Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2017shares | |
Document and Entity Information [Abstract] | |
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, 2017 |
Document Fiscal Year Focus | 2,017 |
Document Fiscal Period Focus | Q2 |
Amendment Flag | false |
Entity Common Stock, Shares Outstanding | 18,287,562 |
Entity Well-known Seasoned Issuer | No |
Entity Voluntary Filers | No |
Entity Current Reporting Status | Yes |
Statements of Condition
Statements of Condition - USD ($) shares in Millions, $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Assets | ||
Cash and due from banks | $ 168 | $ 351 |
Interest bearing deposits | 750 | 650 |
Federal Funds sold | 7,683 | 4,075 |
Securities purchased under agreements to resell | 2,250 | 2,300 |
Investment securities - | ||
Trading | 238 | 1,045 |
pledged | 76 | 97 |
Available-for-sale | 14,059 | 14,918 |
Held-to-maturity, | 4,481 | 5,072 |
fair value | 4,905 | 5,516 |
Investment securities | 18,778 | 21,035 |
Advances | 46,844 | 45,067 |
carried at fair value | 786 | 672 |
MPF Loans held in portfolio, net of, | 4,965 | 4,967 |
allowance for credit losses | (3) | (3) |
Derivative assets | 3 | 6 |
Other assets, | 338 | 241 |
carried at fair value | 119 | 44 |
Assets | 81,779 | 78,692 |
Deposits - | ||
Noninterest bearing | 50 | 53 |
Interest bearing, | 508 | 443 |
from other FHLBs | 37 | 16 |
Deposits | 558 | 496 |
Consolidated obligations, net - | ||
Discount notes, | 37,944 | 35,949 |
carried at fair value | 524 | 6,368 |
Bonds | 37,878 | 36,903 |
carried at fair value | 5,340 | 5,443 |
Consolidated obligations, net | 75,822 | 72,852 |
Derivative liabilities | 40 | 43 |
Affordable Housing Program assessment payable | 88 | 86 |
Mandatorily redeemable capital stock | 303 | 301 |
Other liabilities | 222 | 219 |
Liabilities | 77,033 | 73,997 |
Commitments and contingencies - see notes to the financial statements | ||
Capital | ||
Class B1 activity stock, | $ 1,236 | $ 1,160 |
million shares issued and outstanding | 12 | 12 |
Class B2 membership stock, | $ 290 | $ 551 |
million shares issued and outstanding | 3 | 6 |
Capital stock - putable, | $ 1,526 | $ 1,711 |
par value | $ 100 | $ 100 |
Retained earnings - unrestricted | $ 2,734 | $ 2,631 |
Retained earnings - restricted | 419 | 389 |
Retained earnings | 3,153 | 3,020 |
Accumulated other comprehensive income (loss) (AOCI) | 67 | (36) |
Capital | 4,746 | 4,695 |
Liabilities and capital | $ 81,779 | $ 78,692 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Income Statement [Abstract] | ||||
Interest income | $ 373 | $ 317 | $ 710 | $ 635 |
Interest expense | 256 | 206 | 480 | 404 |
Net interest income | 117 | 111 | 230 | 231 |
Provision for (reversal of) credit losses | 1 | 0 | 1 | 0 |
Net interest income after provision for (reversal of) credit losses | 116 | 111 | 229 | 231 |
Noninterest income - | ||||
Derivatives and hedging activities | 3 | 2 | 6 | (14) |
Instruments held under fair value option | 4 | 1 | 2 | 6 |
Litigation settlement awards | 1 | 38 | 1 | 38 |
MPF fees from other FHLBs | 5 | 4 | 10 | 8 |
Other, net | 3 | 5 | 7 | 9 |
Noninterest income | 16 | 50 | 26 | 47 |
Noninterest expense - | ||||
Compensation and benefits | 26 | 22 | 51 | 45 |
Operating expenses | 15 | 14 | 30 | 29 |
Other | 3 | 10 | 5 | 12 |
Noninterest expense | 44 | 46 | 86 | 86 |
Income before assessments | 88 | 115 | 169 | 192 |
Affordable Housing Program assessment | 9 | 11 | 17 | 19 |
Net income | $ 79 | $ 104 | $ 152 | $ 173 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 79 | $ 104 | $ 152 | $ 173 |
Other comprehensive income (loss) - | ||||
Net unrealized gain (loss) available-for-sale securities | (19) | (60) | 19 | (100) |
Noncredit OTTI held-to-maturity securities | 8 | 10 | 17 | 21 |
Net unrealized gain (loss) cash flow hedges | 25 | 8 | 69 | (45) |
Postretirement plans | 0 | 1 | (2) | 1 |
Other comprehensive income (loss) | 14 | (41) | 103 | (123) |
Comprehensive income | $ 93 | $ 63 | $ 255 | $ 50 |
Statements of Stockholders' Equ
Statements of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Capital Stock | Retained Earnings, Unrestricted | Retained Earnings, Restricted | Retained Earnings, Total | AOCI | Capital Stock - Putable - B1 Activity | Capital Stock - Putable - B2 Membership |
Shares, beginning at Dec. 31, 2015 | 19 | 13 | 6 | |||||
Balance, beginning at Dec. 31, 2015 | $ 4,652 | $ 1,950 | $ 2,407 | $ 323 | $ 2,730 | $ (28) | $ 1,313 | $ 637 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 50 | 138 | 35 | 173 | (123) | |||
Proceeds from issuance of capital stock (shares) | 7 | 7 | 0 | |||||
Proceeds from issuance of capital stock | 707 | $ 707 | $ 702 | $ 5 | ||||
Repurchases of capital stock (shares) | (6) | (3) | (3) | |||||
Repurchases of capital stock | (584) | $ (584) | $ (319) | $ (265) | ||||
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) (shares) | (3) | (3) | 0 | |||||
Capital stock reclassified to mandatorily redeemable capital stock (liabilities) | (299) | $ (299) | $ (294) | $ (5) | ||||
Transfers between classes of capital stock (shares) | (2) | 2 | ||||||
Transfers between classes of capital stock | $ (170) | $ 170 | ||||||
Cash dividends - class B1 | (17) | (17) | (17) | |||||
Cash dividends - class B2 | (2) | (2) | (2) | |||||
Common Stock Dividend - Annualized Rate | 2.70% | 0.60% | ||||||
Total change in period (shares) | (2) | (1) | (1) | |||||
Total change in period | (145) | $ (176) | 119 | 35 | 154 | (123) | $ (81) | $ (95) |
Shares, ending at Jun. 30, 2016 | 17 | 12 | 5 | |||||
Balance, ending at Jun. 30, 2016 | 4,507 | $ 1,774 | 2,526 | 358 | 2,884 | (151) | $ 1,232 | $ 542 |
Shares, beginning at Dec. 31, 2016 | 18 | 12 | 6 | |||||
Balance, beginning at Dec. 31, 2016 | 4,695 | $ 1,711 | 2,631 | 389 | 3,020 | (36) | $ 1,160 | $ 551 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 255 | 122 | 30 | 152 | 103 | |||
Proceeds from issuance of capital stock (shares) | 13 | 13 | 0 | |||||
Proceeds from issuance of capital stock | 1,462 | $ 1,462 | $ 1,452 | $ 10 | ||||
Repurchases of capital stock (shares) | (16) | 0 | (16) | |||||
Repurchases of capital stock | (1,641) | $ (1,641) | $ (34) | $ (1,607) | ||||
Capital stock reclassified to mandatorily redeemable capital stock (other liabilities) (shares) | 0 | 0 | 0 | |||||
Capital stock reclassified to mandatorily redeemable capital stock (liabilities) | (6) | $ (6) | $ (3) | $ (3) | ||||
Transfers between classes of capital stock (shares) | (13) | 13 | ||||||
Transfers between classes of capital stock | $ (1,339) | $ 1,339 | ||||||
Cash dividends - class B1 | (17) | (17) | (17) | |||||
Cash dividends - class B2 | (2) | (2) | (2) | |||||
Common Stock Dividend - Annualized Rate | 3.08% | 0.95% | ||||||
Total change in period (shares) | (3) | 0 | (3) | |||||
Total change in period | 51 | $ (185) | 103 | 30 | 133 | 103 | $ 76 | $ (261) |
Shares, ending at Jun. 30, 2017 | 15 | 12 | 3 | |||||
Balance, ending at Jun. 30, 2017 | $ 4,746 | $ 1,526 | $ 2,734 | $ 419 | $ 3,153 | $ 67 | $ 1,236 | $ 290 |
Condensed Statements of Cash Fl
Condensed Statements of Cash Flows - USD ($) $ in Millions | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | ||
Operating | |||
Net cash provided by (used in) operating activities | $ 225 | $ (8) | |
Investing | |||
Net change interest bearing deposits | (100) | 0 | |
Net change Federal Funds sold | (3,608) | (1,871) | |
Net change securities purchased under agreements to resell | 50 | (375) | |
Trading securities - | |||
Sales | 801 | 1,006 | |
Proceeds from maturities and paydowns | 2 | 105 | |
Purchases | 0 | (1,153) | |
Available-for-sale securities - | |||
Proceeds from maturities and paydowns | 828 | 1,159 | |
Purchases | 0 | (2) | |
Held-to-maturity securities - | |||
Short-term held-to-maturity securities, net | [1] | 90 | 5 |
Proceeds from maturities and paydowns | 553 | 486 | |
Purchases | (17) | (27) | |
Advances - | |||
Principal collected | 359,395 | 381,703 | |
Issued | (361,153) | (391,161) | |
MPF Loans held in portfolio - | |||
Principal collected | 511 | 570 | |
Purchases | (513) | (409) | |
Other investing activities | 14 | 20 | |
Net cash provided by (used in) investing activities | (3,147) | (9,944) | |
Financing | |||
Net change deposits | 62 | (6) | |
Discount notes - | |||
Net proceeds from issuance | 725,466 | 231,170 | |
Payments for maturing and retiring | (723,480) | (226,872) | |
Consolidated obligation bonds - | |||
Net proceeds from issuance | 10,579 | 14,341 | |
Payments for maturing and retiring | (9,670) | (7,932) | |
Payments for retirement of subordinated notes | 0 | (944) | |
Capital stock - | |||
Proceeds from issuance | 1,462 | 707 | |
Repurchases | (1,641) | (584) | |
Cash dividends paid | (19) | (19) | |
Other financing activities | (20) | (33) | |
Net cash provided by (used in) financing activities | 2,739 | 9,828 | |
Net increase (decrease) in cash and due from banks | (183) | (124) | |
Cash and due from banks at beginning of period | 351 | 499 | |
Cash and due from banks at end of period | $ 168 | $ 375 | |
[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, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block] | Background and Basis of Presentation The Federal Home Loan Bank of Chicago 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. We are supervised and regulated by the Federal Housing Finance Agency (FHFA), an independent federal agency in the executive branch of the United States (U.S.) government. Each FHLB is a member-owned cooperative with members from a specifically defined geographic district. Our defined geographic district is Illinois and Wisconsin. All federally-insured depository institutions, insurance companies engaged in residential housing finance, credit unions and community development financial institutions located in our district are eligible to apply for membership with us. All our members are required to purchase our capital stock as a condition of membership. Our capital stock is not publicly traded, and is issued, repurchased or redeemed at par value, $100 per share, subject to certain statutory and regulatory limits. As a cooperative, we do business with our members, and former members (under limited circumstances). Specifically, we provide credit 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. 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, 2016 , included in our Annual Report on Form 10-K ( 2016 Form 10-K) starting on page F-1, as filed with the Securities and Exchange Commission (SEC). Unless otherwise specified, references to we, us, our, and the Bank are to the Federal Home Loan Bank of Chicago. “Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, and "Community First" are registered trademarks of the Federal Home Loan Bank of Chicago. See the Glossary of Terms starting on page 59 for the definitions of certain terms used herein. Use of Estimates and Assumptions We are required to make estimates and assumptions when preparing our financial statements in accordance with GAAP. The most significant of these estimates and assumptions applies to fair value measurements and allowance for credit losses. Our actual results may differ from the results reported in our financial statements due to such estimates and assumptions. This includes the reported amounts of assets and liabilities, the reported amounts of income and expense, and the disclosure of contingent assets and liabilities. Consolidation of Variable Interest Entities We are not the primary beneficiary of any variable interest entity. Specifically, we do not have the power to direct the activities of any variable interest entity that would most significantly impact its economic performance and we do not have the obligation to absorb losses or the right to receive benefits from any variable interest entity that could potentially be significant to a variable interest entity. As a result, we do not consolidate any of our investments in variable interest entities. Instead, 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). Our maximum loss exposure for these investment securities is limited to their carrying amounts. 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. Gross versus Net Presentation of Financial Instruments Our over-the-counter derivative transactions may be entered into through a bilateral agreement with an individual counterparty. We present these derivative transactions on a net basis in our statements of condition on the basis that our right to net amounts due to our counterparties is enforceable at law upon early termination. Derivatives are netted by contract (e.g., master netting agreement), to discharge all or a portion of the amounts that would be owed to our counterparty by applying them against the amounts that our counterparty owes to us. If these netted amounts are positive, they are classified as a derivative asset and if negative, they are classified as a derivative liability. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or asset. We also enter into cleared derivative transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO) through a Futures Commission Merchant (FCM), a clearing member of the DCO. Prior to 2017, our accounting presented derivative assets and liabilities of our cleared derivative transactions on a net basis, inclusive of initial and variation margin, and accrued interest receivable/payable and cash collateral. Due to rule changes adopted by our DCOs that characterize the treatment of variation margin payments as settlement of a derivative’s mark-to-market exposure and not as collateral against the derivative’s mark-to-market exposure, we now account for our variation margin payments as settlements to our derivative assets and derivative liabilities. The amendments to the DCOs’ rules have no effect on how we present initial margin, which we include in the carrying amount of our derivative assets or derivative liabilities. See Note 9 - Derivatives and Hedging Activities for further details. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Our Summary of Significant Accounting Policies through December 31, 2016 , can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2016 Form 10-K. We adopted the following policies year to date in 2017 : Accounting for Variation Margin Payments Effective in January of 2017 we began accounting for variation margin payments made to or received by the DCOs through our FCMs as settlements to our cleared derivative assets and derivative liabilities. See Note 1 - Background and Basis for Presentation for further details. This change in accounting did not have any effect on the accounting of our existing hedge relationships. Specifically, the change in accounting would not require us to discontinue existing hedge relationships or preclude us from using the short-cut method of hedge accounting provided no additional changes are made by the DCOs that would preclude the use of the short-cut method of hedge accounting. The International Swaps and Derivatives Association (ISDA) issued a confirmation letter confirming the SEC staff’s non-objection to the conclusions reached by ISDA related to the accounting implications of the DCO rule changes regarding the characterization of the variation margin payments as daily settlements and the continued application of existing hedge accounting relationships, including the use of the short-cut method of hedge accounting. Contingent Put and Call Options in Debt Instruments |
Recently Issued but Not Yet Ado
Recently Issued but Not Yet Adopted Accounting Standards | 6 Months Ended |
Jun. 30, 2017 | |
