requirements as shown below: June 30, 2015 December 31, 2014 Requirement Actual Requirement Actual Risk-based capital $ 1,107 $ 4,418 $ 1,127 $ 4,317 Total regulatory capital $ 2,790 $ 4,418 $ 2,874 $ 4,317 Total regulatory capital ratio 4.00 % 6.33 % 4.00 % 6.01 % Leverage capital $ 3,488 $ 6,628 $ 3,592 $ 6,475 Leverage capital ratio 5.00 % 9.50 % 5.00 % 9.01 % Total regulatory capital and leverage capital do not include accumulated other comprehensive income (loss). Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Accumulated Other Comprehensive Income (Loss) [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table summarizes the income (loss) in AOCI for the periods indicated: Net Unrealized Gain (Loss) Non-credit OTTI Net Unrealized on Cash Flow Hedges Available-for-sale Securities Held-to-maturity Securities Post-Retirement Plans Total AOCI Three months ended June 30, 2015 Beginning balance $ 1,038 $ (251 ) $ (608 ) $ (7 ) $ 172 Change in the period recorded to the statements of condition, before reclassifications to statements of income (113 ) 13 70 — (30 ) Amounts reclassified in period to statements of income: Net interest income — — (2 ) — (2 ) Non-interest gain (loss) — — (1 ) — (1 ) Total other comprehensive income in the period (113 ) 13 67 — (33 ) Ending balance $ 925 $ (238 ) $ (541 ) $ (7 ) $ 139 Three months ended June 30, 2014 Beginning balance $ 1,107 $ (306 ) $ (644 ) $ 1 $ 158 Change in the period recorded to the statements of condition, before reclassifications to statements of income 81 14 (14 ) 2 83 Amounts reclassified in period to statements of income: Net interest income — — (1 ) — (1 ) Total other comprehensive income in the period 81 14 (15 ) 2 82 Ending balance $ 1,188 $ (292 ) $ (659 ) $ 3 $ 240 Six months ended June 30, 2015 Beginning balance $ 1,060 $ (264 ) $ (580 ) $ 1 $ 217 Change in the period recorded to the statements of condition, before reclassifications to statements of income (135 ) 26 43 (8 ) (74 ) Amounts reclassified in period to: Net interest income — — (3 ) — (3 ) Non-interest gain (loss) — — (1 ) — (1 ) Net change in the period (135 ) 26 39 (8 ) (78 ) Ending balance $ 925 $ (238 ) $ (541 ) $ (7 ) $ 139 Six months ended June 30, 2014 Beginning balance $ 1,052 $ (320 ) $ (665 ) $ — $ 67 Change in the period recorded to the statements of condition, before reclassifications to statements of income 136 28 10 2 176 Amounts reclassified in period to: Net interest income — — (3 ) — (3 ) Non-interest gain (loss) — — (1 ) — (1 ) Non-interest expense — — — 1 1 Net change in the period 136 28 6 3 173 Ending balance $ 1,188 $ (292 ) $ (659 ) $ 3 $ 240 |
Fair Value Accounting
Fair Value Accounting | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Accounting [Text Block] | Fair Value Accounting For accounting policies regarding fair values see Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2014 Form 10-K. For a description of the valuation techniques and significant inputs see Note 16 - Fair Value Accounting to the financial statements in our 2014 Form 10-K. There has been one change in our valuation inputs for interest rate derivative agreements since then as discussed below. The fair values of all interest rate derivative agreements are netted by clearing member and/or by counterparty, including cash collateral received from or delivered to the counterparty. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. We use a midmarket pricing convention based on the bid-ask spread for fair-value measurements. Because these estimates are made at a specific point in time, they are susceptible to material near-term changes. We evaluated the potential for the fair value of the instruments to be affected by changes in our counterparty credit risk and our own credit risk, and we made no adjustments as they were insignificant to the overall fair-value measurements. When midmarket pricing inputs are unavailable, we use a discounted cash-flow model which uses market-observable inputs (inputs that are actively quoted and can be validated to external sources), including the following: • Discount rate assumption. At June 30, 2015 we used the overnight-index swap (OIS) curve and at December 31, 2014 we used the LIBOR swap curve. We operationally implemented using the OIS curve to determine the fair value of derivative contracts in the first quarter of 2015. The initial effect of using the OIS curve did not have a material effect on our operating activities or financial statements. The tables below are a summary of the fair value estimates and related levels in the fair value hierarchy. The carrying amounts are as recorded in the statements of condition. These tables do not represent an estimate of our overall market value as a going concern; as they do not take into account future business opportunities and future net profitability of assets and liabilities. The tables below are presented in the following order: • Fair values of financial instruments. • Financial instruments measured at fair value on a recurring basis on our statements of condition. • Assets measured at fair value on a nonrecurring basis on our statements of condition. We had no transfers between Levels 1, 2, and/or 3 for the periods presented. Fair values of financial instruments Carrying Amount Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 June 30, 2015 Financial Assets - Cash and due from banks $ 1,551 $ 1,551 $ 1,551 $ — $ — Interest bearing deposits 560 560 560 — — Federal Funds sold 751 751 — 751 — Securities purchased under agreements to resell 1,250 1,250 — 1,250 — Held-to-maturity securities 6,529 7,171 — 5,812 1,359 Advances 34,553 34,582 — 34,582 — MPF Loans held in portfolio, net 5,374 5,763 — 5,725 38 Financial Liabilities - Deposits (638 ) (638 ) — (638 ) — Consolidated obligation discount notes (34,552 ) (34,552 ) — (34,552 ) — Consolidated obligation bonds (28,672 ) (29,198 ) — (29,140 ) (58 ) a Subordinated notes (944 ) (992 ) — (992 ) — December 31, 2014 Financial Assets - Cash and due from banks $ 342 $ 342 $ 342 $ — $ — Interest bearing deposits 560 560 560 — — Federal Funds sold 1,525 1,525 — 1,525 — Securities purchased under agreements to resell 3,400 3,400 — 3,400 — Held-to-maturity securities 7,118 7,824 — 6,356 1,468 Advances 32,485 32,546 — 32,546 — MPF Loans held in portfolio, net 6,057 6,585 — 6,435 150 Financial Liabilities - Deposits (666 ) (666 ) — (666 ) — Consolidated obligation discount notes (31,054 ) (31,055 ) — (31,055 ) — Consolidated obligation bonds (34,251 ) (34,831 ) — (34,768 ) (63 ) a Subordinated notes (944 ) (1,013 ) — (1,013 ) — a Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. Financial instruments measured at fair value on a recurring basis on our statements of condition As of June 30, 2015 Level 2 Level 3 Netting Fair Value Financial assets - Trading securities: U.S. Government & other government related non-MBS $ 101 $ — $ 101 GSE residential MBS 57 — 57 U.S. Governmental-guaranteed residential MBS 2 — 2 Trading securities 160 — 160 Available-for-sale securities: U.S. Government & other government related non-MBS 460 — 460 State or local housing agency non-MBS 4 — 4 FFELP ABS 5,779 — 5,779 GSE residential MBS 10,386 — 10,386 U.S. Government-guaranteed residential MBS 2,133 — 2,133 Private-label residential MBS — 68 68 Available-for-sale securities 18,762 68 18,830 Advances 94 — 94 Derivative assets 658 9 $ (665 ) a 2 Other assets - Mortgage loans held for sale 11 — 11 Total financial assets at fair value $ 19,685 $ 77 $ (665 ) $ 19,097 Level 3 as a percent of total assets at fair value 0.4 % Financial liabilities - Consolidated obligation discount notes $ (9,550 ) $ — $ (9,550 ) Consolidated obligation bonds (906 ) (58 ) b (964 ) Derivative liabilities (1,562 ) — $ 1,494 a (68 ) Total financial liabilities at fair value $ (12,018 ) $ (58 ) $ 1,494 $ (10,582 ) Level 3 as a percent of total liabilities at fair value 0.5 % As of December 31, 2014 Financial assets - Trading securities: U.S. Government & other government related non-MBS $ 102 $ — $ 102 GSE residential MBS 63 — 63 U.S. Governmental-guaranteed residential MBS 2 — 2 Trading securities 167 — 167 Available-for-sale securities: U.S. Government & other government related non-MBS 508 — 508 State or local housing agency non-MBS 3 — 3 FFELP ABS 6,221 — 6,221 GSE residential MBS 10,827 — 10,827 U.S. Government-guaranteed residential MBS 2,345 — 2,345 Private-label residential MBS — 71 71 Available-for-sale securities 19,904 71 19,975 Advances 83 — 83 Derivative assets 691 13 $ (675 ) a 29 Total financial assets at fair value $ 20,845 $ 84 $ (675 ) $ 20,254 Level 3 as a percent of total assets at fair value 0.4 % Financial liabilities - Consolidated obligation discount notes $ (1,799 ) $ — $ (1,799 ) Consolidated obligation bonds (2,785 ) (63 ) b (2,848 ) Derivative liabilities (1,680 ) — $ 1,625 a (55 ) Total financial liabilities at fair value $ (6,264 ) $ (63 ) $ 1,625 $ (4,702 ) Level 3 as a percent of total liabilities at fair value 1.3 % a The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right of setoff, by contract (e.g., master netting agreement) or otherwise, to discharge all or a portion of the debt owed to our counterparty by applying against the debt an amount that our counterparty owes to us. See Note 9 - Derivatives and Hedging Activities . b Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. Financial instruments carried at fair value on a recurring basis using Level 3 inputs were immaterial and there were no significant changes in balances in unobservable inputs (Level 3) in the six months ended June 30, 2015 , or 2014 . Assets measured at fair value on a nonrecurring basis on our statements of condition Assets that are not carried at fair value in our statements of condition may be required to be measured at fair value under certain circumstances. Examples include, but are not limited to, conventional MPF Loans held in portfolio that become impaired or REO that have declined in fair value during the reporting period. We measure such assets at fair value on a nonrecurring basis. Effective January 1, 2015, we began using an Automated Valuation Methodology (AVM) to determine the fair value of our impaired conventional MPF Loans and REO pursuant to the guidance provided by AB 2012-02. Refer to Note 2 - Summary of Significant Accounting Policies for further details. The table below presents assets that typically are not carried at fair value that were measured at fair value in our statements of condition as of the dates shown. The fair value information presented is not as of the period-end, rather it was as of the date the fair value adjustment was recorded during the six months ended June 30, 2015, and excludes nonrecurring fair value measurements of assets no longer on the balance sheet. Level 3 As of June 30, 2015 December 31, 2014 Impaired conventional MPF Loans held in portfolio $ 38 $ 150 REO (recorded in Other Assets) 12 9 Fair Value Option We elected the fair value option for advances, MPF Loans held for sale, discount notes, and consolidated obligation bonds for which hedge accounting treatment may not be achieved. Specifically, hedge accounting may not be achieved in cases where it may be difficult to pass prospective or retrospective effectiveness testing under derivative hedge accounting guidance even though the interest rate swaps used to hedge these financial instruments have matching terms. Accordingly, electing the fair value option allows us to better match the change in fair value of the advance, MPF Loans held for sale, discount note, and short-term consolidated obligation bonds with the interest rate swap economically hedging it. We made no adjustments to the fair values of our instruments under the fair value option for credit risk as of the dates presented. The table below summarizes the net gain (loss) related to financial assets and liabilities for which we elected the fair value option, except for MPF Loans held for sale which are not material. Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Advances $ — $ — $ 1 $ — Bonds 2 (3 ) 4 1 Discount Notes (2 ) — (2 ) — Total $ — $ (3 ) $ 3 $ 1 The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for advances and consolidated obligation bonds for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. June 30, 2015 December 31, 2014 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid Principal Balance $ 90 $ 900 $ 80 $ 2,775 Fair Value Over (Under) UPB 4 6 3 10 Fair Value $ 94 $ 906 $ 83 $ 2,785 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies The table below shows our commitments outstanding, which represent off-balance sheet obligations, for the periods presented. June 30, 2015 December 31, 2014 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 185 $ — $ 185 $ 91 $ — $ 91 Member standby letters of credit 4,333 1,479 a 5,812 2,410 1,207 a 3,617 Housing authority standby bond purchase agreements 17 436 453 155 262 417 Committed unused member lines of credit — — — 4,000 — 4,000 Advance commitments 267 105 372 158 104 262 Other commitments 303 — 303 211 — 211 Commitments $ 5,105 $ 2,020 $ 7,125 $ 7,025 $ 1,573 $ 8,598 a Contains $927 million and $974 million of member standby letters of credit at June 30, 2015 , and December 31, 2014 , which were renewable annually. For a description of previously defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2014 Form 10-K. |
Transactions with Related Parti
