Document and Entity Information
Document and Entity Information | 3 Months Ended |
Mar. 31, 2018shares | |
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 | Mar. 31, 2018 |
Document Fiscal Year Focus | 2,018 |
Document Fiscal Period Focus | Q1 |
Amendment Flag | false |
Entity Common Stock, Shares Outstanding | 18,903,682 |
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 | Mar. 31, 2018 | Dec. 31, 2017 |
Assets | ||
Cash and due from banks | $ 40 | $ 42 |
Interest bearing deposits | 775 | 775 |
Federal Funds sold | 9,361 | 7,561 |
Securities purchased under agreements to resell | 6,250 | 5,000 |
Investment securities - | ||
Trading | 2,596 | 233 |
pledged | 64 | 67 |
Available-for-sale | 12,388 | 12,957 |
Held-to-maturity, | 3,448 | 4,157 |
fair value | 3,791 | 4,538 |
Investment securities | 18,432 | 17,347 |
Advances | 50,840 | 48,085 |
carried at fair value | 917 | 776 |
MPF Loans held in portfolio, net of | 5,357 | 5,193 |
allowance for credit losses | (2) | (2) |
Derivative assets | 2 | 3 |
Other assets, | 334 | 349 |
carried at fair value | 76 | 118 |
Assets | 91,391 | 84,355 |
Deposits - | ||
Noninterest bearing | 53 | 51 |
Interest bearing, | 632 | 473 |
from other FHLBs | 11 | 32 |
Deposits | 685 | 524 |
Consolidated obligations, net - | ||
Discount notes, | 41,483 | 41,191 |
carried at fair value | 0 | 749 |
Bonds | 43,516 | 37,121 |
carried at fair value | 4,985 | 5,260 |
Consolidated obligations, net | 84,999 | 78,312 |
Derivative liabilities | 19 | 20 |
Affordable Housing Program assessment payable | 86 | 88 |
Mandatorily redeemable capital stock | 311 | 311 |
Other liabilities | 228 | 248 |
Liabilities | 86,328 | 79,503 |
Commitments and contingencies - see notes to the financial statements | ||
Capital | ||
Class B1 activity stock, | $ 1,368 | $ 1,241 |
million shares issued and outstanding | 14 | 12 |
Class B2 membership stock, | $ 211 | $ 202 |
million shares issued and outstanding | 2 | 2 |
Capital stock - putable, | $ 1,579 | $ 1,443 |
par value per share | $ 100 | $ 100 |
Retained earnings - unrestricted | $ 2,891 | $ 2,845 |
Retained earnings - restricted | 467 | 452 |
Retained earnings | 3,358 | 3,297 |
Accumulated other comprehensive income (loss) (AOCI) | 126 | 112 |
Capital | 5,063 | 4,852 |
Liabilities and capital | $ 91,391 | $ 84,355 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Income Statement [Abstract] | ||
Interest income | $ 480 | $ 337 |
Interest expense | 356 | 224 |
Net interest income | 124 | 113 |
Noninterest income - | ||
Derivatives and hedging activities | (3) | 3 |
Instruments held under fair value option | (7) | (2) |
MPF fees, | 8 | 7 |
from other FHLBs | 6 | 5 |
Other, net | 2 | 2 |
Noninterest income | 0 | 10 |
Noninterest expense - | ||
Compensation and benefits | 24 | 25 |
Operating expenses | 15 | 15 |
Other | 3 | 2 |
Noninterest expense | 42 | 42 |
Income before assessments | 82 | 81 |
Affordable Housing Program | 8 | 8 |
Net income | $ 74 | $ 73 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 74 | $ 73 |
Other comprehensive income (loss) - | ||
Net unrealized gain (loss) available-for-sale securities | (49) | 38 |
Noncredit OTTI held-to-maturity securities | 7 | 9 |
Net unrealized gain (loss) cash flow hedges | 58 | 44 |
Postretirement plans | (2) | (2) |
Other comprehensive income (loss) | 14 | 89 |
Comprehensive income | $ 88 | $ 162 |
Statements of Stockholders' Equ
Statements of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Capital Stock - Putable - B1 Activity | Capital Stock - Putable - B2 Membership | Capital Stock | Retained Earnings, Unrestricted | Retained Earnings, Restricted | Retained Earnings, Total | AOCI |
Shares, beginning at Dec. 31, 2016 | 12 | 6 | 18 | |||||
Balance, beginning at Dec. 31, 2016 | $ 4,695 | $ 1,160 | $ 551 | $ 1,711 | $ 2,631 | $ 389 | $ 3,020 | $ (36) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 162 | 59 | 14 | 73 | 89 | |||
Proceeds from issuance of capital stock shares | 4 | 0 | 4 | |||||
Proceeds from issuance of capital stock | 534 | $ 533 | $ 1 | $ 534 | ||||
Repurchases of capital stock shares | 0 | (10) | (10) | |||||
Repurchases of capital stock | (960) | $ (34) | $ (926) | $ (960) | ||||
Capital stock reclassified to mandatorily redeemable capital stock liability shares | 0 | 0 | 0 | |||||
Capital stock reclassified to mandatorily redeemable capital stock liability | (3) | $ (3) | $ 0 | $ (3) | ||||
Transfers between classes of capital stock shares | (6) | 6 | ||||||
Transfers between classes of capital stock | $ (619) | $ 619 | ||||||
Cash dividends - class B1 | (9) | (9) | (9) | |||||
Cash dividends - class B2 | (1) | (1) | (1) | |||||
Common Stock Dividend - Annualized Rate | 3.00% | 0.85% | ||||||
Total change in period shares | (2) | (4) | (6) | |||||
Total change in period | (277) | $ (123) | $ (306) | $ (429) | 49 | 14 | 63 | 89 |
Shares, ending at Mar. 31, 2017 | 10 | 2 | 12 | |||||
Balance, ending at Mar. 31, 2017 | 4,418 | $ 1,037 | $ 245 | $ 1,282 | 2,680 | 403 | 3,083 | 53 |
Shares, beginning at Dec. 31, 2017 | 12 | 2 | 14 | |||||
Balance, beginning at Dec. 31, 2017 | 4,852 | $ 1,241 | $ 202 | $ 1,443 | 2,845 | 452 | 3,297 | 112 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 88 | 59 | 15 | 74 | 14 | |||
Proceeds from issuance of capital stock shares | 9 | 0 | 9 | |||||
Proceeds from issuance of capital stock | 823 | $ 822 | $ 1 | $ 823 | ||||
Repurchases of capital stock shares | 0 | (7) | (7) | |||||
Repurchases of capital stock | (687) | $ (1) | $ (686) | $ (687) | ||||
Transfers between classes of capital stock shares | (7) | 7 | ||||||
Transfers between classes of capital stock | $ (694) | $ 694 | ||||||
Cash dividends - class B1 | (12) | (12) | (12) | |||||
Cash dividends - class B2 | (1) | (1) | (1) | |||||
Common Stock Dividend - Annualized Rate | 3.50% | 1.50% | ||||||
Total change in period shares | 2 | 0 | 2 | |||||
Total change in period | 211 | $ 127 | $ 9 | $ 136 | 46 | 15 | 61 | 14 |
Shares, ending at Mar. 31, 2018 | 14 | 2 | 16 | |||||
Balance, ending at Mar. 31, 2018 | $ 5,063 | $ 1,368 | $ 211 | $ 1,579 | $ 2,891 | $ 467 | $ 3,358 | $ 126 |
Condensed Statements of Cash Fl
Condensed Statements of Cash Flows - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Operating | |||
Net cash provided by (used in) operating activities | $ 135 | $ 159 | |
Investing | |||
Net change interest bearing deposits | 0 | (50) | |
Net change Federal Funds sold | (1,800) | (4,242) | |
Net change securities purchased under agreements to resell | (1,250) | 1,800 | |
Trading securities - | |||
Sales | 200 | 801 | |
Proceeds from maturities and paydowns | 2 | 1 | |
Purchases | (2,559) | 0 | |
Available-for-sale securities - | |||
Proceeds from maturities and paydowns | 478 | 354 | |
Held-to-maturity securities - | |||
Short-term held-to-maturity securities, net | [1] | 535 | 619 |
Proceeds from maturities and paydowns | 188 | 256 | |
Purchases | (14) | (3) | |
Advances - | |||
Principal collected | 320,511 | 141,871 | |
Issued | (323,358) | (139,145) | |
MPF Loans held in portfolio - | |||
Principal collected | 187 | 264 | |
Purchases | (355) | (241) | |
Other investing activities | 3 | 9 | |
Net cash provided by (used in) investing activities | (7,232) | 2,294 | |
Financing | |||
Net change deposits | 161 | 68 | |
Discount notes - | |||
Net proceeds from issuance | 436,144 | 320,127 | |
Payments for maturing and retiring | (435,852) | (323,269) | |
Consolidated obligation bonds - | |||
Net proceeds from issuance | 11,586 | 4,130 | |
Payments for maturing and retiring | (5,062) | (3,380) | |
Capital stock - | |||
Proceeds from issuance | 823 | 534 | |
Repurchases | (687) | (960) | |
Cash dividends paid | (13) | (10) | |
Other financing activities | (5) | (10) | |
Net cash provided by (used in) financing activities | 7,095 | (2,770) | |
Net increase (decrease) in cash and due from banks | (2) | (317) | |
Cash and due from banks at beginning of period | 42 | 351 | |
Cash and due from banks at end of period | $ 40 | $ 34 | |
[1] | Short-term assets and liabilities may be presented on a net basis provided that the original maturity of the asset or liability is three months or less from the date of origination or the date of purchase. |
Background and Basis of Present
Background and Basis of Presentation | 3 Months Ended |
Mar. 31, 2018 | |
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, 2017 , included in our Annual Report on Form 10-K ( 2017 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 58 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. Basis of Presentation The basis of presentation pertaining to the consolidation of our variable interest entities has not changed since we filed our 2017 Form 10-K. The basis of presentation pertaining to our gross versus net presentation of financial instruments also has not changed since we filed our 2017 Form 10-K. Refer to Note 1- Background and Basis of Presentation |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Our Summary of Significant Accounting Policies through December 31, 2017 , can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2017 Form 10-K. We adopted the following policies effective January 1, 2018 : Recognition and Measurement of Financial Assets and Financial Liabilities (ASU 2016-01) We are required to recognize 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 in our statements of comprehensive income. We measure such instrument-specific credit risk based on our nonperformance risk, which includes our nonperformance risk and the credit risk associated with the joint and several liability of other FHLBs. The new guidance did not have an effect on our financial condition, results of operations, and cash flows at the time of adoption. Revenue from Contracts with Customers (ASU 2014-09) The revenue recognition guidance did not have any effect on our financial condition, results of operations, or cash flows at the time of adoption. This is because the majority of our financial instruments and other contractual rights that generate revenue are covered by other GAAP, and therefore, were scoped out of this new guidance. Further, our prior method of recognizing service fee revenue was consistent with this new guidance. As a result, no cumulative effect adjustment to our opening balance of retained earnings in 2018 was required under the modified retrospective method. Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost (ASU 2017-07) We are required to classify the service cost component of our net periodic pension and postretirement benefit costs as compensation costs. All other components of our net periodic pension and postretirement benefit costs are required to be classified as Noninterest expense - Other. Previously, our total net periodic pension and postretirement costs were classified as compensation costs. We made this classification change on a prospective rather than retrospective basis due to materiality. This classification guidance did not 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 (ASU 2016-15) |
Recently Issued but Not Yet Ado
Recently Issued but Not Yet Adopted Accounting Standards | 3 Months Ended |
Mar. 31, 2018 | |
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 Targeted Improvements to Accounting for Hedging Activities (ASU 2017-12) In August of 2017, the FASB issued targeted improvements to existing derivatives and hedging guidance to facilitate financial reporting that more closely reflects an entity’s risk management activities. We plan to adopt this guidance as of January 1, 2019. We are in the process of determining the expected effect of this guidance on our financial condition, results of operations, and cash flows. Outlined below are the significant changes to existing GAAP guidance that are relevant to us. Cash Flow Hedges: • For a cash flow hedge of interest rate risk of a variable-rate financial instrument, we would be able to designate the variability in cash flows attributable to the contractually specified interest rate as the hedged risk. By eliminating the concept of benchmark interest rates for hedges of variable-rate instruments under current GAAP, the amendments remove the requirement to designate only the overall variability in cash flows as the hedged risk in a cash flow hedge of a variable-rate instrument indexed to a non-benchmark interest rate. • The entire change in fair value of the hedging instrument is recorded in AOCI. Reclassification from AOCI into our statements of income, including hedge ineffectiveness, will depend on whether a recognition event has occurred, such as the discontinuation of the hedge relationship. Fair Value Hedges: • Permits hedged risk to be the changes in fair value based on the contractual coupon’s benchmark rate component determined at hedge inception on the hedged item. Only the hedged risk of changes in fair value based on the full contractual coupon cash flows is permitted under existing GAAP. • Permits hedged risk to be partial-term of the hedged item, which only includes the designated cash flows being hedged. • Permits hedged risk to be a closed portfolio of prepayable financial assets or one or more beneficial interests secured by a portfolio of prepayable financial instruments in conjunction with a partial-term hedge election. The designated hedged item must have at least one asset or beneficial interest that will be outstanding at