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 Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost In March of 2017, the FASB amended existing GAAP to require the service cost component of our net periodic pension and postretirement benefit costs to be classified as compensation costs. The other components of our net periodic pension and postretirement benefit costs are required to be classified as Noninterest expense - Other operating expenses on a retrospective basis effective January 1, 2018. Currently, our total net periodic pension and postretirement costs are classified as compensation costs. We do not expect the classification guidance of this GAAP amendment will have a significant effect on our financial condition, results of operations, and cash flows. Classification of Certain Cash Receipts and Cash Payments in the Statement of Cash Flows In August of 2016, the FASB issued statement of cash flows classification guidance governing certain cash receipts and cash payments. The new guidance becomes effective January 1, 2018 and will be applied retrospectively for each period our statements of cash flows are presented at the time of adoption. The new guidance is not expected to have any effect on our financial condition, results of operations, and cash flows since our existing practice is consistent with the provisions that are applicable to us. The provisions applicable to us are outlined below. • We classify cash payments related to prepaying or extinguishing our consolidated obligations as financing activities in our statements of cash flows. • We classify the cash payments attributable to interest expense paid at the maturity of our discount notes, which have a zero coupon rate, as operating activities in our statements of cash flows and in our supplemental disclosure of interest expense paid. Measurement of Credit Losses on Financial Instruments In June of 2016, the FASB amended existing GAAP guidance applicable to measuring credit losses on financial instruments. The amendments are expected to result in recognizing credit losses in the financial statements on a timelier basis by utilizing forward looking information. Key provisions of the amendments relevant to us are outlined below. • Replaces the “incurred loss” impairment methodology applied under current GAAP with an “expected credit losses” methodology. • The expected credit losses methodology requires us to estimate all credit losses on financial instruments carried on an amortized cost basis and off-balance-sheet credit exposures over their contractual term. On balance sheet financial instruments include, but are not limited to, advances, MPF Loans held in portfolio, and Held-to-maturity (HTM) securities. Off-balance-sheet credit exposure refers to unfunded credit exposures, such as standby letters of credit. • The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the financial instrument’s reported amount. • Aligns the income statement recognition of credit losses for securities with the reporting period in which changes in collectability occur by recording credit losses (and subsequent reversals) through an allowance rather than a write-down as currently required under GAAP. • Requires recognition of a credit loss on available-for-sale (AFS) securities into the income statement if the present value of cash flows expected to be collected on the security is less than its amortized cost basis. Additionally, the allowance on AFS debt securities will be limited to the amount by which fair value is less than the amortized cost basis. • Expands upon the current credit quality disclosures by requiring further disaggregation of financial instruments by their year of origination. This disclosure is expected to help financial statement users better understand credit quality trends of asset portfolios. The amendments become effective January 1, 2020, with early adoption permitted effective January 1, 2019. We plan to implement the expected credit loss methodology through a cumulative-effect adjustment to our beginning retained earnings as of the first reporting period in which the new guidance becomes effective for us. The cumulative effect adjustment will equal the amount required to adjust our existing allowance for credit losses for our on balance-sheet financial instruments and other liabilities for our off-balance sheet financial instruments to the amounts determined under the expected credit losses methodology. A prospective transition approach is required for debt securities in which an other-than-temporary-impairment (OTTI) impairment had been recognized before our effective date. The accounting implications of such an approach are outlined below: • Write-downs recognized prior to our effective date on securities may not be reversed at the time of our adoption. • Improvements in expected cash flows subsequent to adoption for such securities will continue to be accounted for as yield adjustments over their remaining life. • Recoveries of amounts previously written off prior to the date of adoption will be recorded in earnings when received. We are in the process of reviewing the expected effect of this guidance on our financial condition, results of operations, and cash flows. Leases In February of 2016, the FASB issued new guidance pertaining to lease accounting. The new guidance requires us to recognize operating leases and right-to-use assets, if any, in our statements of condition if their term exceeds 12 months. Currently, we recognize our operating leases off-balance sheet. The new guidance becomes effective January 1, 2019. A modified retrospective transition approach is required to be applied to leases existing at, or entered into after, January 1, 2018. We do not expect the new guidance to have a significant effect on our financial condition, results of operations, and cash flows since our existing off-balance sheet operating leases are not material. Recognition and Measurement of Financial Assets and Financial Liabilities In January of 2016, the FASB issued new guidance governing recognition and measurement of financial assets and financial liabilities. The new guidance becomes effective January 1, 2018. We do not expect the new guidance to have a significant effect on our financial condition, results of operations, and cash flows. The key provisions applicable to us are as follows: • The ability to elect the fair value option will continue to be permitted. • The portion of instrument-specific credit risk attributable to the total change in fair value of our consolidated obligations that are carried at fair value under the fair value option should be recognized in other comprehensive income. We will measure such instrument-specific credit risk based on our nonperformance risk. Specifically, our nonperformance risk includes our own credit risk and the credit risk associated with the joint and several liability of other FHLBs. We do not expect this requirement will have a material effect on our financial condition, results of operations, and cash flows. • The requirement to separately present financial assets and financial liabilities by measurement category, such as amortized cost, and form, such as securities or loans, on our statements of condition or the accompanying notes to the financial statements. Revenue from Contracts with Customers |
Interest Income and Interest Ex
Interest Income and Interest Expense | 6 Months Ended |
Jun. 30, 2017 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense Disclosure [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, 2017 2016 2017 2016 Interest income - Trading $ 1 $ 3 $ 2 $ 5 Available-for-sale interest income 107 114 215 225 Available-for-sale prepayment fees 7 5 11 26 Available-for-sale 114 119 226 251 Held-to-maturity 48 56 101 115 Investment securities 163 178 329 371 Advance interest income 129 68 227 130 Advance prepayment fees 1 6 2 7 Advances 130 74 229 137 MPF Loans held in portfolio 53 55 107 112 Federal funds sold and securities purchased under agreements to resell 25 6 40 9 Other interest bearing assets 2 4 5 6 Interest income 373 317 710 635 Interest expense - Discount notes 119 95 215 177 Bonds 133 98 258 200 Consolidated obligations 252 193 473 377 Subordinated notes — 10 — 24 Other interest bearing liabilities 4 3 7 3 Interest expense 256 206 480 404 Net interest income 117 111 230 $ 231 Provision for (reversal of) credit losses 1 — 1 — Net interest income after provision for (reversal of) credit losses $ 116 $ 111 $ 229 $ 231 |
Investment Securities
Investment Securities | 6 Months Ended |
Jun. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities [Text Block] | Investment Securities We classify securities as either trading, held-to-maturity (HTM), or available-for-sale (AFS). Our security disclosures within these classifications are disaggregated by major security types as shown below. Our major security types are based on the nature and risks of the security. • U.S. Government & other government related may consist of the sovereign debt of the United States; debt issued by government sponsored enterprises (GSE); and non-mortgage-backed securities of the Small Business Administration and Tennessee Valley Authority. • Federal Family Education Loan Program - asset backed securities (FFELP ABS). • GSE residential mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac. • Government-guaranteed MBS. • Private-label residential MBS. • State or local housing agency obligations. Pledged Collateral We disclose the amount of investment securities pledged as collateral pertaining to our derivatives activity on our statements of condition. Also 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 unrealized gains or losses on trading securities still held on our statement of condition as of the end of the reporting period. As of June 30, 2017 December 31, 2016 U.S. Government & other government related $ 201 $ 1,005 Residential MBS: GSE 36 39 Government-guaranteed 1 1 Trading securities $ 238 $ 1,045 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, 2017 U.S. Government & other government related $ 284 $ 14 $ — $ 298 State or local housing agency 17 — — 17 FFELP ABS 4,197 222 (7 ) 4,412 Residential MBS: GSE 7,897 216 (4 ) 8,109 Government-guaranteed 1,141 28 — 1,169 Private-label 45 9 — 54 Available-for-sale securities $ 13,581 $ 489 $ (11 ) $ 14,059 As of December 31, 2016 U.S. Government & other government related $ 322 $ 15 $ (1 ) $ 336 State or local housing agency 19 — — 19 FFELP ABS 4,431 165 (24 ) 4,572 Residential MBS: GSE 8,291 266 (2 ) 8,555 Government-guaranteed 1,346 34 — 1,380 Private-label 50 6 — 56 Available-for-sale securities $ 14,459 $ 486 $ (27 ) $ 14,918 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, 2017 U.S. Government & other government related $ 1,534 $ — $ 1,534 $ 43 $ (1 ) $ 1,576 State or local housing agency 11 — 11 — — 11 Residential MBS: GSE 1,652 — 1,652 88 — 1,740 Government-guaranteed 685 — 685 8 — 693 Private-label 759 (160 ) 599 286 — 885 Held-to-maturity securities $ 4,641 $ (160 ) $ 4,481 $ 425 $ (1 ) $ 4,905 As of December 31, 2016 U.S. Government & other government related $ 1,733 $ — $ 1,733 $ 42 $ (1 ) $ 1,774 State or local housing agency 13 — 13 — — 13 Residential MBS: GSE 1,856 — 1,856 100 — 1,956 Government-guaranteed 791 — 791 10 — 801 Private-label 856 (177 ) 679 294 (1 ) 972 Held-to-maturity securities $ 5,249 $ (177 ) $ 5,072 $ 446 $ (2 ) $ 5,516 We had no sales of HTM securities for the periods presented. Contractual Maturity Terms The maturity of our non-MBS AFS and HTM investments is detailed in the following table. Available-for-Sale Held-to-Maturity As of June 30, 2017 Amortized Cost Basis Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 2 $ 2 $ 563 $ 563 Due after one year through five years 37 38 252 260 Due after five years through ten years 26 27 107 108 Due after ten years 236 248 623 656 ABS and MBS without a single maturity date 13,280 13,744 2,936 3,318 Total securities $ 13,581 $ 14,059 $ 4,481 $ 4,905 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. Refer to the Other-Than-Temporary Impairment Analysis section below for further discussion. 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, 2017 FFELP ABS $ — $ — $ 679 $ (7 ) $ 679 $ (7 ) Residential MBS: GSE 614 (1 ) 825 (3 ) 1,439 (4 ) Private-label — — 7 — 7 — Available-for-sale securities $ 614 $ (1 ) $ 1,511 $ (10 ) $ 2,125 $ (11 ) As of December 31, 2016 U.S. Government & other government related $ — $ — $ 47 $ (1 ) $ 47 $ (1 ) State or local housing agency 7 — — — 7 — FFELP ABS — — 753 (24 ) 753 (24 ) Residential MBS: GSE — — 991 (2 ) 991 (2 ) Government-guaranteed — — 23 — 23 — Private-label — — 8 — 8 — Available-for-sale securities $ 7 $ — $ 1,822 $ (27 ) $ 1,829 $ (27 ) 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, 2017 U.S. Government & other government related $ 203 $ — $ 17 $ (1 ) $ 220 $ (1 ) State or local housing agency — — 1 — 1 — Residential MBS: GSE — — 4 — 4 — Private-label — — 852 (160 ) 852 (160 ) Held-to-maturity securities $ 203 $ — $ 874 $ (161 ) $ 1,077 $ (161 ) As of December 31, 2016 U.S. Government & other government related $ 26 $ — $ 17 $ (1 ) $ 43 $ (1 ) State or local housing agency — — 1 — 1 — Residential MBS: GSE — — 4 — 4 — Government-guaranteed 117 — — — 117 — Private-label — — 934 (178 ) 934 (178 ) Held-to-maturity securities $ 143 $ — $ 956 $ (179 ) $ 1,099 $ (179 ) Other-Than-Temporary Impairment Analysis We recognized no OTTI charges on HTM or AFS securities for the periods presented. This is because we do not intend to sell these securities, we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis, and we expect to recover the entire amortized cost basis. For further detail on our accounting policy regarding OTTI please see Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2016 Form 10-K. As of June 30, 2017 , we had a base case short-term housing price forecast for all markets with projected changes ranging from -5.0% to +11.0% over the twelve month period beginning April 1, 2017. For the vast majority of markets, the short-term forecast has changes ranging from +1.0% to +6.0% . The following table presents the changes in the cumulative amount of previously recorded OTTI credit losses on investment securities recognized into earnings for the reporting periods indicated. Three months ended June 30, Six months ended June 30, 2017 2016 2017 2016 Beginning Balance $ 508 $ 555 $ 520 $ 568 Increases in expected future cash flows recorded as accretion into interest income (9 ) (13 ) (21 ) (26 ) Ending Balance $ 499 $ 542 $ 499 $ 542 Ongoing Litigation On October 15, 2010, we instituted litigation relating to 64 private-label MBS bonds we purchased in an aggregate original principal amount of $4.29 billion . As of June 30, 2017 , the remaining litigation covers three private-label MBS bonds in the aggregate original principal amount of $65 million |
Advances
Advances | 6 Months Ended |
Jun. 30, 2017 | |
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 terms of maturity. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties. As of June 30, 2017 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 22,420 1.13 % One to two years 3,306 1.20 % Two to three years 1,854 1.61 % Three to four years 1,338 1.66 % Four to five years 1,904 1.70 % More than five years 15,901 1.30 % a Par value $ 46,723 1.25 % a The weighted average interest rate is relatively low when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at market prevailing interest rates. We have no allowance for credit losses on our advances. See Note 8 - Allowance for Credit Losses to the financial statements for further information related to our credit risk on advances. The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated. As of June 30, 2017 December 31, 2016 Par value $ 46,723 $ 44,965 Fair value hedging adjustments 115 98 Other adjustments 6 4 Advances $ 46,844 $ 45,067 The following advance borrowers exceeded 10% of our advances outstanding: As of June 30, 2017 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 23.5 % BMO Harris Bank, National Association 6,875 14.7 % a |
MPF Loans Held in Portfolio
MPF Loans Held in Portfolio | 6 Months Ended |
Jun. 30, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
MPF Loans [Text Block] | MPF Loans Held in Portfolio We acquire MPF Loans from PFIs to hold in our portfolio, and in some cases we purchased participations in pools of eligible mortgage loans from other FHLBs (MPF Banks). MPF Loans that are held in portfolio are fixed-rate conventional and Government Loans secured by one-to-four family residential properties with maturities ranging from 5 years to 30 years or participations in pools of similar eligible mortgage loans from other MPF Banks. The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase. As of June 30, 2017 December 31, 2016 Medium term (15 years or less) $ 321 $ 417 Long term (greater than 15 years) 4,578 4,489 Unpaid principal balance 4,899 4,906 Net premiums, credit enhancement and deferred loan fees 45 38 Fair value hedging adjustments 24 26 MPF Loans held in portfolio, before allowance for credit losses 4,968 4,970 Allowance for credit losses on MPF Loans (3 ) (3 ) MPF Loans held in portfolio, net $ 4,965 $ 4,967 Conventional mortgage loans $ 3,866 $ 3,818 Government Loans 1,033 1,088 Unpaid principal balance $ 4,899 $ 4,906 The above table excludes MPF Loans acquired under the MPF Xtra, MPF Direct, and MPF Government MBS products. We either concurrently sell these loans to third party investors or hold them for a short time period, during which they are reflected as Other Assets in our Statements of Condition, until such loans are securitized. See Note 8 - Allowance for Credit Losses |
Allowance for Credit Losses
Allowance for Credit Losses | 6 Months Ended |
Jun. 30, 2017 | |
