Document and Entity Information
Document and Entity Information | 9 Months Ended |
Sep. 30, 2019shares | |
Document and Entity Information [Abstract] | |
Entity Incorporation, State or Country Code | X1 |
Entity Tax Identification Number | 36-6001019 |
Entity Address, Address Line One | 200 East Randolph Drive |
Entity Address, City or Town | Chicago, |
Entity Address, State or Province | IL |
Entity Address, Postal Zip Code | 60601 |
Entity Registrant Name | Federal Home Loan Bank of Chicago |
City Area Code | 312 |
Local Phone Number | 565-5700 |
Entity Central Index Key | 0001331451 |
Current Fiscal Year End Date | --12-31 |
Entity Filer Category | Non-accelerated Filer |
Document Type | 10-Q |
Document Quarterly Report | true |
Document Period End Date | Sep. 30, 2019 |
Document Transition Report | false |
Entity File Number | 000-51401 |
Document Fiscal Year Focus | 2019 |
Document Fiscal Period Focus | Q3 |
Amendment Flag | false |
Entity Common Stock, Shares Outstanding | 21,702,727 |
Entity Emerging Growth Company | false |
Entity Small Business | false |
Entity Current Reporting Status | Yes |
Entity Interactive Data Current | Yes |
Entity Shell Company | false |
Statements of Condition
Statements of Condition - USD ($) shares in Millions, $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Assets | ||
Cash and due from banks | $ 65 | $ 28 |
Interest bearing deposits | 1,255 | 775 |
Federal Funds sold | 8,751 | 7,704 |
Securities purchased under agreements to resell | 2,600 | 2,900 |
Investment debt securities - | ||
Trading, | 4,496 | 3,478 |
pledged | 471 | 269 |
Available-for-sale | 16,214 | 14,614 |
Held-to-maturity, | 2,159 | 3,213 |
Fair Value | 2,422 | 3,492 |
Investment debt securities | 22,869 | 21,305 |
Advances, | 57,629 | 52,628 |
carried at fair value | 2,900 | 1,025 |
MPF Loans held in portfolio, net of | 9,004 | 7,103 |
allowance for credit losses | (1) | (1) |
Derivative assets | 11 | 6 |
Other assets, | 359 | 408 |
carried at fair value | 88 | 108 |
Assets | 102,543 | 92,857 |
Deposits - | ||
Noninterest bearing | 223 | 54 |
Interest bearing, | 809 | 497 |
from other FHLBs | 16 | 29 |
Deposits | 1,032 | 551 |
Consolidated obligations, net - | ||
Discount notes, | 47,647 | 43,166 |
carried at fair value | 0 | 992 |
Bonds, | 46,738 | 42,250 |
carried at fair value | 6,639 | 2,352 |
Consolidated obligations, net | 94,385 | 85,416 |
Derivative liabilities | 18 | 16 |
Affordable Housing Program assessment payable | 83 | 84 |
Mandatorily redeemable capital stock | 324 | 313 |
Other liabilities | 1,155 | 1,188 |
Liabilities | 96,997 | 87,568 |
Commitments and contingencies - see notes to the financial statements | ||
Capital | ||
Class B1 activity stock, | $ 1,645 | $ 1,476 |
million shares issued and outstanding | 16 | 15 |
Class B2 membership stock, | $ 201 | $ 222 |
million shares issued and outstanding | 2 | 2 |
Capital stock - putable, | $ 1,846 | $ 1,698 |
par value per share | $ 100 | $ 100 |
Retained earnings - unrestricted | $ 3,163 | $ 3,023 |
Retained earnings - restricted | 559 | 513 |
Retained earnings | 3,722 | 3,536 |
Accumulated other comprehensive income (loss) (AOCI) | (22) | 55 |
Capital | 5,546 | 5,289 |
Liabilities and capital | $ 102,543 | $ 92,857 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Income Statement [Abstract] | ||||
Interest income | $ 662 | $ 603 | $ 2,051 | $ 1,660 |
Interest expense | 549 | 477 | 1,704 | 1,278 |
Net interest income | 113 | 126 | 347 | 382 |
Provision for (reversal of) credit losses | 0 | (1) | 0 | (1) |
Net interest income after provision for (reversal of) credit losses | 113 | 127 | 347 | 383 |
Noninterest income - | ||||
Trading securities | (3) | 5 | 20 | 8 |
Derivatives and hedging activities | (5) | (5) | (31) | (5) |
Instruments held under fair value option | 24 | (3) | 43 | (20) |
MPF fees, | 10 | 9 | 27 | 24 |
from other FHLBs | 8 | 6 | 21 | 18 |
Other, net | 3 | 0 | 9 | 8 |
Noninterest income | 29 | 6 | 68 | 15 |
Noninterest expense - | ||||
Compensation and benefits | 27 | 26 | 82 | 78 |
Operating expenses | 23 | 20 | 66 | 52 |
Other | 4 | 1 | 8 | 5 |
Noninterest expense | 54 | 47 | 156 | 135 |
Income before assessments | 88 | 86 | 259 | 263 |
Affordable Housing Program | 9 | 9 | 27 | 27 |
Net income | $ 79 | $ 77 | $ 232 | $ 236 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 79 | $ 77 | $ 232 | $ 236 |
Other comprehensive income (loss) - | ||||
Net unrealized gain (loss) available-for-sale debt securities | (61) | (32) | (80) | (124) |
Noncredit OTTI held-to-maturity debt securities | 7 | 7 | 20 | 22 |
Net unrealized gain (loss) cash flow hedges | (4) | 25 | (17) | 115 |
Postretirement plans | (5) | (4) | 0 | (7) |
Other comprehensive income (loss) | (63) | (4) | (77) | 6 |
Comprehensive income | $ 16 | $ 73 | $ 155 | $ 242 |
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 | Retained Earnings, Unrestricted | Retained Earnings, Restricted | Retained Earnings, Total | AOCI |
Shares, beginning at Dec. 31, 2017 | 12 | 2 | |||||
Balance, beginning at Dec. 31, 2017 | $ 4,852 | $ 1,241 | $ 202 | $ 2,845 | $ 452 | $ 3,297 | $ 112 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Comprehensive income | 242 | 189 | 47 | 236 | 6 | ||
Proceeds from issuance of capital stock shares | 23 | 0 | |||||
Proceeds from issuance of capital stock | 2,265 | $ 2,254 | $ 11 | ||||
Repurchases of capital stock shares | 0 | (20) | |||||
Repurchases of capital stock | (1,988) | $ 0 | $ (1,988) | ||||
Capital stock reclassified to mandatorily redeemable capital stock liability shares | 0 | 0 | |||||
Capital stock reclassed to mandatorily redeemable capital stock liability | (2) | $ (1) | $ (1) | ||||
Transfers between classes of capital stock shares | (20) | 20 | |||||
Transfers between classes of capital stock | $ (1,951) | $ 1,951 | |||||