Transactions with Related Parties and Other FHLBs | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties and Other FHLBs [Text Block] | Transactions with Related Parties and Other FHLBs We define related parties as members that own 10% or more of our capital stock or members whose officers or directors also serve on our Board of Directors. Capital stock ownership is a prerequisite to transacting any member business with us. Members and former members own all of our capital stock. See Note 11 - Capital for further details. In the normal course of business, we extend credit to or enter into other transactions with these related parties. All transactions are done at market terms that are no more favorable than the terms of comparable transactions with other members who are not considered related parties. Members The table below summarizes balances we had with our members as defined above as related parties (including their affiliates). Members represented in these tables may change between periods presented, to the extent that our related parties change, based on changes in the composition of our Board membership. As of June 30, 2015 December 31, 2014 Assets - Interest bearing deposits $ 560 $ 560 Assets - Advances 11,183 11,159 Assets - Advance Interest Receivable 3 2 Liabilities - Deposits 21 26 Equity - Capital Stock 268 267 Other FHLBs From time to time, we may loan to, or borrow from, other FHLBs at market rates. These transactions are overnight, maturing the following business day. These and other material transactions with other FHLBs, if any, are identified on the face of our Financial Statements . |
Summary of Significant Accoun24
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Asset Classification and Charge-off Provisions [Policy Text Block] | Asset Classification and Charge-off Provisions On April 9, 2012, the FHFA issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). The guidance in AB 2012-02 is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. AB 2012-02 establishes a standard and uniform methodology for classifying assets, prescribes the timing of asset charge-offs (excluding investment securities), and provides measurement guidance with respect to determining our allowance for credit losses, and fair value measurement guidance for conventional MPF Loans that are classified as Substandard, Doubtful, or Loss, and Real Estate Owned (REO) related to conventional MPF Loans. Subsequent to the issuance of AB 2012-02, the FHFA issued interpretative guidance clarifying that implementation of the asset classification framework may occur in two phases. We implemented the asset classification provisions effective January 1, 2014. We prospectively adopted the remaining provisions of AB 2012-02 on January 1, 2015. The effect of implementing the remaining provisions was as follows: • The AB 2012-02 allowance for credit losses measurement guidance did not have a material effect on our financial condition, results of operations, or cash flows at the time of adoption. • We recorded a $10 million charge-off in the first quarter of 2015 to our allowance for credit losses on MPF Loans to conform our charge-off policies to AB 2012-02. In particular, we now write-down a conventional MPF Loan to its fair value less estimated selling costs when such a loan is classified as "Loss" and when a conventional MPF Loan is transferred to REO. Our prior practice was to record a charge-off when a conventional MPF Loan was transferred to REO. Exposures classified "Loss" are considered uncollectible and of such little value that the exposures continuance as a balance sheet asset is not warranted. This classification does not mean that the exposure has absolutely no recovery or salvage value; rather, it is not practical or desirable to defer charging off this asset, even though partial recovery may occur in the future. Examples of confirming events indicating that a "Loss" exists include, but are not limited to, the following: ▪ A current assessment of value is made before a single family residential loan is more than 180 days past due. Any outstanding loan balance in excess of the fair value of the property, less cost to sell, is classified as "Loss" when the loan is no more than 180 days delinquent. • When a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less costs to sell, within 60 days of receipt of the notification of filing from the bankruptcy court or within the delinquency time frames specified in the guidance, whichever is shorter. A loan is not written down if the loan is performing, the borrower continues making payments on the loan, and repayment in full is expected. • Fraudulent loans, not covered by any existing representations and warranties in the loan purchase agreement, are charged off within 90 days of discovery of the fraud, or within the delinquency time frames specified in the adverse classification guidance, whichever is shorter. • We began using an Automated Valuation Methodology (AVM) to determine the fair value of our impaired conventional MPF Loans held in portfolio and REO. Our prior practice was to determine fair value using broker price opinions, if available, to measure impaired conventional MPF Loans held in portfolio and REO. If a current broker price opinion was not available, we estimated fair value based on our current actual loss severity rates we experienced on sales, excluding any estimated selling costs. The use of AVM's to determine fair value may result in increased volatility with respect to our provision for credit losses. • We now place a conventional MPF Loan held in portfolio on nonaccrual when it is adversely classified as either "Substandard," "Doubtful", or "Loss". An adverse classification means that such a loan is not considered well secured and in the process of collection. Exposures classified "Substandard" are inadequately protected by the current worth and paying capacity of the obligor or by the collateral pledged, if any. Exposure so classified must have a well-defined weakness or weaknesses that jeopardize the liquidation of the exposure. These weaknesses are characterized by the distinct possibility that we will sustain some loss if the deficiencies are not corrected. Exposures classified "Doubtful" have all the weaknesses inherent in those exposures classified "Substandard" with the added characteristic that the weaknesses make collection or liquidation in full, on the basis of currently known facts, conditions and values, highly questionable and improbable. Our prior practice was to place conventional MPF Loans held in portfolio on nonaccrual when the loan was 90 or more days past due (or 60 days past due in the case of a bankruptcy) and the loan was not well-secured and in the process of collection. This change in nonaccrual practice did not have a material effect on our nonaccrual loans outstanding at the time of adoption. |
Classification of Certain Government-Guaranteed Mortgage Loans Upon Foreclosure and Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure [Policy Text Block] | Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure In August of 2014, the FASB issued new guidance that requires certain government-guaranteed mortgage loans to be derecognized upon foreclosure and established as a separate receivable. Specifically, such accounting treatment is applied to a government-guaranteed mortgage loan in which the loan guarantee is not separable from the loan prior to foreclosure, the creditor has the intent to make a claim on the guarantee and the ability to recover under the claim, and at the time of foreclosure any amount of the claim that is determined on the basis of the fair value of the real estate is fixed. We prospectively adopted this new guidance on January 1, 2015 for our government MPF Loans. Specifically, our foreclosed government MPF Loans meet the conditions specified by the new guidance and will be classified as a receivable rather than REO. The new guidance did not have a material effect on our operating activities or our financial statements since our credit risk on government MPF Loans is limited to whether or not the servicing PFI fails to pay for losses not covered by Federal Housing Administration (FHA) insurance, or Department of Veteran Affairs (VA), Department of Housing and Urban Development (HUD) or Department of Agriculture Rural Housing Service (RHS) guarantees. Our foreclosed government MPF Loans were previously classified in REO in Other Assets. Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure In January of 2014, the FASB issued new accounting guidance clarifying that consumer mortgage loans collateralized by real estate should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. We adopted the new guidance effective January 1, 2015, on a prospective basis. The new guidance is consistent with our previous accounting and did not have an effect on our operating activities or financial statements. |
Held for Sale Mortgage Loans [Policy Text Block] | Held for Sale Mortgage Loans We classify MPF Xtra, MPF Direct, and government mortgage loans obtained for a Ginnie Mae securitization transaction as mortgage loans held for sale (HFS), as we sell such loans in an outright sale or in a securitization transaction. If material, HFS mortgage loans are classified as a separate line item in our statements of condition; otherwise, we classify HFS mortgage loans in Other Assets. We have elected the fair value option for HFS mortgage loans. Since these HFS mortgage loans are carried at fair value, the loans do not require an allowance for credit losses. We measure the fair value of HFS mortgage loans based on to-be-announced (TBA) securities, which represent quoted market prices for new mortgage-backed securities issued by U.S. government sponsored enterprises. Any initial premium or discount is recognized as part of the fair value measurement process rather than amortized as a yield adjustment. Any transaction fees, such as extension fees, or costs are immediately recognized into other noninterest income. HFS mortgage loans are classified as an operating activity within our statements of cash flows. |
Interest Income and Interest 25
Interest Income and Interest Expense (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense [Table Text Block] | The following table presents interest income and interest expense for the periods indicated: Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Interest income - Interest bearing deposits, Federal Funds sold and securities purchased under agreements to resell $ 1 $ 3 $ 4 $ 4 Investment securities - Trading 1 8 2 15 Available-for-sale 130 136 264 279 Held-to-maturity 69 74 138 151 Total investment securities 200 218 404 445 Advances - Advance interest income 42 35 81 73 Advance prepayment fees, including related hedge adjustment gains (losses) of $0, $0, $1, and $0 — 3 6 4 Total Advances 42 38 87 77 MPF Loans held in portfolio 66 86 135 174 Total interest income 309 345 630 700 Interest expense - Consolidated obligations - Discount notes 72 66 144 133 Bonds 103 147 208 294 Total consolidated obligations 175 213 352 427 Subordinated notes 13 13 27 27 Total interest expense 188 226 379 454 Net interest income before provision for (reversal of) credit losses 121 119 251 246 Provision for (reversal of) credit losses 4 (3 ) 4 (6 ) Net interest income $ 117 $ 122 $ 247 $ 252 |
Investment Securities (Tables)
Investment Securities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Trading Securities by Major Security Type [Table Text Block] | The following table presents the fair value of our trading securities. We had no material gains or losses realized from the sales of trading securities. As of June 30, 2015 December 31, 2014 U.S. Government & other government related $ 101 $ 102 Residential MBS: GSE 57 63 Government-guaranteed 2 2 Total Residential MBS 59 65 Trading securities $ 160 $ 167 At June 30, 2015 , we had net year-to-date unrealized gains (losses) of $(1) million on trading securities still held at period end. |
Available-for-sale Securities by Major Security Type [Table Text Block] | Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS) Amortized Cost Basis Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Carrying Amount and Fair Value As of June 30, 2015 U.S. Government & other government related $ 435 $ 26 $ (1 ) $ 460 State or local housing agency 4 — — 4 FFELP ABS 5,456 335 (12 ) 5,779 Residential MBS: GSE 9,895 501 (10 ) 10,386 Government-guaranteed 2,052 81 — 2,133 Private-label 63 5 — 68 Total Residential MBS 12,010 587 (10 ) 12,587 Total $ 17,905 $ 948 $ (23 ) $ 18,830 As of December 31, 2014 U.S. Government & other government related $ 479 $ 29 $ — $ 508 State or local housing agency 3 — — 3 FFELP ABS 5,824 408 (11 ) 6,221 Residential MBS: GSE 10,285 550 (8 ) 10,827 Government-guaranteed 2,258 87 — 2,345 Private-label 66 5 — 71 Total Residential MBS 12,609 642 (8 ) 13,243 Total $ 18,915 $ 1,079 $ (19 ) $ 19,975 We had no sales of AFS securities for the periods presented. |
Held-to-maturity Securities by Major Security Type [Table Text Block] | Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Securities (HTM) Amortized Cost Basis Non-credit OTTI Recognized in AOCI (Loss) Carrying Amount Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of June 30, 2015 U.S. Government & other government related $ 2,002 $ — $ 2,002 $ 68 $ (1 ) $ 2,069 State or local housing agency 17 — 17 — — 17 Residential MBS: GSE 2,473 — 2,473 173 — 2,646 Government-guaranteed 1,054 — 1,054 26 — 1,080 Private-label 1,221 (238 ) 983 377 (1 ) 1,359 Total Residential MBS 4,748 (238 ) 4,510 576 (1 ) 5,085 Total $ 6,767 $ (238 ) $ 6,529 $ 644 $ (2 ) $ 7,171 As of December 31, 2014 U.S. Government & other government related $ 2,222 $ — $ 2,222 $ 76 $ (1 ) $ 2,297 State or local housing agency 18 — 18 — — 18 Residential MBS: GSE 2,695 — 2,695 189 — 2,884 Government-guaranteed 1,129 — 1,129 28 — 1,157 Private-label 1,318 (264 ) 1,054 415 (1 ) 1,468 Total Residential MBS 5,142 (264 ) 4,878 632 (1 ) 5,509 Total $ 7,382 $ (264 ) $ 7,118 $ 708 $ (2 ) $ 7,824 We had no sales of HTM securities for the periods presented. |