Receivables [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses See Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2016 Form 10-K for further details regarding our allowance for credit losses methodology for each of the portfolio segments discussed below. We have identified our portfolio segments as shown below: • Member credit products (advances, letters of credit and other extensions of credit to borrowers); • Conventional MPF Loans held in portfolio; • Government Loans held in portfolio; and • Federal Funds Sold and Securities Purchased Under Agreements to Resell. Member Credit Products We have not recorded any allowance for credit losses for our member credit products portfolio segment based upon our credit analysis and the repayment history on member credit products. We had no member credit products that were past due, on nonaccrual status, involved in a troubled debt restructuring or otherwise considered impaired. We have not recorded a separate liability to reflect credit losses on our member credit products with off-balance sheet credit exposure. Conventional MPF Loans Held in Portfolio For further detail of our MPF Risk Sharing Structure see page F-15 in our 2016 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2016 . The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. As of June 30, 2017 December 31, 2016 Recorded investment in conventional MPF Loans - Individually evaluated for impairment $ 62 $ 74 Collectively evaluated for impairment 3,878 3,812 Recorded investment $ 3,940 $ 3,886 Allowance for credit losses on conventional MPF Loans - Homogeneous pools of loans collectively evaluated for impairment $ 3 $ 3 Government Loans Held in Portfolio Servicers are responsible for absorbing any losses incurred on Government Loans held in portfolio that are not recovered from the government insurer or guarantor. We did not establish an allowance for credit losses on our Government Loans held in portfolio for the reporting periods presented based on our assessment that our servicers have the ability to absorb such losses. Further, Government Loans were not placed on nonaccrual status or disclosed as troubled debt restructurings for the same reason. Credit Quality Indicators - MPF Loans Held in Portfolio The following table summarizes our recorded investment in MPF Loans by our key credit quality indicators, which include: • "Serious delinquency rate" consists of MPF Loans that are 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. MPF Loans that are both 90 days or more past due and in the process of foreclosure are only included once in our serious delinquency rate calculation. • "Past due 90 days or more still accruing interest" consists of MPF Loans that are either insured or guaranteed by the government or conventional mortgage loans that are well secured (by collateral that have a realizable value sufficient to discharge the debt or by the guarantee or insurance, such as primary mortgage insurance, of a financially responsible party) and in the process of collection. June 30, 2017 December 31, 2016 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 68 $ 43 $ 111 $ 83 $ 57 $ 140 Past due 60-89 days 19 16 35 26 17 43 Past due 90 days or more 58 20 78 69 23 92 Past due 145 79 224 178 97 275 Current 3,795 975 4,770 3,708 1,013 4,721 Recorded investment $ 3,940 $ 1,054 $ 4,994 $ 3,886 $ 1,110 $ 4,996 In process of foreclosure $ 29 $ 6 $ 35 $ 35 $ 7 $ 42 Serious delinquency rate 1.47 % 1.94 % 1.57 % 1.82 % 2.07 % 1.88 % Past due 90 days or more and still accruing interest $ 6 $ 20 $ 26 $ 8 $ 23 $ 31 On nonaccrual status $ 62 $ — $ 62 $ 74 $ — $ 74 Individually Evaluated Impaired MPF Loans The following table summarizes the recorded investment, unpaid principal balance, and related allowance for credit losses attributable to individually evaluated impaired conventional MPF Loans. Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses have been charged off. As of June 30, 2017 December 31, 2016 Recorded investment without an allowance for credit losses $ 62 $ 74 Unpaid principal balance without an allowance for credit losses 67 80 We do not recognize interest income on impaired loans. Term Federal Funds Sold and Term Securities Purchased Under Agreements to Resell We only held overnight Federal Funds sold and Securities Purchased Under Agreements to Resell as of June 30, 2017 , and December 31, 2016 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities See Note 2 - Summary of Significant Accounting Policies in our 2016 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. We are not a derivatives dealer and do not trade derivatives for speculative purposes. We enter into derivative transactions through either of the following: • A bilateral agreement with an individual counterparty for over-the-counter derivative transactions. • Clearinghouses classified as DCOs through FCMs, which are clearing members of the DCOs, for cleared derivative transactions. Managing Interest Rate Risk We use fair value hedges to offset changes in the fair value or a benchmark interest rate (e.g., LIBOR) related to (1) a recognized asset or liability or (2) an unrecognized firm commitment. We use cash flow hedges to offset an exposure to variability in expected future cash flows associated with an existing recognized asset or liability or a forecasted transaction. We use economic hedges in cases where hedge accounting treatment is not permitted or achievable; for example, hedges of portfolio interest rate risk or financial instruments carried at fair value under the fair value option. Managing Credit Risk on Derivative Agreements Over-the-counter Derivative Transactions : 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, collateral requirements and other credit enhancements 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 over-the-counter derivatives. Additionally, collateral related to over-the-counter derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement, and which may be held by the member institution for our benefit. Based on credit analyses and collateral requirements, we do not anticipate any credit losses on our over-the-counter derivative agreements. See Note 13 - Fair Value to the financial statements in this Form 10-Q and Note 16 - Fair Value in our 2016 Form 10-K for discussion regarding our fair value methodology for over-the-counter derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. For most of our bilateral derivative transactions executed prior to March 1, 2017, and for all transactions entered into after March 1, 2017, our bilateral derivative agreements are fully collateralized with a zero unsecured threshold in accordance with variation margin requirements issued by the U.S. federal bank regulatory agencies and the CFTC, as discussed in the Legislative and Regulatory Developments in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2015. Certain of our bilateral derivative agreements may contain provisions that require us to post additional collateral with our counterparties for transactions executed prior to March 1, 2017, if there is deterioration in our 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 at June 30, 2017 , no material amount of additional collateral would have been required to be delivered to our derivatives counterparties. Cleared Derivative Transactions : Cleared derivative transactions are subject to variation and initial margin requirements established by the DCO and its clearing members. As a result of rule changes adopted by our DCOs, variation margin payments are characterized as settlement of a derivative’s mark-to-market exposure and not as collateral against the derivative’s mark-to-market exposure. See Note 1 - Background and Basis of Presentation and Note 2 - Summary of Significant Accounting Policies for further discussion. We post our initial margin collateral payments and make variation margin settlement payments through our FCMs, on behalf of the DCO, which could expose us to institutional credit risk in the event that the FCMs or the DCO fail to meet their obligations. Clearing derivatives through a DCO mitigates counterparty credit risk exposure because the DCO is substituted for individual counterparties and variation margin settlement payments are made daily through the FCMs for changes in the value of cleared derivatives. The DCO determines initial margin requirements for cleared derivatives. In this regard, we pledged $76 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at June 30, 2017 . Additionally, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, if our credit rating downgrades. We had no requirement to post additional initial margin by our FCMs at June 30, 2017 . The following table presents details on the notional amounts, and derivative assets and liabilities on our statements of condition. Effective in January of 2017, we began treating daily variation margin on our cleared derivatives as cash settlements instead of as cash collateral. June 30, 2017 December 31, 2016 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 26,196 $ 34 $ 727 $ 25,999 $ 40 $ 898 Derivatives not in hedge accounting relationships- Interest rate contracts 22,902 365 230 29,313 432 260 Other 1,092 2 2 892 2 3 Derivatives not in hedge accounting relationships 23,994 367 232 30,205 434 263 Variation margin daily settlements on cleared derivatives (13 ) (220 ) Gross derivative amount before netting adjustments and cash collateral $ 50,190 388 739 $ 56,204 474 1,161 Netting adjustments and cash collateral (385 ) a (699 ) a (468 ) a (1,118 ) a Derivatives on statements of condition $ 3 $ 40 $ 6 $ 43 a Cash collateral posted was $346 million and $689 million at June 30, 2017 , and December 31, 2016 , and cash collateral received was $31 million and $40 million . The following table presents the noninterest income on derivatives and hedging activities as presented in the statements of income. The amounts attributable to fair value and cash flow hedges represent hedge ineffectiveness. Three months ended June 30, Six months ended June 30, For the periods ending 2017 2016 2017 2016 Fair value hedges - interest rate contracts $ (2 ) $ (3 ) $ — $ (12 ) Cash flow hedges - interest rate contracts — 4 1 4 Economic hedges - Interest rate contracts 1 2 1 (5 ) Other 3 (1 ) 3 (1 ) Economic hedges 4 1 4 (6 ) Variation margin on daily settled cleared derivatives 1 — 1 — Noninterest income on derivatives and hedging activities $ 3 $ 2 $ 6 $ (14 ) The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. Effective in January of 2017, we began treating daily variation margin on our cleared derivatives as cash settlements instead of as cash collateral. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of June 30, 2017 Derivatives with legal right of offset - Gross recognized amount $ 294 $ 93 $ 387 $ 641 $ 96 $ 737 Netting adjustments and cash collateral (292 ) (93 ) (385 ) (607 ) (92 ) (699 ) Derivatives with legal right of offset - net 2 — 2 34 4 38 Derivatives without legal right of offset 1 — 1 2 — 2 Derivatives on statements of condition 3 — 3 36 4 40 Less : Noncash collateral received and cannot be sold or repledged — — — 4 4 Noncash collateral pledged and cannot be sold or repledged (2 ) (2 ) Net amount $ 3 $ 2 $ 5 $ 36 $ — $ 36 As of December 31, 2016 Derivatives with legal right of offset - Gross recognized amount $ 339 $ 133 $ 472 $ 820 $ 339 $ 1,159 Netting adjustments and cash collateral (335 ) (133 ) (468 ) (788 ) (330 ) (1,118 ) Derivatives with legal right of offset - net 4 — 4 32 9 41 Derivatives without legal right of offset 2 — 2 2 — 2 Derivatives on statements of condition 6 — 6 34 9 43 Less : Noncash collateral received and cannot be sold or repledged — — — 9 9 Cash collateral for initial margin (1 ) (1 ) Noncash collateral pledged and cannot be sold or repledged (2 ) (2 ) Net amount $ 6 $ 3 $ 9 $ 34 $ — $ 34 At June 30, 2017 , we had $70 million of additional credit exposure on cleared derivatives due to pledging of noncash collateral to our DCOs for initial margin, which exceeded our derivative liability position. We had $86 million comparable exposure at December 31, 2016 . Fair Value Hedges The following table presents our fair value hedging results by the type of hedged item. We had no gain (loss) for hedges that no longer qualified as a fair value hedge. Additionally, the table indicates where fair value hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following: • The amortization of closed fair value hedging adjustments, which are included in the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type. On Derivative On Hedged Item Total Ineffectiveness-Noninterest Income-Derivatives and Hedging Activities Amount Recorded in Net Interest Income Three months ended June 30, 2017 Available-for-sale securities $ 10 $ (12 ) $ (2 ) $ (25 ) Advances (27 ) 28 1 (8 ) MPF Loans held for portfolio — — — (1 ) Consolidated obligation bonds 50 (51 ) (1 ) 9 Total $ 33 $ (35 ) $ (2 ) $ (25 ) Three months ended June 30, 2016 Available-for-sale securities $ (4 ) $ 2 $ (2 ) $ (28 ) Advances (68 ) 68 — (20 ) MPF Loans held for portfolio — — — (3 ) Consolidated obligation bonds 8 (9 ) (1 ) 17 Total $ (64 ) $ 61 $ (3 ) $ (34 ) Six months ended June 30, 2017 Available-for-sale securities $ 35 $ (38 ) $ (3 ) $ (49 ) Advances (15 ) 18 3 (19 ) MPF Loans held for portfolio — — — (3 ) Consolidated obligation bonds 59 (59 ) — 22 Total $ 79 $ (79 ) $ — $ (49 ) Six months ended June 30, 2016 Available-for-sale securities $ (55 ) $ 50 $ (5 ) $ (62 ) Advances (178 ) 177 (1 ) (40 ) MPF Loans held for portfolio — — — (5 ) Consolidated obligation bonds 76 (82 ) (6 ) 39 Total $ (157 ) $ 145 $ (12 ) $ (68 ) Cash Flow Hedges We reclassify amounts in AOCI into our statements of income in the same periods during which the hedged forecasted transaction affects our earnings. We had no discontinued hedges. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were $(4) million as of June 30, 2017 . The maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is 3 years . The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following: • The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type. Ineffective Portion-Noninterest Income-Derivatives and Hedging Activities Effective Portion Recorded in AOCI Amount Recorded in Net Interest Income Three months ended June 30, 2017 Advances $ — $ — $ 4 Discount notes — 27 (43 ) Bonds — — (1 ) Total $ — $ 27 $ (40 ) Three months ended June 30, 2016 Advances $ — $ — $ 4 Discount notes 4 14 (51 ) Bonds — — (1 ) Total $ 4 $ 14 $ (48 ) Six months ended June 30, 2017 Advances $ — $ — $ 6 Discount notes 1 73 (88 ) Bonds — — (2 ) Total $ 1 $ 73 $ (84 ) Six months ended June 30, 2016 Advances $ — $ — $ 6 Discount notes 4 (38 ) (98 ) Bonds — — (2 ) Total $ 4 $ (38 ) $ (94 ) |
Consolidated Obligations
Consolidated Obligations | 6 Months Ended |
Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [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 to raise short-term funds, are issued at less than their face amount and redeemed at par value when they mature. The maturity of consolidated obligation bonds may 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 discount notes for which we are the primary obligor. All are due in one year or less. As of June 30, 2017 December 31, 2016 Carrying Amount $ 37,944 $ 35,949 Weighted Average Interest Rate 0.90 % 0.46 % 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, 2017 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 16,116 1.21 % $ 28,293 One to two years 8,708 1.14 % 6,452 Two to three years 2,390 1.24 % 1,398 Three to four years 2,361 1.89 % 1,048 Four to five years 3,128 1.69 % 51 Thereafter 5,341 2.79 % 802 Total par value $ 38,044 1.50 % $ 38,044 The following table presents consolidated obligation bonds outstanding by call feature: As of June 30, 2017 December 31, 2016 Noncallable $ 23,938 $ 22,356 Callable 14,106 14,778 Par value 38,044 37,134 Fair value hedging adjustments (164 ) (229 ) Other adjustments (2 ) (2 ) Consolidated obligation bonds $ 37,878 $ 36,903 The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. 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, 2017 , and December 31, 2016 . See Note 17 - Commitments and Contingencies to the financial statements in our 2016 Form 10-K for further details. June 30, 2017 December 31, 2016 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 582,278 $ 429,248 $ 1,011,526 $ 579,189 $ 410,122 $ 989,311 FHLB Chicago as primary obligor 38,044 37,976 76,020 37,134 35,969 73,103 As a percent of the FHLB System 7 % 9 % 8 % 6 % 9 % 7 % |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock (MRCS) | 6 Months Ended |
Jun. 30, 2017 | |