Cash dividends - class B1 | (43) | (43) | (43) | ||||
Cash dividends - class B2 | (2) | (2) | (2) | ||||
Common Stock Dividend - Annualized Rate | 3.92% | 1.60% | |||||
Total change in period shares | 3 | 0 | |||||
Total change in period | 472 | $ 302 | $ (27) | 144 | 47 | 191 | 6 |
Shares, ending at Sep. 30, 2018 | 15 | 2 | |||||
Balance, ending at Sep. 30, 2018 | 5,324 | $ 1,543 | $ 175 | 2,989 | 499 | 3,488 | 118 |
Shares, beginning at Jun. 30, 2018 | 15 | 3 | |||||
Balance, beginning at Jun. 30, 2018 | 5,355 | $ 1,498 | $ 307 | 2,944 | 484 | 3,428 | 122 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Comprehensive income | 73 | 62 | 15 | 77 | (4) | ||
Proceeds from issuance of capital stock shares | 6 | 0 | |||||
Proceeds from issuance of capital stock | 556 | $ 556 | $ 0 | ||||
Repurchases of capital stock shares | 0 | (7) | |||||
Repurchases of capital stock | (643) | $ 0 | $ (643) | ||||
Transfers between classes of capital stock shares | (6) | 6 | |||||
Transfers between classes of capital stock | $ (511) | $ 511 | |||||
Cash dividends - class B1 | (16) | (16) | (16) | ||||
Cash dividends - class B2 | (1) | (1) | (1) | ||||
Common Stock Dividend - Annualized Rate | 4.25% | 1.70% | |||||
Total change in period shares | 0 | (1) | |||||
Total change in period | (31) | $ 45 | $ (132) | 45 | 15 | 60 | (4) |
Shares, ending at Sep. 30, 2018 | 15 | 2 | |||||
Balance, ending at Sep. 30, 2018 | 5,324 | $ 1,543 | $ 175 | 2,989 | 499 | 3,488 | 118 |
Shares, beginning at Dec. 31, 2018 | 15 | 2 | |||||
Balance, beginning at Dec. 31, 2018 | 5,289 | $ 1,476 | $ 222 | 3,023 | 513 | 3,536 | 55 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Cumulative effect adjustment - see Note 2 | 16 | 16 | 0 | 16 | |||
Comprehensive income | 155 | 186 | 46 | 232 | (77) | ||
Proceeds from issuance of capital stock shares | 20 | 0 | |||||
Proceeds from issuance of capital stock | 2,089 | $ 2,065 | $ 24 | ||||
Repurchases of capital stock shares | 0 | (19) | |||||
Repurchases of capital stock | (1,931) | $ 0 | $ (1,931) | ||||
Capital stock reclassified to mandatorily redeemable capital stock liability shares | 0 | 0 | |||||
Capital stock reclassed to mandatorily redeemable capital stock liability | (10) | $ (9) | $ (1) | ||||
Transfers between classes of capital stock shares | (19) | 19 | |||||
Transfers between classes of capital stock | $ (1,887) | $ 1,887 | |||||
Cash dividends - class B1 | (59) | (59) | (59) | ||||
Cash dividends - class B2 | (3) | (3) | (3) | ||||
Common Stock Dividend - Annualized Rate | 5.00% | 2.17% | |||||
Total change in period shares | 1 | 0 | |||||
Total change in period | 257 | $ 169 | $ (21) | 140 | 46 | 186 | (77) |
Shares, ending at Sep. 30, 2019 | 16 | 2 | |||||
Balance, ending at Sep. 30, 2019 | 5,546 | $ 1,645 | $ 201 | 3,163 | 559 | 3,722 | (22) |
Shares, beginning at Jun. 30, 2019 | 14 | 3 | |||||
Balance, beginning at Jun. 30, 2019 | 5,382 | $ 1,394 | $ 284 | 3,120 | 543 | 3,663 | 41 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Comprehensive income | 16 | 63 | 16 | 79 | (63) | ||
Proceeds from issuance of capital stock shares | 6 | 0 | |||||
Proceeds from issuance of capital stock | 623 | $ 611 | $ 12 | ||||
Repurchases of capital stock shares | 0 | (5) | |||||
Repurchases of capital stock | (455) | $ 0 | $ (455) | ||||
Transfers between classes of capital stock shares | (4) | 4 | |||||
Transfers between classes of capital stock | $ (360) | $ 360 | |||||
Cash dividends - class B1 | (19) | (19) | (19) | ||||
Cash dividends - class B2 | (1) | (1) | (1) | ||||
Common Stock Dividend - Annualized Rate | 5.00% | 2.25% | |||||
Total change in period shares | 2 | (1) | |||||
Total change in period | 164 | $ 251 | $ (83) | 43 | 16 | 59 | (63) |
Shares, ending at Sep. 30, 2019 | 16 | 2 | |||||
Balance, ending at Sep. 30, 2019 | $ 5,546 | $ 1,645 | $ 201 | $ 3,163 | $ 559 | $ 3,722 | $ (22) |
Condensed Statements of Cash Fl
Condensed Statements of Cash Flows - USD ($) $ in Millions | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | ||
Operating | |||
Net cash provided by (used in) operating activities | $ (625) | $ 447 | |
Investing | |||
Net change interest bearing deposits | (480) | 0 | |
Net change Federal Funds sold | (1,047) | (124) | |
Net change securities purchased under agreements to resell | 300 | 2,850 | |
Trading debt securities - | |||
Sales | 1,952 | 200 | |
Proceeds from maturities and paydowns | 1,504 | 8 | |
Purchases | (4,476) | (2,566) | |
Available-for-sale debt securities - | |||
Proceeds from maturities and paydowns | 3,508 | 2,365 | |
Purchases | (4,430) | (2,476) | |
Held-to-maturity debt securities - a | |||
Proceeds from maturities and paydowns | [1] | 2,553 | 2,795 |
Purchases | [1] | (1,462) | (1,534) |
Advances - | |||
Principal collected | 1,134,786 | 1,017,269 | |
Issued | (1,139,298) | (1,024,012) | |
MPF Loans held in portfolio - | |||
Principal collected | 995 | 595 | |
Purchases | (2,908) | (1,848) | |
Other investing activities | 8 | 14 | |
Net cash provided by (used in) investing activities | (8,495) | (6,464) | |
Financing | |||
Net change deposits, incl. | 481 | 57 | |
from other FHLBs | (12) | (19) | |
Discount notes - | |||
Net proceeds from issuance | 1,095,704 | 1,469,628 | |
Payments for maturing and retiring | (1,091,275) | (1,473,155) | |
Consolidated obligation bonds - | |||
Net proceeds from issuance | 33,034 | 32,132 | |
Payments for maturing and retiring | (28,885) | (22,862) | |
Capital stock - | |||
Proceeds from issuance | 2,089 | 2,265 | |
Repurchases | (1,931) | (1,988) | |
Cash dividends paid | (62) | (45) | |
Other financing activities | 2 | (13) | |
Net cash provided by (used in) financing activities | 9,157 | 6,019 | |
Net increase (decrease) in cash and due from banks | 37 | 2 | |
Cash and due from banks at beginning of period | 28 | 42 | |