the end of the partial-term hedge election -that is, at least one asset or beneficial interest is not expected to be affected by prepayments, defaults, and other factors affecting the timing and amount of cash flows. This designation is referred to as the last-of-layer-method. Cash Flow Hedges and Fair Value Hedges: • Requires both the effective and ineffective portion of a hedging relationship to be presented in either interest income or interest expense, whichever is appropriate. As a result, ineffectiveness related to hedging relationships would no longer be presented in derivatives and hedging activities. • Enables applying the long-haul method of assessing hedge effectiveness in cases where the shortcut method was initially applied but subsequently becomes no longer appropriate. This is provided only if we documented at hedge inception which long-haul methodology we would use in the event the shortcut method is discontinued. • Enables hedge effectiveness to be qualitatively assessed at the time of adoption for existing hedge relationships and for new hedge relationships entered into after adoption subsequent to their hedge inception in cases where initial quantitative testing is required. Such qualitative assessments would require us to quarterly verify and document that the facts and circumstances underlying the hedging relationship have not changed since hedge inception. Transition: • Upon adoption, the modified retrospective method will be applied. This means all cumulative-effect adjustments, which includes eliminating the separate measurement of ineffectiveness to AOCI, will be recognized to the opening balance of retained earnings as of the beginning of January 1, 2019. • Permits us to modify the risk being hedged without de-designation of the fair value hedging relationship. Such a modification will require us to recognize a cumulative-effect adjustment. We also may elect to de-designate a portion of the modified hedged item. In such cases, we reverse the portion of the cumulative basis adjustment related to the hedged item de-designated cumulative basis adjustment with the offsetting entry recognized as a cumulative effect adjustment. • Permits us to reclassify a debt security from held-to-maturity to available-for-sale if the debt security is eligible to be included in the hedged item involving the last-of-the layer method. Any unrealized gain or loss at the date of the transfer would be recorded in AOCI. • The presentation and disclosure guidance will be adopted on a prospective basis. Measurement of Credit Losses on Financial Instruments (ASU 2016-13) In June of 2016, the FASB amended existing GAAP guidance applicable to measuring credit losses on financial instruments. Specifically, the amendment 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. Accordingly, the amendment is expected to result in recognizing credit losses in the financial statements on a timelier basis by utilizing forward looking information. In addition, the accounting for securities is amended as follows: • 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 new guidance takes effect January 1, 2020. Upon adoption, any difference in the credit loss amount attributable to both our on balance sheet and off balance sheet financial instruments resulting from applying the expected credit loss methodology compared to our existing incurred loss methodology will be recognized as a cumulative-effect adjustment to our January 1, 2020 opening retained earnings balance. A prospective transition approach is required for debt securities. Accordingly, any OTTI write-downs on securities recognized prior to January 1, 2020 may not be reversed at the time of our adoption. Improvements in expected cash flows for these securities will continue to be accounted for as yield adjustments over their remaining life. Additionally, recoveries for these securities will be recorded in earnings only 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 (ASU 2016-02) |
Interest Income and Interest Ex
Interest Income and Interest Expense | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 2017 Interest income - Trading $ 6 $ 1 Available-for-sale interest income 104 108 Available-for-sale prepayment fees 7 4 Available-for-sale 111 112 Held-to-maturity 46 53 Investment securities 163 166 Advances 214 99 MPF Loans held in portfolio 55 54 Federal funds sold and securities purchased under agreements to resell 44 15 Other 4 3 Interest income 480 337 Interest expense - Consolidated obligations - Discount notes 183 96 Bonds 169 125 Other 4 3 Interest expense 356 224 Net interest income $ 124 $ 113 |
Investment Securities
Investment Securities | 3 Months Ended |
Mar. 31, 2018 | |
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. See Note 9 - Derivatives and Hedging Activities for further details. Trading Securities The following table presents the fair value of our trading securities. Our unrealized gains or losses on trading securities still held on our statement of condition as of the end of the reporting period were no t material. As of March 31, 2018 December 31, 2017 U.S. Government & other government related $ 2,565 $ 202 Residential MBS GSE 30 30 Government guaranteed 1 1 Trading securities $ 2,596 $ 233 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 March 31, 2018 U.S. Government & other government related $ 236 $ 13 $ — $ 249 State or local housing agency 17 — — 17 FFELP ABS 3,891 239 — 4,130 Residential MBS GSE 6,944 81 (2 ) 7,023 Government guaranteed 903 18 — 921 Private label 39 9 — 48 Available-for-sale securities $ 12,030 $ 360 $ (2 ) $ 12,388 As of December 31, 2017 U.S. Government & other government related $ 256 $ 15 $ — $ 271 State or local housing agency 21 — — 21 FFELP ABS 3,987 234 (7 ) 4,214 Residential MBS GSE 7,275 132 (1 ) 7,406 Government guaranteed 971 24 — 995 Private label 40 10 — 50 Available-for-sale securities $ 12,550 $ 415 $ (8 ) $ 12,957 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 March 31, 2018 U.S. Government & other government related $ 967 $ — $ 967 $ 16 $ (2 ) $ 981 State or local housing agency 8 — 8 — — 8 Residential MBS GSE 1,453 — 1,453 46 — 1,499 Government guaranteed 531 — 531 4 — 535 Private label 625 (136 ) 489 279 — 768 Held-to-maturity securities $ 3,584 $ (136 ) $ 3,448 $ 345 $ (2 ) $ 3,791 As of December 31, 2017 U.S. Government & other government related $ 1,531 $ — $ 1,531 $ 29 $ (1 ) $ 1,559 State or local housing agency 9 — 9 — — 9 Residential MBS GSE 1,513 — 1,513 62 — 1,575 Government guaranteed 585 — 585 6 — 591 Private label 662 (143 ) 519 285 — 804 Held-to-maturity securities $ 4,300 $ (143 ) $ 4,157 $ 382 $ (1 ) $ 4,538 We had no sales of HTM securities for the periods presented. Contractual Maturity Terms The maturity of our AFS and HTM investments is detailed in the following table. Available-for-Sale Held-to-Maturity As of March 31, 2018 Amortized Cost Basis Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 22 $ 22 $ 140 $ 139 Due after one year through five years 2 2 157 160 Due after five years through ten years 54 56 123 123 Due after ten years 175 186 555 567 ABS and MBS without a single maturity date 11,777 12,122 2,473 2,802 Total securities $ 12,030 $ 12,388 $ 3,448 $ 3,791 Aging of Unrealized Temporary Losses The following table presents 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. Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Available-for-Sale Securities As of March 31, 2018 U.S. Government & other government related $ 3 $ — $ — $ — $ 3 $ — State or local housing agency 9 — — — 9 — FFELP ABS — — 635 — 635 — Residential MBS GSE 455 — 753 (2 ) 1,208 (2 ) Private label — — 6 — 6 — Available-for-sale securities $ 467 $ — $ 1,394 $ (2 ) $ 1,861 $ (2 ) As of December 31, 2017 U.S. Government & other government related $ 3 $ — $ — $ — $ 3 $ — State or local housing agency 4 — — — 4 — FFELP ABS — — 644 (7 ) 644 (7 ) Residential MBS GSE 51 — 801 (1 ) 852 (1 ) Private label — — 7 — 7 — Available-for-sale securities $ 58 $ — $ 1,452 $ (8 ) $ 1,510 $ (8 ) Held-to-Maturity Securities As of March 31, 2018 U.S. Government & other government related $ 74 $ — $ 24 $ (2 ) $ 98 $ (2 ) State or local housing agency 8 — — — 8 — Residential MBS GSE — — 2 — 2 — Government-guaranteed 135 — — — 135 — Private label — — 734 (136 ) 734 (136 ) Held-to-maturity securities $ 217 $ — $ 760 $ (138 ) $ 977 $ (138 ) As of December 31, 2017 U.S. Government & other government related $ 594 $ — $ 24 $ (1 ) $ 618 $ (1 ) State or local housing agency 2 — — — 2 — Residential MBS GSE — — 2 — 2 — Private label — — 769 (143 ) 769 (143 ) Held-to-maturity securities $ 596 $ — $ 795 $ (144 ) $ 1,391 $ (144 ) 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 2017 Form 10-K. As of March 31, 2018 , we had a base case short-term housing price forecast for all markets with projected changes ranging from -7.0% to +12.0% over the twelve month period beginning January 1, 2018. 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 March 31, 2018 2017 Beginning Balance $ 477 $ 520 Reductions: Increases in cash flows expected to be collected and recognized into interest income (9 ) (12 ) Ending Balance $ 468 $ 508 Ongoing Litigation On October 15, 2010, we instituted litigation relating to 64 private label MBS bonds we purchased. As of March 31, 2018 , the remaining litigation covers three private label MBS bonds in the aggregate outstanding principal amount of $38 million |
Advances
Advances | 3 Months Ended |
Mar. 31, 2018 | |
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 contractual 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 March 31, 2018 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 22,954 1.74 % One to two years 2,435 1.84 % Two to three years 2,204 2.01 % Three to four years 1,898 1.79 % Four to five years 4,326 2.08 % More than five years 17,049 1.83 % a Par value $ 50,866 1.82 % 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 March 31, 2018 December 31, 2017 Par value $ 50,866 $ 48,020 Fair value hedging adjustments (13 ) 69 Other adjustments (13 ) (4 ) Advances $ 50,840 $ 48,085 The following advance borrowers exceeded 10% of our advances outstanding: As of March 31, 2018 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 21.6 % The Northern Trust Company 7,000 13.8 % BMO Harris Bank, NA 5,975 11.7 % a |
MPF Loans Held in Portfolio
MPF Loans Held in Portfolio | 3 Months Ended |
Mar. 31, 2018 | |
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 historically 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 March 31, 2018 December 31, 2017 Medium term (15 years or less) $ 290 $ 285 Long term (greater than 15 years) 4,995 4,835 Unpaid principal balance 5,285 5,120 Net premiums, credit enhancement and deferred loan fees 57 55 Fair value hedging adjustments 17 20 MPF Loans held in portfolio, before allowance for credit losses 5,359 5,195 Allowance for credit losses on MPF Loans (2 ) (2 ) MPF Loans held in portfolio, net $ 5,357 $ 5,193 Conventional mortgage loans $ 4,321 $ 4,133 Government Loans 964 987 Unpaid principal balance $ 5,285 $ 5,120 The above table excludes MPF Loans acquired under the MPF Xtra, MPF Direct, and MPF Government MBS products. See Note 2 - Summary of Significant Accounting Policies in our 2017 Form 10-K for information related to the accounting treatment of these off balance sheet MPF Loan products. See Note 8 - Allowance for Credit Losses |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2018 | |