Federal Home Loan Banks [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | Capital and Mandatorily Redeemable Capital Stock (MRCS) 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 to support a member's activity stock requirement. Class B2 membership stock is available 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-43 of our 2016 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. June 30, 2017 December 31, 2016 Requirement Actual Requirement Actual Risk-based capital $ 1,033 $ 4,982 $ 1,088 $ 5,032 Total regulatory capital $ 3,271 $ 4,982 $ 3,148 $ 5,032 Total regulatory capital ratio 4.00 % 6.09 % 4.00 % 6.40 % Leverage capital $ 4,089 $ 7,473 $ 3,935 $ 7,549 Leverage capital ratio 5.00 % 9.14 % 5.00 % 9.59 % Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. The following members exceeded 10% of our regulatory capital stock outstanding (which includes MRCS): As of June 30, 2017 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) BMO Harris Bank, National Association $ 309 16.9 % $ — One Mortgage Partners Corp. 245 a 13.4 % 245 a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. Repurchase of Excess Capital Stock On January 26, 2017, we began repurchasing all excess Class B2 stock on a weekly basis at par value, i.e., $100 per share . Members may continue to request repurchase of excess stock on any business day in addition to the weekly repurchase. All repurchases of excess stock, including automatic weekly repurchases, will continue until otherwise announced, but remain subject to our regulatory requirements, certain financial and capital thresholds, and prudent business practices. Repurchase of excess capital stock held by members is subject to compliance with financial and capital thresholds, as detailed on page 57 of our 2016 Form 10-K. As of June 30, 2017 , our regulatory capital stock outstanding was $1.8 billion , a net decrease of $183 million |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 6 Months Ended |
Jun. 30, 2017 | |
Equity [Abstract] | |
Comprehensive Income (Loss) Note [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table summarizes the gains (losses) in AOCI for the reporting periods indicated. Net Unrealized - Non-credit OTTI - Net Unrealized - Cash Flow Hedges Available-for-sale Securities Held-to-maturity Securities Post-Retirement Plans AOCI Three months ended June 30, 2017 Beginning balance $ 497 $ (168 ) $ (268 ) $ (8 ) $ 53 Change in the period recorded to the statements of condition, before reclassifications to statements of income (19 ) 8 27 — 16 Amounts reclassified in period to statements of income: Net interest income — — (2 ) (2 ) Ending balance $ 478 $ (160 ) $ (243 ) $ (8 ) $ 67 Three months ended June 30, 2016 Beginning balance $ 618 $ (206 ) $ (516 ) $ (6 ) $ (110 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (60 ) 10 14 1 (35 ) Amounts reclassified in period to statements of income: Net interest income — — (2 ) (2 ) Non-interest gain (loss) — — (4 ) (4 ) Ending balance $ 558 $ (196 ) $ (508 ) $ (5 ) $ (151 ) Six months ended June 30, 2017 Beginning balance $ 459 $ (177 ) $ (312 ) $ (6 ) $ (36 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income 19 17 73 (2 ) 107 Amounts reclassified in period to statements of income: Net interest income — — (3 ) (3 ) Non-interest gain (loss) — — (1 ) (1 ) Ending balance $ 478 $ (160 ) $ (243 ) $ (8 ) $ 67 Six months ended June 30, 2016 Beginning balance $ 658 $ (217 ) $ (463 ) $ (6 ) $ (28 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (100 ) 21 (38 ) 1 (116 ) Amounts reclassified in period to statements of income: Net interest income — — (3 ) (3 ) Non-interest gain (loss) — — (4 ) (4 ) Ending balance $ 558 $ (196 ) $ (508 ) $ (5 ) $ (151 ) |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | Fair Value Fair value represents the exit price that we would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. See Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2016 Form 10-K for our fair value measurement policies. For a description of the valuation techniques and significant inputs see Note 16 - Fair Value to the financial statements in our 2016 Form 10-K. The following tables 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. We had no transfers between levels in the fair value hierarchy for the periods shown. The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, unless we elect the fair value option for such instruments, in which case, such instruments are measured at fair value on our statements of condition. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis and are shown on our statements of condition and are also included in the table on the following page, which details instruments carried at fair value on a recurring basis. Fair Value Hierarchy Carrying Amount Fair Value Level 1 Level 2 Level 3 June 30, 2017 Financial Assets - Cash and due from banks $ 168 $ 168 $ 168 $ — $ — Interest bearing deposits 750 750 750 — — Federal Funds sold 7,683 7,683 — 7,683 — Securities purchased under agreements to resell 2,250 2,250 — 2,250 — Held-to-maturity securities 4,481 4,905 — 4,020 885 Advances 46,844 46,877 — 46,877 — MPF Loans held in portfolio, net 4,965 5,140 — 5,119 21 Financial Liabilities - Deposits (558 ) (558 ) — (558 ) — Consolidated obligation discount notes (37,944 ) (37,943 ) — (37,943 ) — Consolidated obligation bonds (37,878 ) (38,104 ) — (38,104 ) — Mandatorily redeemable capital stock (303 ) (303 ) (303 ) — — December 31, 2016 Financial Assets - Cash and due from banks $ 351 $ 351 $ 351 $ — $ — Interest bearing deposits 650 650 650 — — Federal Funds sold 4,075 4,075 — 4,075 — Securities purchased under agreements to resell 2,300 2,300 — 2,300 — Held-to-maturity securities 5,072 5,516 — 4,544 972 Advances 45,067 45,065 — 45,065 — MPF Loans held in portfolio, net 4,967 5,162 — 5,136 26 Financial Liabilities - Deposits (496 ) (496 ) — (496 ) — Consolidated obligation discount notes (35,949 ) (35,949 ) — (35,949 ) — Consolidated obligation bonds (36,903 ) (37,149 ) — (37,149 ) — Mandatorily redeemable capital stock (301 ) (301 ) (301 ) — — The following table presents financial instruments measured at fair value on a recurring basis on our statements of condition. This includes advances, consolidated obligation discount notes and bonds, and mortgage loans held for sale for which we elected the fair value option. The Netting and Cash Collateral adjustment is attributable to our derivative transactions that are presented on a net basis in our statements of condition. See Note 1 - Background and Basis of Presentation, Note 2 - Summary of Significant Accounting Policies and Note 9 - Derivatives and Hedging Activities for further details. Level 2 Level 3 Netting and Cash Collateral Fair Value June 30, 2017 U.S. Government & other government related non-MBS $ 201 $ — $ 201 GSE residential MBS 36 — 36 U.S. Governmental-guaranteed residential MBS 1 — 1 Trading securities 238 — 238 U.S. Government & other government related non-MBS 298 — 298 State or local housing agency non-MBS 17 — 17 FFELP ABS 4,412 — 4,412 GSE residential MBS 8,109 — 8,109 U.S. Government-guaranteed residential MBS 1,169 — 1,169 Private-label residential MBS — 54 54 Available-for-sale securities 14,005 54 14,059 Advances held at fair value 786 — 786 Derivative assets 388 — $ (385 ) 3 Other assets held at fair value 119 — 119 Financial assets at fair value $ 15,536 $ 54 $ (385 ) $ 15,205 Consolidated obligation discount notes held at fair value $ (524 ) $ — $ (524 ) Consolidated obligation bonds held at fair value (5,340 ) — (5,340 ) Derivative liabilities (739 ) — $ 699 (40 ) Financial liabilities at fair value $ (6,603 ) $ — $ 699 $ (5,904 ) December 31, 2016 U.S. Government & other government related non-MBS $ 1,005 $ — $ 1,005 GSE residential MBS 39 — 39 U.S. Governmental-guaranteed residential MBS 1 — 1 Trading securities 1,045 — 1,045 U.S. Government & other government related non-MBS 336 — 336 State or local housing agency non-MBS 19 — 19 FFELP ABS 4,572 — 4,572 GSE residential MBS 8,555 — 8,555 U.S. Government-guaranteed residential MBS 1,380 — 1,380 Private-label residential MBS — 56 56 Available-for-sale securities 14,862 56 14,918 Advances held at fair value 672 — 672 Derivative assets 474 — $ (468 ) 6 Other assets held at fair value 44 — 44 Financial assets at fair value $ 17,097 $ 56 $ (468 ) $ 16,685 Consolidated obligation discount notes held at fair value $ (6,368 ) $ — $ (6,368 ) Consolidated obligation bonds held at fair value (5,443 ) — (5,443 ) Derivative liabilities (1,161 ) — $ 1,118 (43 ) Financial liabilities at fair value $ (12,972 ) $ — $ 1,118 $ (11,854 ) Fair Value Option We elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, and consolidated obligation discount notes and bonds in cases where hedge accounting treatment may not be achieved due to the inability to meet the hedge effectiveness testing criterion. Financial instruments for which we elected the fair value option along with their related fair value are shown on our Statements of Condition. Refer to our Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2016 Form 10-K for further details. The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments 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, 2017 December 31, 2016 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 787 $ 5,344 $ 677 $ 5,447 Fair value over (under) UPB (1 ) (4 ) (5 ) (4 ) Fair value $ 786 $ 5,340 $ 672 $ 5,443 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies The following table shows our commitments outstanding, which represent off-balance sheet obligations. June 30, 2017 December 31, 2016 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 98 $ — $ 98 $ 10 $ — $ 10 Member standby letters of credit 10,148 3,072 a 13,220 8,459 2,369 a 10,828 Housing authority standby bond purchase agreements — 330 330 25 281 306 Advance commitments 233 1 234 15 1 16 MPF delivery commitments 512 — 512 417 — 417 Other 12 — 12 24 — 24 Commitments $ 11,003 $ 3,403 $ 14,406 $ 8,950 $ 2,651 $ 11,601 a Contains $721 million and $486 million of member standby letters of credit at June 30, 2017 , and December 31, 2016 , which were renewable annually. For a description of defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2016 |
Transactions with Related Parti
Transactions with Related Parties and Other FHLBs | 6 Months Ended |
Jun. 30, 2017 | |
Related Party Transactions [Abstract] | |
Related Party Transactions Disclosure [Text Block] | Transactions with Related Parties and Other FHLBs We define related parties as either members whose officers or directors serve on our Board of Directors, or members that control more than 10% of our total voting interests. We did not have any members that controlled more than 10% of our total voting interests for the periods presented in these financial statements. In the normal course of business, we may extend credit to or enter into other transactions with a related party. 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 following table summarizes balances we had with our members who are related parties as defined above (including their affiliates) as of the periods presented. As of June 30, 2017 December 31, 2016 Assets - Advances $ 144 $ 107 Liabilities - Deposits 21 8 Equity - Capital Stock 8 18 Other FHLBs From time to time, we may loan to, or borrow from, other FHLBs. All transactions are done at market terms that are no more favorable than the terms of comparable transactions with other counterparties. These transactions are overnight, maturing the following business day. These transactions with other FHLBs, if any, are identified on the face of our Financial Statements . |
Summary of Significant Accoun22
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
Derivatives, Hedge Discontinuances, Termination of Hedging Instrument or Hedged Item [Policy Text Block] | Accounting for Variation Margin Payments Effective in January of 2017 we began accounting for variation margin payments made to or received by the DCOs through our FCMs as settlements to our cleared derivative assets and derivative liabilities. See Note 1 - Background and Basis for Presentation for further details. This change in accounting did not have any effect on the accounting of our existing hedge relationships. Specifically, the change in accounting would not require us to discontinue existing hedge relationships or preclude us from using the short-cut method of hedge accounting provided no additional changes are made by the DCOs that would preclude the use of the short-cut method of hedge accounting. The International Swaps and Derivatives Association (ISDA) issued a confirmation letter confirming the SEC staff’s non-objection to the conclusions reached by ISDA related to the accounting implications of the DCO rule changes regarding the characterization of the variation margin payments as daily settlements and the continued application of existing hedge accounting relationships, including the use of the short-cut method of hedge accounting. |
Debt, Policy [Policy Text Block] | Contingent Put and Call Options in Debt Instruments In March of 2016, the FASB issued new guidance clarifying the requirements for assessing whether a contingent call (put) option embedded in a debt instrument is clearly and closely related to that debt instrument, which is referred to the "host contract" for purposes of this assessment. Specifically, we are no longer required to consider the event triggering the acceleration of an embedded contingent call (put) option when assessing whether it is clearly and closely related to the debt instrument or host contract. We adopted the new guidance effective January 1, 2017. The new guidance did not have any effect on our financial condition, results of operations, or cash flows at the time of adoption. |
Interest Income and Interest 23
Interest Income and Interest Expense (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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, 2017 2016 2017 2016 Interest income - Trading $ 1 $ 3 $ 2 $ 5 Available-for-sale interest income 107 114 215 225 Available-for-sale prepayment fees 7 5 11 26 Available-for-sale 114 119 226 251 Held-to-maturity 48 56 101 115 Investment securities 163 178 329 371 Advance interest income 129 68 227 130 Advance prepayment fees 1 6 2 7 Advances 130 74 229 137 MPF Loans held in portfolio 53 55 107 112 Federal funds sold and securities purchased under agreements to resell 25 6 40 9 Other interest bearing assets 2 4 5 6 Interest income 373 317 710 635 Interest expense - Discount notes 119 95 215 177 Bonds 133 98 258 200 Consolidated obligations 252 193 473 377 Subordinated notes — 10 — 24 Other interest bearing liabilities 4 3 7 3 Interest expense 256 206 480 404 Net interest income 117 111 230 $ 231 Provision for (reversal of) credit losses 1 — 1 — Net interest income after provision for (reversal of) credit losses $ 116 $ 111 $ 229 $ 231 |
Investment Securities (Tables)
Investment Securities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 unrealized gains or losses on trading securities still held on our statement of condition as of the end of the reporting period. As of June 30, 2017 December 31, 2016 U.S. Government & other government related $ 201 $ 1,005 Residential MBS: GSE 36 39 Government-guaranteed 1 1 Trading securities $ 238 $ 1,045 |
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, 2017 U.S. Government & other government related $ 284 $ 14 $ — $ 298 State or local housing agency 17 — — 17 FFELP ABS 4,197 222 (7 ) 4,412 Residential MBS: GSE 7,897 216 (4 ) 8,109 Government-guaranteed 1,141 28 — 1,169 Private-label 45 9 — 54 Available-for-sale securities $ 13,581 $ 489 $ (11 ) $ 14,059 As of December 31, 2016 U.S. Government & other government related $ 322 $ 15 $ (1 ) $ 336 State or local housing agency 19 — — 19 FFELP ABS 4,431 165 (24 ) 4,572 Residential MBS: GSE 8,291 266 (2 ) 8,555 Government-guaranteed 1,346 34 — 1,380 Private-label 50 6 — 56 Available-for-sale securities $ 14,459 $ 486 $ (27 ) $ 14,918 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, 2017 U.S. Government & other government related $ 1,534 $ — $ 1,534 $ 43 $ (1 ) $ 1,576 State or local housing agency 11 — 11 — — 11 Residential MBS: GSE 1,652 — 1,652 88 — 1,740 Government-guaranteed 685 — 685 8 — 693 Private-label 759 (160 ) 599 286 — 885 Held-to-maturity securities $ 4,641 $ (160 ) $ 4,481 $ 425 $ (1 ) $ 4,905 As of December 31, 2016 U.S. Government & other government related $ 1,733 $ — $ 1,733 $ 42 $ (1 ) $ 1,774 State or local housing agency 13 — 13 — — 13 Residential MBS: GSE 1,856 — 1,856 100 — 1,956 Government-guaranteed 791 — 791 10 — 801 Private-label 856 (177 ) 679 294 (1 ) 972 Held-to-maturity securities $ 5,249 $ (177 ) $ 5,072 $ 446 $ (2 ) $ 5,516 We had no |