Cash and due from banks at end of period | $ 65 | $ 44 | |
[1] | Presentation of cash flow amounts in prior periods have been reclassified to reflect short-term held-to-maturity purchases and proceeds on a gross, rather than net, basis. Certain reclassifications made to prior periods to properly present gross cash flows were not material. |
Background and Basis of Present
Background and Basis of Presentation | 9 Months Ended |
Sep. 30, 2019 | |
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 detailed 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, 2018 , included in our Annual Report on Form 10-K ( 2018 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 62 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. 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 2018 Form 10-K. The basis of presentation pertaining to our gross versus net presentation of derivative financial instruments also has not changed since we filed our 2018 Form 10-K. Refer to Note 1- Background and Basis of Presentation to the financial statements in our 2018 Form 10-K with respect to our basis of presentation for consolidation of variable interest entities and our gross versus net presentation of financial instruments for further details. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2019 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Our Summary of Significant Accounting Policies through December 31, 2018 , can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2018 Form 10-K. We adopted the following policies effective January 1, 2019 : Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes (FASB ASU 2018-16) In October of 2018, the FASB issued an amendment that adds the OIS rate based on the SOFR as a U.S. benchmark interest rate for hedge accounting purposes, in light of the plan for a phase out of the oversight of LIBOR. The SOFR OIS rate is the fixed rate on a U.S. dollar, constant-notional interest rate swap that has its variable-rate leg referenced to SOFR (an overnight rate) with no additional spread over SOFR on that variable-rate leg. That fixed rate is the derived rate that would result in the swap having a zero fair value at inception because the present value of fixed cash flows, based on that rate, equates to the present value of the variable cash flows. Including the OIS rate based on SOFR as an eligible benchmark interest rate during the early stages of the marketplace transition should facilitate the LIBOR to SOFR transition and provide sufficient lead time for us to prepare for changes to interest rate risk hedging strategies for both risk management and hedge accounting purposes. We adopted this amendment on a prospective basis for qualifying new hedging relationships entered on or after January 1, 2019. The new guidance did not have an effect on our financial condition, results of operations, and cash flows at the time of adoption but we continue to evaluate potential future impacts. 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. Upon adoption, we modified the risk of certain fair value hedges from contractual coupon interest rate to benchmark rate component improving hedge effectiveness. The opening cumulative adjustment related to modifying the risk being hedged was an increase to retained earnings of $16 million and a corresponding increase to the cumulative basis adjustment (carrying value) of the hedged items. The opening adjustment to retained earnings related to ineffectiveness recognized in prior reporting periods attributable to open cash flow hedges was not material. Prior reporting periods were not restated. Significant changes to existing GAAP guidance were as follows: Hedging Strategies Newly Permitted: • Permits entering into a cash flow hedge of the variability in cash flows in a financial instrument that has a contractually specified interest rate. • Permits hedging the benchmark risk component of cash flows in a fair value hedge. • Permits entering into a partial-term fair value hedge of the hedged item. • Permits entering into last-of-layer fair value hedges. Assessment of Hedge Effectiveness: • Permits qualitatively assessing hedge effectiveness. • Enabled applying the long-haul method of assessing hedge effectiveness in cases where the shortcut method was initially applied but subsequently is not or is no longer appropriate. Financial Statement Presentation: • Required the entire change in fair value of the hedging instrument in a cash flow hedge to be recorded and deferred in AOCI until reclassification to our statements of income would be required. • Required hedge ineffectiveness to be presented in either interest income or interest expense, whichever is appropriate, rather than into noninterest income on derivatives and hedging activities in our statements of income. This means that changes in fair value on AFS debt securities in a fair value hedging relationship are immediately recognized into interest income in our statement of income. • The above presentation guidance was prospectively adopted. Prior to January 1, 2019, hedge ineffectiveness was classified in noninterest income on derivatives and hedging activities in our statements of income. Leases (ASU 2016-02) In February of 2016, the FASB issued lease accounting guidance that became effective January 1, 2019. Upon adoption, we applied the guidance to the beginning of January 1, 2019, using the modified retrospective approach. Prior financial statements were not restated. There was no cumulative effect adjustment to the opening balance of retained earnings as of January 1, 2019. The guidance required us to recognize and measure our operating leases as right-of-use assets, with terms that exceed 12 months, in our statements of condition - that amount, which was $11 million , was recognized in other assets and other liabilities as of January 1, 2019. Expenses attributable to our leases are included in noninterest expense - operating expenses in our statements of income. Payments related to our operating leases are classified within operating activities in our statements of cash flows. |