Securities in a Continuous Unrealized Loss Position [Table Text Block] | The following tables present unrealized temporary losses on our AFS and HTM portfolio for periods less than 12 months and for 12 months or more. We recognized no OTTI charges on these unrealized loss positions because we expect to recover the entire amortized cost basis, we do not intend to sell these securities, and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported. Available-for-Sale Securities Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses As of June 30, 2015 U.S. Government & other government related $ 46 $ (1 ) $ — $ — $ 46 $ (1 ) State or local housing agency 3 — — — 3 — FFELP ABS 11 — 831 (12 ) 842 (12 ) Residential MBS: GSE — — 1,819 (10 ) 1,819 (10 ) Private-label — — 1 — 1 — Total Residential MBS — — 1,820 (10 ) 1,820 (10 ) Total $ 60 $ (1 ) $ 2,651 $ (22 ) $ 2,711 $ (23 ) As of December 31, 2014 U.S. Government & other government related $ 48 $ — $ — $ — $ 48 $ — State or local housing agency 3 — — — 3 — FFELP ABS 14 — 877 (11 ) 891 (11 ) Residential MBS: GSE — — 1,996 (8 ) 1,996 (8 ) Private-label — — 16 — 16 — Total Residential MBS — — 2,012 (8 ) 2,012 (8 ) Total $ 65 $ — $ 2,889 $ (19 ) $ 2,954 $ (19 ) Held-to-Maturity Securities Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses As of June 30, 2015 U.S. Government & other government related $ 2 $ — $ 16 $ (1 ) $ 18 $ (1 ) State or local housing agency 1 — 10 — 11 — Residential MBS: GSE — — 5 — 5 — Private-label — — 1,296 (239 ) 1,296 (239 ) Total Residential MBS — — 1,301 (239 ) 1,301 (239 ) Total $ 3 $ — $ 1,327 $ (240 ) $ 1,330 $ (240 ) As of December 31, 2014 U.S. Government & other government related $ 13 $ — $ 5 $ (1 ) $ 18 $ (1 ) State or local housing agency 10 — — — 10 — Residential MBS: GSE — — 5 — 5 — Private-label 12 — 1,384 (265 ) 1,396 (265 ) Total Residential MBS 12 — 1,389 (265 ) 1,401 (265 ) Total $ 35 $ — $ 1,394 $ (266 ) $ 1,429 $ (266 ) |
Securities by Contractual Maturity [Table Text Block] | The table below presents the amortized cost basis and fair value of AFS and HTM securities by contractual maturity, excluding ABS and MBS securities. These securities are excluded because their expected maturities may differ from their contractual maturities if borrowers of the underlying loans elect to prepay their loans. Available-for-Sale Held-to-Maturity As of June 30, 2015 Amortized Cost Basis Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ — $ — $ 671 $ 671 Due after one year through five years 80 84 72 73 Due after five years through ten years 17 19 365 379 Due after ten years 342 361 911 963 ABS and MBS without a single maturity date 17,466 18,366 4,510 5,085 Total securities $ 17,905 $ 18,830 $ 6,529 $ 7,171 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents the changes in the cumulative amount of credit losses (recognized into earnings) on OTTI investment securities for the periods stated. Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Beginning Balance $ 605 $ 663 $ 620 $ 677 Reductions: Increases in expected future cash flows recorded as credit-related accretion into interest income (14 ) (14 ) (29 ) (28 ) Ending Balance $ 591 $ 649 $ 591 $ 649 |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Federal Home Loan Banks [Abstract] | |
Schedule of Advances by Callable and Putable Features [Table Text Block] | We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. The following table presents our advances by callable/putable features: As of June 30, 2015 December 31, 2014 Noncallable/nonputable $ 31,748 $ 29,666 Callable 961 964 Putable 1,687 1,673 Total par value 34,396 32,303 Hedging adjustments 137 166 Other adjustments 20 16 Total advances $ 34,553 $ 32,485 |
Advances by Year of Contractual Maturity, Next Call Date, or Next Put or Convert Date [Table Text Block] | The following table presents our advances by redemption terms: As of June 30, 2015 Amount Weighted Average Interest Rate Next Maturity or Call Date Next Maturity or Put Date Due in one year or less $ 8,347 0.44 % $ 9,208 $ 9,533 One to two years 4,384 1.35 % 4,226 3,909 Two to three years 4,699 1.14 % 4,272 4,032 Three to four years 4,953 0.33 % a 4,753 4,939 Four to five years 9,985 0.26 % a 9,914 10,037 More than five years 2,028 2.55 % 2,023 1,946 Total par value $ 34,396 0.71 % $ 34,396 $ 34,396 a The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates. |
MPF Loans (Tables)
MPF Loans (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | The following table presents information on MPF Loans held in our portfolio by contractual maturity at the time of purchase. All are fixed-rate. Government is comprised of loans insured by the FHA and loans guaranteed by the VA, HUD or RHS. As of June 30, 2015 December 31, 2014 Medium term (15 years or less) $ 855 $ 1,094 Long term (greater than 15 years) 4,458 4,905 Total unpaid principal balance 5,313 5,999 Net premiums, credit enhancement and deferred loan fees 21 23 Hedging adjustments 43 50 Total before allowance for credit losses 5,377 6,072 Allowance for credit losses on MPF Loans (3 ) (15 ) Total MPF Loans held in portfolio, net $ 5,374 $ 6,057 Conventional mortgage loans $ 4,011 $ 4,619 Government insured mortgage loans 1,302 1,380 Total unpaid principal balance $ 5,313 $ 5,999 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Receivables [Abstract] | |
Rollforward of Allowance for Credit Losses on Mortgage Loans [Table Text Block] | The following table presents the changes in the allowance for credit losses on conventional MPF Loans. Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Balance, beginning of period $ 4 $ 24 $ 15 $ 29 Losses charged to the allowance (5 ) (2 ) (16 ) (4 ) Provision for (reversal of) credit losses 4 (3 ) 4 (6 ) Balance, end of period $ 3 $ 19 $ 3 $ 19 |
Schedule of Accounts, Notes, Loans and Financing Receivable by Impairment Methodology [Table Text Block] | The following table presents the recorded investment by impairment methodology on conventional MPF Loans. As of June 30, 2015 December 31, 2014 Specifically identified and individually evaluated for impairment $ — $ 12 Homogeneous pools of loans and collectively evaluated for impairment 3 3 Allowance for credit losses on conventional MPF Loans $ 3 $ 15 Individually evaluated for impairment $ 126 $ 160 Collectively evaluated for impairment 3,951 4,538 Total recorded investment $ 4,077 $ 4,698 |
Past Due Financing Receivables [Table Text Block] | The table below summarizes our recorded investment in MPF Loans by our key credit quality indicators. Serious delinquency rate is defined as 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. Past due 90 days or more still accruing interest is defined as MPF Loans that are either government guaranteed or conventional mortgage loans that are well secured (by collateral that have a fair value sufficient to discharge the debt or by the guarantee or insurance, such as PMI, of a financially responsible party) and in the process of collection. June 30, 2015 December 31, 2014 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 109 $ 74 $ 183 $ 138 $ 92 $ 230 Past due 60-89 days 33 18 51 43 23 66 Past due 90 days or more 116 38 154 153 44 197 Total past due 258 130 388 334 159 493 Total current 3,819 1,198 5,017 4,364 1,246 5,610 Total recorded investment $ 4,077 $ 1,328 $ 5,405 $ 4,698 $ 1,405 $ 6,103 Also in process of foreclosure $ 60 $ 13 $ 73 $ 77 $ 11 $ 88 Serious delinquency rate 2.88 % 2.85 % 2.87 % 3.28 % 3.15 % 3.25 % Past due 90 days or more still accruing interest $ 9 $ 38 $ 47 $ 25 $ 44 $ 69 On nonaccrual status $ 126 $ — $ 126 $ 163 $ — $ 163 |
Impaired Financing Receivables [Table Text Block] | The following table summarizes the recorded investment, unpaid principal balance, and related allowance of impaired MPF Loans individually assessed for impairment, which includes impaired collateral dependent MPF Loans and troubled debt restructurings. As of June 30, 2015 , we had no allowance for our impaired MPF Loans. For further details see Note 2 - Summary of Significant Accounting Policies to the financial statements. As of June 30, 2015 December 31, 2014 Recorded investment with an allowance $ — $ 160 Recorded investment without an allowance 126 — Unpaid principal balance with an allowance — 158 Unpaid principal balance without an allowance 137 — Related allowance — 12 The following table summarizes the average recorded investment of impaired conventional MPF Loans. We do not recognize interest income on impaired loans. Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Average recorded investment with an allowance $ — $ 190 $ — $ 197 Average recorded investment without an allowance 131 — 140 — |
Derivatives and Hedging Activ30
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table presents our gross and net derivative assets and liabilities by contract type and amount for our derivative agreements. June 30, 2015 December 31, 2014 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate swaps $ 30,038 $ 49 $ 1,219 $ 30,940 $ 53 $ 1,348 Derivatives not in hedge accounting relationships- Interest rate swaps 25,226 459 342 19,159 487 329 Interest rate swaptions 1,710 60 — 1,850 56 — Interest rate caps or floors 1,131 98 — 1,164 105 — Interest rate futures 7 — — 3 — — Mortgage delivery commitments 469 1 1 284 3 3 Other 14 — — — — — Derivatives not in hedge accounting relationships 28,557 618 343 22,460 651 332 Gross derivative amount before adjustments $ 58,595 667 1,562 $ 53,400 704 1,680 Netting adjustments and cash collateral (665 ) a (1,494 ) a (675 ) a (1,625 ) a Derivatives on statements of condition $ 2 $ 68 $ 29 $ 55 a Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $865 million at June 30, 2015, and $978 million at December 31, 2014. Cash collateral received was $35 million at June 30, 2015, and $29 million at December 31, 2014. |
Balance Sheet Offsetting [Table Text Block] | The following table presents our gross recognized amount of offsetting derivative assets and liabilities for derivatives with legal right of offset as well as derivatives without the legal right of offset. Any over-collateralization received by or paid from us to an individual clearing member and/or at a counterparty arrangement level is not included in the determination of the net amount. Specifically, any such over-collateralization amount received by us is not offset against another derivative asset counterparty exposure for which there is no legal right of offset, while any over-collateralization delivered by us is not offset against another derivative liability counterparty exposure for which there is no legal right of offset. Derivative Assets Derivative Liabilities As of June 30, 2015 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 599 $ 67 $ 666 $ 1,355 $ 206 $ 1,561 Netting adjustments and cash collateral (598 ) (67 ) (665 ) (1,293 ) (201 ) (1,494 ) Derivatives with legal right of offset - net 1 — 1 62 5 67 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 2 — 2 63 5 68 Noncash collateral received (pledged) and cannot be sold or repledged — — — — 5 5 Net amount $ 2 $ — $ 2 $ 63 $ — $ 63 As of December 31, 2014 Derivatives with legal right of offset - Gross recognized amount $ 656 $ 45 $ 701 $ 1,466 $ 211 $ 1,677 Netting adjustments and cash collateral (632 ) (43 ) (675 ) (1,414 ) (211 ) (1,625 ) Derivatives with legal right of offset - net 24 2 26 52 — 52 Derivatives without legal right of offset 3 — 3 3 — 3 Derivatives on statements of condition 27 2 29 55 — 55 Noncash collateral received (pledged) and cannot be sold or repledged 23 — 23 — — — Net amount $ 4 $ 2 $ 6 $ 55 $ — $ 55 At June 30, 2015 , we had $59 million of additional net credit exposure on cleared derivatives due to our pledging of non-cash collateral to a clearinghouse for initial margin, which exceeded our net derivative liability position. We had $4 million comparable exposure at December 31, 2014 . |
Derivatives And Hedging Activities as Presented in the Statements of Income [Table Text Block] | The table below presents the gains (losses) of derivatives and hedging activities as presented in the statements of income. Three months ended June 30, Six months ended June 30, For the periods ending 2015 2014 2015 2014 Fair value hedges - Interest rate swaps $ 6 $ (6 ) $ (13 ) $ (12 ) Cash flow hedges 1 — 1 1 Economic hedges - Interest rate swaps (6 ) (4 ) (29 ) (3 ) Interest rate swaptions (5 ) (1 ) 3 (16 ) Interest rate caps or floors (7 ) (5 ) (8 ) (15 ) Mortgage delivery commitments — 1 — 1 Net interest settlements 20 17 44 32 Economic hedges 2 8 10 (1 ) Gains (losses) on derivatives and hedging activities $ 9 $ 2 $ (2 ) $ (12 ) |