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. Refer to the Other-Than-Temporary Impairment Analysis section below for further discussion. 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, 2017 FFELP ABS $ — $ — $ 679 $ (7 ) $ 679 $ (7 ) Residential MBS: GSE 614 (1 ) 825 (3 ) 1,439 (4 ) Private-label — — 7 — 7 — Available-for-sale securities $ 614 $ (1 ) $ 1,511 $ (10 ) $ 2,125 $ (11 ) As of December 31, 2016 U.S. Government & other government related $ — $ — $ 47 $ (1 ) $ 47 $ (1 ) State or local housing agency 7 — — — 7 — FFELP ABS — — 753 (24 ) 753 (24 ) Residential MBS: GSE — — 991 (2 ) 991 (2 ) Government-guaranteed — — 23 — 23 — Private-label — — 8 — 8 — Available-for-sale securities $ 7 $ — $ 1,822 $ (27 ) $ 1,829 $ (27 ) 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, 2017 U.S. Government & other government related $ 203 $ — $ 17 $ (1 ) $ 220 $ (1 ) State or local housing agency — — 1 — 1 — Residential MBS: GSE — — 4 — 4 — Private-label — — 852 (160 ) 852 (160 ) Held-to-maturity securities $ 203 $ — $ 874 $ (161 ) $ 1,077 $ (161 ) As of December 31, 2016 U.S. Government & other government related $ 26 $ — $ 17 $ (1 ) $ 43 $ (1 ) State or local housing agency — — 1 — 1 — Residential MBS: GSE — — 4 — 4 — Government-guaranteed 117 — — — 117 — Private-label — — 934 (178 ) 934 (178 ) Held-to-maturity securities $ 143 $ — $ 956 $ (179 ) $ 1,099 $ (179 ) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents the changes in the cumulative amount of previously recorded OTTI credit losses on investment securities recognized into earnings for the reporting periods indicated. Three months ended June 30, Six months ended June 30, 2017 2016 2017 2016 Beginning Balance $ 508 $ 555 $ 520 $ 568 Increases in expected future cash flows recorded as accretion into interest income (9 ) (13 ) (21 ) (26 ) Ending Balance $ 499 $ 542 $ 499 $ 542 |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | The following table presents our advances by terms of maturity. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties. As of June 30, 2017 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 22,420 1.13 % One to two years 3,306 1.20 % Two to three years 1,854 1.61 % Three to four years 1,338 1.66 % Four to five years 1,904 1.70 % More than five years 15,901 1.30 % a Par value $ 46,723 1.25 % a The weighted average interest rate is relatively low when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at market prevailing interest rates. We have no allowance for credit losses on our advances. See Note 8 - Allowance for Credit Losses to the financial statements for further information related to our credit risk on advances. The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated. As of June 30, 2017 December 31, 2016 Par value $ 46,723 $ 44,965 Fair value hedging adjustments 115 98 Other adjustments 6 4 Advances $ 46,844 $ 45,067 |
Credit Concentration Risk | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The following advance borrowers exceeded 10% of our advances outstanding: As of June 30, 2017 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 23.5 % BMO Harris Bank, National Association 6,875 14.7 % a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
MPF Loans Held in Portfolio (Ta
MPF Loans Held in Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase. As of June 30, 2017 December 31, 2016 Medium term (15 years or less) $ 321 $ 417 Long term (greater than 15 years) 4,578 4,489 Unpaid principal balance 4,899 4,906 Net premiums, credit enhancement and deferred loan fees 45 38 Fair value hedging adjustments 24 26 MPF Loans held in portfolio, before allowance for credit losses 4,968 4,970 Allowance for credit losses on MPF Loans (3 ) (3 ) MPF Loans held in portfolio, net $ 4,965 $ 4,967 Conventional mortgage loans $ 3,866 $ 3,818 Government Loans 1,033 1,088 Unpaid principal balance $ 4,899 $ 4,906 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Receivables [Abstract] | |
Allowance for Credit Losses on Financing Receivables [Table Text Block] | For further detail of our MPF Risk Sharing Structure see page F-15 in our 2016 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2016 . The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. As of June 30, 2017 December 31, 2016 Recorded investment in conventional MPF Loans - Individually evaluated for impairment $ 62 $ 74 Collectively evaluated for impairment 3,878 3,812 Recorded investment $ 3,940 $ 3,886 Allowance for credit losses on conventional MPF Loans - Homogeneous pools of loans collectively evaluated for impairment $ 3 $ 3 |
Past Due Financing Receivables [Table Text Block] | The following table summarizes our recorded investment in MPF Loans by our key credit quality indicators, which include: • "Serious delinquency rate" consists of MPF Loans that are 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. MPF Loans that are both 90 days or more past due and in the process of foreclosure are only included once in our serious delinquency rate calculation. • "Past due 90 days or more still accruing interest" consists of MPF Loans that are either insured or guaranteed by the government or conventional mortgage loans that are well secured (by collateral that have a realizable value sufficient to discharge the debt or by the guarantee or insurance, such as primary mortgage insurance, of a financially responsible party) and in the process of collection. June 30, 2017 December 31, 2016 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 68 $ 43 $ 111 $ 83 $ 57 $ 140 Past due 60-89 days 19 16 35 26 17 43 Past due 90 days or more 58 20 78 69 23 92 Past due 145 79 224 178 97 275 Current 3,795 975 4,770 3,708 1,013 4,721 Recorded investment $ 3,940 $ 1,054 $ 4,994 $ 3,886 $ 1,110 $ 4,996 In process of foreclosure $ 29 $ 6 $ 35 $ 35 $ 7 $ 42 Serious delinquency rate 1.47 % 1.94 % 1.57 % 1.82 % 2.07 % 1.88 % Past due 90 days or more and still accruing interest $ 6 $ 20 $ 26 $ 8 $ 23 $ 31 On nonaccrual status $ 62 $ — $ 62 $ 74 $ — $ 74 |
Impaired Financing Receivables [Table Text Block] | The following table summarizes the recorded investment, unpaid principal balance, and related allowance for credit losses attributable to individually evaluated impaired conventional MPF Loans. Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses have been charged off. As of June 30, 2017 December 31, 2016 Recorded investment without an allowance for credit losses $ 62 $ 74 Unpaid principal balance without an allowance for credit losses 67 80 We do not recognize interest income on impaired loans. |
Derivatives and Hedging Activ28
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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 details on the notional amounts, and derivative assets and liabilities on our statements of condition. Effective in January of 2017, we began treating daily variation margin on our cleared derivatives as cash settlements instead of as cash collateral. June 30, 2017 December 31, 2016 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 26,196 $ 34 $ 727 $ 25,999 $ 40 $ 898 Derivatives not in hedge accounting relationships- Interest rate contracts 22,902 365 230 29,313 432 260 Other 1,092 2 2 892 2 3 Derivatives not in hedge accounting relationships 23,994 367 232 30,205 434 263 Variation margin daily settlements on cleared derivatives (13 ) (220 ) Gross derivative amount before netting adjustments and cash collateral $ 50,190 388 739 $ 56,204 474 1,161 Netting adjustments and cash collateral (385 ) a (699 ) a (468 ) a (1,118 ) a Derivatives on statements of condition $ 3 $ 40 $ 6 $ 43 a Cash collateral posted was $346 million and $689 million at June 30, 2017 , and December 31, 2016 , and cash collateral received was $31 million and $40 million |
Derivatives And Hedging Activities as Presented in the Statements of Income [Table Text Block] | The following table presents the noninterest income on derivatives and hedging activities as presented in the statements of income. The amounts attributable to fair value and cash flow hedges represent hedge ineffectiveness. Three months ended June 30, Six months ended June 30, For the periods ending 2017 2016 2017 2016 Fair value hedges - interest rate contracts $ (2 ) $ (3 ) $ — $ (12 ) Cash flow hedges - interest rate contracts — 4 1 4 Economic hedges - Interest rate contracts 1 2 1 (5 ) Other 3 (1 ) 3 (1 ) Economic hedges 4 1 4 (6 ) Variation margin on daily settled cleared derivatives 1 — 1 — Noninterest income on derivatives and hedging activities $ 3 $ 2 $ 6 $ (14 ) |
Offsetting Assets [Table Text Block] | The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. Effective in January of 2017, we began treating daily variation margin on our cleared derivatives as cash settlements instead of as cash collateral. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of June 30, 2017 Derivatives with legal right of offset - Gross recognized amount $ 294 $ 93 $ 387 $ 641 $ 96 $ 737 Netting adjustments and cash collateral (292 ) (93 ) (385 ) (607 ) (92 ) (699 ) Derivatives with legal right of offset - net 2 — 2 34 4 38 Derivatives without legal right of offset 1 — 1 2 — 2 Derivatives on statements of condition 3 — 3 36 4 40 Less : Noncash collateral received and cannot be sold or repledged — — — 4 4 Noncash collateral pledged and cannot be sold or repledged (2 ) (2 ) Net amount $ 3 $ 2 $ 5 $ 36 $ — $ 36 As of December 31, 2016 Derivatives with legal right of offset - Gross recognized amount $ 339 $ 133 $ 472 $ 820 $ 339 $ 1,159 Netting adjustments and cash collateral (335 ) (133 ) (468 ) (788 ) (330 ) (1,118 ) Derivatives with legal right of offset - net 4 — 4 32 9 41 Derivatives without legal right of offset 2 — 2 2 — 2 Derivatives on statements of condition 6 — 6 34 9 43 Less : Noncash collateral received and cannot be sold or repledged — — — 9 9 Cash collateral for initial margin (1 ) (1 ) Noncash collateral pledged and cannot be sold or repledged (2 ) (2 ) Net amount $ 6 $ 3 $ 9 $ 34 $ — $ 34 |
Offsetting Liabilities [Table Text Block] | The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. Effective in January of 2017, we began treating daily variation margin on our cleared derivatives as cash settlements instead of as cash collateral. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of June 30, 2017 Derivatives with legal right of offset - Gross recognized amount $ 294 $ 93 $ 387 $ 641 $ 96 $ 737 Netting adjustments and cash collateral (292 ) (93 ) (385 ) (607 ) (92 ) (699 ) Derivatives with legal right of offset - net 2 — 2 34 4 38 Derivatives without legal right of offset 1 — 1 2 — 2 Derivatives on statements of condition 3 — 3 36 4 40 Less : Noncash collateral received and cannot be sold or repledged — — — 4 4 Noncash collateral pledged and cannot be sold or repledged (2 ) (2 ) Net amount $ 3 $ 2 $ 5 $ 36 $ — $ 36 As of December 31, 2016 Derivatives with legal right of offset - Gross recognized amount $ 339 $ 133 $ 472 $ 820 $ 339 $ 1,159 Netting adjustments and cash collateral (335 ) (133 ) (468 ) (788 ) (330 ) (1,118 ) Derivatives with legal right of offset - net 4 — 4 32 9 41 Derivatives without legal right of offset 2 — 2 2 — 2 Derivatives on statements of condition 6 — 6 34 9 43 Less : Noncash collateral received and cannot be sold or repledged — — — 9 9 Cash collateral for initial margin (1 ) (1 ) Noncash collateral pledged and cannot be sold or repledged (2 ) (2 ) Net amount $ 6 $ 3 $ 9 $ 34 $ — $ 34 At June 30, 2017 , we had $70 million of additional credit exposure on cleared derivatives due to pledging of noncash collateral to our DCOs for initial margin, which exceeded our derivative liability position. We had $86 million comparable exposure at December 31, 2016 . |
Fair Value Hedges [Table Text Block] | The following table presents our fair value hedging results by the type of hedged item. We had no gain (loss) for hedges that no longer qualified as a fair value hedge. Additionally, the table indicates where fair value hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following: • The amortization of closed fair value hedging adjustments, which are included in the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type. On Derivative On Hedged Item Total Ineffectiveness-Noninterest Income-Derivatives and Hedging Activities Amount Recorded in Net Interest Income Three months ended June 30, 2017 Available-for-sale securities $ 10 $ (12 ) $ (2 ) $ (25 ) Advances (27 ) 28 1 (8 ) MPF Loans held for portfolio — — — (1 ) Consolidated obligation bonds 50 (51 ) (1 ) 9 Total $ 33 $ (35 ) $ (2 ) $ (25 ) Three months ended June 30, 2016 Available-for-sale securities $ (4 ) $ 2 $ (2 ) $ (28 ) Advances (68 ) 68 — (20 ) MPF Loans held for portfolio — — — (3 ) Consolidated obligation bonds 8 (9 ) (1 ) 17 Total $ (64 ) $ 61 $ (3 ) $ (34 ) Six months ended June 30, 2017 Available-for-sale securities $ 35 $ (38 ) $ (3 ) $ (49 ) Advances (15 ) 18 3 (19 ) MPF Loans held for portfolio — — — (3 ) Consolidated obligation bonds 59 (59 ) — 22 Total $ 79 $ (79 ) $ — $ (49 ) Six months ended June 30, 2016 Available-for-sale securities $ (55 ) $ 50 $ (5 ) $ (62 ) Advances (178 ) 177 (1 ) (40 ) MPF Loans held for portfolio — — — (5 ) Consolidated obligation bonds 76 (82 ) (6 ) 39 Total $ (157 ) $ 145 $ (12 ) $ (68 ) |
Cash Flow Hedges [Table Text Block] | The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our statements of income. In this regard, the Amount Recorded in Net Interest Income column includes the following: • The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are recorded directly to the interest income/expense line item of the respective hedged item type. Ineffective Portion-Noninterest Income-Derivatives and Hedging Activities Effective Portion Recorded in AOCI Amount Recorded in Net Interest Income Three months ended June 30, 2017 Advances $ — $ — $ 4 Discount notes — 27 (43 ) Bonds — — (1 ) Total $ — $ 27 $ (40 ) Three months ended June 30, 2016 Advances $ — $ — $ 4 Discount notes 4 14 (51 ) Bonds — — (1 ) Total $ 4 $ 14 $ (48 ) Six months ended June 30, 2017 Advances $ — $ — $ 6 Discount notes 1 73 (88 ) Bonds — — (2 ) Total $ 1 $ 73 $ (84 ) Six months ended June 30, 2016 Advances $ — $ — $ 6 Discount notes 4 (38 ) (98 ) Bonds — — (2 ) Total $ 4 $ (38 ) $ (94 ) |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
Schedule of Short-term Debt [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, 2017 December 31, 2016 Carrying Amount $ 37,944 $ 35,949 Weighted Average Interest Rate 0.90 % 0.46 % |
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, 2017 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 16,116 1.21 % $ 28,293 One to two years 8,708 1.14 % 6,452 Two to three years 2,390 1.24 % 1,398 Three to four years 2,361 1.89 % 1,048 Four to five years 3,128 1.69 % 51 Thereafter 5,341 2.79 % 802 Total par value $ 38,044 1.50 % $ 38,044 |
Schedule of Long-term Debt Instruments [Table Text Block] | The following table presents consolidated obligation bonds outstanding by call feature: As of June 30, 2017 December 31, 2016 Noncallable $ 23,938 $ 22,356 Callable 14,106 14,778 Par value 38,044 37,134 Fair value hedging adjustments (164 ) (229 ) Other adjustments (2 ) (2 ) Consolidated obligation bonds $ 37,878 $ 36,903 |
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. 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, 2017 , and December 31, 2016 . See Note 17 - Commitments and Contingencies to the financial statements in our 2016 Form 10-K for further details. June 30, 2017 December 31, 2016 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 582,278 $ 429,248 $ 1,011,526 $ 579,189 $ 410,122 $ 989,311 FHLB Chicago as primary obligor 38,044 37,976 76,020 37,134 35,969 73,103 As a percent of the FHLB System 7 % 9 % 8 % 6 % 9 % 7 % |
Capital and Mandatorily Redee30
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Federal Home Loan Banks [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-43 of our 2016 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. June 30, 2017 December 31, 2016 Requirement Actual Requirement Actual Risk-based capital $ 1,033 $ 4,982 $ 1,088 $ 5,032 Total regulatory capital $ 3,271 $ 4,982 $ 3,148 $ 5,032 Total regulatory capital ratio 4.00 % 6.09 % 4.00 % 6.40 % Leverage capital $ 4,089 $ 7,473 $ 3,935 $ 7,549 Leverage capital ratio 5.00 % 9.14 % 5.00 % 9.59 % Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. |
Stockholders' Equity, Total [Member] | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The following members exceeded 10% of our regulatory capital stock outstanding (which includes MRCS): As of June 30, 2017 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) BMO Harris Bank, National Association $ 309 16.9 % $ — One Mortgage Partners Corp. 245 a 13.4 % 245 a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Accumulated Other Comprehensi31