Recently Issued but Not Yet Ado
Recently Issued but Not Yet Adopted Accounting Standards | 9 Months Ended |
Sep. 30, 2019 | |
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 The following table provides a summary of recently issued but not yet adopted accounting standards which may have an effect on our financial statements. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters 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 a “currently expected credit losses” or CECL methodology. The measurement of CECL 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. Upon adoption, any difference between our existing and CECL allowance for credit losses will be recognized as a cumulative-effect adjustment to the opening balance of our retained earnings as of January 1, 2020. This guidance becomes effective for the interim and annual periods beginning on January 1, 2020. We do not expect this guidance to have a material effect on our financial condition, results of operations, and cash flows. Customer’s Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement (ASU 2018-15) In August of 2018, the FASB issued amendments to align the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal use software (and hosting arrangements that include an internal use software license). The accounting for the service element of a hosting arrangement that is a service contract is not affected by these amendments. The amendments should be applied either retrospectively or prospectively to all implementation costs incurred after the date of adoption. This guidance becomes effective for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The guidance is not expected to have a significant effect on our financial condition, results of operations, and cash flows. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments (ASU 2019-4) In April of 2019, the FASB issued codification improvements applicable to financial instrument guidance. Codification improvements relevant to the Bank are as follows: - Provides various options for determining currently expected credit losses for accrued interest receivable as well as flexibility in presenting accrued interest receivable separately from the financial instrument’s amortized cost basis provided certain disclosures are made. - Clarifies that expected recoveries of amounts previously written off and expected to be written off should be included in the valuation account and should not exceed the aggregate of amounts previously written off and expected to be written off by the entity. In addition, for collateral dependent financial assets, the amendments clarify that an allowance for credit losses that is added to the amortized cost basis of the financial asset(s) should not exceed amounts previously written off. - Clarifies consideration of estimated costs to sell when foreclosure is probable should not be discounted. - Clarifies issues related to partial-term fair value hedges of interest rate risk, amortization of fair value hedge basis adjustments and various other derivative and hedging issues. These amendments take effect January 1, 2020. We are in the process of evaluating the effect of this new guidance on our financial condition, results of operation, and cash flows. Financial Instruments - Credit Losses Topic 326 - Targeted Transition Relief (ASU 2019-05) In May of 2019, the FASB issued an amendment providing transition relief to FASB ASU 2016-13 or CECL. Specifically, the amendment permits entities with an option to irrevocably elect the fair value option on an instrument by instrument basis for eligible instruments such as loans carried at amortized cost. This fair value election does not apply to HTM debt securities. The difference between the carrying amount of the instruments and the fair value amount of the instruments in which the fair value option is irrevocably elected upon adoption would be recorded as a cumulative-effect adjustment to the opening balance of retained earnings as of January 1, 2020. The election would coincide with the adoption of CECL or January 1, 2020. We are in the process of evaluating whether or not to utilize this transition relief. |
Interest Income and Interest Ex
Interest Income and Interest Expense | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, Nine months ended September 30, 2019 2018 2019 2018 Interest income - Trading $ 24 $ 8 $ 62 $ 23 Available-for-sale interest income 126 107 378 318 Available-for-sale prepayment fees 1 7 3 27 Available-for-sale 127 114 381 345 Held-to-maturity 33 46 105 135 Investment debt securities 184 168 548 503 Advances 326 312 1,046 811 MPF Loans held in portfolio 79 62 233 177 Federal funds sold and securities purchased under agreements to resell 64 54 201 152 Other 9 7 23 17 Interest income 662 603 2,051 1,660 Interest expense - Consolidated obligations - Discount notes 270 208 831 596 Bonds 272 263 851 665 Other 7 6 22 17 Interest expense 549 477 1,704 1,278 Net interest income 113 126 347 382 Provision for (reversal of) credit losses — (1 ) — (1 ) Net interest income after provision for (reversal of) credit losses $ 113 $ 127 $ 347 $ 383 |
Investment Debt Securities
Investment Debt Securities | 9 Months Ended |