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 2017 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-16 in our 2017 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2017 . The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. As of March 31, 2018 December 31, 2017 Recorded investment - Individually evaluated for impairment $ 47 $ 49 Collectively evaluated for impairment 4,357 4,167 Recorded investment $ 4,404 $ 4,216 Allowance for credit losses - Collectively evaluated for impairment $ 2 $ 2 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. We do not recognize interest income on impaired conventional MPF Loans. March 31, 2018 December 31, 2017 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 78 $ 47 $ 125 $ 74 $ 48 $ 122 Past due 60-89 days 20 15 35 21 16 37 Past due 90 days or more 46 21 67 48 21 69 Past due 144 83 227 143 85 228 Current 4,260 900 5,160 4,073 921 4,994 Recorded investment $ 4,404 $ 983 $ 5,387 $ 4,216 $ 1,006 $ 5,222 In process of foreclosure $ 19 $ 7 $ 26 $ 21 $ 7 $ 28 Serious delinquency rate 1.06 % 2.08 % 1.25 % 1.16 % 2.11 % 1.34 % Past due 90 days or more and still accruing interest $ 8 $ 20 $ 28 $ 8 $ 21 $ 29 Impaired loans without an allowance for credit losses and on nonaccrual status 47 — 47 49 — 49 Unpaid principal balance of impaired loans without an allowance for credit losses 50 — 50 53 — 53 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 March 31, 2018 , and December 31, 2017 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Refer to Note 2 - Summary of Significant Accounting Policies in our 2017 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 Derivatives Clearing Organizations (DCOs) through Futures Commission Merchants (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 (bilateral) 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 16 - Fair Value in our 2017 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 nearly all 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 Commodity Futures Trading Commission (CFTC). For certain transactions executed prior to March 1, 2017, we may be required to post net additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating had been lowered from its current rating to the next lower rating by a major credit rating agency, such as Standard and Poor's or Moody’s, the amount of collateral we would have been required to deliver would no t have been material at March 31, 2018 . 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 $64 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at March 31, 2018 . 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 March 31, 2018 . The following table presents details on the notional amounts, and cleared and bilateral derivative assets and liabilities on our statements of condition. To conform with our current presentation method, we reclassified variation margin for cleared derivatives as of December 31, 2017, in the amounts of $16 million on our derivative assets and $168 million on our derivative liabilities, to the appropriate interest rate contracts line items. March 31, 2018 December 31, 2017 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 28,258 $ 37 $ 397 $ 26,655 $ 25 $ 367 Derivatives not in hedge accounting relationships- Interest rate contracts 24,829 155 84 20,506 199 122 Other 888 1 1 810 1 1 Derivatives not in hedge accounting relationships 25,717 156 85 21,316 200 123 Gross derivative amount before netting adjustments and cash collateral $ 53,975 193 482 $ 47,971 225 490 Netting adjustments and cash collateral (191 ) (463 ) (222 ) (470 ) Derivatives on statements of condition $ 2 $ 19 $ 3 $ 20 Cash collateral received on derivative assets $ 39 $ 35 Cash collateral posted on derivative liabilities $ 310 $ 284 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 March 31, For the periods ending 2018 2017 Fair value hedges - interest rate contracts $ 2 $ 2 Cash flow hedges - interest rate contracts 1 1 Economic hedges - Interest rate contracts (7 ) — Other 1 — Economic hedges (6 ) — Noninterest income on derivatives and hedging activities $ (3 ) $ 3 The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of March 31, 2018 Derivatives with legal right of offset - Gross recognized amount $ 183 $ 9 $ 192 $ 461 $ 20 $ 481 Netting adjustments and cash collateral (182 ) (9 ) (191 ) (453 ) (10 ) (463 ) Derivatives with legal right of offset - net 1 — 1 8 10 18 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 2 — 2 9 10 19 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 10 10 Net amount $ 2 $ — $ 2 $ 9 $ — $ 9 As of December 31, 2017 Derivatives with legal right of offset - Gross recognized amount $ 216 $ 8 $ 224 $ 476 $ 13 $ 489 Netting adjustments and cash collateral (214 ) (8 ) (222 ) (463 ) (7 ) (470 ) Derivatives with legal right of offset - net 2 — 2 13 6 19 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 3 — 3 14 6 20 Less: Noncash collateral received or pledged and cannot be sold or repledged — (1 ) (1 ) — 6 6 Net amount $ 3 $ 1 $ 4 $ 14 $ — $ 14 At March 31, 2018 , we had $55 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 $60 million of comparable exposure at December 31, 2017 . 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. Gain (Loss) on Hedging Instrument Gain (Loss) on Hedged Item Total Ineffectiveness Recognized in Derivatives and Hedging Activities Amount Recorded in Net Interest Income Three months ended March 31, 2018 Available-for-sale securities $ 37 $ (37 ) $ — $ (18 ) Advances 84 (82 ) 2 (2 ) MPF Loans held for portfolio — — — (1 ) Consolidated obligation bonds (124 ) 124 — (2 ) Total $ (3 ) $ 5 $ 2 $ (23 ) Three months ended March 31, 2017 Available-for-sale securities $ 25 $ (26 ) $ (1 ) $ (24 ) Advances 12 (10 ) 2 (11 ) MPF Loans held for portfolio — — — (2 ) Consolidated obligation bonds 9 (8 ) 1 13 Total $ 46 $ (44 ) $ 2 $ (24 ) Cash Flow Hedges We are exposed to the variability in the total net proceeds received from forecasted zero-coupon discount note issuances, which is attributable to changes in the benchmark interest rate, London Interbank Offering Rate ("LIBOR"). As a result, we enter into cash flow hedge relationships utilizing derivative agreements to hedge the total net proceeds received from our "rolling" forecasted zero-coupon discount note issuances attributable to changes in LIBOR. The maximum length of time over which we are hedging this exposure is 3 years . 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 for the periods presented. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were no t material as of March 31, 2018 . 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. Ineffectiveness Recorded in Derivatives and Hedging Activities Effective Portion Recorded in AOCI Amount Recorded in Net Interest Income Three months ended March 31, 2018 Discount notes $ 1 $ 59 $ (35 ) Three months ended March 31, 2017 Advances $ — $ — $ 2 Discount notes 1 46 (45 ) Bonds — — (1 ) Total $ 1 $ 46 $ (44 ) |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 December 31, 2017 Carrying Amount $ 41,483 $ 41,191 Weighted Average Interest Rate 1.50 % 1.23 % 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 March 31, 2018 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 21,458 1.47 % $ 32,707 One to two years 8,539 1.57 % 7,697 Two to three years 3,168 1.57 % 1,788 Three to four years 3,954 2.03 % 570 Four to five years 3,064 2.55 % 678 Thereafter 3,690 2.72 % 433 Total par value $ 43,873 1.73 % $ 43,873 The following table presents consolidated obligation bonds outstanding by call feature: As of March 31, 2018 December 31, 2017 Noncallable $ 30,042 $ 23,644 Callable 13,831 13,703 Par value 43,873 37,347 Fair value hedging adjustments (335 ) (214 ) Other adjustments (22 ) (12 ) Consolidated obligation bonds $ 43,516 $ 37,121 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 March 31, 2018 , and December 31, 2017 . See Note 17 - Commitments and Contingencies in our 2017 Form 10-K for further details. March 31, 2018 December 31, 2017 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 629,431 $ 389,799 $ 1,019,230 $ 642,211 $ 392,049 $ 1,034,260 FHLB Chicago as primary obligor 43,873 41,530 85,403 37,347 41,235 78,582 As a percent of the FHLB System 7 % 11 % 8 % 6 % 11 % 8 % |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock (MRCS) | 3 Months Ended |
Mar. 31, 2018 | |
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-44 of our 2017 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. March 31, 2018 December 31, 2017 Requirement Actual Requirement Actual Risk-based capital $ 1,131 $ 5,248 $ 1,075 $ 5,051 Total regulatory capital $ 3,656 $ 5,248 $ 3,374 $ 5,051 Total regulatory capital ratio 4.00 % 5.74 % 4.00 % 5.99 % Leverage capital $ 4,570 $ 7,873 $ 4,218 $ 7,577 Leverage capital ratio 5.00 % 8.61 % 5.00 % 8.98 % 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 had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS): As of March 31, 2018 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) BMO Harris Bank, NA $ 269 14.2 % $ — One Mortgage Partners Corp. 245 a 13.0 % 245 The Northern Trust Company 215 11.4 % — a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. Repurchase of Excess Capital Stock Beginning in 2017, we began repurchasing all excess Class B2 membership stock on a weekly basis at par value, i.e., at $100 per share . |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 Beginning balance $ 407 $ (143 ) $ (147 ) $ (5 ) $ 112 Change in the period recorded to the statements of condition, before reclassifications to statements of income (49 ) 7 59 (2 ) 15 Amounts reclassified in period to statements of income: Non-interest gain (loss) — — (1 ) (1 ) Ending balance $ 358 $ (136 ) $ (89 ) $ (7 ) $ 126 Three months ended March 31, 2017 Beginning balance $ 459 $ (177 ) $ (312 ) $ (6 ) $ (36 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income 38 9 46 (2 ) 91 Amounts reclassified in period to statements of income: Net interest income — — (1 ) (1 ) Non-interest gain (loss) — — (1 ) (1 ) Ending balance $ 497 $ (168 ) $ (268 ) $ (8 ) $ 53 |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | Fair Value The following table is a summary of the fair value estimates and related levels in the hierarchy. The carrying amounts are per the statements of condition. Fair value estimates represent the exit prices that we would receive to sell assets or pay to transfer liabilities in an orderly transaction with market participants at the measurement date. They do not represent an estimate of our overall market value as a going concern, as they do not take into account future business opportunities or profitability of assets and liabilities. We had no transfers between levels for the periods shown. See Note 2 - Summary of Significant Accounting Policies in our 2017 Form 10-K for our fair value policies and Note 16 - Fair Value in our 2017 Form 10-K for our valuation techniques and significant inputs. Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral March 31, 2018 Carried at amortized cost Cash and due from banks $ 40 $ 40 $ 40 $ — $ — Interest bearing deposits 775 775 775 — — Federal Funds sold and securities purchased under agreements to resell 15,611 15,611 — 15,611 — Held-to-maturity securities 3,448 3,791 — 3,023 768 Advances 49,923 49,961 — 49,961 — MPF Loans held in portfolio, net 5,354 5,405 — 5,391 14 Other assets 138 138 — 138 — Carried at fair value on a recurring basis Trading securities 2,596 2,596 — 2,596 — Government related non-MBS, ABS, and MBS 12,340 12,340 — 12,340 — Private label residential MBS 48 48 — — 48 Available-for-sale securities 12,388 12,388 — 12,340 48 Advances - fair value option election 917 917 — 917 — Derivative assets 2 2 — 193 — $ (191 ) a Other assets - fair value option election 76 76 — 76 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 3 3 — — 3 Other assets 1 1 — — 1 Total financial assets 91,272 $ 91,704 $ 815 $ 90,246 $ 834 $ (191 ) Other non financial assets 119 Total assets $ 91,391 Carried at amortized cost Deposits $ (685 ) $ (685 ) $ — $ (685 ) $ — Consolidated obligation discount notes (41,483 ) (41,479 ) — (41,479 ) — Consolidated obligation bonds (38,531 ) (38,605 ) — (38,605 ) — Mandatorily redeemable capital stock (311 ) (311 ) (311 ) — — Other liabilities (106 ) (106 ) — (106 ) — Carried at fair value on a recurring basis Consolidated obligation bonds - fair value option (4,985 ) (4,985 ) — (4,985 ) — Derivative liabilities (19 ) (19 ) — (482 ) — $ 463 a Total financial liabilities (86,120 ) $ (86,190 ) $ (311 ) $ (86,342 ) $ — $ 463 Other non financial liabilities (208 ) Total liabilities $ (86,328 ) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting December 31, 2017 Carried at amortized cost Cash and due from banks $ 42 $ 42 $ 42 $ — $ — Interest bearing deposits 775 775 775 — — Federal Funds sold and securities purchased under agreements to resell 12,561 12,561 — 12,561 — Held-to-maturity securities 4,157 4,538 — 3,734 804 Advances 47,309 47,336 — 47,336 — MPF Loans held in portfolio, net 5,186 5,306 — 5,295 11 Other assets 119 119 — 119 — Carried at fair value on a recurring basis Trading securities 233 233 — 233 — Government related non-MBS, ABS, and MBS 12,907 12,907 — 12,907 — Private label residential MBS 50 50 — — 50 Available-for-sale securities 12,957 12,957 — 12,907 50 Advances - fair value option election 776 776 — 776 — Derivative assets 3 3 — 225 — $ (222 ) a Other assets - fair value option election 118 118 — 118 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 7 7 — — 7 Other assets 3 3 — — 3 Total financial assets 84,246 $ 84,774 $ 817 $ 83,304 $ 875 $ (222 ) Other non financial assets 109 Total assets $ 84,355 Carried at amortized cost Deposits (524 ) (524 ) — (524 ) — Consolidated obligation discount notes (40,442 ) (40,437 ) — (40,437 ) — Consolidated obligation bonds (31,861 ) (32,011 ) — (32,011 ) — Mandatorily redeemable capital stock (311 ) (311 ) (311 ) — — Other liabilities (94 ) (94 ) — (94 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes - fair value option (749 ) (749 ) — (749 ) — Consolidated obligation bonds - fair value option (5,260 ) (5,260 ) — (5,260 ) — Derivative liabilities (20 ) (20 ) — (490 ) — 470 a Total financial liabilities (79,261 ) $ (79,406 ) $ (311 ) $ (79,565 ) $ — $ 470 Other non financial liabilities (242 ) Total liabilities $ (79,503 ) a The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. See Note 9 - Derivatives and Hedging Activities . Fair Value Option We may 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 2017 Form 10-K for further details. The following table presents the changes in fair values of financial assets and liabilities carried at fair value under the fair value option. These changes were recognized in noninterest income - instruments held under the fair value option in our statements of income. Three months ended March 31, 2018 2017 Advances $ (9 ) $ — Consolidated obligation bonds 5 (1 ) Other assets (3 ) (1 ) Noninterest income - Instruments held under fair value option $ (7 ) $ (2 ) 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. March 31, 2018 December 31, 2017 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 935 $ 5,003 $ 786 $ 5,270 Fair value over (under) UPB (18 ) (18 ) (10 ) (10 ) Fair value $ 917 $ 4,985 $ 776 $ 5,260 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2018 | |