Accumulated Other Comprehensive Income (Loss) (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table summarizes the gains (losses) in AOCI for the reporting periods indicated. Net Unrealized - Non-credit OTTI - Net Unrealized - Cash Flow Hedges Available-for-sale Securities Held-to-maturity Securities Post-Retirement Plans AOCI Three months ended June 30, 2017 Beginning balance $ 497 $ (168 ) $ (268 ) $ (8 ) $ 53 Change in the period recorded to the statements of condition, before reclassifications to statements of income (19 ) 8 27 — 16 Amounts reclassified in period to statements of income: Net interest income — — (2 ) (2 ) Ending balance $ 478 $ (160 ) $ (243 ) $ (8 ) $ 67 Three months ended June 30, 2016 Beginning balance $ 618 $ (206 ) $ (516 ) $ (6 ) $ (110 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (60 ) 10 14 1 (35 ) Amounts reclassified in period to statements of income: Net interest income — — (2 ) (2 ) Non-interest gain (loss) — — (4 ) (4 ) Ending balance $ 558 $ (196 ) $ (508 ) $ (5 ) $ (151 ) Six months ended June 30, 2017 Beginning balance $ 459 $ (177 ) $ (312 ) $ (6 ) $ (36 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income 19 17 73 (2 ) 107 Amounts reclassified in period to statements of income: Net interest income — — (3 ) (3 ) Non-interest gain (loss) — — (1 ) (1 ) Ending balance $ 478 $ (160 ) $ (243 ) $ (8 ) $ 67 Six months ended June 30, 2016 Beginning balance $ 658 $ (217 ) $ (463 ) $ (6 ) $ (28 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (100 ) 21 (38 ) 1 (116 ) Amounts reclassified in period to statements of income: Net interest income — — (3 ) (3 ) Non-interest gain (loss) — — (4 ) (4 ) Ending balance $ 558 $ (196 ) $ (508 ) $ (5 ) $ (151 ) |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement [Table Text Block] | The following table shows the fair values of financial instruments that are measured at amortized cost on our statements of condition, unless we elect the fair value option for such instruments, in which case, such instruments are measured at fair value on our statements of condition. Financial instruments for which we elected the fair value option are measured at fair value on a recurring basis and are shown on our statements of condition and are also included in the table on the following page, which details instruments carried at fair value on a recurring basis. Fair Value Hierarchy Carrying Amount Fair Value Level 1 Level 2 Level 3 June 30, 2017 Financial Assets - Cash and due from banks $ 168 $ 168 $ 168 $ — $ — Interest bearing deposits 750 750 750 — — Federal Funds sold 7,683 7,683 — 7,683 — Securities purchased under agreements to resell 2,250 2,250 — 2,250 — Held-to-maturity securities 4,481 4,905 — 4,020 885 Advances 46,844 46,877 — 46,877 — MPF Loans held in portfolio, net 4,965 5,140 — 5,119 21 Financial Liabilities - Deposits (558 ) (558 ) — (558 ) — Consolidated obligation discount notes (37,944 ) (37,943 ) — (37,943 ) — Consolidated obligation bonds (37,878 ) (38,104 ) — (38,104 ) — Mandatorily redeemable capital stock (303 ) (303 ) (303 ) — — December 31, 2016 Financial Assets - Cash and due from banks $ 351 $ 351 $ 351 $ — $ — Interest bearing deposits 650 650 650 — — Federal Funds sold 4,075 4,075 — 4,075 — Securities purchased under agreements to resell 2,300 2,300 — 2,300 — Held-to-maturity securities 5,072 5,516 — 4,544 972 Advances 45,067 45,065 — 45,065 — MPF Loans held in portfolio, net 4,967 5,162 — 5,136 26 Financial Liabilities - Deposits (496 ) (496 ) — (496 ) — Consolidated obligation discount notes (35,949 ) (35,949 ) — (35,949 ) — Consolidated obligation bonds (36,903 ) (37,149 ) — (37,149 ) — Mandatorily redeemable capital stock (301 ) (301 ) (301 ) — — |
Assets and Liabilities Measured at Fair Value on a Recurring Basis [Table Text Block] | The following table presents financial instruments measured at fair value on a recurring basis on our statements of condition. This includes advances, consolidated obligation discount notes and bonds, and mortgage loans held for sale for which we elected the fair value option. The Netting and Cash Collateral adjustment is attributable to our derivative transactions that are presented on a net basis in our statements of condition. See Note 1 - Background and Basis of Presentation, Note 2 - Summary of Significant Accounting Policies and Note 9 - Derivatives and Hedging Activities for further details. Level 2 Level 3 Netting and Cash Collateral Fair Value June 30, 2017 U.S. Government & other government related non-MBS $ 201 $ — $ 201 GSE residential MBS 36 — 36 U.S. Governmental-guaranteed residential MBS 1 — 1 Trading securities 238 — 238 U.S. Government & other government related non-MBS 298 — 298 State or local housing agency non-MBS 17 — 17 FFELP ABS 4,412 — 4,412 GSE residential MBS 8,109 — 8,109 U.S. Government-guaranteed residential MBS 1,169 — 1,169 Private-label residential MBS — 54 54 Available-for-sale securities 14,005 54 14,059 Advances held at fair value 786 — 786 Derivative assets 388 — $ (385 ) 3 Other assets held at fair value 119 — 119 Financial assets at fair value $ 15,536 $ 54 $ (385 ) $ 15,205 Consolidated obligation discount notes held at fair value $ (524 ) $ — $ (524 ) Consolidated obligation bonds held at fair value (5,340 ) — (5,340 ) Derivative liabilities (739 ) — $ 699 (40 ) Financial liabilities at fair value $ (6,603 ) $ — $ 699 $ (5,904 ) December 31, 2016 U.S. Government & other government related non-MBS $ 1,005 $ — $ 1,005 GSE residential MBS 39 — 39 U.S. Governmental-guaranteed residential MBS 1 — 1 Trading securities 1,045 — 1,045 U.S. Government & other government related non-MBS 336 — 336 State or local housing agency non-MBS 19 — 19 FFELP ABS 4,572 — 4,572 GSE residential MBS 8,555 — 8,555 U.S. Government-guaranteed residential MBS 1,380 — 1,380 Private-label residential MBS — 56 56 Available-for-sale securities 14,862 56 14,918 Advances held at fair value 672 — 672 Derivative assets 474 — $ (468 ) 6 Other assets held at fair value 44 — 44 Financial assets at fair value $ 17,097 $ 56 $ (468 ) $ 16,685 Consolidated obligation discount notes held at fair value $ (6,368 ) $ — $ (6,368 ) Consolidated obligation bonds held at fair value (5,443 ) — (5,443 ) Derivative liabilities (1,161 ) — $ 1,118 (43 ) Financial liabilities at fair value $ (12,972 ) $ — $ 1,118 $ (11,854 ) |
Fair Value, Option, Quantitative Disclosures [Table Text Block] | The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments 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, 2017 December 31, 2016 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 787 $ 5,344 $ 677 $ 5,447 Fair value over (under) UPB (1 ) (4 ) (5 ) (4 ) Fair value $ 786 $ 5,340 $ 672 $ 5,443 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | The following table shows our commitments outstanding, which represent off-balance sheet obligations. June 30, 2017 December 31, 2016 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 98 $ — $ 98 $ 10 $ — $ 10 Member standby letters of credit 10,148 3,072 a 13,220 8,459 2,369 a 10,828 Housing authority standby bond purchase agreements — 330 330 25 281 306 Advance commitments 233 1 234 15 1 16 MPF delivery commitments 512 — 512 417 — 417 Other 12 — 12 24 — 24 Commitments $ 11,003 $ 3,403 $ 14,406 $ 8,950 $ 2,651 $ 11,601 a Contains $721 million and $486 million of member standby letters of credit at June 30, 2017 , and December 31, 2016 , which were renewable annually. For a description of defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2016 |
Transactions with Related Par34
Transactions with Related Parties and Other FHLBs (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Related Party Transactions [Abstract] | |
Related Party Transactions, by Balance Sheet Grouping [Table Text Block] | The following table summarizes balances we had with our members who are related parties as defined above (including their affiliates) as of the periods presented. As of June 30, 2017 December 31, 2016 Assets - Advances $ 144 $ 107 Liabilities - Deposits 21 8 Equity - Capital Stock 8 18 |
Interest Income and Interest 35
Interest Income and Interest Expense (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Interest income - | ||||
Trading | $ 1 | $ 3 | $ 2 | $ 5 |
Available-for-sale interest income | 107 | 114 | 215 | 225 |
Available-for-sale prepayment fees | 7 | 5 | 11 | 26 |
Available-for-sale | 114 | 119 | 226 | 251 |
Held-to-maturity | 48 | 56 | 101 | 115 |
Investment securities | 163 | 178 | 329 | 371 |
Advance interest income | 129 | 68 | 227 | 130 |
Advance prepayment fees | 1 | 6 | 2 | 7 |
Advances | 130 | 74 | 229 | 137 |
MPF Loans held in portfolio | 53 | 55 | 107 | 112 |
Federal funds sold and securities purchased under agreements to resell | 25 | 6 | 40 | 9 |
Other interest bearing assets | 2 | 4 | 5 | 6 |
Interest income | 373 | 317 | 710 | 635 |
Interest expense - | ||||
Discount notes | 119 | 95 | 215 | 177 |
Bonds | 133 | 98 | 258 | 200 |
Consolidated obligations | 252 | 193 | 473 | 377 |
Subordinated notes | 0 | 10 | 0 | 24 |
Other interest bearing liabilities | 4 | 3 | 7 | 3 |
Interest expense | 256 | 206 | 480 | 404 |
Net interest income | 117 | 111 | 230 | 231 |
Provision for (reversal of) credit losses | 1 | 0 | 1 | 0 |
Net interest income after provision for (reversal of) credit losses | $ 116 | $ 111 | $ 229 | $ 231 |
Investment Securities (Trading
Investment Securities (Trading Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 238 | $ 1,045 |
U.S. Government & other government related | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 201 | 1,005 |
Residential MBS: | GSE | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 36 | 39 |
Residential MBS: | Government-guaranteed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 1 | $ 1 |
Investment Securities (Availabl
Investment Securities (Available-for-sale Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | $ 13,581 | $ 14,459 |
Gross Unrealized Gains in AOCI | 489 | 486 |
Gross Unrealized (Losses) in AOCI | (11) | (27) |
Carrying Amount and Fair Value | 14,059 | 14,918 |
U.S. Government & other government related | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 284 | 322 |
Gross Unrealized Gains in AOCI | 14 | 15 |
Gross Unrealized (Losses) in AOCI | 0 | (1) |
Carrying Amount and Fair Value | 298 | 336 |
State or local housing agency | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 17 | 19 |
Gross Unrealized Gains in AOCI | 0 | 0 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 17 | 19 |
FFELP ABS | FFELP ABS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 4,197 | 4,431 |
Gross Unrealized Gains in AOCI | 222 | 165 |
Gross Unrealized (Losses) in AOCI | (7) | (24) |
Carrying Amount and Fair Value | 4,412 | 4,572 |
Residential MBS: | GSE | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 7,897 | 8,291 |
Gross Unrealized Gains in AOCI | 216 | 266 |
Gross Unrealized (Losses) in AOCI | (4) | (2) |
Carrying Amount and Fair Value | 8,109 | 8,555 |
Residential MBS: | Government-guaranteed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 1,141 | 1,346 |
Gross Unrealized Gains in AOCI | 28 | 34 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 1,169 | 1,380 |
Residential MBS: | Private-label | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 45 | 50 |
Gross Unrealized Gains in AOCI | 9 | 6 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | $ 54 | $ 56 |
Investment Securities (Held-to-
Investment Securities (Held-to-Maturities Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | $ 4,641 | $ 5,249 |
Non-credit OTTI Recognized in AOCI (Loss) | (160) | (177) |
Held-to-Maturity Carrying Amount | 4,481 | 5,072 |
Gross Unrecognized Holding Gains | 425 | 446 |
Gross Unrecognized Holding (Losses) | (1) | (2) |
Held-to-maturity Securities, Fair Value | 4,905 | 5,516 |
U.S. Government & other government related | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 1,534 | 1,733 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Held-to-Maturity Carrying Amount | 1,534 | 1,733 |
Gross Unrecognized Holding Gains | 43 | 42 |
Gross Unrecognized Holding (Losses) | (1) | (1) |
Held-to-maturity Securities, Fair Value | 1,576 | 1,774 |
State or local housing agency | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 11 | 13 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Held-to-Maturity Carrying Amount | 11 | 13 |
Gross Unrecognized Holding Gains | 0 | 0 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-maturity Securities, Fair Value | 11 | 13 |
Residential MBS: | GSE | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 1,652 | 1,856 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Held-to-Maturity Carrying Amount | 1,652 | 1,856 |
Gross Unrecognized Holding Gains | 88 | 100 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-maturity Securities, Fair Value | 1,740 | 1,956 |
Residential MBS: | Government-guaranteed | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 685 | 791 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Held-to-Maturity Carrying Amount | 685 | 791 |
Gross Unrecognized Holding Gains | 8 | 10 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-maturity Securities, Fair Value | 693 | 801 |
Residential MBS: | Private-label | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 759 | 856 |
Non-credit OTTI Recognized in AOCI (Loss) | (160) | (177) |
Held-to-Maturity Carrying Amount | 599 | 679 |
Gross Unrecognized Holding Gains | 286 | 294 |
Gross Unrecognized Holding (Losses) | 0 | (1) |
Held-to-maturity Securities, Fair Value | $ 885 | $ 972 |
Investment Securities Contractu
Investment Securities Contractual maturities (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Available-for-sale Securities, Debt Maturities, Amortized Cost Basis, Rolling Maturity [Abstract] | ||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis | $ 2 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis | 37 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis | 26 | |
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis | 236 | |
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Amortized Cost Basis | 13,280 | |
Amortized Cost Basis | 13,581 | $ 14,459 |
Available-for-sale Securities, Debt Maturities, Fair Value, Rolling Maturity [Abstract] | ||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 2 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 38 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 27 | |
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value | 248 | |
Available-for-sale Securities, Debt Maturities, without Single Maturity Date, Fair Value | 13,744 | |
Available-for-Sale Carrying Amount and Fair Value | 14,059 | 14,918 |
Held-to-maturity Securities, Debt Maturities, Amortized Cost, Rolling Maturity [Abstract] | ||
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost | 563 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost | 252 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost | 107 | |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Amortized Cost | 623 | |
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Net Carrying Amount | 2,936 | |
Held-to-Maturity Carrying Amount | 4,481 | 5,072 |
Held-to-maturity Securities, Debt Maturities, Fair Value, Rolling Maturity [Abstract] | ||
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 563 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 260 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 108 | |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value | 656 | |
Held-to-maturity Securities, Debt Maturities, without Single Maturity Date, Fair Value | 3,318 | |
Held-to-Maturity Fair Value | $ 4,905 | $ 5,516 |
Investment Securities (Aging of
Investment Securities (Aging of Unrealized Temporary Losses on Available-for-sale Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Less than 12 Months | ||
Fair Value | $ 614 | $ 7 |
Gross Unrealized (Losses) | (1) | 0 |
12 Months or More | ||
Fair Value | 1,511 | 1,822 |
Gross Unrealized (Losses) | (10) | (27) |
Total | ||
Fair Value | 2,125 | 1,829 |
Gross Unrealized (Losses) | (11) | (27) |
U.S. Government & other government related | ||
Less than 12 Months | ||
Fair Value | 0 | |
Gross Unrealized (Losses) | 0 | |
12 Months or More | ||
Fair Value | 47 | |
Gross Unrealized (Losses) | (1) | |
Total | ||
Fair Value | 47 | |
Gross Unrealized (Losses) | (1) | |
State or local housing agency | ||
Less than 12 Months | ||
Fair Value | 7 | |
Gross Unrealized (Losses) | 0 | |
12 Months or More | ||
Fair Value | 0 | |
Gross Unrealized (Losses) | 0 | |
Total | ||
Fair Value | 7 | |
Gross Unrealized (Losses) | 0 | |
FFELP ABS | FFELP ABS | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 679 | 753 |
Gross Unrealized (Losses) | (7) | (24) |
Total | ||
Fair Value | 679 | 753 |
Gross Unrealized (Losses) | (7) | (24) |
Residential MBS: | GSE | ||
Less than 12 Months | ||
Fair Value | 614 | 0 |
Gross Unrealized (Losses) | (1) | 0 |
12 Months or More | ||
Fair Value | 825 | 991 |
Gross Unrealized (Losses) | (3) | (2) |
Total | ||
Fair Value | 1,439 | 991 |
Gross Unrealized (Losses) | (4) | (2) |
Residential MBS: | Government-guaranteed | ||
Less than 12 Months | ||
Fair Value | 0 | |
Gross Unrealized (Losses) | 0 | |
12 Months or More | ||
Fair Value | 23 | |
Gross Unrealized (Losses) | 0 | |
Total | ||
Fair Value | 23 | |
Gross Unrealized (Losses) | 0 | |
Residential MBS: | Private-label | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 7 | 8 |
Gross Unrealized (Losses) | 0 | 0 |
Total | ||
Fair Value | 7 | 8 |
Gross Unrealized (Losses) | $ 0 | $ 0 |
Investment Securities (Aging 41
Investment Securities (Aging of Unrealized Temporary Losses on Held-to-maturity Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Less than 12 Months | ||
Fair Value | $ 203 | $ 143 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 874 | 956 |
Gross Unrealized (Losses) | (161) | (179) |
Total | ||
Fair Value | 1,077 | 1,099 |
Gross Unrealized (Losses) | (161) | (179) |
U.S. Government & other government related | ||
Less than 12 Months | ||
Fair Value | 203 | 26 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 17 | 17 |
Gross Unrealized (Losses) | (1) | (1) |
Total | ||
Fair Value | 220 | 43 |
Gross Unrealized (Losses) | (1) | (1) |