Sep. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Investment Debt Securities We classify debt 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); debt issued by the Tennessee Valley Authority; and securities guaranteed by the Small Business Administration. • 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 residential 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 Debt Securities The following table presents the fair value of our trading debt securities. As of September 30, 2019 December 31, 2018 U.S. Government & other government related $ 4,482 $ 3,460 Residential MBS GSE 13 17 Government guaranteed 1 1 Trading debt securities $ 4,496 $ 3,478 The following table presents our gains and losses on trading debt securities recorded in Noninterest Income Other. Three months ended September 30, Nine months ended September 30, 2019 2018 2019 2018 Net unrealized gains (losses) on securities held at period end $ (9 ) $ 4 $ 3 $ 8 Net realized gains (losses) on securities sold/matured during the period 6 1 17 — Net gains (losses) on trading debt securities $ (3 ) $ 5 $ 20 $ 8 Amortized Cost Basis and Fair Value – Available-for-Sale Debt Securities (AFS) Amortized Cost Basis Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Carrying Amount and Fair Value As of September 30, 2019 U.S. Government & other government related $ 715 $ 40 $ — $ 755 State or local housing agency 14 1 — 15 FFELP ABS 3,309 155 (5 ) 3,459 Residential MBS GSE 11,614 10 (87 ) 11,537 Government guaranteed 401 10 — 411 Private label 30 7 — 37 Available-for-sale debt securities $ 16,083 $ 223 $ (92 ) $ 16,214 As of December 31, 2018 U.S. Government & other government related $ 528 $ 15 $ — $ 543 State or local housing agency 17 — — 17 FFELP ABS 3,578 203 — 3,781 Residential MBS GSE 9,602 20 (48 ) 9,574 Government guaranteed 645 13 — 658 Private label 33 8 — 41 Available-for-sale debt securities $ 14,403 $ 259 $ (48 ) $ 14,614 We had no sales of AFS securities for the periods presented. Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Debt 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 September 30, 2019 U.S. Government & other government related $ 666 $ — $ 666 $ 24 $ — $ 690 State or local housing agency 4 — 4 — — 4 Residential MBS GSE 964 — 964 35 — 999 Government guaranteed 211 — 211 3 — 214 Private label 408 (94 ) 314 201 — 515 Held-to-maturity debt securities $ 2,253 $ (94 ) $ 2,159 $ 263 $ — $ 2,422 As of December 31, 2018 U.S. Government & other government related $ 1,305 $ — $ 1,305 $ 18 $ (1 ) $ 1,322 State or local housing agency 6 — 6 — — 6 Residential MBS GSE 1,141 — 1,141 30 — 1,171 Government guaranteed 369 — 369 2 — 371 Private label 506 (114 ) 392 230 — 622 Held-to-maturity debt securities $ 3,327 $ (114 ) $ 3,213 $ 280 $ (1 ) $ 3,492 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 September 30, 2019 Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ — $ 126 $ 126 Due after one year through five years 6 41 42 Due after five years through ten years 250 79 79 Due after ten years 514 424 447 ABS and MBS without a single maturity date 15,444 1,489 1,728 Total debt securities $ 16,214 $ 2,159 $ 2,422 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 in the following section 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 debt securities As of September 30, 2019 U.S. Government & other government related $ — $ — $ 3 $ — $ 3 $ — FFELP ABS 530 (5 ) — — 530 (5 ) Residential MBS GSE 8,202 (64 ) 1,162 (23 ) 9,364 (87 ) Private label — — 5 — 5 — Available-for-sale debt securities $ 8,732 $ (69 ) $ 1,170 $ (23 ) $ 9,902 $ (92 ) As of December 31, 2018 U.S. Government & other government related $ — $ — $ 3 $ — $ 3 $ — State or local housing agency 1 — 3 — 4 — Residential MBS GSE 5,573 (46 ) 48 (2 ) 5,621 (48 ) Government guaranteed 31 — — — 31 — Private label — — 5 — 5 — Available-for-sale debt securities $ 5,605 $ (46 ) $ 59 $ (2 ) $ 5,664 $ (48 ) Held-to-maturity debt securities As of September 30, 2019 State or local housing agency 2 — — — 2 — Residential MBS GSE 5 — — — 5 — Government-guaranteed 45 — 24 — 69 — Private label — — 490 (94 ) 490 (94 ) Held-to-maturity debt securities $ 52 $ — $ 514 $ (94 ) $ 566 $ (94 ) As of December 31, 2018 U.S. Government & other government related $ 459 $ — $ 23 $ (1 ) $ 482 $ (1 ) State or local housing agency — — 2 — 2 — Residential MBS Government guaranteed 170 — — — 170 — Private label — — 592 (114 ) 592 (114 ) Held-to-maturity debt securities $ 629 $ — $ 617 $ (115 ) $ 1,246 $ (115 ) Other-Than-Temporary Impairment Analysis We recognized no OTTI charges on HTM or AFS debt securities for the periods presented. We do not intend to sell these securities and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. We expect to recover the entire amortized cost basis. The following table presents the changes in the cumulative amount of previously recorded OTTI credit losses on investment debt securities recognized into earnings for the reporting periods indicated. Three months ended September 30, Nine months ended September 30, 2019 2018 2019 2018 Beginning Balance $ 427 $ 459 $ 442 $ 477 Reductions: Securities sold, matured, or fully prepaid over the period — — (1 ) — Increases in cash flows expected to be collected and recognized into interest income (6 ) (8 ) (20 ) (26 ) Ending Balance $ 421 $ 451 $ 421 $ 451 |
Advances
Advances | 9 Months Ended |
Sep. 30, 2019 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, 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 and the related weighted average contractual interest rate. For amortizing advances, contractual maturity is determined based on the advance’s amortization schedule. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties. As of September 30, 2019 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 24,504 2.06 % One to two years 2,964 2.20 % Two to three years 3,000 2.36 % Three to four years 6,451 2.44 % Four to five years 7,296 2.22 % More than five years 12,900 2.24 % Par value $ 57,115 2.19 % 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 September 30, 2019 December 31, 2018 Par value $ 57,115 $ 52,606 Fair value hedging adjustments 469 30 Other adjustments 45 (8 ) Advances $ 57,629 $ 52,628 The following advance borrowers exceeded 10% of our advances outstanding: As of September 30, 2019 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 19.3 % BMO Harris Bank, National Association 10,975 19.2 % The Northern Trust Company 7,700 13.5 % a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