Fair Value Hedges [Table Text Block] | The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the effect of those derivatives on our net interest income. We had no gain (loss) for hedged firm commitments on forward-starting advances that no longer qualified as a fair value hedge. Gain (loss) Net Interest Settlements Recorded in Net Interest Income Closed Hedge Adjustments Amortized into Net Interest Income On Derivative On Hedged Item Total Ineffectiveness Recognized in Derivatives and Hedging Activities Three months ended Available-for-sale securities $ 48 $ (45 ) $ 3 $ (34 ) a $ — b Advances 89 (86 ) 3 (21 ) a (1 ) b MPF Loans held for portfolio — — — — a (3 ) b Consolidated obligation bonds (44 ) 44 — 60 a (3 ) b Total $ 93 $ (87 ) $ 6 $ 5 a $ (7 ) b Three months ended Available-for-sale securities $ (28 ) $ 26 $ (2 ) $ (35 ) a $ — b Advances (33 ) 35 2 (20 ) a (1 ) b MPF Loans held for portfolio — — — — a (4 ) b Consolidated obligation bonds 149 (155 ) (6 ) 65 a (5 ) b Total $ 88 $ (94 ) $ (6 ) $ 10 a $ (10 ) b Six months ended Available-for-sale securities $ 12 $ (14 ) $ (2 ) $ (68 ) $ (10 ) Advances 28 (29 ) (1 ) (41 ) — MPF Loans held for portfolio — — — — (7 ) Consolidated obligation bonds 30 (40 ) (10 ) 118 (3 ) Total $ 70 $ (83 ) $ (13 ) $ 9 $ (20 ) Six months ended Available-for-sale securities $ (30 ) $ 27 $ (3 ) $ (70 ) $ — Advances (63 ) 67 4 (40 ) (2 ) MPF Loans held for portfolio — — — — (9 ) Consolidated obligation bonds 282 (295 ) (13 ) 126 (10 ) Total $ 189 $ (201 ) $ (12 ) $ 16 $ (21 ) a Represents the effect of net interest settlements attributable to open derivative hedging instruments on net interest income. The effect of derivatives on net interest income is included in the interest income/expense line item of the respective hedged item type. b Amortization of hedge adjustments is included in the interest income/expense line item of the respective hedged item type. |
Cash Flow Hedges [Table Text Block] | The following table presents our gains (losses) on our cash-flow hedging relationships recorded in income and other comprehensive income (loss). In cases where amounts are insignificant in the aggregate, we do not report a balance. Amortization of Effective Portion Reclassified From AOCI to Interest Ineffective Portion Reclassified From AOCI to Derivatives and Hedging Activities Total Reclassified From AOCI to Statements of Income Net Change in Other Comprehensive Income Effective Portion Recorded in AOCI Net Interest Settlements Recorded in Net Interest Income Three months ended Advances - interest rate floors $ 3 $ — $ 3 $ (3 ) $ — $ — Discount notes - interest rate swaps — 1 1 69 70 (62 ) a Bonds - interest rate swaps (1 ) — (1 ) 1 — — Total $ 2 $ 1 $ 3 $ 67 $ 70 $ (62 ) a Three months ended Advances - interest rate floors $ 2 $ — $ 2 $ (2 ) $ — $ — Discount notes - interest rate swaps — — — (14 ) (14 ) (61 ) a Bonds - interest rate swaps (1 ) — (1 ) 1 — — Total $ 1 $ — $ 1 $ (15 ) $ (14 ) $ (61 ) a Six months ended Advances - interest rate floors $ 6 $ — $ 6 $ (6 ) $ — $ — Discount notes - interest rate swaps (1 ) 1 — 43 43 (124 ) a Bonds - interest rate swaps (2 ) — (2 ) 2 — — Total $ 3 $ 1 $ 4 $ 39 $ 43 $ (124 ) a Six months ended Advances - interest rate floors $ 5 $ — $ 5 $ (5 ) $ — $ — Discount notes - interest rate swaps (1 ) 1 — 10 10 (122 ) a Bonds - interest rate swaps (1 ) — (1 ) 1 — — Total $ 3 $ 1 $ 4 $ 6 $ 10 $ (122 ) a a Represents the effect of net interest settlements attributable to open derivative hedging instruments on net interest income. The effect of derivatives on net interest income is included in the interest income/expense line item of the respective hedged item type. There were no amounts reclassified from AOCI into earnings for the periods presented as a result of the discontinuance of cash-flow hedges because the original forecasted transactions failed to occur by the end of the originally specified time period or within a two-month period thereafter. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were $(1) million as of June 30, 2015 . The maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is 5 years . |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following table presents our consolidated obligation bonds, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates. As of June 30, 2015 Contractual Maturity Weighted Average Interest Rate By Next Maturity or Call Date Due in one year or less $ 3,232 3.56 % $ 20,513 One to two years 3,464 2.01 % 2,584 Two to three years 5,797 1.74 % 2,369 Three to four years 3,788 1.34 % 1,899 Four to five years 4,843 1.62 % 211 Thereafter 7,664 2.63 % 1,212 Total par value $ 28,788 2.14 % $ 28,788 |
Consolidated Obligation Discount Notes [Table Text Block] | The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of June 30, 2015 December 31, 2014 Carrying Amount $ 34,552 $ 31,054 Par Value 34,562 31,060 Weighted Average Interest Rate 0.12 % 0.09 % |
Consolidated Obligation Bonds Outstanding by Call Feature [Table Text Block] | The following table presents consolidated obligation bonds outstanding by call feature: As of June 30, 2015 December 31, 2014 Noncallable $ 10,882 $ 11,046 Callable 17,906 23,355 Par value 28,788 34,401 Bond premiums (discounts), net 12 17 Hedging adjustments (134 ) (177 ) Fair value option adjustments 6 10 Total consolidated obligation bonds $ 28,672 $ 34,251 |
Schedule of Guarantor Obligations [Table Text Block] | The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor: June 30, 2015 December 31, 2014 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 454,603 $ 398,180 $ 852,783 $ 484,812 $ 362,363 $ 847,175 FHLB Chicago as primary obligor 28,788 34,562 63,350 34,401 31,060 65,461 As a percent of the FHLB System 6 % 9 % 7 % 7 % 9 % 8 % |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Capital [Abstract] | |
Schedule of Minimum Capital Requirements [Table Text Block] | For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-44 of our 2014 Form 10-K. We complied with our minimum regulatory capital requirements as shown below: June 30, 2015 December 31, 2014 Requirement Actual Requirement Actual Risk-based capital $ 1,107 $ 4,418 $ 1,127 $ 4,317 Total regulatory capital $ 2,790 $ 4,418 $ 2,874 $ 4,317 Total regulatory capital ratio 4.00 % 6.33 % 4.00 % 6.01 % Leverage capital $ 3,488 $ 6,628 $ 3,592 $ 6,475 Leverage capital ratio 5.00 % 9.50 % 5.00 % 9.01 % Total regulatory capital and leverage capital do not include accumulated other comprehensive income (loss). Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. |
Accumulated Other Comprehensi33
Accumulated Other Comprehensive Income (Loss) (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table summarizes the income (loss) in AOCI for the periods indicated: Net Unrealized Gain (Loss) Non-credit OTTI Net Unrealized on Cash Flow Hedges Available-for-sale Securities Held-to-maturity Securities Post-Retirement Plans Total AOCI Three months ended June 30, 2015 Beginning balance $ 1,038 $ (251 ) $ (608 ) $ (7 ) $ 172 Change in the period recorded to the statements of condition, before reclassifications to statements of income (113 ) 13 70 — (30 ) Amounts reclassified in period to statements of income: Net interest income — — (2 ) — (2 ) Non-interest gain (loss) — — (1 ) — (1 ) Total other comprehensive income in the period (113 ) 13 67 — (33 ) Ending balance $ 925 $ (238 ) $ (541 ) $ (7 ) $ 139 Three months ended June 30, 2014 Beginning balance $ 1,107 $ (306 ) $ (644 ) $ 1 $ 158 Change in the period recorded to the statements of condition, before reclassifications to statements of income 81 14 (14 ) 2 83 Amounts reclassified in period to statements of income: Net interest income — — (1 ) — (1 ) Total other comprehensive income in the period 81 14 (15 ) 2 82 Ending balance $ 1,188 $ (292 ) $ (659 ) $ 3 $ 240 Six months ended June 30, 2015 Beginning balance $ 1,060 $ (264 ) $ (580 ) $ 1 $ 217 Change in the period recorded to the statements of condition, before reclassifications to statements of income (135 ) 26 43 (8 ) (74 ) Amounts reclassified in period to: Net interest income — — (3 ) — (3 ) Non-interest gain (loss) — — (1 ) — (1 ) Net change in the period (135 ) 26 39 (8 ) (78 ) Ending balance $ 925 $ (238 ) $ (541 ) $ (7 ) $ 139 Six months ended June 30, 2014 Beginning balance $ 1,052 $ (320 ) $ (665 ) $ — $ 67 Change in the period recorded to the statements of condition, before reclassifications to statements of income 136 28 10 2 176 Amounts reclassified in period to: Net interest income — — (3 ) — (3 ) Non-interest gain (loss) — — (1 ) — (1 ) Non-interest expense — — — 1 1 Net change in the period 136 28 6 3 173 Ending balance $ 1,188 $ (292 ) $ (659 ) $ 3 $ 240 |
Fair Value Accounting (Tables)
Fair Value Accounting (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement [Table Text Block] | Fair values of financial instruments Carrying Amount Fair Value Hierarchy Fair Value Level 1 Level 2 Level 3 June 30, 2015 Financial Assets - Cash and due from banks $ 1,551 $ 1,551 $ 1,551 $ — $ — Interest bearing deposits 560 560 560 — — Federal Funds sold 751 751 — 751 — Securities purchased under agreements to resell 1,250 1,250 — 1,250 — Held-to-maturity securities 6,529 7,171 — 5,812 1,359 Advances 34,553 34,582 — 34,582 — MPF Loans held in portfolio, net 5,374 5,763 — 5,725 38 Financial Liabilities - Deposits (638 ) (638 ) — (638 ) — Consolidated obligation discount notes (34,552 ) (34,552 ) — (34,552 ) — Consolidated obligation bonds (28,672 ) (29,198 ) — (29,140 ) (58 ) a Subordinated notes (944 ) (992 ) — (992 ) — December 31, 2014 Financial Assets - Cash and due from banks $ 342 $ 342 $ 342 $ — $ — Interest bearing deposits 560 560 560 — — Federal Funds sold 1,525 1,525 — 1,525 — Securities purchased under agreements to resell 3,400 3,400 — 3,400 — Held-to-maturity securities 7,118 7,824 — 6,356 1,468 Advances 32,485 32,546 — 32,546 — MPF Loans held in portfolio, net 6,057 6,585 — 6,435 150 Financial Liabilities - Deposits (666 ) (666 ) — (666 ) — Consolidated obligation discount notes (31,054 ) (31,055 ) — (31,055 ) — Consolidated obligation bonds (34,251 ) (34,831 ) — (34,768 ) (63 ) a Subordinated notes (944 ) (1,013 ) — (1,013 ) — a Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. |
Assets and Liabilities Measured at Fair Value on a Recurring Basis [Table Text Block] | Financial instruments measured at fair value on a recurring basis on our statements of condition As of June 30, 2015 Level 2 Level 3 Netting Fair Value Financial assets - Trading securities: U.S. Government & other government related non-MBS $ 101 $ — $ 101 GSE residential MBS 57 — 57 U.S. Governmental-guaranteed residential MBS 2 — 2 Trading securities 160 — 160 Available-for-sale securities: U.S. Government & other government related non-MBS 460 — 460 State or local housing agency non-MBS 4 — 4 FFELP ABS 5,779 — 5,779 GSE residential MBS 10,386 — 10,386 U.S. Government-guaranteed residential MBS 2,133 — 2,133 Private-label residential MBS — 68 68 Available-for-sale securities 18,762 68 18,830 Advances 94 — 94 Derivative assets 658 9 $ (665 ) a 2 Other assets - Mortgage loans held for sale 11 — 11 Total financial assets at fair value $ 19,685 $ 77 $ (665 ) $ 19,097 Level 3 as a percent of total assets at fair value 0.4 % Financial liabilities - Consolidated obligation discount notes $ (9,550 ) $ — $ (9,550 ) Consolidated obligation bonds (906 ) (58 ) b (964 ) Derivative liabilities (1,562 ) — $ 1,494 a (68 ) Total financial liabilities at fair value $ (12,018 ) $ (58 ) $ 1,494 $ (10,582 ) Level 3 as a percent of total liabilities at fair value 0.5 % As of December 31, 2014 Financial assets - Trading securities: U.S. Government & other government related non-MBS $ 102 $ — $ 102 GSE residential MBS 63 — 63 U.S. Governmental-guaranteed residential MBS 2 — 2 Trading securities 167 — 167 Available-for-sale securities: U.S. Government & other government related non-MBS 508 — 508 State or local housing agency non-MBS 3 — 3 FFELP ABS 6,221 — 6,221 GSE residential MBS 10,827 — 10,827 U.S. Government-guaranteed residential MBS 2,345 — 2,345 Private-label residential MBS — 71 71 Available-for-sale securities 19,904 71 19,975 Advances 83 — 83 Derivative assets 691 13 $ (675 ) a 29 Total financial assets at fair value $ 20,845 $ 84 $ (675 ) $ 20,254 Level 3 as a percent of total assets at fair value 0.4 % Financial liabilities - Consolidated obligation discount notes $ (1,799 ) $ — $ (1,799 ) Consolidated obligation bonds (2,785 ) (63 ) b (2,848 ) Derivative liabilities (1,680 ) — $ 1,625 a (55 ) Total financial liabilities at fair value $ (6,264 ) $ (63 ) $ 1,625 $ (4,702 ) Level 3 as a percent of total liabilities at fair value 1.3 % a The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right of setoff, by contract (e.g., master netting agreement) or otherwise, to discharge all or a portion of the debt owed to our counterparty by applying against the debt an amount that our counterparty owes to us. See Note 9 - Derivatives and Hedging Activities . b Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. |
Assets Measured at Fair Value on a Nonrecurring Basis [Table Text Block] | The table below presents assets that typically are not carried at fair value that were measured at fair value in our statements of condition as of the dates shown. The fair value information presented is not as of the period-end, rather it was as of the date the fair value adjustment was recorded during the six months ended June 30, 2015, and excludes nonrecurring fair value measurements of assets no longer on the balance sheet. Level 3 As of June 30, 2015 December 31, 2014 Impaired conventional MPF Loans held in portfolio $ 38 $ 150 REO (recorded in Other Assets) 12 9 |
Fair Value Option - Gain (Loss) [Table Text Block] | The table below summarizes the net gain (loss) related to financial assets and liabilities for which we elected the fair value option, except for MPF Loans held for sale which are not material. Three months ended June 30, Six months ended June 30, 2015 2014 2015 2014 Advances $ — $ — $ 1 $ — Bonds 2 (3 ) 4 1 Discount Notes (2 ) — (2 ) — Total $ — $ (3 ) $ 3 $ 1 |