State or local housing agency | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 1 | 1 |
Gross Unrealized (Losses) | 0 | 0 |
Total | ||
Fair Value | 1 | 1 |
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 | 4 | 4 |
Gross Unrealized (Losses) | 0 | 0 |
Total | ||
Fair Value | 4 | 4 |
Gross Unrealized (Losses) | 0 | 0 |
Residential MBS: | Government-guaranteed | ||
Less than 12 Months | ||
Fair Value | 117 | |
Gross Unrealized (Losses) | 0 | |
12 Months or More | ||
Fair Value | 0 | |
Gross Unrealized (Losses) | 0 | |
Total | ||
Fair Value | 117 | |
Gross Unrealized (Losses) | 0 | |
Residential MBS: | Private-label | ||
Less than 12 Months | ||
Fair Value | 0 | 0 |
Gross Unrealized (Losses) | 0 | 0 |
12 Months or More | ||
Fair Value | 852 | 934 |
Gross Unrealized (Losses) | (160) | (178) |
Total | ||
Fair Value | 852 | 934 |
Gross Unrealized (Losses) | $ (160) | $ (178) |
Investment Securities (Signific
Investment Securities (Significant Inputs Used to Determine OTTI) (Details) | Jun. 30, 2017 |
Minimum | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |
Assumed Home Price Change Rate all markets over 12 months | (5.00%) |
Projected House Price Change Rate majority of markets over 12 months | 1.00% |
Maximum | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |
Assumed Home Price Change Rate all markets over 12 months | 11.00% |
Projected House Price Change Rate majority of markets over 12 months | 6.00% |
Investment Securities (OTTI rol
Investment Securities (OTTI rollforward) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Beginning Balance | $ 508 | $ 555 | $ 520 | $ 568 |
Reductions: | ||||
Increases in expected future cash flows recorded as accretion into interest income | (9) | (13) | (21) | (26) |
Ending Balance | $ 499 | $ 542 | $ 499 | $ 542 |
Investment Securities Ongoing L
Investment Securities Ongoing Litigation (Details) - October 15, 2010 Ongoing PLMBS Litigation - Private-label $ in Millions | Jun. 30, 2017USD ($)bonds | Oct. 15, 2010USD ($)bonds |
Gain Contingencies [Line Items] | ||
Number of private label MBS bonds purchased | bonds | 3 | 64 |
Aggregate original principal amount of private label MBS bonds purchased | $ | $ 65 | $ 4,290 |
Advances By redemption terms (D
Advances By redemption terms (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months | $ 22,420 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two | 3,306 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | 1,854 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four | 1,338 | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five | 1,904 | ||
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five | 15,901 | ||
Par value | $ 46,723 | $ 44,965 | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 1.13% | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 1.20% | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | 1.61% | ||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | 1.66% | ||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | 1.70% | ||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five | [1] | 1.30% | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate | 1.25% | ||
[1] | The weighted average interest rate is relatively low when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at market prevailing interest rates. |
Advances Reconciliation of par
Advances Reconciliation of par values to carrying values (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Federal Home Loan Banks [Abstract] | ||
Par value | $ 46,723 | $ 44,965 |
Fair value hedging adjustments | 115 | 98 |
Other adjustments | 6 | 4 |
Advances | $ 46,844 | $ 45,067 |
Advances By counterparty concen
Advances By counterparty concentration (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | |
Concentration Risk [Line Items] | ||
Par value | $ 46,723 | $ 44,965 |
Credit Concentration Risk | One Mortgage Partners Corp. | ||
Concentration Risk [Line Items] | ||
Par value | $ 11,000 | |
% of Total Outstanding | 23.50% | |
Credit Concentration Risk | BMO Harris Bank, National Association | ||
Concentration Risk [Line Items] | ||
Par value | $ 6,875 | |
% of Total Outstanding | 14.70% |
MPF Loans Held in Portfolio (De
MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 4,899 | $ 4,906 |
Net premiums, credit enhancement and deferred loan fees | 45 | 38 |
Fair value hedging adjustments | 24 | 26 |
MPF Loans held in portfolio, before allowance for credit losses | 4,968 | 4,970 |
Allowance for credit losses on MPF Loans | (3) | (3) |
MPF Loans held in portfolio, net | 4,965 | 4,967 |
Medium term (15 years or less) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 321 | 417 |
Long term (greater than 15 years) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 4,578 | 4,489 |
Conventional mortgage loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 3,866 | 3,818 |
Government Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1,033 | $ 1,088 |
Allowance for Credit Losses Loa
Allowance for Credit Losses Loans evaluated for impairment (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Recorded investment in conventional MPF Loans - | ||
Recorded investment | $ 4,994 | $ 4,996 |
Conventional | ||
Recorded investment in conventional MPF Loans - | ||
Individually evaluated for impairment | 62 | 74 |
Collectively evaluated for impairment | 3,878 | 3,812 |
Recorded investment | 3,940 | 3,886 |
Allowance for credit losses on conventional MPF Loans - | ||
Homogeneous pools of loans collectively evaluated for impairment | $ 3 | $ 3 |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators - MPF Loans) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Recorded Investment, Past Due [Line Items] | ||
Past due | $ 224 | $ 275 |
Current | 4,770 | 4,721 |
Recorded investment | 4,994 | 4,996 |
In process of foreclosure | $ 35 | $ 42 |
Serious delinquency rate | 1.57% | 1.88% |
Past due 90 days or more and still accruing interest | $ 26 | $ 31 |
On nonaccrual status | 62 | 74 |
Past due 30-59 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 111 | 140 |
Past due 60-89 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 35 | 43 |
Past due 90 days or more | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 78 | 92 |
Conventional | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 145 | 178 |
Current | 3,795 | 3,708 |
Recorded investment | 3,940 | 3,886 |
In process of foreclosure | $ 29 | $ 35 |
Serious delinquency rate | 1.47% | 1.82% |
Past due 90 days or more and still accruing interest | $ 6 | $ 8 |
On nonaccrual status | 62 | 74 |
Conventional | Past due 30-59 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 68 | 83 |
Conventional | Past due 60-89 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 19 | 26 |
Conventional | Past due 90 days or more | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 58 | 69 |
Government Loans | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 79 | 97 |
Current | 975 | 1,013 |
Recorded investment | 1,054 | 1,110 |
In process of foreclosure | $ 6 | $ 7 |
Serious delinquency rate | 1.94% | 2.07% |
Past due 90 days or more and still accruing interest | $ 20 | $ 23 |
On nonaccrual status | 0 | 0 |
Government Loans | Past due 30-59 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 43 | 57 |
Government Loans | Past due 60-89 days | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | 16 | 17 |
Government Loans | Past due 90 days or more | ||
Recorded Investment, Past Due [Line Items] | ||
Past due | $ 20 | $ 23 |
Allowance for Credit Losses (Im
Allowance for Credit Losses (Impaired MPF Loans at period ends) (Details) - Conventional - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Financing Receivable, Impaired [Line Items] | ||
Recorded investment without an allowance for credit losses | $ 62 | $ 74 |
Unpaid principal balance without an allowance for credit losses | $ 67 | $ 80 |
Derivatives and Hedging Activ52
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Jun. 30, 2017USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Additional collateral due to derivatives counterparties if credit rating was lowered one level | $ 0 |
Financial Instruments Owned and Pledged as Collateral, Amount Eligible to be Repledged by Counterparty | $ 76 |
Derivatives and Hedging Activ53
Derivatives and Hedging Activities Derivatives in statements of condition (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 | |
Derivatives, Fair Value [Line Items] | |||
Cash collateral posted | $ 346 | $ 689 | |
Cash collateral received | 31 | 40 | |
Notional Amount | 50,190 | 56,204 | |
Netting adjustments and cash collateral | (385) | (468) | |
Derivative assets on statements of condition | 3 | 6 | |
Netting adjustments and cash collateral | (699) | (1,118) | |
Derivative liabilities on statements of condition | 40 | 43 | |
Derivatives in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 26,196 | 25,999 | |
Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 23,994 | 30,205 | |
Derivatives not in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 22,902 | 29,313 | |
Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 1,092 | 892 | |
Derivative Assets | |||
Derivatives, Fair Value [Line Items] | |||
Variation margin daily settlements on cleared derivatives | (13) | ||
Gross derivative amount before netting adjustments and cash collateral | 388 | 474 | |
Netting adjustments and cash collateral | [1] | (385) | (468) |
Derivative assets on statements of condition | 3 | 6 | |
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 34 | 40 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 367 | 434 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 365 | 432 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 2 | 2 | |
Derivative Liabilities | |||
Derivatives, Fair Value [Line Items] | |||
Variation margin daily settlements on cleared derivatives | (220) | ||
Gross derivative amount before netting adjustments and cash collateral | 739 | 1,161 | |
Netting adjustments and cash collateral | [1] | (699) | (1,118) |
Derivative liabilities on statements of condition | 40 | 43 | |
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 727 | 898 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 232 | 263 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 230 | 260 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | $ 2 | $ 3 | |
[1] | Cash collateral posted was $346 million and $689 million at June 30, 2017 , and December 31, 2016 , and cash collateral received was $31 million and $40 million |
Derivatives and Hedging Activ54
Derivatives and Hedging Activities Derivatives in statement of income (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | $ 4 | $ 1 | $ 4 | $ (6) |
Variation margin on daily settled cleared derivatives | 1 | 0 | 1 | 0 |
Noninterest income on derivatives and hedging activities | 3 | 2 | 6 | (14) |
Interest rate contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Fair value hedges - interest rate contracts | (2) | (3) | 0 | (12) |
Cash flow hedges - interest rate contracts | 0 | 4 | 1 | 4 |
Economic hedges | 1 | 2 | 1 | (5) |
Other | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | $ 3 | $ (1) | $ 3 | $ (1) |
Derivatives and Hedging Activ55
Derivatives and Hedging Activities Derivative assets with legal right of offset (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Derivatives with legal right of offset - | ||
Gross recognized amount | $ 387 | $ 472 |
Netting adjustments and cash collateral | (385) | (468) |
Derivatives with legal right of offset - net | 2 | 4 |
Derivatives without legal right of offset | 1 | 2 |
Derivatives on statements of condition | 3 | 6 |
Noncash collateral received and cannot be sold or repledged | 0 | 0 |
Cash collateral for initial margin | (1) | |
Noncash collateral pledged and cannot be sold or repledged | (2) | (2) |
Net amount | 5 | 9 |
Bilateral | ||
Derivatives with legal right of offset - | ||
Gross recognized amount | 294 | 339 |
Netting adjustments and cash collateral | (292) | (335) |
Derivatives with legal right of offset - net | 2 | 4 |
Derivatives without legal right of offset | 1 | 2 |
Derivatives on statements of condition | 3 | 6 |
Noncash collateral received and cannot be sold or repledged | 0 | 0 |
Net amount | 3 | 6 |
Cleared | ||
Derivatives with legal right of offset - | ||
Gross recognized amount | 93 | 133 |
Netting adjustments and cash collateral | (93) | (133) |
Derivatives with legal right of offset - net | 0 | 0 |
Derivatives without legal right of offset | 0 | 0 |
Derivatives on statements of condition | 0 | 0 |
Cash collateral for initial margin | (1) | |
Noncash collateral pledged and cannot be sold or repledged | (2) | (2) |
Net amount | $ 2 | $ 3 |
Derivatives and Hedging Activ56
Derivatives and Hedging Activities Derivative liabilities with legal right of offset (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Derivatives with legal right of offset - | ||
Gross recognized amount | $ 737 | $ 1,159 |
Netting adjustments and cash collateral | (699) | (1,118) |
Derivatives with legal right of offset - net | 38 | 41 |
Derivatives without legal right of offset | 2 | 2 |
Derivatives on statements of condition | 40 | 43 |
Noncash collateral received and cannot be sold or repledged | 4 | 9 |
Net amount | 36 | 34 |
Credit Exposure On Overcollateralized Pledged Securities Exceeding Derivative Liability | 70 | 86 |
Bilateral | ||
Derivatives with legal right of offset - | ||
Gross recognized amount | 641 | 820 |
Netting adjustments and cash collateral | (607) | (788) |
Derivatives with legal right of offset - net | 34 | 32 |
Derivatives without legal right of offset | 2 | 2 |
Derivatives on statements of condition | 36 | 34 |
Noncash collateral received and cannot be sold or repledged | 0 | 0 |
Net amount | 36 | 34 |
Cleared | ||
Derivatives with legal right of offset - | ||
Gross recognized amount | 96 | 339 |
Netting adjustments and cash collateral | (92) | (330) |
Derivatives with legal right of offset - net | 4 | 9 |
Derivatives without legal right of offset | 0 | 0 |
Derivatives on statements of condition | 4 | 9 |
Noncash collateral received and cannot be sold or repledged | 4 | 9 |
Net amount | $ 0 | $ 0 |
Derivatives and Hedging Activ57
Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount Recorded in Net Interest Income | $ 117 | $ 111 | $ 230 | $ 231 |
Fair value hedges | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | 33 | (64) | 79 | (157) |
On Hedged Item | (35) | 61 | (79) | 145 |
Total Ineffectiveness-Noninterest Income-Derivatives and Hedging Activities | (2) | (3) | 0 | (12) |
Amount Recorded in Net Interest Income | (25) | (34) | (49) | (68) |
Fair value hedges | Available-for-sale securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | 10 | (4) | 35 | (55) |
On Hedged Item | (12) | 2 | (38) | 50 |
Total Ineffectiveness-Noninterest Income-Derivatives and Hedging Activities | (2) | (2) | (3) | (5) |
Amount Recorded in Net Interest Income | (25) | (28) | (49) | (62) |
Fair value hedges | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | (27) | (68) | (15) | (178) |
On Hedged Item | 28 | 68 | 18 | 177 |
Total Ineffectiveness-Noninterest Income-Derivatives and Hedging Activities | 1 | 0 | 3 | (1) |
Amount Recorded in Net Interest Income | (8) | (20) | (19) | (40) |
Fair value hedges | 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-Noninterest Income-Derivatives and Hedging Activities | 0 | 0 | 0 | 0 |
Amount Recorded in Net Interest Income | (1) | (3) | (3) | (5) |
Fair value hedges | Consolidated obligation bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
On Derivative | 50 | 8 | 59 | 76 |
On Hedged Item | (51) | (9) | (59) | (82) |
Total Ineffectiveness-Noninterest Income-Derivatives and Hedging Activities | (1) | (1) | 0 | (6) |
Amount Recorded in Net Interest Income | $ 9 | $ 17 | $ 22 | $ 39 |
Derivatives and Hedging Activ58
Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Cash Flow Hedge Gain (Loss) to be Reclassified Next 12 Months, Net | $ (4) | $ (4) | ||
Maximum Hedging Period For Forecasted Cash Flows | 3 years | |||
Amount Recorded in Net Interest Income | $ 117 | $ 111 | 230 | $ 231 |
Cash flow hedges | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion-Noninterest Income-Derivatives and Hedging Activities | 0 | 4 | 1 | 4 |
Effective Portion Recorded in AOCI | 27 | 14 | 73 | (38) |
Amount Recorded in Net Interest Income | (40) | (48) | (84) | (94) |
Cash flow hedges | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion-Noninterest Income-Derivatives and Hedging Activities | 0 | 0 | 0 | 0 |
Effective Portion Recorded in AOCI | 0 | 0 | 0 | 0 |
Amount Recorded in Net Interest Income | 4 | 4 | 6 | 6 |
Cash flow hedges | Discount Notes | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion-Noninterest Income-Derivatives and Hedging Activities | 0 | 4 | 1 | 4 |
Effective Portion Recorded in AOCI | 27 | 14 | 73 | (38) |
Amount Recorded in Net Interest Income | (43) | (51) | (88) | (98) |