MPF Loans Held in Portfolio (No
MPF Loans Held in Portfolio (Notes) | 9 Months Ended |
Sep. 30, 2019 | |
Receivables [Abstract] | |
Loans, Notes, Trade and Other Receivables Disclosure [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 September 30, 2019 December 31, 2018 Medium term (15 years or less) $ 546 $ 334 Long term (greater than 15 years) 8,301 6,662 Unpaid principal balance 8,847 6,996 Net premiums, credit enhancement, and/or deferred loan fees 147 100 Fair value and economic hedging adjustments 11 8 MPF Loans held in portfolio, before allowance for credit losses 9,005 7,104 Allowance for credit losses on MPF Loans (1 ) (1 ) MPF Loans held in portfolio, net $ 9,004 $ 7,103 Conventional mortgage loans $ 7,936 $ 6,062 Government Loans 911 934 Unpaid principal balance $ 8,847 $ 6,996 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 2018 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 | 9 Months Ended |
Sep. 30, 2019 | |
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 2018 Form 10-K for further details regarding our allowance for credit losses methodology for each of the following portfolio segments: • 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. We only have recorded an allowance for credit losses on conventional MPF Loans held in portfolio as further discussed below. For further detail of our MPF Risk Sharing Structure see page F-15 in our 2018 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2018 . The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. As of September 30, 2019 December 31, 2018 Conventional mortgage loans - Individually evaluated for impairment $ 29 $ 33 Collectively evaluated for impairment 8,093 6,155 Recorded investment $ 8,122 $ 6,188 Allowance for credit losses - Collectively evaluated for impairment $ 1 $ 1 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. • Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses has been charged off. We do not recognize interest income on impaired conventional MPF Loans. September 30, 2019 December 31, 2018 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 66 $ 39 $ 105 $ 59 $ 42 $ 101 Past due 60-89 days 19 11 30 17 14 31 Past due 90 days or more 28 15 43 31 19 50 Past due 113 65 178 107 75 182 Current 8,009 866 8,875 6,081 879 6,960 Recorded investment $ 8,122 $ 931 $ 9,053 $ 6,188 $ 954 $ 7,142 In process of foreclosure $ 10 $ 3 $ 13 $ 13 $ 6 $ 19 Serious delinquency rate 0.35 % 1.53 % 0.47 % 0.51 % 1.95 % 0.70 % Past due 90 days or more and still accruing interest $ 4 $ 14 $ 18 $ 5 $ 19 $ 24 Impaired loans without an allowance for credit losses and on nonaccrual status 29 29 33 33 Unpaid principal balance of impaired loans without an allowance for credit losses 32 32 36 36 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2019 | |
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 2018 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 of a benchmark interest rate, for example the London Interbank Offering Rate (LIBOR), related to (1) a recognized asset or liability or (2) an unrecognized firm commitment. Our hedge strategy for cash flow hedges is to hedge the total proceeds received from rolling forecasted zero-coupon discount note issuances attributable to changes in the benchmark interest rate or LIBOR by entering into interest rate swaps to mitigate such risk. 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. As of September 30, 2019 , based on credit analyses and collateral requirements, we have not recorded a credit loss on our over-the-counter derivative agreements. See Note 16 - Fair Value in our 2018 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 have been $3 million at September 30, 2019 . 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 to the financial statements in our 2018 Form 10-K 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 $471 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at September 30, 2019 . 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 September 30, 2019 . The following table presents details on the notional amounts, and derivative assets and liabilities on our statements of condition. 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. September 30, 2019 December 31, 2018 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 35,906 $ 43 $ 363 $ 35,549 $ 39 $ 261 Derivatives not in hedge accounting relationships- Interest rate contracts 18,934 164 111 19,803 100 59 Other 1,905 2 4 619 1 1 Derivatives not in hedge accounting relationships 20,839 166 115 20,422 101 60 Gross derivative amount before netting adjustments and cash collateral $ 56,745 209 478 $ 55,971 140 321 Netting adjustments and cash collateral (198 ) (460 ) (134 ) (305 ) Derivatives on statements of condition $ 11 $ 18 $ 6 $ 16 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 312 $ 203 Cash collateral received and related accrued interest 50 32 The following table presents the Noninterest income - Derivatives and hedging activities as presented in the Statements of Income. For fair value and cash flow hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness are recorded in Noninterest income for periods prior to January 1, 2019. Three months ended September 30, Nine months ended September 30, For the periods ending 2019 2018 2019 2018 Fair value hedges - interest rate contracts $ (6 ) $ (6 ) Cash flow hedges - interest rate contracts — 1 Economic hedges - Interest rate contracts $ (9 ) 2 $ (44 ) 1 Other (1 ) (1 ) 4 (2 ) Economic hedges (10 ) 1 (40 ) (1 ) Variation margin on daily settled cleared derivatives 5 — 9 1 Noninterest income - Derivatives and hedging activities $ (5 ) $ (5 ) $ (31 ) $ (5 ) The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. 