Fair Value Option [Table Text Block] | The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for advances and consolidated obligation bonds for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. June 30, 2015 December 31, 2014 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid Principal Balance $ 90 $ 900 $ 80 $ 2,775 Fair Value Over (Under) UPB 4 6 3 10 Fair Value $ 94 $ 906 $ 83 $ 2,785 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | The table below shows our commitments outstanding, which represent off-balance sheet obligations, for the periods presented. June 30, 2015 December 31, 2014 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 185 $ — $ 185 $ 91 $ — $ 91 Member standby letters of credit 4,333 1,479 a 5,812 2,410 1,207 a 3,617 Housing authority standby bond purchase agreements 17 436 453 155 262 417 Committed unused member lines of credit — — — 4,000 — 4,000 Advance commitments 267 105 372 158 104 262 Other commitments 303 — 303 211 — 211 Commitments $ 5,105 $ 2,020 $ 7,125 $ 7,025 $ 1,573 $ 8,598 a Contains $927 million and $974 million of member standby letters of credit at June 30, 2015 , and December 31, 2014 , which were renewable annually. |
Transactions with Related Par36
Transactions with Related Parties and Other FHLBs (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions, by Balance Sheet Grouping [Table Text Block] | The table below summarizes balances we had with our members as defined above as related parties (including their affiliates). Members represented in these tables may change between periods presented, to the extent that our related parties change, based on changes in the composition of our Board membership. As of June 30, 2015 December 31, 2014 Assets - Interest bearing deposits $ 560 $ 560 Assets - Advances 11,183 11,159 Assets - Advance Interest Receivable 3 2 Liabilities - Deposits 21 26 Equity - Capital Stock 268 267 |
Interest Income and Interest 37
Interest Income and Interest Expense (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest income - | ||||
Interest bearing deposits, Federal Funds sold and securities purchased under agreements to resell | $ 1 | $ 3 | $ 4 | $ 4 |
Investment securities - | ||||
Trading | 1 | 8 | 2 | 15 |
Available-for-sale | 130 | 136 | 264 | 279 |
Held-to-maturity | 69 | 74 | 138 | 151 |
Total investment securities | 200 | 218 | 404 | 445 |
Advances - | ||||
Advance interest income | 42 | 35 | 81 | 73 |
Advance prepayment fees, including related hedge adjustment gains (losses) of $0, $0, $1, and $0 | 0 | 3 | 6 | 4 |
Total Advances | 42 | 38 | 87 | 77 |
MPF Loans held in portfolio | 66 | 86 | 135 | 174 |
Total interest income | 309 | 345 | 630 | 700 |
Consolidated obligations - | ||||
Discount notes | 72 | 66 | 144 | 133 |
Bonds | 103 | 147 | 208 | 294 |
Total consolidated obligations | 175 | 213 | 352 | 427 |
Subordinated notes | 13 | 13 | 27 | 27 |
Total interest expense | 188 | 226 | 379 | 454 |
Net interest income before provision for (reversal of) credit losses | 121 | 119 | 251 | 246 |
Provision for (reversal of) credit losses | 4 | (3) | 4 | (6) |
Net interest income | $ 117 | $ 122 | $ 247 | $ 252 |
Interest Income and Interest 38
Interest Income and Interest Expense (Hedge adjustments on advance prepayment fees) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest Income Parenthetical [Abstract] | ||||
Hedge adjustment gains (losses) related to advance prepayment fees | $ 0 | $ 0 | $ 1 | $ 0 |
Investment Securities (Pledged
Investment Securities (Pledged securities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 64 | $ 71 |
Investment Securities (Trading
Investment Securities (Trading Securities) (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Trading Securities [Line Items] | ||
Trading securities | $ 160 | $ 167 |
Trading Securities, Change in Unrealized Holding Gain (Loss) | (1) | |
U.S. Government & other government related | ||
Trading Securities [Line Items] | ||
Trading securities | 101 | 102 |
Residential MBS: | GSE | ||
Trading Securities [Line Items] | ||
Trading securities | 57 | 63 |
Residential MBS: | Government-guaranteed | ||
Trading Securities [Line Items] | ||
Trading securities | 2 | 2 |
Residential MBS: | Total Residential MBS | ||
Trading Securities [Line Items] | ||
Trading securities | $ 59 | $ 65 |
Investment Securities (Availabl
Investment Securities (Available-for-sale Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | $ 17,905 | $ 18,915 |
Gross Unrealized Gains in AOCI | 948 | 1,079 |
Gross Unrealized (Losses) in AOCI | (23) | (19) |
Carrying Amount and Fair Value | 18,830 | 19,975 |
U.S. Government & other government related | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 435 | 479 |
Gross Unrealized Gains in AOCI | 26 | 29 |
Gross Unrealized (Losses) in AOCI | (1) | 0 |
Carrying Amount and Fair Value | 460 | 508 |
State or local housing agency | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 4 | 3 |
Gross Unrealized Gains in AOCI | 0 | 0 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 4 | 3 |
Asset-backed Securities, Securitized Loans and Receivables [Member] | FFELP ABS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 5,456 | 5,824 |
Gross Unrealized Gains in AOCI | 335 | 408 |
Gross Unrealized (Losses) in AOCI | (12) | (11) |
Carrying Amount and Fair Value | 5,779 | 6,221 |
Residential MBS: | GSE | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 9,895 | 10,285 |
Gross Unrealized Gains in AOCI | 501 | 550 |
Gross Unrealized (Losses) in AOCI | (10) | (8) |
Carrying Amount and Fair Value | 10,386 | 10,827 |
Residential MBS: | Government-guaranteed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 2,052 | 2,258 |
Gross Unrealized Gains in AOCI | 81 | 87 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 2,133 | 2,345 |
Residential MBS: | Private-label | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 63 | 66 |
Gross Unrealized Gains in AOCI | 5 | 5 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 68 | 71 |
Residential MBS: | Total Residential MBS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 12,010 | 12,609 |
Gross Unrealized Gains in AOCI | 587 | 642 |
Gross Unrealized (Losses) in AOCI | (10) | (8) |
Carrying Amount and Fair Value | $ 12,587 | $ 13,243 |
Investment Securities (Held-to-
Investment Securities (Held-to-Maturities Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | $ 6,767 | $ 7,382 |
Non-credit OTTI Recognized in AOCI (Loss) | (238) | (264) |
Carrying Amount | 6,529 | 7,118 |
Gross Unrecognized Holding Gains | 644 | 708 |
Gross Unrecognized Holding (Losses) | (2) | (2) |
Held-to-Maturity Fair Value | 7,171 | 7,824 |
U.S. Government & other government related | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 2,002 | 2,222 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 2,002 | 2,222 |
Gross Unrecognized Holding Gains | 68 | 76 |
Gross Unrecognized Holding (Losses) | (1) | (1) |
Held-to-Maturity Fair Value | 2,069 | 2,297 |
State or local housing agency | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 17 | 18 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 17 | 18 |
Gross Unrecognized Holding Gains | 0 | 0 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-Maturity Fair Value | 17 | 18 |
Residential MBS: | GSE | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 2,473 | 2,695 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 2,473 | 2,695 |
Gross Unrecognized Holding Gains | 173 | 189 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-Maturity Fair Value | 2,646 | 2,884 |
Residential MBS: | Government-guaranteed | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 1,054 | 1,129 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 1,054 | 1,129 |
Gross Unrecognized Holding Gains | 26 | 28 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-Maturity Fair Value | 1,080 | 1,157 |
Residential MBS: | Private-label | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 1,221 | 1,318 |
Non-credit OTTI Recognized in AOCI (Loss) | (238) | (264) |
Carrying Amount | 983 | 1,054 |
Gross Unrecognized Holding Gains | 377 | 415 |
Gross Unrecognized Holding (Losses) | (1) | (1) |
Held-to-Maturity Fair Value | 1,359 | 1,468 |
Residential MBS: | Total Residential MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 4,748 | 5,142 |
Non-credit OTTI Recognized in AOCI (Loss) | (238) | (264) |
Carrying Amount | 4,510 | 4,878 |
Gross Unrecognized Holding Gains | 576 | 632 |
Gross Unrecognized Holding (Losses) | (1) | (1) |
Held-to-Maturity Fair Value | $ 5,085 | $ 5,509 |
Investment Securities (Aging of
Investment Securities (Aging of Unrealized Temporary Losses on Available-for-sale Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Less than 12 Months | ||
Fair Value | $ 60 | $ 65 |
Gross Unrealized Losses | (1) | 0 |
12 Months or More | ||
Fair Value | 2,651 | 2,889 |
Gross Unrealized Losses | (22) | (19) |
Total | ||
Fair Value | 2,711 | 2,954 |
Gross Unrealized Losses | (23) | (19) |
U.S. Government & other government related | ||
Less than 12 Months | ||
Fair Value | 46 | 48 |
Gross Unrealized Losses | (1) | 0 |
12 Months or More | ||
Fair Value | 0 | 0 |
Gross Unrealized Losses | 0 | 0 |
Total | ||
Fair Value | 46 | 48 |
Gross Unrealized Losses | (1) | 0 |
State or local housing agency | ||
Less than 12 Months | ||
Fair Value | 3 | 3 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 0 | 0 |
Gross Unrealized Losses | 0 | 0 |
Total | ||
Fair Value | 3 | 3 |
Gross Unrealized Losses | 0 | 0 |
Asset-backed Securities, Securitized Loans and Receivables [Member] | FFELP ABS | ||
Less than 12 Months | ||
Fair Value | 11 | 14 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 831 | 877 |
Gross Unrealized Losses | (12) | (11) |
Total | ||
Fair Value | 842 | 891 |
Gross Unrealized Losses | (12) | (11) |
Residential MBS: | GSE | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 1,819 | 1,996 |
Gross Unrealized Losses | (10) | (8) |
Total | ||
Fair Value | 1,819 | 1,996 |
Gross Unrealized Losses | (10) | (8) |
Residential MBS: | Private-label | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 1 | 16 |
Gross Unrealized Losses | 0 | 0 |
Total | ||
Fair Value | 1 | 16 |
Gross Unrealized Losses | 0 | 0 |
Residential MBS: | Total Residential MBS | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 1,820 | 2,012 |
Gross Unrealized Losses | (10) | (8) |
Total | ||
Fair Value | 1,820 | 2,012 |
Gross Unrealized Losses | $ (10) | $ (8) |
Investment Securities (Aging 44
Investment Securities (Aging of Unrealized Temporary Losses on Held-to-maturity Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Less than 12 Months | ||
Fair Value | $ 3 | $ 35 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 1,327 | 1,394 |
Gross Unrealized Losses | (240) | (266) |
Total | ||
Fair Value | 1,330 | 1,429 |
Gross Unrealized Losses | (240) | (266) |
U.S. Government & other government related | ||
Less than 12 Months | ||
Fair Value | 2 | 13 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 16 | 5 |
Gross Unrealized Losses | (1) | (1) |
Total | ||
Fair Value | 18 | 18 |
Gross Unrealized Losses | (1) | (1) |
State or local housing agency | ||
Less than 12 Months | ||
Fair Value | 1 | 10 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 10 | 0 |
Gross Unrealized Losses | 0 | 0 |
Total | ||
Fair Value | 11 | 10 |
Gross Unrealized Losses | 0 | 0 |
Residential MBS: | GSE | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 5 | 5 |
Gross Unrealized Losses | 0 | 0 |
Total | ||
Fair Value | 5 | 5 |
Gross Unrealized Losses | 0 | 0 |
Residential MBS: | Private-label | ||
Less than 12 Months | ||
Fair Value | 0 | 12 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 1,296 | 1,384 |
Gross Unrealized Losses | (239) | (265) |
Total | ||
Fair Value | 1,296 | 1,396 |
Gross Unrealized Losses | (239) | (265) |
Residential MBS: | Total Residential MBS | ||
Less than 12 Months | ||
Fair Value | 0 | 12 |
Gross Unrealized Losses | 0 | 0 |
12 Months or More | ||
Fair Value | 1,301 | 1,389 |
Gross Unrealized Losses | (239) | (265) |
Total | ||
Fair Value | 1,301 | 1,401 |
Gross Unrealized Losses | $ (239) | $ (265) |
Investment Securities (Contract
Investment Securities (Contractual Maturity Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Contractual Maturity Terms [Abstract] | ||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis | $ 0 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis | 80 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis | 17 | |
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis | 342 | |
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Amortized Cost Basis | 17,466 | |
Amortized Cost Basis | 17,905 | $ 18,915 |
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 0 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 84 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 19 | |
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value | 361 | |
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Fair Value | 18,366 | |
Carrying Amount and Fair Value | 18,830 | 19,975 |
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost | 671 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost | 72 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost | 365 | |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Amortized Cost | 911 | |
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Net Carrying Amount | 4,510 | |
Carrying Amount | 6,529 | 7,118 |