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. March 31, 2018 December 31, 2017 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 72 $ — $ 72 $ — $ — $ — Unsettled consolidated obligation discount notes 1,000 — 1,000 — — — Member standby letters of credit 16,534 3,598 a 20,132 15,703 3,869 a 19,572 Housing authority standby bond purchase agreements 33 297 330 — 337 337 Advance commitments 1,413 13 1,426 151 — 151 MPF delivery commitments 443 — 443 371 — 371 Other 6 — 6 14 — 14 Commitments $ 19,501 $ 3,908 $ 23,409 $ 16,239 $ 4,206 $ 20,445 a Contains $744 million and $750 million of member standby letters of credit at March 31, 2018 , and December 31, 2017 , which were renewable annually. For a description of defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2017 |
Transactions with Related Parti
Transactions with Related Parties and Other FHLBs | 3 Months Ended |
Mar. 31, 2018 | |
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 material balances we had with our members who are related parties as defined above (including their affiliates) as of the periods presented. The related impacts to our Statements of Income were immaterial. As of March 31, 2018 December 31, 2017 Assets - Advances $ 183 $ 165 Liabilities - Deposits 7 13 Equity - Capital Stock 9 10 Other FHLBs From time to time, we may loan to, or borrow from, other FHLBs. These 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. In addition, we provide programmatic and operational support in our role as the administrator of the MPF Program on behalf of the other MPF Banks for a fee. Material 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) | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Policies [Abstract] | |
Fair Value of Financial Instruments, Policy [Policy Text Block] | Recognition and Measurement of Financial Assets and Financial Liabilities (ASU 2016-01) |
Revenue Recognition, Policy [Policy Text Block] | Revenue from Contracts with Customers (ASU 2014-09) |
Pension and Other Postretirement Plans, Policy [Policy Text Block] | Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost (ASU 2017-07) |
Interest Expense, Policy [Policy Text Block] | Classification of Certain Cash Receipts and Cash Payments in the Statement of Cash Flows (ASU 2016-15) |
Interest Income and Interest 23
Interest Income and Interest Expense (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 2017 Interest income - Trading $ 6 $ 1 Available-for-sale interest income 104 108 Available-for-sale prepayment fees 7 4 Available-for-sale 111 112 Held-to-maturity 46 53 Investment securities 163 166 Advances 214 99 MPF Loans held in portfolio 55 54 Federal funds sold and securities purchased under agreements to resell 44 15 Other 4 3 Interest income 480 337 Interest expense - Consolidated obligations - Discount notes 183 96 Bonds 169 125 Other 4 3 Interest expense 356 224 Net interest income $ 124 $ 113 |
Investment Securities (Tables)
Investment Securities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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. Our unrealized gains or losses on trading securities still held on our statement of condition as of the end of the reporting period were no t material. As of March 31, 2018 December 31, 2017 U.S. Government & other government related $ 2,565 $ 202 Residential MBS GSE 30 30 Government guaranteed 1 1 Trading securities $ 2,596 $ 233 |
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 March 31, 2018 U.S. Government & other government related $ 236 $ 13 $ — $ 249 State or local housing agency 17 — — 17 FFELP ABS 3,891 239 — 4,130 Residential MBS GSE 6,944 81 (2 ) 7,023 Government guaranteed 903 18 — 921 Private label 39 9 — 48 Available-for-sale securities $ 12,030 $ 360 $ (2 ) $ 12,388 As of December 31, 2017 U.S. Government & other government related $ 256 $ 15 $ — $ 271 State or local housing agency 21 — — 21 FFELP ABS 3,987 234 (7 ) 4,214 Residential MBS GSE 7,275 132 (1 ) 7,406 Government guaranteed 971 24 — 995 Private label 40 10 — 50 Available-for-sale securities $ 12,550 $ 415 $ (8 ) $ 12,957 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 March 31, 2018 U.S. Government & other government related $ 967 $ — $ 967 $ 16 $ (2 ) $ 981 State or local housing agency 8 — 8 — — 8 Residential MBS GSE 1,453 — 1,453 46 — 1,499 Government guaranteed 531 — 531 4 — 535 Private label 625 (136 ) 489 279 — 768 Held-to-maturity securities $ 3,584 $ (136 ) $ 3,448 $ 345 $ (2 ) $ 3,791 As of December 31, 2017 U.S. Government & other government related $ 1,531 $ — $ 1,531 $ 29 $ (1 ) $ 1,559 State or local housing agency 9 — 9 — — 9 Residential MBS GSE 1,513 — 1,513 62 — 1,575 Government guaranteed 585 — 585 6 — 591 Private label 662 (143 ) 519 285 — 804 Held-to-maturity securities $ 4,300 $ (143 ) $ 4,157 $ 382 $ (1 ) $ 4,538 We had no |
Investments Classified by Contractual Maturity Date [Table Text Block] | The maturity of our AFS and HTM investments is detailed in the following table. Available-for-Sale Held-to-Maturity As of March 31, 2018 Amortized Cost Basis Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 22 $ 22 $ 140 $ 139 Due after one year through five years 2 2 157 160 Due after five years through ten years 54 56 123 123 Due after ten years 175 186 555 567 ABS and MBS without a single maturity date 11,777 12,122 2,473 2,802 Total securities $ 12,030 $ 12,388 $ 3,448 $ 3,791 |
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table presents 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. Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Available-for-Sale Securities As of March 31, 2018 U.S. Government & other government related $ 3 $ — $ — $ — $ 3 $ — State or local housing agency 9 — — — 9 — FFELP ABS — — 635 — 635 — Residential MBS GSE 455 — 753 (2 ) 1,208 (2 ) Private label — — 6 — 6 — Available-for-sale securities $ 467 $ — $ 1,394 $ (2 ) $ 1,861 $ (2 ) As of December 31, 2017 U.S. Government & other government related $ 3 $ — $ — $ — $ 3 $ — State or local housing agency 4 — — — 4 — FFELP ABS — — 644 (7 ) 644 (7 ) Residential MBS GSE 51 — 801 (1 ) 852 (1 ) Private label — — 7 — 7 — Available-for-sale securities $ 58 $ — $ 1,452 $ (8 ) $ 1,510 $ (8 ) Held-to-Maturity Securities As of March 31, 2018 U.S. Government & other government related $ 74 $ — $ 24 $ (2 ) $ 98 $ (2 ) State or local housing agency 8 — — — 8 — Residential MBS GSE — — 2 — 2 — Government-guaranteed 135 — — — 135 — Private label — — 734 (136 ) 734 (136 ) Held-to-maturity securities $ 217 $ — $ 760 $ (138 ) $ 977 $ (138 ) As of December 31, 2017 U.S. Government & other government related $ 594 $ — $ 24 $ (1 ) $ 618 $ (1 ) State or local housing agency 2 — — — 2 — Residential MBS GSE — — 2 — 2 — Private label — — 769 (143 ) 769 (143 ) Held-to-maturity securities $ 596 $ — $ 795 $ (144 ) $ 1,391 $ (144 ) |
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 March 31, 2018 2017 Beginning Balance $ 477 $ 520 Reductions: Increases in cash flows expected to be collected and recognized into interest income (9 ) (12 ) Ending Balance $ 468 $ 508 |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | The following table presents our advances by terms of contractual 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 March 31, 2018 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 22,954 1.74 % One to two years 2,435 1.84 % Two to three years 2,204 2.01 % Three to four years 1,898 1.79 % Four to five years 4,326 2.08 % More than five years 17,049 1.83 % a Par value $ 50,866 1.82 % 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 March 31, 2018 December 31, 2017 Par value $ 50,866 $ 48,020 Fair value hedging adjustments (13 ) 69 Other adjustments (13 ) (4 ) Advances $ 50,840 $ 48,085 |
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 March 31, 2018 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 21.6 % The Northern Trust Company 7,000 13.8 % BMO Harris Bank, NA 5,975 11.7 % 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) | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 December 31, 2017 Medium term (15 years or less) $ 290 $ 285 Long term (greater than 15 years) 4,995 4,835 Unpaid principal balance 5,285 5,120 Net premiums, credit enhancement and deferred loan fees 57 55 Fair value hedging adjustments 17 20 MPF Loans held in portfolio, before allowance for credit losses 5,359 5,195 Allowance for credit losses on MPF Loans (2 ) (2 ) MPF Loans held in portfolio, net $ 5,357 $ 5,193 Conventional mortgage loans $ 4,321 $ 4,133 Government Loans 964 987 Unpaid principal balance $ 5,285 $ 5,120 The above table excludes MPF Loans acquired under the MPF Xtra, MPF Direct, and MPF Government MBS products. See Note 2 - Summary of Significant Accounting Policies |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Receivables [Abstract] | |
Allowance for Credit Losses on Financing Receivables [Table Text Block] | For further detail of our MPF Risk Sharing Structure see page F-16 in our 2017 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2017 . The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. As of March 31, 2018 December 31, 2017 Recorded investment - Individually evaluated for impairment $ 47 $ 49 Collectively evaluated for impairment 4,357 4,167 Recorded investment $ 4,404 $ 4,216 Allowance for credit losses - Collectively evaluated for impairment $ 2 $ 2 |
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. We do not recognize interest income on impaired conventional MPF Loans. March 31, 2018 December 31, 2017 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 78 $ 47 $ 125 $ 74 $ 48 $ 122 Past due 60-89 days 20 15 35 21 16 37 Past due 90 days or more 46 21 67 48 21 69 Past due 144 83 227 143 85 228 Current 4,260 900 5,160 4,073 921 4,994 Recorded investment $ 4,404 $ 983 $ 5,387 $ 4,216 $ 1,006 $ 5,222 In process of foreclosure $ 19 $ 7 $ 26 $ 21 $ 7 $ 28 Serious delinquency rate 1.06 % 2.08 % 1.25 % 1.16 % 2.11 % 1.34 % Past due 90 days or more and still accruing interest $ 8 $ 20 $ 28 $ 8 $ 21 $ 29 Impaired loans without an allowance for credit losses and on nonaccrual status 47 — 47 49 — 49 Unpaid principal balance of impaired loans without an allowance for credit losses 50 — 50 53 — 53 |
Derivatives and Hedging Activ28
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 cleared and bilateral derivative assets and liabilities on our statements of condition. To conform with our current presentation method, we reclassified variation margin for cleared derivatives as of December 31, 2017, in the amounts of $16 million on our derivative assets and $168 million on our derivative liabilities, to the appropriate interest rate contracts line items. March 31, 2018 December 31, 2017 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 28,258 $ 37 $ 397 $ 26,655 $ 25 $ 367 Derivatives not in hedge accounting relationships- Interest rate contracts 24,829 155 84 20,506 199 122 Other 888 1 1 810 1 1 Derivatives not in hedge accounting relationships 25,717 156 85 21,316 200 123 Gross derivative amount before netting adjustments and cash collateral $ 53,975 193 482 $ 47,971 225 490 Netting adjustments and cash collateral (191 ) (463 ) (222 ) (470 ) Derivatives on statements of condition $ 2 $ 19 $ 3 $ 20 Cash collateral received on derivative assets $ 39 $ 35 Cash collateral posted on derivative liabilities $ 310 $ 284 |
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 March 31, For the periods ending 2018 2017 Fair value hedges - interest rate contracts $ 2 $ 2 Cash flow hedges - interest rate contracts 1 1 Economic hedges - Interest rate contracts (7 ) — Other 1 — Economic hedges (6 ) — Noninterest income on derivatives and hedging activities $ (3 ) $ 3 |
Offsetting Assets [Table Text Block] | The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of March 31, 2018 Derivatives with legal right of offset - Gross recognized amount $ 183 $ 9 $ 192 $ 461 $ 20 $ 481 Netting adjustments and cash collateral (182 ) (9 ) (191 ) (453 ) (10 ) (463 ) Derivatives with legal right of offset - net 1 — 1 8 10 18 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 2 — 2 9 10 19 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 10 10 Net amount $ 2 $ — $ 2 $ 9 $ — $ 9 As of December 31, 2017 Derivatives with legal right of offset - Gross recognized amount $ 216 $ 8 $ 224 $ 476 $ 13 $ 489 Netting adjustments and cash collateral (214 ) (8 ) (222 ) (463 ) (7 ) (470 ) Derivatives with legal right of offset - net 2 — 2 13 6 19 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 3 — 3 14 6 20 Less: Noncash collateral received or pledged and cannot be sold or repledged — (1 ) (1 ) — 6 6 Net amount $ 3 $ 1 $ 4 $ 14 $ — $ 14 |
Offsetting Liabilities [Table Text Block] | The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of March 31, 2018 Derivatives with legal right of offset - Gross recognized amount $ 183 $ 9 $ 192 $ 461 $ 20 $ 481 Netting adjustments and cash collateral (182 ) (9 ) (191 ) (453 ) (10 ) (463 ) Derivatives with legal right of offset - net 1 — 1 8 10 18 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 2 — 2 9 10 19 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 10 10 Net amount $ 2 $ — $ 2 $ 9 $ — $ 9 As of December 31, 2017 Derivatives with legal right of offset - Gross recognized amount $ 216 $ 8 $ 224 $ 476 $ 13 $ 489 Netting adjustments and cash collateral (214 ) (8 ) (222 ) (463 ) (7 ) (470 ) Derivatives with legal right of offset - net 2 — 2 13 6 19 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 3 — 3 14 6 20 Less: Noncash collateral received or pledged and cannot be sold or repledged — (1 ) (1 ) — 6 6 Net amount $ 3 $ 1 $ 4 $ 14 $ — $ 14 At March 31, 2018 , we had $55 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 $60 million of comparable exposure at December 31, 2017 . |