Cash flow hedges | Consolidated obligation bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Ineffective Portion-Noninterest Income-Derivatives and Hedging Activities | 0 | 0 | 0 | 0 |
Effective Portion Recorded in AOCI | 0 | 0 | 0 | 0 |
Amount Recorded in Net Interest Income | $ (1) | $ (1) | $ (2) | $ (2) |
Consolidated Obligations (Short
Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Debt Disclosure [Abstract] | ||
Carrying Amount | $ 37,944 | $ 35,949 |
Weighted Average Interest Rate | 0.90% | 0.46% |
Consolidated Obligations (Long
Consolidated Obligations (Long term bonds by maturity date) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | |
Contractual Maturity | ||
Due in one year or less | $ 16,116 | |
One to two years | 8,708 | |
Two to three years | 2,390 | |
Three to four years | 2,361 | |
Four to five years | 3,128 | |
Thereafter | 5,341 | |
Total par value | $ 38,044 | $ 37,134 |
Weighted Average Interest Rate | ||
Due in one year or less | 1.21% | |
One to two years | 1.14% | |
Two to three years | 1.24% | |
Three to four years | 1.89% | |
Four to five years | 1.69% | |
Thereafter | 2.79% | |
Total par value | 1.50% | |
By Maturity or Next Call Date | ||
Contractual Maturity | ||
Due in one year or less | $ 28,293 | |
One to two years | 6,452 | |
Two to three years | 1,398 | |
Three to four years | 1,048 | |
Four to five years | 51 | |
Thereafter | 802 | |
Total par value | $ 38,044 | |
Minimum | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 1 year | |
Maximum | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 20 years |
Consolidated Obligations (Bonds
Consolidated Obligations (Bonds by callable feature) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Debt Instrument [Line Items] | ||
Par value | $ 38,044 | $ 37,134 |
Fair value hedging adjustments | (164) | (229) |
Other adjustments | (2) | (2) |
Consolidated obligation bonds | 37,878 | 36,903 |
Noncallable | ||
Debt Instrument [Line Items] | ||
Par value | 23,938 | 22,356 |
Callable | ||
Debt Instrument [Line Items] | ||
Par value | $ 14,106 | $ 14,778 |
Consolidated Obligations (Syste
Consolidated Obligations (Systemwide joint & several liability) (Details) - Guarantee of Indebtedness of Others [Member] - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | |
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 1,011,526 | $ 989,311 |
FHLB Chicago as primary obligor | $ 76,020 | $ 73,103 |
As a percent of the FHLB System | 8.00% | 7.00% |
Consolidated obligation bonds | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 582,278 | $ 579,189 |
FHLB Chicago as primary obligor | $ 38,044 | $ 37,134 |
As a percent of the FHLB System | 7.00% | 6.00% |
Discount Notes | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 429,248 | $ 410,122 |
FHLB Chicago as primary obligor | $ 37,976 | $ 35,969 |
As a percent of the FHLB System | 9.00% | 9.00% |
Capital and Mandatorily Redee63
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Capital rules) (Details) - $ / shares | 3 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | |
Federal Home Loan Banks [Abstract] | ||
par value | $ 100 | $ 100 |
Capital Stock, Redemption, Period of Written Notice | 5 years |
Capital and Mandatorily Redee64
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Regulatory capital requirements) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Federal Home Loan Banks [Abstract] | ||
Risk Based Capital, Requirement | $ 1,033 | $ 1,088 |
Risk Based Capital, Actual | 4,982 | 5,032 |
Total Regulatory Capital, Requirement | 3,271 | 3,148 |
Total Regulatory Capital, Actual | $ 4,982 | $ 5,032 |
Total Regulatory Capital Ratio, Requirement | 4.00% | 4.00% |
Total Regulatory Capital Ratio, Actual | 6.09% | 6.40% |
Leverage Capital, Requirement | $ 4,089 | $ 3,935 |
Leverage Capital, Actual | $ 7,473 | $ 7,549 |
Leverage Capital Ratio, Requirement | 5.00% | 5.00% |
Leverage Capital Ratio, Actual | 9.14% | 9.59% |
Capital and Mandatorily Redee65
Capital and Mandatorily Redeemable Capital Stock (MRCS) Stockholder Concentration (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Jun. 30, 2017 | Dec. 31, 2016 | ||
Concentration Risk [Line Items] | |||
Amount of Which is Classified as a Liability (MRCS) | $ 303 | $ 301 | |
Stockholders' Equity, Total [Member] | BMO Harris Bank, National Association | |||
Concentration Risk [Line Items] | |||
Regulatory Capital Stock Outstanding | $ 309 | ||
% of Total Outstanding | 16.90% | ||
Amount of Which is Classified as a Liability (MRCS) | $ 0 | ||
Stockholders' Equity, Total [Member] | One Mortgage Partners Corp. | |||
Concentration Risk [Line Items] | |||
Regulatory Capital Stock Outstanding | [1] | $ 245 | |
% of Total Outstanding | 13.40% | ||
Amount of Which is Classified as a Liability (MRCS) | $ 245 | ||
[1] | One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Capital and Mandatorily Redee66
Capital and Mandatorily Redeemable Capital Stock (MRCS) Repurchase of excess capital stock (Details) $ in Millions | 6 Months Ended |
Jun. 30, 2017USD ($) | |
Repurchase of excess capital stock [Abstract] | |
Regulatory Capital Stock | $ 1,800 |
Net Change In Regulatory Capital Stock | $ (183) |
Accumulated Other Comprehensi67
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | $ (36) | |||
Amounts reclassified in period to statements of income: | ||||
Ending balance | $ 67 | 67 | ||
AOCI | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 53 | $ (110) | (36) | $ (28) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 16 | (35) | 107 | (116) |
Amounts reclassified in period to statements of income: | ||||
Net interest income | (2) | (2) | (3) | (3) |
Non-interest gain (loss) | (4) | (1) | (4) | |
Ending balance | 67 | (151) | 67 | (151) |
Net Unrealized - | Available-for-sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 497 | 618 | 459 | 658 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (19) | (60) | 19 | (100) |
Amounts reclassified in period to statements of income: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Non-interest gain (loss) | 0 | 0 | 0 | |
Ending balance | 478 | 558 | 478 | 558 |
Non-credit OTTI - | Held-to-maturity Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (168) | (206) | (177) | (217) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 8 | 10 | 17 | 21 |
Amounts reclassified in period to statements of income: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Non-interest gain (loss) | 0 | 0 | 0 | |
Ending balance | (160) | (196) | (160) | (196) |
Net Unrealized - Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (268) | (516) | (312) | (463) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 27 | 14 | 73 | (38) |
Amounts reclassified in period to statements of income: | ||||
Net interest income | (2) | (2) | (3) | (3) |
Non-interest gain (loss) | (4) | (1) | (4) | |
Ending balance | (243) | (508) | (243) | (508) |
Post-Retirement Plans | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (8) | (6) | (6) | (6) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 0 | 1 | (2) | 1 |
Amounts reclassified in period to statements of income: | ||||
Ending balance | $ (8) | $ (5) | $ (8) | $ (5) |
Fair Value (Carrying Value and
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Financial Assets - | ||
Cash and due from banks | $ 168 | $ 351 |
Interest bearing deposits | 750 | 650 |
Federal Funds sold | 7,683 | 4,075 |
Securities purchased under agreements to resell | 2,250 | 2,300 |
Held-to-maturity securities | 4,905 | 5,516 |
Financial Liabilities - | ||
Consolidated obligation discount notes | (524) | (6,368) |
Consolidated obligation bonds | (5,340) | (5,443) |
Carrying Amount | ||
Financial Assets - | ||
Cash and due from banks | 168 | 351 |
Interest bearing deposits | 750 | 650 |
Federal Funds sold | 7,683 | 4,075 |
Securities purchased under agreements to resell | 2,250 | 2,300 |
Held-to-maturity securities | 4,481 | 5,072 |
Advances | 46,844 | 45,067 |
MPF Loans held in portfolio, net | 4,965 | 4,967 |
Financial Liabilities - | ||
Deposits | (558) | (496) |
Consolidated obligation discount notes | (37,944) | (35,949) |
Consolidated obligation bonds | (37,878) | (36,903) |
Mandatorily redeemable capital stock | (303) | (301) |
Fair Value | ||
Financial Assets - | ||
Cash and due from banks | 168 | 351 |
Interest bearing deposits | 750 | 650 |
Federal Funds sold | 7,683 | 4,075 |
Securities purchased under agreements to resell | 2,250 | 2,300 |
Held-to-maturity securities | 4,905 | 5,516 |
Advances | 46,877 | 45,065 |
MPF Loans held in portfolio, net | 5,140 | 5,162 |
Financial Liabilities - | ||
Deposits | (558) | (496) |
Consolidated obligation discount notes | (37,943) | (35,949) |
Consolidated obligation bonds | (38,104) | (37,149) |
Mandatorily redeemable capital stock | (303) | (301) |
Level 1 | ||
Financial Assets - | ||
Cash and due from banks | 168 | 351 |
Interest bearing deposits | 750 | 650 |
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 |
Mandatorily redeemable capital stock | (303) | (301) |
Level 2 | ||
Financial Assets - | ||
Cash and due from banks | 0 | 0 |
Interest bearing deposits | 0 | 0 |
Federal Funds sold | 7,683 | 4,075 |
Securities purchased under agreements to resell | 2,250 | 2,300 |
Held-to-maturity securities | 4,020 | 4,544 |
Advances | 46,877 | 45,065 |
MPF Loans held in portfolio, net | 5,119 | 5,136 |
Financial Liabilities - | ||
Deposits | (558) | (496) |
Consolidated obligation discount notes | (37,943) | (35,949) |
Consolidated obligation bonds | (38,104) | (37,149) |
Mandatorily redeemable capital stock | 0 | 0 |
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 | 885 | 972 |
Advances | 0 | 0 |
MPF Loans held in portfolio, net | 21 | 26 |
Financial Liabilities - | ||
Deposits | 0 | 0 |
Consolidated obligation discount notes | 0 | 0 |
Consolidated obligation bonds | 0 | 0 |
Mandatorily redeemable capital stock | $ 0 | $ 0 |
Fair Value (Fair Value Measured
Fair Value (Fair Value Measured on Recurring Basis) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Advances held at fair value | $ 786 | $ 672 |
Derivative assets | 3 | 6 |
Other assets held at fair value | 119 | 44 |
Netting and Cash Collateral | (385) | (468) |
Derivative liabilities | (40) | (43) |
Netting and Cash Collateral | 699 | 1,118 |
Fair Value Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 238 | 1,045 |
Available-for-sale securities | 14,059 | 14,918 |
Advances held at fair value | 786 | 672 |
Derivative assets | 3 | 6 |
Other assets held at fair value | 119 | 44 |
Financial assets at fair value | 15,205 | 16,685 |
Netting and Cash Collateral | (385) | (468) |
Consolidated obligation discount notes held at fair value | (524) | (6,368) |
Consolidated obligation bonds held at fair value | (5,340) | (5,443) |
Derivative liabilities | (40) | (43) |
Financial liabilities at fair value | (5,904) | (11,854) |
Netting and Cash Collateral | 699 | 1,118 |
Fair Value Recurring | U.S. Government & other government related non-MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 201 | 1,005 |
Available-for-sale securities | 298 | 336 |
Fair Value Recurring | State or local housing agency non-MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | 17 | 19 |
Fair Value Recurring | FFELP ABS | FFELP ABS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | 4,412 | 4,572 |
Fair Value Recurring | Residential MBS: | GSE residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 36 | 39 |
Available-for-sale securities | 8,109 | 8,555 |
Fair Value Recurring | Residential MBS: | U.S. Government-guaranteed residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 1 | 1 |
Available-for-sale securities | 1,169 | 1,380 |
Fair Value Recurring | Residential MBS: | Private-label residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | 54 | 56 |
Fair Value Recurring | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 238 | 1,045 |
Available-for-sale securities | 14,005 | 14,862 |
Advances held at fair value | 786 | 672 |
Derivative assets | 388 | 474 |
Other assets held at fair value | 119 | 44 |
Financial assets at fair value | 15,536 | 17,097 |
Consolidated obligation discount notes held at fair value | (524) | (6,368) |
Consolidated obligation bonds held at fair value | (5,340) | (5,443) |
Derivative liabilities | (739) | (1,161) |
Financial liabilities at fair value | (6,603) | (12,972) |
Fair Value Recurring | Level 2 | U.S. Government & other government related non-MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 201 | 1,005 |
Available-for-sale securities | 298 | 336 |
Fair Value Recurring | Level 2 | State or local housing agency non-MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | 17 | 19 |
Fair Value Recurring | Level 2 | FFELP ABS | FFELP ABS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | 4,412 | 4,572 |
Fair Value Recurring | Level 2 | Residential MBS: | GSE residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 36 | 39 |
Available-for-sale securities | 8,109 | 8,555 |
Fair Value Recurring | Level 2 | Residential MBS: | U.S. Government-guaranteed residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 1 | 1 |
Available-for-sale securities | 1,169 | 1,380 |
Fair Value Recurring | Level 2 | Residential MBS: | Private-label residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | 0 | 0 |
Fair Value Recurring | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 0 | 0 |
Available-for-sale securities | 54 | 56 |
Advances held at fair value | 0 | 0 |
Derivative assets | 0 | 0 |
Other assets held at fair value | 0 | 0 |
Financial assets at fair value | 54 | 56 |
Consolidated obligation discount notes held at fair value | 0 | 0 |
Consolidated obligation bonds held at fair value | 0 | 0 |
Derivative liabilities | 0 | 0 |
Financial liabilities at fair value | 0 | 0 |
Fair Value Recurring | Level 3 | U.S. Government & other government related non-MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 0 | 0 |
Available-for-sale securities | 0 | 0 |
Fair Value Recurring | Level 3 | State or local housing agency non-MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | 0 | 0 |
Fair Value Recurring | Level 3 | FFELP ABS | FFELP ABS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | 0 | 0 |
Fair Value Recurring | Level 3 | Residential MBS: | GSE residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 0 | 0 |
Available-for-sale securities | 0 | 0 |
Fair Value Recurring | Level 3 | Residential MBS: | U.S. Government-guaranteed residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Trading securities | 0 | 0 |
Available-for-sale securities | 0 | 0 |
Fair Value Recurring | Level 3 | Residential MBS: | Private-label residential MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale securities | $ 54 | $ 56 |
Fair Value (Fair Value Option D
Fair Value (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | $ 46,723 | $ 44,965 |
Fair value | 786 | 672 |
Unpaid principal balance | 38,044 | 37,134 |
Fair value | 5,340 | 5,443 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | 787 | 677 |
Fair value over (under) UPB | (1) | (5) |
Fair value | 786 | 672 |
Consolidated Obligation Bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | 5,344 | 5,447 |
Fair value over (under) UPB | (4) | (4) |
Fair value | $ 5,340 | $ 5,443 |
Commitments and Contingencies71
Commitments and Contingencies (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 | |
Commitments | |||
Expire within one year | $ 11,003 | $ 8,950 | |
Expire after one year | 3,403 | 2,651 | |
Total | 14,406 | 11,601 | |
Unsettled consolidated obligation bonds | |||
Commitments | |||
Expire within one year | 98 | 10 | |
Expire after one year | 0 | 0 | |
Total | 98 | 10 | |
Member standby letters of credit | |||
Commitments | |||
Expire within one year | 10,148 | 8,459 | |
Expire after one year | [1] | 3,072 | 2,369 |
Total | 13,220 | 10,828 | |
Portion of member standby letters of credit which were renewable annually | 721 | 486 | |
Housing authority standby bond purchase agreements | |||
Commitments | |||
Expire within one year | 0 | 25 | |
Expire after one year | 330 | 281 | |
Total | 330 | 306 | |
Advance commitments | |||
Commitments | |||
Expire within one year | 233 | 15 | |
Expire after one year | 1 | 1 | |
Total | 234 | 16 | |
MPF delivery commitments | |||
Commitments | |||
Expire within one year | 512 | 417 | |
Expire after one year | 0 | 0 | |
Total | 512 | 417 | |
Other | |||
Commitments | |||
Expire within one year | 12 | 24 | |
Expire after one year | 0 | 0 | |
Total | $ 12 | $ 24 | |
[1] | Contains $721 million and $486 million of member standby letters of credit at June 30, 2017 , and December 31, 2016 |
Transactions with Related Par72
Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions | Jun. 30, 2017 | Dec. 31, 2016 |
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | $ 46,844 | $ 45,067 |
Liabilities - Deposits | 558 | 496 |
Equity - Capital Stock | 1,526 | 1,711 |
Transactions with members | ||
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | 144 | 107 |
Liabilities - Deposits | 21 | 8 |
Equity - Capital Stock | $ 8 | $ 18 |