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 671 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 73 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 379 | |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value | 963 | |
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Fair Value | 5,085 | |
Fair Value | $ 7,171 | $ 7,824 |
Investment Securities (Signific
Investment Securities (Significant Inputs Used to Determine OTTI) (Details) | Jun. 30, 2015 |
Minimum [Member] | |
Recovery Range Annualized % [Line Items] | |
Assumed Home Price Change Rate all markets | (2.00%) |
Projected House Price Change Rate majority of markets | 2.00% |
Maximum [Member] | |
Recovery Range Annualized % [Line Items] | |
Assumed Home Price Change Rate all markets | 8.00% |
Projected House Price Change Rate majority of markets | 5.00% |
Investment Securities (OTTI rol
Investment Securities (OTTI rollforward) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Beginning Balance | $ 605 | $ 663 | $ 620 | $ 677 |
Reductions: | ||||
Increases in expected future cash flows recorded as credit-related accretion into interest income | (14) | (14) | (29) | (28) |
Ending Balance | $ 591 | $ 649 | $ 591 | $ 649 |
Advances (By callable putable f
Advances (By callable putable feature) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Federal Home Loan Bank, Advances [Line Items] | ||
Total par value | $ 34,396 | $ 32,303 |
Hedging adjustments | 137 | 166 |
Other adjustments | 20 | 16 |
Total advances | 34,553 | 32,485 |
Noncallable/nonputable | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Total par value | 31,748 | 29,666 |
Callable | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Total par value | 961 | 964 |
Putable | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Total par value | $ 1,687 | $ 1,673 |
Advances (By redemption terms)
Advances (By redemption terms) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Federal Home Loan Bank, Advances, Rolling Maturity [Abstract] | |||
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months | $ 8,347 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two | 4,384 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | 4,699 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four | 4,953 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five | 9,985 | ||
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five | 2,028 | ||
Total par value | $ 34,396 | $ 32,303 | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 0.44% | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 1.35% | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | 1.14% | ||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | [1] | 0.33% | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | [1] | 0.26% | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five | 2.55% | ||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate | 0.71% | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months | $ 9,208 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two | 4,226 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three | 4,272 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four | 4,753 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five | 9,914 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five | 2,023 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Next Rolling Twelve Months | 9,533 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two | 3,909 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three | 4,032 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four | 4,939 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five | 10,037 | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five | $ 1,946 | ||
[1] | The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates. |
MPF Loans (Details)
MPF Loans (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Mortgage Loans on Real Estate [Line Items] | ||
Total unpaid principal balance | $ 5,313 | $ 5,999 |
Net premiums, credit enhancement and deferred loan fees | 21 | 23 |
Hedging adjustments | 43 | 50 |
Total before allowance for credit losses | 5,377 | 6,072 |
Allowance for credit losses on MPF Loans | (3) | (15) |
Total MPF Loans held in portfolio, net | 5,374 | 6,057 |
Medium term (15 years or less) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Total unpaid principal balance | 855 | 1,094 |
Long term (greater than 15 years) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Total unpaid principal balance | 4,458 | 4,905 |
Conventional mortgage loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Total unpaid principal balance | 4,011 | 4,619 |
Government insured mortgage loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Total unpaid principal balance | $ 1,302 | $ 1,380 |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance roll forward) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Provision for (reversal of) credit losses | $ 4 | $ (3) | $ 4 | $ (6) |
Conventional | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance, beginning of period | 4 | 24 | 15 | 29 |
Losses charged to the allowance | (5) | (2) | (16) | (4) |
Provision for (reversal of) credit losses | 4 | (3) | 4 | (6) |
Balance, end of period | $ 3 | $ 19 | $ 3 | $ 19 |
Allowance for Credit Losses (Lo
Allowance for Credit Losses (Loans evaluated for impairment) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Total recorded investment | $ 5,405 | $ 6,103 | ||||
Conventional | ||||||
Specifically identified and individually evaluated for impairment | 0 | 12 | ||||
Homogeneous pools of loans and collectively evaluated for impairment | 3 | 3 | ||||
Allowance for credit losses on conventional MPF Loans | 3 | $ 4 | 15 | $ 19 | $ 24 | $ 29 |
Individually evaluated for impairment | 126 | 160 | ||||
Collectively evaluated for impairment | 3,951 | 4,538 | ||||
Total recorded investment | $ 4,077 | $ 4,698 |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators - MPF Loans) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Recorded Investment, Past Due [Line Items] | ||
Total past due | $ 388 | $ 493 |
Total current | 5,017 | 5,610 |
Total recorded investment | 5,405 | 6,103 |
Also in process of foreclosure | $ 73 | $ 88 |
Serious delinquency rate | 2.87% | 3.25% |
Past due 90 days or more still accruing interest | $ 47 | $ 69 |
On nonaccrual status | 126 | 163 |
Conventional | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 258 | 334 |
Total current | 3,819 | 4,364 |
Total recorded investment | 4,077 | 4,698 |
Also in process of foreclosure | $ 60 | $ 77 |
Serious delinquency rate | 2.88% | 3.28% |
Past due 90 days or more still accruing interest | $ 9 | $ 25 |
On nonaccrual status | 126 | 163 |
Government | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 130 | 159 |
Total current | 1,198 | 1,246 |
Total recorded investment | 1,328 | 1,405 |
Also in process of foreclosure | $ 13 | $ 11 |
Serious delinquency rate | 2.85% | 3.15% |
Past due 90 days or more still accruing interest | $ 38 | $ 44 |
On nonaccrual status | 0 | 0 |
Past due 30-59 days | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 183 | 230 |
Past due 30-59 days | Conventional | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 109 | 138 |
Past due 30-59 days | Government | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 74 | 92 |
Past due 60-89 days | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 51 | 66 |
Past due 60-89 days | Conventional | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 33 | 43 |
Past due 60-89 days | Government | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 18 | 23 |
Past due 90 days or more | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 154 | 197 |
Past due 90 days or more | Conventional | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | 116 | 153 |
Past due 90 days or more | Government | ||
Recorded Investment, Past Due [Line Items] | ||
Total past due | $ 38 | $ 44 |
Allowance for Credit Losses (Tr
Allowance for Credit Losses (Troubled debt restructurings outstanding balances) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Receivables [Abstract] | ||
Financing Receivable, Modifications, Recorded Investment | $ 66 | $ 73 |
Allowance for Credit Losses (Im
Allowance for Credit Losses (Impaired MPF Loans at period ends) (Details) - Conventional - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Financing Receivable, Impaired [Line Items] | ||
Recorded investment with an allowance | $ 0 | $ 160 |
Recorded investment without an allowance | 126 | 0 |
Unpaid principal balance with an allowance | 0 | 158 |
Unpaid principal balance without an allowance | 137 | 0 |
Related allowance | $ 0 | $ 12 |
Allowance for Credit Losses (56
Allowance for Credit Losses (Impaired MPF Loans during the periods) (Details) - Conventional - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Financing Receivable, Impaired [Line Items] | ||||
Average recorded investment with an allowance | $ 0 | $ 190 | $ 0 | $ 197 |
Average recorded investment without an allowance | $ 131 | $ 0 | $ 140 | $ 0 |
Derivatives and Hedging Activ57
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Additional collateral due to derivatives counterparties if credit rating was lowered one level | $ 59 | |
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 64 | $ 71 |
Financial Instruments Owned and Pledged as Collateral, Amount Eligible to be Repledged by Counterparty | $ 64 |
Derivatives and Hedging Activ58
Derivatives and Hedging Activities (Derivatives in statements of condition) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount | $ 58,595 | $ 53,400 | |
Derivative assets on statements of condition | 2 | 29 | |
Derivative liabilities on statements of condition | 68 | 55 | |
Cash collateral posted | 865 | 978 | |
Cash collateral received | 35 | 29 | |
Derivatives in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 30,038 | 30,940 | |
Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 28,557 | 22,460 | |
Derivatives not in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 25,226 | 19,159 | |
Derivatives not in hedge accounting relationships- | Interest rate swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 1,710 | 1,850 | |
Derivatives not in hedge accounting relationships- | Interest rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 1,131 | 1,164 | |
Derivatives not in hedge accounting relationships- | Interest rate futures | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 7 | 3 | |
Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 469 | 284 | |
Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 14 | 0 | |
Derivative Assets | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 667 | 704 | |
Netting adjustments and cash collateral | [1] | (665) | (675) |
Derivative assets on statements of condition | 2 | 29 | |
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 49 | 53 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 618 | 651 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 459 | 487 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 60 | 56 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 98 | 105 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate futures | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 0 | 0 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1 | 3 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 0 | 0 | |
Derivative Liabilities | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1,562 | 1,680 | |
Netting adjustments and cash collateral | [1] | (1,494) | (1,625) |
Derivative liabilities on statements of condition | 68 | 55 | |
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1,219 | 1,348 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 343 | 332 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 342 | 329 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 0 | 0 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 0 | 0 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate futures | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 0 | 0 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | 1 | 3 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before adjustments | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $865 million at June 30, 2015, and $978 million at December 31, 2014. Cash collateral received was $35 million at June 30, 2015, and $29 million at December 31, 2014. |
Derivatives and Hedging Activ59
Derivatives and Hedging Activities (Derivative instruments with legal right of offset) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Derivatives with legal right of offset - | |||
Derivative assets on statements of condition | $ 2 | $ 29 | |
Derivative liabilities on statements of condition | 68 | 55 | |
Credit Exposure On Overcollateralized Pledged Securities Exceeding Derivative Liability | 59 | 4 | |
Derivative Assets | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 666 | 701 | |
Netting adjustments and cash collateral | [1] | (665) | (675) |
Derivatives with legal right of offset - net | 1 | 26 | |
Derivatives without legal right of offset | 1 | 3 | |
Derivative assets on statements of condition | 2 | 29 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | 23 | |
Net amount | 2 | 6 | |
Derivative Assets | Bilateral | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 599 | 656 | |
Netting adjustments and cash collateral | (598) | (632) | |
Derivatives with legal right of offset - net | 1 | 24 | |
Derivatives without legal right of offset | 1 | 3 | |
Derivative assets on statements of condition | 2 | 27 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | 23 | |
Net amount | 2 | 4 | |