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. Gain (Loss) on Hedging Instrument Gain (Loss) on Hedged Item Total Ineffectiveness Recognized in Derivatives and Hedging Activities Amount Recorded in Net Interest Income Three months ended March 31, 2018 Available-for-sale securities $ 37 $ (37 ) $ — $ (18 ) Advances 84 (82 ) 2 (2 ) MPF Loans held for portfolio — — — (1 ) Consolidated obligation bonds (124 ) 124 — (2 ) Total $ (3 ) $ 5 $ 2 $ (23 ) Three months ended March 31, 2017 Available-for-sale securities $ 25 $ (26 ) $ (1 ) $ (24 ) Advances 12 (10 ) 2 (11 ) MPF Loans held for portfolio — — — (2 ) Consolidated obligation bonds 9 (8 ) 1 13 Total $ 46 $ (44 ) $ 2 $ (24 ) |
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. Ineffectiveness Recorded in Derivatives and Hedging Activities Effective Portion Recorded in AOCI Amount Recorded in Net Interest Income Three months ended March 31, 2018 Discount notes $ 1 $ 59 $ (35 ) Three months ended March 31, 2017 Advances $ — $ — $ 2 Discount notes 1 46 (45 ) Bonds — — (1 ) Total $ 1 $ 46 $ (44 ) |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 December 31, 2017 Carrying Amount $ 41,483 $ 41,191 Weighted Average Interest Rate 1.50 % 1.23 % |
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 March 31, 2018 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 21,458 1.47 % $ 32,707 One to two years 8,539 1.57 % 7,697 Two to three years 3,168 1.57 % 1,788 Three to four years 3,954 2.03 % 570 Four to five years 3,064 2.55 % 678 Thereafter 3,690 2.72 % 433 Total par value $ 43,873 1.73 % $ 43,873 |
Schedule of Long-term Debt Instruments [Table Text Block] | The following table presents consolidated obligation bonds outstanding by call feature: As of March 31, 2018 December 31, 2017 Noncallable $ 30,042 $ 23,644 Callable 13,831 13,703 Par value 43,873 37,347 Fair value hedging adjustments (335 ) (214 ) Other adjustments (22 ) (12 ) Consolidated obligation bonds $ 43,516 $ 37,121 |
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 March 31, 2018 , and December 31, 2017 . See Note 17 - Commitments and Contingencies in our 2017 Form 10-K for further details. March 31, 2018 December 31, 2017 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 629,431 $ 389,799 $ 1,019,230 $ 642,211 $ 392,049 $ 1,034,260 FHLB Chicago as primary obligor 43,873 41,530 85,403 37,347 41,235 78,582 As a percent of the FHLB System 7 % 11 % 8 % 6 % 11 % 8 % |
Capital and Mandatorily Redee30
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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-44 of our 2017 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. March 31, 2018 December 31, 2017 Requirement Actual Requirement Actual Risk-based capital $ 1,131 $ 5,248 $ 1,075 $ 5,051 Total regulatory capital $ 3,656 $ 5,248 $ 3,374 $ 5,051 Total regulatory capital ratio 4.00 % 5.74 % 4.00 % 5.99 % Leverage capital $ 4,570 $ 7,873 $ 4,218 $ 7,577 Leverage capital ratio 5.00 % 8.61 % 5.00 % 8.98 % 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 had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS): As of March 31, 2018 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) BMO Harris Bank, NA $ 269 14.2 % $ — One Mortgage Partners Corp. 245 a 13.0 % 245 The Northern Trust Company 215 11.4 % — a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Accumulated Other Comprehensi31
Accumulated Other Comprehensive Income (Loss) (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 March 31, 2018 Beginning balance $ 407 $ (143 ) $ (147 ) $ (5 ) $ 112 Change in the period recorded to the statements of condition, before reclassifications to statements of income (49 ) 7 59 (2 ) 15 Amounts reclassified in period to statements of income: Non-interest gain (loss) — — (1 ) (1 ) Ending balance $ 358 $ (136 ) $ (89 ) $ (7 ) $ 126 Three months ended March 31, 2017 Beginning balance $ 459 $ (177 ) $ (312 ) $ (6 ) $ (36 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income 38 9 46 (2 ) 91 Amounts reclassified in period to statements of income: Net interest income — — (1 ) (1 ) Non-interest gain (loss) — — (1 ) (1 ) Ending balance $ 497 $ (168 ) $ (268 ) $ (8 ) $ 53 |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement [Table Text Block] | We had no transfers between levels for the periods shown. See Note 2 - Summary of Significant Accounting Policies in our 2017 Form 10-K for our fair value policies and Note 16 - Fair Value in our 2017 Form 10-K for our valuation techniques and significant inputs. Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral March 31, 2018 Carried at amortized cost Cash and due from banks $ 40 $ 40 $ 40 $ — $ — Interest bearing deposits 775 775 775 — — Federal Funds sold and securities purchased under agreements to resell 15,611 15,611 — 15,611 — Held-to-maturity securities 3,448 3,791 — 3,023 768 Advances 49,923 49,961 — 49,961 — MPF Loans held in portfolio, net 5,354 5,405 — 5,391 14 Other assets 138 138 — 138 — Carried at fair value on a recurring basis Trading securities 2,596 2,596 — 2,596 — Government related non-MBS, ABS, and MBS 12,340 12,340 — 12,340 — Private label residential MBS 48 48 — — 48 Available-for-sale securities 12,388 12,388 — 12,340 48 Advances - fair value option election 917 917 — 917 — Derivative assets 2 2 — 193 — $ (191 ) a Other assets - fair value option election 76 76 — 76 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 3 3 — — 3 Other assets 1 1 — — 1 Total financial assets 91,272 $ 91,704 $ 815 $ 90,246 $ 834 $ (191 ) Other non financial assets 119 Total assets $ 91,391 Carried at amortized cost Deposits $ (685 ) $ (685 ) $ — $ (685 ) $ — Consolidated obligation discount notes (41,483 ) (41,479 ) — (41,479 ) — Consolidated obligation bonds (38,531 ) (38,605 ) — (38,605 ) — Mandatorily redeemable capital stock (311 ) (311 ) (311 ) — — Other liabilities (106 ) (106 ) — (106 ) — Carried at fair value on a recurring basis Consolidated obligation bonds - fair value option (4,985 ) (4,985 ) — (4,985 ) — Derivative liabilities (19 ) (19 ) — (482 ) — $ 463 a Total financial liabilities (86,120 ) $ (86,190 ) $ (311 ) $ (86,342 ) $ — $ 463 Other non financial liabilities (208 ) Total liabilities $ (86,328 ) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting December 31, 2017 Carried at amortized cost Cash and due from banks $ 42 $ 42 $ 42 $ — $ — Interest bearing deposits 775 775 775 — — Federal Funds sold and securities purchased under agreements to resell 12,561 12,561 — 12,561 — Held-to-maturity securities 4,157 4,538 — 3,734 804 Advances 47,309 47,336 — 47,336 — MPF Loans held in portfolio, net 5,186 5,306 — 5,295 11 Other assets 119 119 — 119 — Carried at fair value on a recurring basis Trading securities 233 233 — 233 — Government related non-MBS, ABS, and MBS 12,907 12,907 — 12,907 — Private label residential MBS 50 50 — — 50 Available-for-sale securities 12,957 12,957 — 12,907 50 Advances - fair value option election 776 776 — 776 — Derivative assets 3 3 — 225 — $ (222 ) a Other assets - fair value option election 118 118 — 118 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 7 7 — — 7 Other assets 3 3 — — 3 Total financial assets 84,246 $ 84,774 $ 817 $ 83,304 $ 875 $ (222 ) Other non financial assets 109 Total assets $ 84,355 Carried at amortized cost Deposits (524 ) (524 ) — (524 ) — Consolidated obligation discount notes (40,442 ) (40,437 ) — (40,437 ) — Consolidated obligation bonds (31,861 ) (32,011 ) — (32,011 ) — Mandatorily redeemable capital stock (311 ) (311 ) (311 ) — — Other liabilities (94 ) (94 ) — (94 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes - fair value option (749 ) (749 ) — (749 ) — Consolidated obligation bonds - fair value option (5,260 ) (5,260 ) — (5,260 ) — Derivative liabilities (20 ) (20 ) — (490 ) — 470 a Total financial liabilities (79,261 ) $ (79,406 ) $ (311 ) $ (79,565 ) $ — $ 470 Other non financial liabilities (242 ) Total liabilities $ (79,503 ) a The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. See Note 9 - Derivatives and Hedging Activities |
Fair Value, Option, Quantitative Disclosures [Table Text Block] | The following table presents the changes in fair values of financial assets and liabilities carried at fair value under the fair value option. These changes were recognized in noninterest income - instruments held under the fair value option in our statements of income. Three months ended March 31, 2018 2017 Advances $ (9 ) $ — Consolidated obligation bonds 5 (1 ) Other assets (3 ) (1 ) Noninterest income - Instruments held under fair value option $ (7 ) $ (2 ) 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. March 31, 2018 December 31, 2017 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 935 $ 5,003 $ 786 $ 5,270 Fair value over (under) UPB (18 ) (18 ) (10 ) (10 ) Fair value $ 917 $ 4,985 $ 776 $ 5,260 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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. March 31, 2018 December 31, 2017 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 72 $ — $ 72 $ — $ — $ — Unsettled consolidated obligation discount notes 1,000 — 1,000 — — — Member standby letters of credit 16,534 3,598 a 20,132 15,703 3,869 a 19,572 Housing authority standby bond purchase agreements 33 297 330 — 337 337 Advance commitments 1,413 13 1,426 151 — 151 MPF delivery commitments 443 — 443 371 — 371 Other 6 — 6 14 — 14 Commitments $ 19,501 $ 3,908 $ 23,409 $ 16,239 $ 4,206 $ 20,445 a Contains $744 million and $750 million of member standby letters of credit at March 31, 2018 , and December 31, 2017 , which were renewable annually. For a description of defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2017 |
Transactions with Related Par34
Transactions with Related Parties and Other FHLBs (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Related Party Transactions [Abstract] | |
Related Party Transactions, by Balance Sheet Grouping [Table Text Block] | The following table summarizes material balances we had with our members who are related parties as defined above (including their affiliates) as of the periods presented. The related impacts to our Statements of Income were immaterial. As of March 31, 2018 December 31, 2017 Assets - Advances $ 183 $ 165 Liabilities - Deposits 7 13 Equity - Capital Stock 9 10 |
Interest Income and Interest 35
Interest Income and Interest Expense (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Interest income - | ||
Trading | $ 6 | $ 1 |
Available-for-sale interest income | 104 | 108 |
Available-for-sale prepayment fees | 7 | 4 |
Available-for-sale | 111 | 112 |
Held-to-maturity | 46 | 53 |
Investment securities | 163 | 166 |
Advances | 214 | 99 |
MPF Loans held in portfolio | 55 | 54 |
Federal funds sold and securities purchased under agreements to resell | 44 | 15 |
Other | 4 | 3 |
Interest income | 480 | 337 |
Consolidated obligations - | ||
Discount notes | 183 | 96 |
Bonds | 169 | 125 |
Other | 4 | 3 |
Interest expense | 356 | 224 |
Net interest income | $ 124 | $ 113 |
Investment Securities (Trading
Investment Securities (Trading Securities) (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 2,596 | $ 233 |
U.S. Government & other government related | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 2,565 | 202 |
Residential MBS | GSE | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 30 | 30 |
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 | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | $ 12,030 | $ 12,550 |
Gross Unrealized Gains in AOCI | 360 | 415 |
Gross Unrealized (Losses) in AOCI | (2) | (8) |
Carrying Amount and Fair Value | 12,388 | 12,957 |
U.S. Government & other government related | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 236 | 256 |
Gross Unrealized Gains in AOCI | 13 | 15 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 249 | 271 |
State or local housing agency | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 17 | 21 |
Gross Unrealized Gains in AOCI | 0 | 0 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 17 | 21 |
FFELP ABS | FFELP ABS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 3,891 | 3,987 |
Gross Unrealized Gains in AOCI | 239 | 234 |
Gross Unrealized (Losses) in AOCI | 0 | (7) |
Carrying Amount and Fair Value | 4,130 | 4,214 |
Residential MBS | GSE | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 6,944 | 7,275 |
Gross Unrealized Gains in AOCI | 81 | 132 |
Gross Unrealized (Losses) in AOCI | (2) | (1) |
Carrying Amount and Fair Value | 7,023 | 7,406 |
Residential MBS | Government guaranteed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 903 | 971 |
Gross Unrealized Gains in AOCI | 18 | 24 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 921 | 995 |
Residential MBS | Private label | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 39 | 40 |