Derivative Assets | Cleared | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 67 | 45 | |
Netting adjustments and cash collateral | (67) | (43) | |
Derivatives with legal right of offset - net | 0 | 2 | |
Derivatives without legal right of offset | 0 | 0 | |
Derivative assets on statements of condition | 0 | 2 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | 0 | |
Net amount | 0 | 2 | |
Derivative Liabilities | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 1,561 | 1,677 | |
Netting adjustments and cash collateral | [1] | (1,494) | (1,625) |
Derivatives with legal right of offset - net | 67 | 52 | |
Derivatives without legal right of offset | 1 | 3 | |
Derivative liabilities on statements of condition | 68 | 55 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 5 | 0 | |
Net amount | 63 | 55 | |
Derivative Liabilities | Bilateral | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 1,355 | 1,466 | |
Netting adjustments and cash collateral | (1,293) | (1,414) | |
Derivatives with legal right of offset - net | 62 | 52 | |
Derivatives without legal right of offset | 1 | 3 | |
Derivative liabilities on statements of condition | 63 | 55 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 0 | 0 | |
Net amount | 63 | 55 | |
Derivative Liabilities | Cleared | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 206 | 211 | |
Netting adjustments and cash collateral | (201) | (211) | |
Derivatives with legal right of offset - net | 5 | 0 | |
Derivatives without legal right of offset | 0 | 0 | |
Derivative liabilities on statements of condition | 5 | 0 | |
Noncash collateral received (pledged) and cannot be sold or repledged | 5 | 0 | |
Net amount | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed by us with the same clearing agent and/or counterparty. Cash collateral posted was $865 million at June 30, 2015, and $978 million at December 31, 2014. Cash collateral received was $35 million at June 30, 2015, and $29 million at December 31, 2014. |
Derivatives and Hedging Activ60
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Cash flow hedges | $ 1 | $ 0 | $ 1 | $ 1 |
Economic hedges | 2 | 8 | 10 | (1) |
Gains (losses) on derivatives and hedging activities | 9 | 2 | (2) | (12) |
Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Fair value hedges | 6 | (6) | (13) | (12) |
Economic hedges | (6) | (4) | (29) | (3) |
Interest rate swaptions | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | (5) | (1) | 3 | (16) |
Interest rate caps or floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | (7) | (5) | (8) | (15) |
Mortgage delivery commitments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | 0 | 1 | 0 | 1 |
Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | $ 20 | $ 17 | $ 44 | $ 32 |
Derivatives and Hedging Activ61
Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Interest Settlements Recorded in Net Interest Income | $ 121 | $ 119 | $ 251 | $ 246 | |
Fair Value Hedging [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
On Derivative | 93 | 88 | 70 | 189 | |
On Hedged Item | (87) | (94) | (83) | (201) | |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 6 | (6) | (13) | (12) | |
Net Interest Settlements Recorded in Net Interest Income | [1] | 5 | 10 | 9 | 16 |
Closed Hedge Adjustments Amortized into Net Interest Income | [2] | (7) | (10) | (20) | (21) |
Fair Value Hedging [Member] | Available-for-sale securities | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
On Derivative | 48 | (28) | 12 | (30) | |
On Hedged Item | (45) | 26 | (14) | 27 | |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 3 | (2) | (2) | (3) | |
Net Interest Settlements Recorded in Net Interest Income | [1] | (34) | (35) | (68) | (70) |
Closed Hedge Adjustments Amortized into Net Interest Income | [2] | 0 | 0 | (10) | 0 |
Fair Value Hedging [Member] | Advances | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
On Derivative | 89 | (33) | 28 | (63) | |
On Hedged Item | (86) | 35 | (29) | 67 | |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 3 | 2 | (1) | 4 | |
Net Interest Settlements Recorded in Net Interest Income | [1] | (21) | (20) | (41) | (40) |
Closed Hedge Adjustments Amortized into Net Interest Income | [2] | (1) | (1) | 0 | (2) |
Fair Value Hedging [Member] | MPF Loans held for portfolio | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
On Derivative | 0 | 0 | 0 | 0 | |
On Hedged Item | 0 | 0 | 0 | 0 | |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 0 | 0 | 0 | 0 | |
Net Interest Settlements Recorded in Net Interest Income | [1] | 0 | 0 | 0 | 0 |
Closed Hedge Adjustments Amortized into Net Interest Income | [2] | (3) | (4) | (7) | (9) |
Fair Value Hedging [Member] | Consolidated obligation bonds | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
On Derivative | (44) | 149 | 30 | 282 | |
On Hedged Item | 44 | (155) | (40) | (295) | |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 0 | (6) | (10) | (13) | |
Net Interest Settlements Recorded in Net Interest Income | [1] | 60 | 65 | 118 | 126 |
Closed Hedge Adjustments Amortized into Net Interest Income | [2] | $ (3) | $ (5) | $ (3) | $ (10) |
[1] | Represents the effect of net interest settlements attributable to open derivative hedging instruments on net interest income. The effect of derivatives on net interest income is included in the interest income/expense line item of the respective hedged item type. | ||||
[2] | Amortization of hedge adjustments is included in the interest income/expense line item of the respective hedged item type. |
Derivatives and Hedging Activ62
Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Ineffective Portion Reclassified From AOCI to Derivatives and Hedging Activities | $ 1 | $ 0 | $ 1 | $ 1 | |
Net Interest Settlements Recorded in Net Interest Income | 121 | 119 | 251 | 246 | |
Cash Flow Hedge Gain (Loss) to be Reclassified Next 12 Months, Net | $ (1) | (1) | |||
Maximum Hedging Period For Forecasted Cash Flows | 5 years | ||||
Cash Flow Hedges | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Amortization of Effective Portion Reclassified From AOCI to Interest | $ 2 | 1 | 3 | 3 | |
Ineffective Portion Reclassified From AOCI to Derivatives and Hedging Activities | 1 | 0 | 1 | 1 | |
Total Reclassified From AOCI to Statements of Income | 3 | 1 | 4 | 4 | |
Net Change in Other Comprehensive Income | 67 | (15) | 39 | 6 | |
Effective Portion Recorded in AOCI | 70 | (14) | 43 | 10 | |
Net Interest Settlements Recorded in Net Interest Income | [1] | (62) | (61) | (124) | (122) |
Advances | Cash Flow Hedges | Interest rate floors | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Amortization of Effective Portion Reclassified From AOCI to Interest | 3 | 2 | 6 | 5 | |
Ineffective Portion Reclassified From AOCI to Derivatives and Hedging Activities | 0 | 0 | 0 | 0 | |
Total Reclassified From AOCI to Statements of Income | 3 | 2 | 6 | 5 | |
Net Change in Other Comprehensive Income | (3) | (2) | (6) | (5) | |
Effective Portion Recorded in AOCI | 0 | 0 | 0 | 0 | |
Net Interest Settlements Recorded in Net Interest Income | 0 | 0 | 0 | 0 | |
Discount Notes | Cash Flow Hedges | Interest rate swaps | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Amortization of Effective Portion Reclassified From AOCI to Interest | 0 | 0 | (1) | (1) | |
Ineffective Portion Reclassified From AOCI to Derivatives and Hedging Activities | 1 | 0 | 1 | 1 | |
Total Reclassified From AOCI to Statements of Income | 1 | 0 | 0 | 0 | |
Net Change in Other Comprehensive Income | 69 | (14) | 43 | 10 | |
Effective Portion Recorded in AOCI | 70 | (14) | 43 | 10 | |
Net Interest Settlements Recorded in Net Interest Income | [1] | (62) | (61) | (124) | (122) |
Consolidated obligation bonds | Cash Flow Hedges | Interest rate swaps | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Amortization of Effective Portion Reclassified From AOCI to Interest | (1) | (1) | (2) | (1) | |
Ineffective Portion Reclassified From AOCI to Derivatives and Hedging Activities | 0 | 0 | 0 | 0 | |
Total Reclassified From AOCI to Statements of Income | (1) | (1) | (2) | (1) | |
Net Change in Other Comprehensive Income | 1 | 1 | 2 | 1 | |
Effective Portion Recorded in AOCI | 0 | 0 | 0 | 0 | |
Net Interest Settlements Recorded in Net Interest Income | $ 0 | $ 0 | $ 0 | $ 0 | |
[1] | Represents the effect of net interest settlements attributable to open derivative hedging instruments on net interest income. The effect of derivatives on net interest income is included in the interest income/expense line item of the respective hedged item type. |
Consolidated Obligations (Bonds
Consolidated Obligations (Bonds by maturity date) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Consolidated obligation bonds | ||
Contractual Maturity | ||
Due in one year or less | $ 3,232 | |
One to two years | 3,464 | |
Two to three years | 5,797 | |
Three to four years | 3,788 | |
Four to five years | 4,843 | |
Thereafter | 7,664 | |
Total par value | $ 28,788 | $ 34,401 |
Weighted Average Interest Rate | ||
Due in one year or less | 3.56% | |
One to two years | 2.01% | |
Two to three years | 1.74% | |
Three to four years | 1.34% | |
Four to five years | 1.62% | |
Thereafter | 2.63% | |
Total par value | 2.14% | |
Consolidated obligation bonds | By Next Maturity or Call Date | ||
Contractual Maturity | ||
Due in one year or less | $ 20,513 | |
One to two years | 2,584 | |
Two to three years | 2,369 | |
Three to four years | 1,899 | |
Four to five years | 211 | |
Thereafter | 1,212 | |
Total par value | $ 28,788 | |
Minimum [Member] | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 1 year | |
Maximum [Member] | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 20 years |
Consolidated Obligations (Short
Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Short-term Debt [Line Items] | ||
Carrying Amount | $ 34,552 | $ 31,054 |
Discount Notes | ||
Short-term Debt [Line Items] | ||
Carrying Amount | 34,552 | 31,054 |
Par Value | $ 34,562 | $ 31,060 |
Weighted Average Interest Rate | 0.12% | 0.09% |
Consolidated Obligations (Bon65
Consolidated Obligations (Bonds by callable feature) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Debt Instrument [Line Items] | ||
Total consolidated obligation bonds | $ 28,672 | $ 34,251 |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Par Value | 28,788 | 34,401 |
Bond premiums (discounts), net | 12 | 17 |
Hedging adjustments | (134) | (177) |
Fair value option adjustments | 6 | 10 |
Total consolidated obligation bonds | 28,672 | 34,251 |
Noncallable | Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Par Value | 10,882 | 11,046 |
Callable | Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Par Value | $ 17,906 | $ 23,355 |
Consolidated Obligations (Syste
Consolidated Obligations (Systemwide joint & several liability) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Consolidated obligation bonds | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 454,603 | $ 484,812 |
FHLB Chicago as primary obligor | $ 28,788 | $ 34,401 |
As a percent of the FHLB System | 6.00% | 7.00% |
Discount Notes | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 398,180 | $ 362,363 |
FHLB Chicago as primary obligor | $ 34,562 | $ 31,060 |
As a percent of the FHLB System | 9.00% | 9.00% |
Total | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 852,783 | $ 847,175 |
FHLB Chicago as primary obligor | $ 63,350 | $ 65,461 |
As a percent of the FHLB System | 7.00% | 8.00% |
Capital (Capital rules) (Detail
Capital (Capital rules) (Details) - $ / shares | 3 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Banking and Thrift [Abstract] | ||
Capital stock par value | $ 100 | $ 100 |
Capital Stock, redemption, period of written notice | 5 years |
Capital (Regulatory capital req
Capital (Regulatory capital requirements) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Federal Home Loan Banks [Abstract] | ||
Risk Based Capital, Requirement | $ 1,107 | $ 1,127 |
Risk Based Capital, Actual | 4,418 | 4,317 |
Regulatory Capital, Requirement | 2,790 | 2,874 |
Regulatory Capital, Actual | $ 4,418 | $ 4,317 |
Regulatory Capital Ratio, Requirement | 4.00% | 4.00% |
Regulatory Capital Ratio, Actual | 6.33% | 6.01% |
Leverage Capital, Requirement | $ 3,488 | $ 3,592 |
Leverage Capital, Actual | $ 6,628 | $ 6,475 |
Leverage Ratio, Requirement | 5.00% | 5.00% |
Leverage Ratio, Actual | 9.50% | 9.01% |
Accumulated Other Comprehensi69
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Total AOCI | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | $ 172 | $ 158 | $ 217 | $ 67 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (30) | 83 | (74) | 176 |
Amounts reclassified in period to: | ||||
Net interest income | (2) | (1) | (3) | (3) |
Non-interest gain (loss) | (1) | (1) | (1) | |
Non-interest expense | 1 | |||
Net change in the period | (33) | 82 | (78) | 173 |
Ending balance | 139 | 240 | 139 | 240 |
Net Unrealized Gain (Loss) | Available-for-sale securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 1,038 | 1,107 | 1,060 | 1,052 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (113) | 81 | (135) | 136 |
Amounts reclassified in period to: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Non-interest gain (loss) | 0 | 0 | 0 | |
Non-interest expense | 0 | |||
Net change in the period | (113) | 81 | (135) | 136 |
Ending balance | 925 | 1,188 | 925 | 1,188 |
Non-credit OTTI | Held-to-maturity Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (251) | (306) | (264) | (320) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 13 | 14 | 26 | 28 |
Amounts reclassified in period to: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Non-interest gain (loss) | 0 | 0 | 0 | |
Non-interest expense | 0 | |||
Net change in the period | 13 | 14 | 26 | 28 |
Ending balance | (238) | (292) | (238) | (292) |
Net Unrealized on Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (608) | (644) | (580) | (665) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 70 | (14) | 43 | 10 |
Amounts reclassified in period to: | ||||
Net interest income | (2) | (1) | (3) | (3) |
Non-interest gain (loss) | (1) | (1) | (1) | |
Non-interest expense | 0 | |||
Net change in the period | 67 | (15) | 39 | 6 |
Ending balance | (541) | (659) | (541) | (659) |
Post-Retirement Plans | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (7) | 1 | 1 | 0 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 0 | 2 | (8) | 2 |
Amounts reclassified in period to: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Non-interest gain (loss) | 0 | 0 | 0 | |
Non-interest expense | 1 | |||
Net change in the period | 0 | 2 | (8) | 3 |
Ending balance | $ (7) | $ 3 | $ (7) | $ 3 |
Fair Value Accounting (Carrying
Fair Value Accounting (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Financial Assets - | |||
Held-to-maturity securities | $ 7,171 | $ 7,824 | |
Advances | 94 | 83 | |
Financial Liabilities - | |||
Consolidated obligation discount notes | (9,550) | (1,799) | |
Consolidated obligation bonds | (906) | (2,785) | |
Carrying Amount | |||
Financial Assets - | |||
Cash and due from banks | 1,551 | 342 | |
Interest bearing deposits | 560 | 560 | |
Federal Funds sold | 751 | 1,525 | |
Securities purchased under agreements to resell | 1,250 | 3,400 | |
Held-to-maturity securities | 6,529 | 7,118 | |
Advances | 34,553 | 32,485 | |
MPF Loans held in portfolio, net | 5,374 | 6,057 | |
Financial Liabilities - | |||
Deposits | (638) | (666) | |
Consolidated obligation discount notes | (34,552) | (31,054) | |
Consolidated obligation bonds | (28,672) | (34,251) | |
Subordinated notes | (944) | (944) | |
Fair Value | |||
Financial Assets - | |||
Cash and due from banks | 1,551 | 342 | |
Interest bearing deposits | 560 | 560 | |
Federal Funds sold | 751 | 1,525 | |
Securities purchased under agreements to resell | 1,250 | 3,400 | |
Held-to-maturity securities | 7,171 | 7,824 | |
Advances | 34,582 | 32,546 | |
MPF Loans held in portfolio, net | 5,763 | 6,585 | |
Financial Liabilities - | |||
Deposits | (638) | (666) | |
Consolidated obligation discount notes | (34,552) | (31,055) | |
Consolidated obligation bonds | (29,198) | (34,831) | |
Subordinated notes | (992) | (1,013) | |
Level 1 | |||
Financial Assets - | |||
Cash and due from banks | 1,551 | 342 | |
Interest bearing deposits | 560 | 560 | |
Federal Funds sold | 0 | 0 | |
Securities purchased under agreements to resell | 0 | 0 | |
Held-to-maturity securities | 0 | 0 | |
Advances | 0 | 0 | |
MPF Loans held in portfolio, net | 0 | 0 | |
Financial Liabilities - | |||
Deposits | 0 | 0 | |
Consolidated obligation discount notes | 0 | 0 | |
Consolidated obligation bonds | 0 | 0 | |
Subordinated notes | 0 | 0 | |
Level 2 | |||
Financial Assets - | |||
Cash and due from banks | 0 | 0 | |
Interest bearing deposits | 0 | 0 | |
Federal Funds sold | 751 | 1,525 | |
Securities purchased under agreements to resell | 1,250 | 3,400 | |
Held-to-maturity securities | 5,812 | 6,356 | |
Advances | 34,582 | 32,546 | |
MPF Loans held in portfolio, net | 5,725 | 6,435 | |
Financial Liabilities - | |||
Deposits | (638) | (666) | |
Consolidated obligation discount notes | (34,552) | (31,055) | |
Consolidated obligation bonds | (29,140) | (34,768) | |
Subordinated notes | (992) | (1,013) | |
Level 3 | |||
Financial Assets - | |||
Cash and due from banks | 0 | 0 | |
Interest bearing deposits | 0 | 0 | |
Federal Funds sold | 0 | 0 | |
Securities purchased under agreements to resell | 0 | 0 | |
Held-to-maturity securities | 1,359 | 1,468 | |
Advances | 0 | 0 | |
MPF Loans held in portfolio, net | 38 | 150 | |
Financial Liabilities - | |||
Deposits | 0 | 0 | |
Consolidated obligation discount notes | 0 | 0 | |
Consolidated obligation bonds | (58) | (63) | [1] |
Subordinated notes | $ 0 | $ 0 | |
[1] | Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. |
Fair Value Accounting (Fair Val
Fair Value Accounting (Fair Value Measured on Recurring Basis) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | ||
Financial Assets - | ||||
Trading securities | $ 160 | $ 167 | ||
Available-for-sale | 18,830 | 19,975 | ||
Advances | 94 | 83 | ||
Derivative assets | 2 | 29 | ||
Financial Liabilities - | ||||
Consolidated obligation discount notes | (9,550) | (1,799) | ||
Consolidated obligation bonds | (906) | (2,785) | ||
Derivative liabilities | (68) | (55) | ||
Recurring | ||||
Financial Assets - | ||||
Trading securities | 160 | 167 | ||
Available-for-sale | 18,830 | 19,975 | ||
Advances | 94 | 83 | ||
Derivative assets | 2 | 29 | ||
Other assets - Mortgage loans held for sale | 11 | |||
Netting | [1] | (665) | (675) | |
Total financial assets at fair value | 19,097 | 20,254 | ||
Financial Liabilities - | ||||
Consolidated obligation discount notes | (9,550) | (1,799) | ||
Consolidated obligation bonds | (964) | (2,848) | ||
Derivative liabilities | (68) | (55) | ||
Netting | [1] | 1,494 | 1,625 | |
Total financial liabilities at fair value | (10,582) | (4,702) | ||
Recurring | U.S. Government & other government related | ||||
Financial Assets - | ||||
Trading securities | 101 | 102 | ||
Available-for-sale | 460 | 508 | ||
Recurring | State or local housing agency | ||||
Financial Assets - | ||||
Available-for-sale | 4 | 3 | ||
Recurring | Asset-backed Securities, Securitized Loans and Receivables [Member] | FFELP ABS | ||||
Financial Assets - | ||||
Available-for-sale | 5,779 | 6,221 | ||
Recurring | Residential MBS: | GSE | ||||
Financial Assets - | ||||
Trading securities | 57 | 63 | ||
Available-for-sale | 10,386 | 10,827 | ||
Recurring | Residential MBS: | Government-guaranteed | ||||
Financial Assets - | ||||
Trading securities | 2 | 2 | ||
Available-for-sale | 2,133 | 2,345 | ||
Recurring | Residential MBS: | Private-label | ||||
Financial Assets - | ||||
Available-for-sale | 68 | 71 | ||
Level 2 | ||||
Financial Assets - | ||||
Advances | 34,582 | 32,546 | ||
Financial Liabilities - | ||||
Consolidated obligation discount notes | (34,552) | (31,055) | ||
Consolidated obligation bonds | (29,140) | (34,768) | ||
Level 2 | Recurring | ||||
Financial Assets - | ||||
Trading securities | 160 | 167 | ||
Available-for-sale | 18,762 | 19,904 | ||
Advances | 94 | 83 | ||
Derivative assets | 658 | 691 | ||
Other assets - Mortgage loans held for sale | 11 | |||
Total financial assets at fair value | 19,685 | 20,845 | ||
Financial Liabilities - | ||||
Consolidated obligation discount notes | (9,550) | (1,799) | ||
Consolidated obligation bonds | (906) | (2,785) | ||
Derivative liabilities | (1,562) | (1,680) | ||
Total financial liabilities at fair value | (12,018) | (6,264) | ||
Level 2 | Recurring | U.S. Government & other government related | ||||
Financial Assets - | ||||
Trading securities | 101 | 102 | ||
Available-for-sale | 460 | 508 | ||
Level 2 | Recurring | State or local housing agency | ||||
Financial Assets - | ||||
Available-for-sale | 4 | 3 | ||
Level 2 | Recurring | Asset-backed Securities, Securitized Loans and Receivables [Member] | FFELP ABS | ||||
Financial Assets - | ||||
Available-for-sale | 5,779 | 6,221 | ||
Level 2 | Recurring | Residential MBS: | GSE | ||||
Financial Assets - | ||||
Trading securities | 57 | 63 | ||
Available-for-sale | 10,386 | 10,827 | ||
Level 2 | Recurring | Residential MBS: | Government-guaranteed | ||||
Financial Assets - | ||||
Trading securities | 2 | 2 | ||
Available-for-sale | 2,133 | 2,345 | ||
Level 2 | Recurring | Residential MBS: | Private-label | ||||
Financial Assets - | ||||
Available-for-sale | 0 | 0 | ||
Level 3 | ||||
Financial Assets - | ||||
Advances | 0 | 0 | ||
Financial Liabilities - | ||||
Consolidated obligation discount notes | 0 | 0 | ||
Consolidated obligation bonds | (58) | (63) | [2] | |
Level 3 | Recurring | ||||
Financial Assets - | ||||
Trading securities | 0 | 0 | ||
Available-for-sale | 68 | 71 | ||
Advances | 0 | 0 | ||
Derivative assets | 9 | 13 | ||
Other assets - Mortgage loans held for sale | 0 | |||
Total financial assets at fair value | $ 77 | $ 84 | ||
Level 3 as a percent of total assets at fair value | 0.40% | 0.40% | ||
Financial Liabilities - | ||||
Consolidated obligation discount notes | $ 0 | $ 0 | ||
Consolidated obligation bonds | [2] | (58) | (63) | |
Derivative liabilities | 0 | 0 | ||
Total financial liabilities at fair value | $ (58) | $ (63) | ||
Level 3 as a percent of total liabilities at fair value | 0.50% | 1.30% | ||
Level 3 | Recurring | U.S. Government & other government related | ||||
Financial Assets - | ||||
Trading securities | $ 0 | $ 0 | ||
Available-for-sale | 0 | 0 | ||
Level 3 | Recurring | State or local housing agency | ||||
Financial Assets - | ||||
Available-for-sale | 0 | 0 | ||
Level 3 | Recurring | Asset-backed Securities, Securitized Loans and Receivables [Member] | FFELP ABS | ||||
Financial Assets - | ||||
Available-for-sale | 0 | 0 | ||
Level 3 | Recurring | Residential MBS: | GSE | ||||
Financial Assets - | ||||
Trading securities | 0 | 0 | ||
Available-for-sale | 0 | 0 | ||
Level 3 | Recurring | Residential MBS: | Government-guaranteed | ||||
Financial Assets - | ||||
Trading securities | 0 | 0 | ||
Available-for-sale | 0 | 0 | ||
Level 3 | Recurring | Residential MBS: | Private-label | ||||
Financial Assets - | ||||
Available-for-sale | $ 68 | $ 71 | ||
[1] | The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right of setoff, by contract (e.g., master netting agreement) or otherwise, to discharge all or a portion of the debt owed to our counterparty by applying against the debt an amount that our counterparty owes to us. See Note 9 - Derivatives and Hedging Activities. | |||
[2] | Amount represents debt carried at fair value under a full fair value hedge strategy, not at fair value under the fair value option. |
Fair Value Accounting (Fair V72
Fair Value Accounting (Fair Value Measured on a Nonrecurring Basis) (Details) - Level 3 - Non-recurring - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Impaired conventional MPF Loans held in portfolio | $ 38 | $ 150 |
REO (recorded in Other Assets) | $ 12 | $ 9 |
Fair Value Accounting (Fair V73
Fair Value Accounting (Fair Value Option) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain (loss) on instruments held at fair value | $ 0 | $ (3) | $ 3 | $ 1 |
Advances | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain (loss) on instruments held at fair value | 0 | 0 | 1 | 0 |
Consolidated obligation bonds | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain (loss) on instruments held at fair value | 2 | (3) | 4 | 1 |
Discount Notes | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain (loss) on instruments held at fair value | $ (2) | $ 0 | $ (2) | $ 0 |
Fair Value Accounting (Fair V74
Fair Value Accounting (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid Principal Balance | $ 34,396 | $ 32,303 |
Fair Value | 94 | 83 |
Fair Value | 906 | 2,785 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid Principal Balance | 90 | 80 |
Fair Value Over (Under) UPB | 4 | 3 |
Fair Value | 94 | 83 |
Consolidated obligation bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid Principal Balance | 900 | 2,775 |
Fair Value Over (Under) UPB | 6 | 10 |
Fair Value | $ 906 | $ 2,785 |
Commitments and Contingencies75
Commitments and Contingencies (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Commitments | |||
Expire within one year | $ 5,105 | $ 7,025 | |
Expire after one year | 2,020 | 1,573 | |
Total | 7,125 | 8,598 | |
Unsettled consolidated obligation bonds | |||
Commitments | |||
Expire within one year | 185 | 91 | |
Expire after one year | 0 | 0 | |
Total | 185 | 91 | |
Member standby letters of credit | |||
Commitments | |||
Expire within one year | 4,333 | 2,410 | |
Expire after one year | [1] | 1,479 | 1,207 |
Total | 5,812 | 3,617 | |
Portion of expire after one year that are also renewable annually | 927 | 974 | |
Housing authority standby bond purchase agreements | |||
Commitments | |||
Expire within one year | 17 | 155 | |
Expire after one year | 436 | 262 | |
Total | 453 | 417 | |
Committed unused member lines of credit | |||
Commitments | |||
Expire within one year | 0 | 4,000 | |
Expire after one year | 0 | 0 | |
Total | 0 | 4,000 | |
Advance commitments | |||
Commitments | |||
Expire within one year | 267 | 158 | |
Expire after one year | 105 | 104 | |
Total | 372 | 262 | |
Other commitments | |||
Commitments | |||
Expire within one year | 303 | 211 | |
Expire after one year | 0 | 0 | |
Total | $ 303 | $ 211 | |
[1] | Contains $927 million and $974 million of member standby letters of credit at June 30, 2015, and December 31, 2014, which were renewable annually. |
Transactions with Related Par76
Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Accounts With Related Party Transactions [Line Items] | ||
Assets - Interest bearing deposits | $ 560 | $ 560 |
Assets - Advances | 34,553 | 32,485 |
Liabilities - Deposits | 638 | 666 |
Equity - Capital Stock | 1,835 | 1,902 |
Transactions with members | ||
Accounts With Related Party Transactions [Line Items] | ||
Assets - Interest bearing deposits | 560 | 560 |
Assets - Advances | 11,183 | 11,159 |
Assets - Advance Interest Receivable | 3 | 2 |
Liabilities - Deposits | 21 | 26 |
Equity - Capital Stock | $ 268 | $ 267 |