Gross Unrealized Gains in AOCI | 9 | 10 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | $ 48 | $ 50 |
Investment Securities (Held-to-
Investment Securities (Held-to-Maturities Securities) (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | $ 3,584 | $ 4,300 |
Non-credit OTTI Recognized in AOCI (Loss) | (136) | (143) |
Carrying Amount | 3,448 | 4,157 |
Gross Unrecognized Holding Gains | 345 | 382 |
Gross Unrecognized Holding (Losses) | (2) | (1) |
fair value | 3,791 | 4,538 |
U.S. Government & other government related | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 967 | 1,531 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 967 | 1,531 |
Gross Unrecognized Holding Gains | 16 | 29 |
Gross Unrecognized Holding (Losses) | (2) | (1) |
fair value | 981 | 1,559 |
State or local housing agency | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 8 | 9 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 8 | 9 |
Gross Unrecognized Holding Gains | 0 | 0 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
fair value | 8 | 9 |
Residential MBS | GSE | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 1,453 | 1,513 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 1,453 | 1,513 |
Gross Unrecognized Holding Gains | 46 | 62 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
fair value | 1,499 | 1,575 |
Residential MBS | Government guaranteed | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 531 | 585 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 531 | 585 |
Gross Unrecognized Holding Gains | 4 | 6 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
fair value | 535 | 591 |
Residential MBS | Private label | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 625 | 662 |
Non-credit OTTI Recognized in AOCI (Loss) | (136) | (143) |
Carrying Amount | 489 | 519 |
Gross Unrecognized Holding Gains | 279 | 285 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
fair value | $ 768 | $ 804 |
Investment Securities Contractu
Investment Securities Contractual maturities (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Available-for-sale Securities, Debt Maturities, Amortized Cost Basis, Rolling Maturity [Abstract] | ||
Due in one year or less | $ 22 | |
Due after one year through five years | 2 | |
Due after five years through ten years | 54 | |
Due after ten years | 175 | |
ABS and MBS without a single maturity date | 11,777 | |
Amortized Cost Basis | 12,030 | $ 12,550 |
Available-for-sale Securities, Debt Maturities, Fair Value, Rolling Maturity [Abstract] | ||
Due in one year or less | 22 | |
Due after one year through five years | 2 | |
Due after five years through ten years | 56 | |
Due after ten years | 186 | |
ABS and MBS without a single maturity date | 12,122 | |
Carrying Amount and Fair Value | 12,388 | 12,957 |
Held-to-maturity Securities, Debt Maturities, Amortized Cost, Rolling Maturity [Abstract] | ||
Due in one year or less | 140 | |
Due after one year through five years | 157 | |
Due after five years through ten years | 123 | |
Due after ten years | 555 | |
ABS and MBS without a single maturity date | 2,473 | |
Carrying Amount | 3,448 | 4,157 |
Held-to-maturity Securities, Debt Maturities, Fair Value, Rolling Maturity [Abstract] | ||
Due in one year or less | 139 | |
Due after one year through five years | 160 | |
Due after five years through ten years | 123 | |
Due after ten years | 567 | |
ABS and MBS without a single maturity date | 2,802 | |
Fair Value | $ 3,791 | $ 4,538 |
Investment Securities Aging of
Investment Securities Aging of unrealized temporary losses (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Available-for-Sale Securities | ||
Less than 12 Months, Fair Value | $ 467 | $ 58 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 1,394 | 1,452 |
12 Months or More, Gross Unrealized (Losses) | (2) | (8) |
Total, Fair Value | 1,861 | 1,510 |
Total, Gross Unrealized (Losses) | (2) | (8) |
Held-to-Maturity Securities | ||
Less than 12 Months, Fair Value | 217 | 596 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 760 | 795 |
12 Months or More, Gross Unrealized (Losses) | (138) | (144) |
Total, Fair Value | 977 | 1,391 |
Total, Gross Unrealized (Losses) | (138) | (144) |
U.S. Government & other government related | ||
Available-for-Sale Securities | ||
Less than 12 Months, Fair Value | 3 | 3 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 0 | 0 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 3 | 3 |
Total, Gross Unrealized (Losses) | 0 | 0 |
State or local housing agency | ||
Available-for-Sale Securities | ||
Less than 12 Months, Fair Value | 9 | 4 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 0 | 0 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 9 | 4 |
Total, Gross Unrealized (Losses) | 0 | 0 |
FFELP ABS | FFELP ABS | ||
Available-for-Sale Securities | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 635 | 644 |
12 Months or More, Gross Unrealized (Losses) | 0 | (7) |
Total, Fair Value | 635 | 644 |
Total, Gross Unrealized (Losses) | 0 | (7) |
GSE | Residential MBS | ||
Available-for-Sale Securities | ||
Less than 12 Months, Fair Value | 455 | 51 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 753 | 801 |
12 Months or More, Gross Unrealized (Losses) | (2) | (1) |
Total, Fair Value | 1,208 | 852 |
Total, Gross Unrealized (Losses) | (2) | (1) |
Private label | Residential MBS | ||
Available-for-Sale Securities | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 6 | 7 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 6 | 7 |
Total, Gross Unrealized (Losses) | 0 | 0 |
U.S. Government & other government related | ||
Held-to-Maturity Securities | ||
Less than 12 Months, Fair Value | 74 | 594 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 24 | 24 |
12 Months or More, Gross Unrealized (Losses) | (2) | (1) |
Total, Fair Value | 98 | 618 |
Total, Gross Unrealized (Losses) | (2) | (1) |
State or local housing agency | ||
Held-to-Maturity Securities | ||
Less than 12 Months, Fair Value | 8 | 2 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 0 | 0 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 8 | 2 |
Total, Gross Unrealized (Losses) | 0 | 0 |
GSE | Residential MBS | ||
Held-to-Maturity Securities | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 2 | 2 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 2 | 2 |
Total, Gross Unrealized (Losses) | 0 | 0 |
Government guaranteed | Residential MBS | ||
Held-to-Maturity Securities | ||
Less than 12 Months, Fair Value | 135 | |
Less than 12 Months, Gross Unrealized (Losses) | 0 | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Gross Unrealized (Losses) | 0 | |
Total, Fair Value | 135 | |
Total, Gross Unrealized (Losses) | 0 | |
Private label | Residential MBS | ||
Held-to-Maturity Securities | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 734 | 769 |
12 Months or More, Gross Unrealized (Losses) | (136) | (143) |
Total, Fair Value | 734 | 769 |
Total, Gross Unrealized (Losses) | $ (136) | $ (143) |
Investment Securities (Signific
Investment Securities (Significant Inputs Used to Determine OTTI) (Details) | Mar. 31, 2018 |
Minimum | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |
Assumed Home Price Change Rate all markets over 12 months | (7.00%) |
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 | 12.00% |
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 | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | ||
Beginning Balance | $ 477 | $ 520 |
Reductions: | ||
Increases in cash flows expected to be collected and recognized into interest income | (9) | (12) |
Ending Balance | $ 468 | $ 508 |
Investment Securities Ongoing L
Investment Securities Ongoing Litigation (Details) - October 15, 2010 Ongoing PLMBS Litigation - Private label residential MBS $ in Millions | Mar. 31, 2018USD ($)bonds | Oct. 15, 2010bonds |
Gain Contingencies [Line Items] | ||
Number of private label MBS bonds | bonds | 3 | 64 |
Aggregate principal amount of private label MBS bonds outstanding | $ | $ 38 |
Advances By redemption terms (D
Advances By redemption terms (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value Amount [Abstract] | |||
Due in one year or less | $ 22,954 | ||
One to two years | 2,435 | ||
Two to three years | 2,204 | ||
Three to four years | 1,898 | ||
Four to five years | 4,326 | ||
More than five years | 17,049 | ||
Par value | $ 50,866 | $ 48,020 | |
Federal Home Loan Bank, Advances, Weighted Average Contractual Interest Rate, Rolling Year [Abstract] | |||
Due in one year or less | 1.74% | ||
One to two years | 1.84% | ||
Two to three years | 2.01% | ||
Three to four years | 1.79% | ||
Four to five years | 2.08% | ||
More than five years | [1] | 1.83% | |
Par value | 1.82% | ||
[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 | Mar. 31, 2018 | Dec. 31, 2017 |
Federal Home Loan Banks [Abstract] | ||
Par value | $ 50,866 | $ 48,020 |
Fair value hedging adjustments | (13) | 69 |
Other adjustments | (13) | (4) |
Advances | $ 50,840 | $ 48,085 |
Advances By counterparty concen
Advances By counterparty concentration (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2018 | Dec. 31, 2017 | ||
Concentration Risk [Line Items] | |||
Par value | $ 50,866 | $ 48,020 | |
Credit Concentration Risk | One Mortgage Partners Corp. | |||
Concentration Risk [Line Items] | |||
Par value | [1] | $ 11,000 | |
% of Total Outstanding | 21.60% | ||
Credit Concentration Risk | The Northern Trust Company | |||
Concentration Risk [Line Items] | |||
Par value | $ 7,000 | ||
% of Total Outstanding | 13.80% | ||
Credit Concentration Risk | BMO Harris Bank, NA | |||
Concentration Risk [Line Items] | |||
Par value | $ 5,975 | ||
% of Total Outstanding | 11.70% | ||
[1] | One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
MPF Loans Held in Portfolio (De
MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 5,285 | $ 5,120 |
Net premiums, credit enhancement and deferred loan fees | 57 | 55 |
Fair value hedging adjustments | 17 | 20 |
MPF Loans held in portfolio, before allowance for credit losses | 5,359 | 5,195 |
Allowance for credit losses on MPF Loans | (2) | (2) |
MPF Loans held in portfolio, net | 5,357 | 5,193 |
Medium term (15 years or less) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 290 | 285 |
Long term (greater than 15 years) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 4,995 | 4,835 |
Conventional mortgage loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 4,321 | 4,133 |
Government Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 964 | $ 987 |
Allowance for Credit Losses Rec
Allowance for Credit Losses Recorded Investment and Allowance on Conventional MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Recorded investment - | ||
Recorded investment | $ 5,387 | $ 5,222 |
Conventional mortgage loans | ||
Recorded investment - | ||
Individually evaluated for impairment | 47 | 49 |
Collectively evaluated for impairment | 4,357 | 4,167 |
Recorded investment | 4,404 | 4,216 |
Allowance for credit losses - | ||
Collectively evaluated for impairment | $ 2 | $ 2 |
Allowance for Credit Losses Cre
Allowance for Credit Losses Credit Quality Indicators - MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | $ 227 | $ 228 |
Current | 5,160 | 4,994 |
Recorded investment | 5,387 | 5,222 |
In process of foreclosure | $ 26 | $ 28 |
Serious delinquency rate | 1.25% | 1.34% |
Past due 90 days or more and still accruing interest | $ 28 | $ 29 |
Impaired loans without an allowance for credit losses and on nonaccrual status | 47 | 49 |
Unpaid principal balance of impaired loans without an allowance for credit losses | 50 | 53 |
Past due 30-59 days | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 125 | 122 |
Past due 60-89 days | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 35 | 37 |
Past due 90 days or more | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 67 | 69 |
Conventional mortgage loans | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 144 | 143 |
Current | 4,260 | 4,073 |
Recorded investment | 4,404 | 4,216 |
In process of foreclosure | $ 19 | $ 21 |
Serious delinquency rate | 1.06% | 1.16% |
Past due 90 days or more and still accruing interest | $ 8 | $ 8 |
Impaired loans without an allowance for credit losses and on nonaccrual status | 47 | 49 |
Unpaid principal balance of impaired loans without an allowance for credit losses | 50 | 53 |
Conventional mortgage loans | Past due 30-59 days | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 78 | 74 |
Conventional mortgage loans | Past due 60-89 days | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 20 | 21 |
Conventional mortgage loans | Past due 90 days or more | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 46 | 48 |
Government Loans | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 83 | 85 |
Current | 900 | 921 |
Recorded investment | 983 | 1,006 |
In process of foreclosure | $ 7 | $ 7 |
Serious delinquency rate | 2.08% | 2.11% |
Past due 90 days or more and still accruing interest | $ 20 | $ 21 |
Impaired loans without an allowance for credit losses and on nonaccrual status | 0 | 0 |
Unpaid principal balance of impaired loans without an allowance for credit losses | 0 | 0 |
Government Loans | Past due 30-59 days | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 47 | 48 |
Government Loans | Past due 60-89 days | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | 15 | 16 |
Government Loans | Past due 90 days or more | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ||
Past due | $ 21 | $ 21 |
Derivatives and Hedging Activ50
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Mar. 31, 2018USD ($) |
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 | $ 64 |
Derivatives and Hedging Activ51
Derivatives and Hedging Activities Derivatives in statements of condition (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount | $ 53,975 | $ 47,971 | |
Derivative assets netting adjustments and cash collateral | [1] | (191) | (222) |
Derivative assets on statements of condition | 2 | 3 | |
Derivative liabilities netting adjustments and cash collateral | [1] | (463) | (470) |
Derivative liabilities on statements of condition | 19 | 20 | |
Derivatives in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 28,258 | 26,655 | |
Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 25,717 | 21,316 | |
Derivatives not in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 24,829 | 20,506 | |
Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount | 888 | 810 | |
Derivative Assets | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 193 | 225 | |
Derivative assets netting adjustments and cash collateral | (191) | (222) | |
Derivative assets on statements of condition | 2 | 3 | |
Cash collateral received on derivative assets | 39 | 35 | |
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 37 | 25 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 156 | 200 | |
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 | 155 | 199 | |
Derivative Assets | Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 1 | 1 | |
Derivative Liabilities | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 482 | 490 | |
Derivative liabilities netting adjustments and cash collateral | (463) | (470) | |
Derivative liabilities on statements of condition | 19 | 20 | |
Cash collateral posted on derivative liabilities | 310 | 284 | |
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 397 | 367 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | 85 | 123 | |
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 | 84 | 122 | |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other | |||
Derivatives, Fair Value [Line Items] | |||
Gross derivative amount before netting adjustments and cash collateral | $ 1 | $ 1 | |
[1] | The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. See Note 9 - Derivatives and Hedging Activities . |
Derivatives and Hedging Activ52
Derivatives and Hedging Activities Derivatives in statement of income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Economic hedges | $ (6) | $ 0 |
Noninterest income on derivatives and hedging activities | (3) | 3 |
Interest rate contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Fair value hedges - interest rate contracts | 2 | 2 |
Cash flow hedges - interest rate contracts | 1 | 1 |
Economic hedges | (7) | 0 |
Other | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Economic hedges | $ 1 | $ 0 |
Derivatives and Hedging Activ53
Derivatives and Hedging Activities Derivative assets with legal right of offset (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | |
Derivatives with legal right of offset - | |||
Gross recognized amount | $ 192 | $ 224 | |
Derivative assets netting adjustments and cash collateral | [1] | (191) | (222) |
Derivatives with legal right of offset - net | 1 | 2 | |
Derivatives without legal right of offset | 1 | 1 | |
Derivatives on statements of condition | 2 | 3 | |
Less: | |||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | (1) | |
Net amount | 2 | 4 | |
Bilateral | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 183 | 216 | |
Derivative assets netting adjustments and cash collateral | (182) | (214) | |
Derivatives with legal right of offset - net | 1 | 2 | |
Derivatives without legal right of offset | 1 | 1 | |
Derivatives on statements of condition | 2 | 3 | |
Less: | |||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 0 | |
Net amount | 2 | 3 | |
Cleared | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 9 | 8 | |
Derivative assets netting adjustments and cash collateral | (9) | (8) | |
Derivatives with legal right of offset - net | 0 | 0 | |
Derivatives without legal right of offset | 0 | 0 | |
Derivatives on statements of condition | 0 | 0 | |
Less: | |||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | (1) | |
Net amount | $ 0 | $ 1 | |
[1] | The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. See Note 9 - Derivatives and Hedging Activities . |
Derivatives and Hedging Activ54
Derivatives and Hedging Activities Derivative liabilities with legal right of offset (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | |
Derivatives with legal right of offset - | |||
Gross recognized amount | $ 481 | $ 489 | |
Derivative liabilities netting adjustments and cash collateral | [1] | (463) | (470) |
Derivatives with legal right of offset - net | 18 | 19 | |
Derivatives without legal right of offset | 1 | 1 | |
Derivatives on statements of condition | 19 | 20 | |
Less: | |||
Noncash collateral received or pledged and cannot be sold or repledged | 10 | 6 | |
Net amount | 9 | 14 | |
Credit Exposure On Overcollateralized Pledged Securities Exceeding Derivative Liability | 55 | 60 | |
Bilateral | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 461 | 476 | |
Derivative liabilities netting adjustments and cash collateral | (453) | (463) | |
Derivatives with legal right of offset - net | 8 | 13 | |
Derivatives without legal right of offset | 1 | 1 | |
Derivatives on statements of condition | 9 | 14 | |
Less: | |||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 0 | |
Net amount | 9 | 14 | |
Cleared | |||
Derivatives with legal right of offset - | |||
Gross recognized amount | 20 | 13 | |
Derivative liabilities netting adjustments and cash collateral | (10) | (7) | |
Derivatives with legal right of offset - net | 10 | 6 | |
Derivatives without legal right of offset | 0 | 0 | |
Derivatives on statements of condition | 10 | 6 | |
Less: | |||
Noncash collateral received or pledged and cannot be sold or repledged | 10 | 6 | |
Net amount | $ 0 | $ 0 | |
[1] | The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. See Note 9 - Derivatives and Hedging Activities . |
Derivatives and Hedging Activ55
Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount Recorded in Net Interest Income | $ 124 | $ 113 |
Fair value hedges | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Hedging Instrument | (3) | 46 |
Gain (Loss) on Hedged Item | 5 | (44) |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 2 | 2 |
Amount Recorded in Net Interest Income | (23) | (24) |
Fair value hedges | Available-for-sale securities | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Hedging Instrument | 37 | 25 |
Gain (Loss) on Hedged Item | (37) | (26) |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 0 | (1) |
Amount Recorded in Net Interest Income | (18) | (24) |
Fair value hedges | Advances | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Hedging Instrument | 84 | 12 |
Gain (Loss) on Hedged Item | (82) | (10) |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 2 | 2 |
Amount Recorded in Net Interest Income | (2) | (11) |
Fair value hedges | MPF Loans held for portfolio | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Hedging Instrument | 0 | 0 |
Gain (Loss) on Hedged Item | 0 | 0 |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 0 | 0 |
Amount Recorded in Net Interest Income | (1) | (2) |
Fair value hedges | Consolidated obligation bonds | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Hedging Instrument | (124) | 9 |
Gain (Loss) on Hedged Item | 124 | (8) |
Total Ineffectiveness Recognized in Derivatives and Hedging Activities | 0 | 1 |
Amount Recorded in Net Interest Income | $ (2) | $ 13 |
Derivatives and Hedging Activ56
Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Cash Flow Hedge Gain (Loss) to be Reclassified Next 12 Months, Net | $ 0 | |
Maximum Hedging Period For Forecasted Cash Flows | 3 years | |
Amount Recorded in Net Interest Income | $ 124 | $ 113 |
Cash flow hedges | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Ineffectiveness Recorded in Derivatives and Hedging Activities | 1 | |
Effective Portion Recorded in AOCI | 46 | |
Amount Recorded in Net Interest Income | (44) | |
Cash flow hedges | Advances | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Ineffectiveness Recorded in Derivatives and Hedging Activities | 0 | |
Effective Portion Recorded in AOCI | 0 | |
Amount Recorded in Net Interest Income | 2 | |
Cash flow hedges | Discount notes | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Ineffectiveness Recorded in Derivatives and Hedging Activities | 1 | 1 |
Effective Portion Recorded in AOCI | 59 | 46 |
Amount Recorded in Net Interest Income | $ (35) | (45) |
Cash flow hedges | Consolidated obligation bonds | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Ineffectiveness Recorded in Derivatives and Hedging Activities | 0 | |
Effective Portion Recorded in AOCI | 0 | |
Amount Recorded in Net Interest Income | $ (1) |
Consolidated Obligations (Short
Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Debt Disclosure [Abstract] | ||
Carrying Amount | $ 41,483 | $ 41,191 |
Weighted Average Interest Rate | 1.50% | 1.23% |
Consolidated Obligations (Long
Consolidated Obligations (Long term bonds by maturity date) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Contractual Maturity | ||
Due in one year or less | $ 21,458 | |
One to two years | 8,539 | |
Two to three years | 3,168 | |
Three to four years | 3,954 | |
Four to five years | 3,064 | |
Thereafter | 3,690 | |
Total par value | $ 43,873 | $ 37,347 |
Weighted Average Interest Rate | ||
Due in one year or less | 1.47% | |
One to two years | 1.57% | |
Two to three years | 1.57% | |
Three to four years | 2.03% | |
Four to five years | 2.55% | |
Thereafter | 2.72% | |
Total par value | 1.73% | |
By Maturity or Next Call Date | ||
Contractual Maturity | ||
Due in one year or less | $ 32,707 | |
One to two years | 7,697 | |
Two to three years | 1,788 | |
Three to four years | 570 | |
Four to five years | 678 | |
Thereafter | 433 | |
Total par value | $ 43,873 | |
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 | Mar. 31, 2018 | Dec. 31, 2017 |
Debt Instrument [Line Items] | ||
Par value | $ 43,873 | $ 37,347 |
Fair value hedging adjustments | (335) | (214) |
Other adjustments | (22) | (12) |
Consolidated obligation bonds | 43,516 | 37,121 |
Noncallable | ||
Debt Instrument [Line Items] | ||
Par value | 30,042 | 23,644 |
Callable | ||
Debt Instrument [Line Items] | ||
Par value | $ 13,831 | $ 13,703 |
Consolidated Obligations (Syste
Consolidated Obligations (Systemwide joint & several liability) (Details) - Guarantee of Indebtedness of Others [Member] - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 1,019,230 | $ 1,034,260 |
FHLB Chicago as primary obligor | $ 85,403 | $ 78,582 |
As a percent of the FHLB System | 8.00% | 8.00% |
Consolidated obligation bonds | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 629,431 | $ 642,211 |
FHLB Chicago as primary obligor | $ 43,873 | $ 37,347 |
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 | $ 389,799 | $ 392,049 |
FHLB Chicago as primary obligor | $ 41,530 | $ 41,235 |
As a percent of the FHLB System | 11.00% | 11.00% |
Capital and Mandatorily Redee61
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Capital rules) (Details) - $ / shares | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Federal Home Loan Banks [Abstract] | ||
par value per share | $ 100 | $ 100 |
Capital Stock, Redemption, Period of Written Notice | 5 years |
Capital and Mandatorily Redee62
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Regulatory capital requirements) (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Federal Home Loan Banks [Abstract] | ||
Risk Based Capital, Requirement | $ 1,131 | $ 1,075 |
Risk Based Capital, Actual | 5,248 | 5,051 |
Total Regulatory Capital, Requirement | 3,656 | 3,374 |
Total Regulatory Capital, Actual | $ 5,248 | $ 5,051 |
Total Regulatory Capital Ratio, Requirement | 4.00% | 4.00% |
Total Regulatory Capital Ratio, Actual | 5.74% | 5.99% |
Leverage Capital, Requirement | $ 4,570 | $ 4,218 |
Leverage Capital, Actual | $ 7,873 | $ 7,577 |
Leverage Capital Ratio, Requirement | 5.00% | 5.00% |
Leverage Capital Ratio, Actual | 8.61% | 8.98% |
Capital and Mandatorily Redee63
Capital and Mandatorily Redeemable Capital Stock (MRCS) Stockholder Concentration (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2018 | Dec. 31, 2017 | ||
Concentration Risk [Line Items] | |||
Amount of Which is Classified as a Liability (MRCS) | $ 311 | $ 311 | |
Stockholders' Equity, Total [Member] | BMO Harris Bank, NA | |||
Concentration Risk [Line Items] | |||
Regulatory Capital Stock Outstanding | $ 269 | ||
% of Total Outstanding | 14.20% | ||
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 | 13.00% | ||
Amount of Which is Classified as a Liability (MRCS) | $ 245 | ||
Stockholders' Equity, Total [Member] | The Northern Trust Company | |||
Concentration Risk [Line Items] | |||
Regulatory Capital Stock Outstanding | $ 215 | ||
% of Total Outstanding | 11.40% | ||
Amount of Which is Classified as a Liability (MRCS) | $ 0 | ||
[1] | One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Accumulated Other Comprehensi64
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | $ 112 | |
Amounts reclassified in period to statements of income: | ||
Ending balance | 126 | |
AOCI | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 112 | $ (36) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 15 | 91 |
Amounts reclassified in period to statements of income: | ||
Net interest income | (1) | |
Non-interest gain (loss) | (1) | (1) |
Ending balance | 126 | 53 |
Net Unrealized - | Available-for-sale Securities | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 407 | 459 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (49) | 38 |
Amounts reclassified in period to statements of income: | ||
Net interest income | 0 | |
Non-interest gain (loss) | 0 | 0 |
Ending balance | 358 | 497 |
Non-credit OTTI - | Held-to-maturity Securities | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (143) | (177) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 7 | 9 |
Amounts reclassified in period to statements of income: | ||
Net interest income | 0 | |
Non-interest gain (loss) | 0 | 0 |
Ending balance | (136) | (168) |
Net Unrealized - Cash Flow Hedges | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (147) | (312) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 59 | 46 |
Amounts reclassified in period to statements of income: | ||
Net interest income | (1) | |
Non-interest gain (loss) | (1) | (1) |
Ending balance | (89) | (268) |
Post-Retirement Plans | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (5) | (6) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (2) | (2) |
Amounts reclassified in period to statements of income: | ||
Ending balance | $ (7) | $ (8) |
Fair Value Fair Value Estimates
Fair Value Fair Value Estimates (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Held-to-maturity securities | $ 3,791 | $ 4,538 | |
Advances | 917 | 776 | |
Derivative assets | 2 | 3 | |
Other assets | 76 | 118 | |
Derivative assets netting and cash collateral | [1] | (191) | (222) |
Total assets | 91,391 | 84,355 | |
Consolidated obligation discount notes | 0 | (749) | |
Consolidated obligation bonds | (4,985) | (5,260) | |
Derivative liabilities | (19) | (20) | |
Derivative liabilities netting and cash collateral | [1] | 463 | 470 |
Total liabilities | (86,328) | (79,503) | |
Carrying Amount | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 40 | 42 | |
Interest bearing deposits | 775 | 775 | |
Federal Funds sold and securities purchased under agreements to resell | 15,611 | 12,561 | |
Held-to-maturity securities | 3,448 | 4,157 | |
Advances | 49,923 | 47,309 | |
MPF Loans held in portfolio, net | 5,354 | 5,186 | |
Other assets | 138 | 119 | |
Total financial assets | 91,272 | 84,246 | |
Other non financial assets | 119 | 109 | |
Total assets | 91,391 | 84,355 | |
Deposits | (685) | (524) | |
Consolidated obligation discount notes | (41,483) | (40,442) | |
Consolidated obligation bonds | (38,531) | (31,861) | |
Mandatorily redeemable capital stock | (311) | (311) | |
Other liabilities | (106) | (94) | |
Total financial liabilities | (86,120) | (79,261) | |
Other non financial liabilities | (208) | (242) | |
Total liabilities | (86,328) | (79,503) | |
Carrying Amount | Carried at fair value on a recurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Trading securities | 2,596 | 233 | |
Available-for-sale securities | 12,388 | 12,957 | |
Advances | 917 | 776 | |
Derivative assets | 2 | 3 | |
Other assets | 76 | 118 | |
Consolidated obligation discount notes | (749) | ||
Consolidated obligation bonds | (4,985) | (5,260) | |
Derivative liabilities | (19) | (20) | |
Carrying Amount | Carried at fair value on a recurring basis | Government related non-MBS, ABS, and MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 12,340 | 12,907 | |
Carrying Amount | Carried at fair value on a recurring basis | Residential MBS | Private label residential MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 48 | 50 | |
Carrying Amount | Carried at fair value on a nonrecurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
MPF Loans held in portfolio, net | 3 | 7 | |
Other assets | 1 | 3 | |
Fair Value | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 40 | 42 | |
Interest bearing deposits | 775 | 775 | |
Federal Funds sold and securities purchased under agreements to resell | 15,611 | 12,561 | |
Held-to-maturity securities | 3,791 | 4,538 | |
Advances | 49,961 | 47,336 | |
MPF Loans held in portfolio, net | 5,405 | 5,306 | |
Other assets | 138 | 119 | |
Total financial assets | 91,704 | 84,774 | |
Deposits | (685) | (524) | |
Consolidated obligation discount notes | (41,479) | (40,437) | |
Consolidated obligation bonds | (38,605) | (32,011) | |
Mandatorily redeemable capital stock | (311) | (311) | |
Other liabilities | (106) | (94) | |
Total financial liabilities | (86,190) | (79,406) | |
Fair Value | Carried at fair value on a recurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Trading securities | 2,596 | 233 | |
Available-for-sale securities | 12,388 | 12,957 | |
Advances | 917 | 776 | |
Derivative assets | 2 | 3 | |
Other assets | 76 | 118 | |
Consolidated obligation discount notes | (749) | ||
Consolidated obligation bonds | (4,985) | (5,260) | |
Derivative liabilities | (19) | (20) | |
Fair Value | Carried at fair value on a recurring basis | Government related non-MBS, ABS, and MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 12,340 | 12,907 | |
Fair Value | Carried at fair value on a recurring basis | Residential MBS | Private label residential MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 48 | 50 | |
Fair Value | Carried at fair value on a nonrecurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
MPF Loans held in portfolio, net | 3 | 7 | |
Other assets | 1 | 3 | |
Level 1 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 40 | 42 | |
Interest bearing deposits | 775 | 775 | |
Federal Funds sold and 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 | |
Other assets | 0 | 0 | |
Total financial assets | 815 | 817 | |
Deposits | 0 | 0 | |
Consolidated obligation discount notes | 0 | 0 | |
Consolidated obligation bonds | 0 | 0 | |
Mandatorily redeemable capital stock | (311) | (311) | |
Other liabilities | 0 | 0 | |
Total financial liabilities | (311) | (311) | |
Level 1 | Carried at fair value on a recurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Advances | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Consolidated obligation discount notes | 0 | ||
Consolidated obligation bonds | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Level 1 | Carried at fair value on a recurring basis | Government related non-MBS, ABS, and MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 0 | 0 | |
Level 1 | Carried at fair value on a recurring basis | Residential MBS | Private label residential MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 0 | 0 | |
Level 1 | Carried at fair value on a nonrecurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
MPF Loans held in portfolio, net | 0 | 0 | |
Other assets | 0 | 0 | |
Level 2 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 0 | 0 | |
Interest bearing deposits | 0 | 0 | |
Federal Funds sold and securities purchased under agreements to resell | 15,611 | 12,561 | |
Held-to-maturity securities | 3,023 | 3,734 | |
Advances | 49,961 | 47,336 | |
MPF Loans held in portfolio, net | 5,391 | 5,295 | |
Other assets | 138 | 119 | |
Total financial assets | 90,246 | 83,304 | |
Deposits | (685) | (524) | |
Consolidated obligation discount notes | (41,479) | (40,437) | |
Consolidated obligation bonds | (38,605) | (32,011) | |
Mandatorily redeemable capital stock | 0 | 0 | |
Other liabilities | (106) | (94) | |
Total financial liabilities | (86,342) | (79,565) | |
Level 2 | Carried at fair value on a recurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Trading securities | 2,596 | 233 | |
Available-for-sale securities | 12,340 | 12,907 | |
Advances | 917 | 776 | |
Derivative assets | 193 | 225 | |
Other assets | 76 | 118 | |
Consolidated obligation discount notes | (749) | ||
Consolidated obligation bonds | (4,985) | (5,260) | |
Derivative liabilities | (482) | (490) | |
Level 2 | Carried at fair value on a recurring basis | Government related non-MBS, ABS, and MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 12,340 | 12,907 | |
Level 2 | Carried at fair value on a recurring basis | Residential MBS | Private label residential MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 0 | 0 | |
Level 2 | Carried at fair value on a nonrecurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
MPF Loans held in portfolio, net | 0 | 0 | |
Other assets | 0 | 0 | |
Level 3 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 0 | 0 | |
Interest bearing deposits | 0 | 0 | |
Federal Funds sold and securities purchased under agreements to resell | 0 | 0 | |
Held-to-maturity securities | 768 | 804 | |
Advances | 0 | 0 | |
MPF Loans held in portfolio, net | 14 | 11 | |
Other assets | 0 | 0 | |
Total financial assets | 834 | 875 | |
Deposits | 0 | 0 | |
Consolidated obligation discount notes | 0 | 0 | |
Consolidated obligation bonds | 0 | 0 | |
Mandatorily redeemable capital stock | 0 | 0 | |
Other liabilities | 0 | 0 | |
Total financial liabilities | 0 | 0 | |
Level 3 | Carried at fair value on a recurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 48 | 50 | |
Advances | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Consolidated obligation discount notes | 0 | ||
Consolidated obligation bonds | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Level 3 | Carried at fair value on a recurring basis | Government related non-MBS, ABS, and MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 0 | 0 | |
Level 3 | Carried at fair value on a recurring basis | Residential MBS | Private label residential MBS | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Available-for-sale securities | 48 | 50 | |
Level 3 | Carried at fair value on a nonrecurring basis | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
MPF Loans held in portfolio, net | 3 | 7 | |
Other assets | $ 1 | $ 3 | |
[1] | The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. See Note 9 - Derivatives and Hedging Activities . |
Fair Value Gains (losses) on fa
Fair Value Gains (losses) on fair value option (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Instruments held under fair value option | $ (7) | $ (2) |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Instruments held under fair value option | (9) | 0 |
Consolidated obligation bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Instruments held under fair value option | 5 | (1) |
Other assets | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Instruments held under fair value option | $ (3) | $ (1) |
Fair Value (Fair Value Option D
Fair Value (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | $ 50,866 | $ 48,020 |
Fair value | 917 | 776 |
Unpaid principal balance | 43,873 | 37,347 |
Fair value | 4,985 | 5,260 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | 935 | 786 |
Fair value over (under) UPB | (18) | (10) |
Fair value | 917 | 776 |
Consolidated obligation bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance | 5,003 | 5,270 |
Fair value over (under) UPB | (18) | (10) |
Fair value | $ 4,985 | $ 5,260 |
Commitments and Contingencies68
Commitments and Contingencies (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 | |
Commitments | |||
Expire within one year | $ 19,501 | $ 16,239 | |
Expire after one year | 3,908 | 4,206 | |
Total | 23,409 | 20,445 | |
Unsettled consolidated obligation bonds | |||
Commitments | |||
Expire within one year | 72 | 0 | |
Expire after one year | 0 | 0 | |
Total | 72 | 0 | |
Unsettled consolidated obligation discount notes | |||
Commitments | |||
Expire within one year | 1,000 | 0 | |
Expire after one year | 0 | 0 | |
Total | 1,000 | 0 | |
Member standby letters of credit | |||
Commitments | |||
Expire within one year | 16,534 | 15,703 | |
Expire after one year | [1] | 3,598 | 3,869 |
Total | 20,132 | 19,572 | |
Portion of member standby letters of credit which were renewable annually | 744 | 750 | |
Housing authority standby bond purchase agreements | |||
Commitments | |||
Expire within one year | 33 | 0 | |
Expire after one year | 297 | 337 | |
Total | 330 | 337 | |
Advance commitments | |||
Commitments | |||
Expire within one year | 1,413 | 151 | |
Expire after one year | 13 | 0 | |
Total | 1,426 | 151 | |
MPF delivery commitments | |||
Commitments | |||
Expire within one year | 443 | 371 | |
Expire after one year | 0 | 0 | |
Total | 443 | 371 | |
Other | |||
Commitments | |||
Expire within one year | 6 | 14 | |
Expire after one year | 0 | 0 | |
Total | $ 6 | $ 14 | |
[1] | Contains $744 million and $750 million of member standby letters of credit at March 31, 2018 , and December 31, 2017 |
Transactions with Related Par69
Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions | Mar. 31, 2018 | Dec. 31, 2017 |
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | $ 50,840 | $ 48,085 |
Liabilities - Deposits | 685 | 524 |
Equity - Capital Stock | 1,579 | 1,443 |
Transactions with members | ||
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | 183 | 165 |
Liabilities - Deposits | 7 | 13 |
Equity - Capital Stock | $ 9 | $ 10 |