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. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of September 30, 2019 Derivatives with legal right of offset - Gross recognized amount $ 136 $ 71 $ 207 $ 407 $ 68 $ 475 Netting adjustments and cash collateral (134 ) (64 ) (198 ) (396 ) (64 ) (460 ) Derivatives with legal right of offset - net 2 7 9 11 4 15 Derivatives without legal right of offset 2 — 2 3 — 3 Derivatives on statements of condition 4 7 11 14 4 18 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 4 4 Net amount $ 4 $ 7 $ 11 $ 14 $ — $ 14 As of December 31, 2018 Derivatives with legal right of offset - Gross recognized amount $ 107 $ 32 $ 139 $ 279 $ 41 $ 320 Netting adjustments and cash collateral (102 ) (32 ) (134 ) (273 ) (32 ) (305 ) Derivatives with legal right of offset - net 5 — 5 6 9 15 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 6 — 6 7 9 16 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 9 9 Net amount $ 6 $ — $ 6 $ 7 $ — $ 7 At September 30, 2019 , we had $468 million of additional credit exposure on cleared derivatives due to pledging of noncash collateral to our DCOs for initial margin, which exceeded our derivative position. We had $260 million of comparable exposure at December 31, 2018 . 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 were no t material, 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. • Beginning January 1, 2019, on a prospective basis, hedge ineffectiveness, which represents the difference between changes in fair value of the derivative hedging instrument and the related change in fair value of the hedged item is recognized into net interest income in the same line item as the earnings effect of the hedged item. Prior to January 1, 2019, hedge ineffectiveness was classified in noninterest income on derivatives and hedging activities. Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Derivatives and Hedging Activities Amount Recorded in Net Interest Income Three months ended September 30, 2019 Available-for-sale debt securities $ (302 ) $ 294 $ (8 ) Advances (131 ) 134 3 MPF Loans held for portfolio — (1 ) (1 ) Consolidated obligation bonds 23 (30 ) (7 ) Total $ (410 ) $ 397 $ (13 ) Three months ended September 30, 2018 Available-for-sale debt securities $ 46 $ (50 ) (4 ) $ (14 ) Advances 43 (47 ) (4 ) 6 MPF Loans held for portfolio — — — (1 ) Consolidated obligation bonds (17 ) 19 2 (18 ) Total $ 72 $ (78 ) $ (6 ) $ (27 ) Nine months ended September 30, 2019 Available-for-sale debt securities $ (825 ) $ 798 $ (27 ) Advances (404 ) 429 25 MPF Loans held for portfolio — (1 ) (1 ) Consolidated obligation bonds 255 (307 ) (52 ) Total $ (974 ) $ 919 $ (55 ) Nine months ended September 30, 2018 Available-for-sale debt securities $ 95 $ (101 ) $ (6 ) $ (44 ) Advances 150 (148 ) 2 9 MPF Loans held for portfolio — — — (3 ) Consolidated obligation bonds (166 ) 164 (2 ) (34 ) Total $ 79 $ (85 ) $ (6 ) $ (72 ) The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost basis of the hedged items. The line for MPF Loans held for portfolio relates to discontinued closed fair value hedges that are being amortized over the remaining life of the loans, as of September 30, 2019 we did not have any active fair value hedges on our MPF Loans. As of September 30, 2019 Amortized cost of hedged asset/(liability) Basis adjustments active hedges included in amortized cost Basis adjustments discontinued hedges included in amortized cost Cumulative amount of fair value hedging basis adjustments Advances $ 10,457 $ 469 $ — $ 469 Available-for-sale securities 10,894 947 1 948 MPF Loans held for portfolio 726 — 13 13 Consolidated obligation bonds (16,282 ) (112 ) 32 (80 ) Cash Flow Hedges Beginning January 1, 2019 on a prospective basis, hedge ineffectiveness, which represents the difference between changes in fair value of the derivative hedging instrument and the related change in fair value of the hedged item, is recognized into net interest income in the same line item as the earnings effect of the hedged item. For cash flow hedges, recognition occurs only when amounts are reclassified out of accumulated other comprehensive income. Such recognition occurs when earnings are affected by the hedged item. Prior to January 1, 2019, hedge ineffectiveness was classified in noninterest income on derivatives and hedging activities. 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 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 10 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 $2 million as of September 30, 2019 . 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 Reclassified from AOCI into 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 initially recorded in AOCI and are reclassified to the interest income/expense line item of the respective hedged item type. Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Three months ended September 30, 2019 Discount notes $ (8 ) $ (4 ) Total $ (8 ) $ (4 ) Nine months ended September 30, 2019 Discount notes $ (40 ) $ (22 ) Bonds — (1 ) Total $ (40 ) $ (23 ) Ineffectiveness Recorded in Derivatives and Hedging Activities Effective Portion Recorded in AOCI Amount Recorded in Net Interest Income Three months ended September 30, 2018 Discount notes — 15 (22 ) Total $ — $ 15 $ (22 ) Nine months ended September 30, 2018 Advances $ — $ — $ 1 Discount notes 1 103 (86 ) Bonds — — (1 ) Total $ 1 $ 103 $ (86 ) |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 December 31, 2018 Consolidated obligation discount notes $ 47,647 $ 43,166 Weighted Average Interest Rate 1.91 % 2.28 % The following table presents maturities and contractual interest rates on 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 September 30, 2019 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 18,387 1.94 % $ 30,437 One to two years 11,365 2.17 % 8,891 Two to three years 6,637 2.31 % 3,820 Three to four years 2,768 2.70 % 2,104 Four to five years 1,806 2.49 % 562 Thereafter 5,679 3.08 % 828 Total par value $ 46,642 2.25 % $ 46,642 The following table presents consolidated obligation bonds outstanding by call feature: As of September 30, 2019 December 31, 2018 Noncallable $ 32,207 $ 27,999 Callable 14,435 14,487 Par value 46,642 42,486 Fair value hedging adjustments 80 (227 ) Other adjustments 16 (9 ) Consolidated obligation bonds $ 46,738 $ 42,250 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 September 30, 2019 , and December 31, 2018 . See Note 17 - Commitments and Contingencies in our 2018 Form 10-K for further details. September 30, 2019 December 31, 2018 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 621,082 $ 389,189 $ 1,010,271 $ 604,250 $ 427,367 $ 1,031,617 FHLB Chicago as primary obligor 46,642 47,733 94,375 42,486 43,280 85,766 As a percent of the FHLB System 8 % 12 % 9 % 7 % 10 % 8 % |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock (MRCS) | 9 Months Ended |
Sep. 30, 2019 | |
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. See Note 13 – Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements in our 2018 Form 10-K for further information on our capital stock and MRCS. Minimum Capital Requirements For details on our minimum capital requirements, including how the ratios below were calculated, see Minimum Capital Requirements on page F-42 of our 2018 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. September 30, 2019 December 31, 2018 Requirement Actual Requirement Actual Total regulatory capital $ 4,102 $ 5,892 $ 3,714 $ 5,547 Total regulatory capital ratio 4.00 % 5.75 % 4.00 % 5.97 % Leverage capital $ 5,127 $ 8,838 $ 4,643 $ 8,321 Leverage capital ratio 5.00 % 8.62 % 5.00 % 8.96 % Risk-based capital $ 1,152 $ 5,892 $ 1,111 $ 5,547 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 September 30, 2019 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) BMO Harris Bank, National Association $ 494 22.8 % $ — The Northern Trust Company 247 11.4 % — One Mortgage Partners Corp. 245 a 11.3 % 245 a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. On August 14, 2019, the FHFA issued an Advisory Bulletin (the “AB”) providing guidance for each FHLB to maintain a ratio of at least two percent of capital stock to total assets in order to help preserve the cooperative structure incentives that encourage members to remain fully engaged in the oversight of their investment in the Bank. Beginning in February 2020, the FHFA will consider the proportion of capital stock to assets, measured on a daily average basis at month end, when assessing each FHLB’s capital management practices. Dividends Our ability to pay dividends is subject to the FHLB Act and FHFA regulations. On October 22, 2019, our Board of Directors declared a 5.00% dividend (annualized) for Class B1 activity stock and a 2.25% dividend (annualized) for Class B2 membership stock based on our preliminary financial results for the third quarter of 2019 . This dividend totaled $24 million (recorded as $20 million dividends on capital stock and $4 million |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 9 Months Ended |
Sep. 30, 2019 | |
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 Total in AOCI Three months ended September 30, 2019 Beginning balance $ 192 $ (101 ) $ (44 ) $ (6 ) $ 41 Change in the period recorded to the statements of condition, before reclassifications to statements of income (61 ) 7 (8 ) (6 ) (68 ) Amounts reclassified in period to statements of income: Net interest income — — 4 4 Noninterest expense 1 1 Ending balance $ 131 $ (94 ) $ (48 ) $ (11 ) $ (22 ) Three months ended September 30, 2018 Beginning balance $ 315 $ (128 ) $ (57 ) $ (8 ) $ 122 Change in the period recorded to the statements of condition, before reclassifications to statements of income (32 ) 7 15 (5 ) (15 ) Amounts reclassified in period to statements of income: Net interest income — — 10 10 Noninterest expense 1 1 Ending balance $ 283 $ (121 ) $ (32 ) $ (12 ) $ 118 Nine months ended September 30, 2019 Beginning balance $ 211 $ (114 ) $ (31 ) $ (11 ) $ 55 Change in the period recorded to the statements of condition, before reclassifications to statements of income (80 ) 20 (40 ) (2 ) (102 ) Amounts reclassified in period to statements of income: Net interest income — — 23 23 Noninterest expense 2 2 Ending balance $ 131 $ (94 ) $ (48 ) $ (11 ) $ (22 ) Nine months ended September 30, 2018 Beginning balance $ 407 $ (143 ) $ (147 ) $ (5 ) $ 112 Change in the period recorded to the statements of condition, before reclassifications to statements of income (124 ) 22 103 (8 ) (7 ) Amounts reclassified in period to statements of income: Net interest income — — 13 13 Noninterest income (1 ) (1 ) Noninterest expense 1 1 Ending balance $ 283 $ (121 ) $ (32 ) $ (12 ) $ 118 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2019 | |
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 measure instrument-specific credit risk attributable to our consolidated obligations based on our nonperformance risk, which includes the credit risk associated with the joint and several liability of other FHLBs. As a result, we did not recognize any instrument-specific credit risk attributable to our consolidated obligations that are carried at fair value. See Note 2 - Summary of Significant Accounting Policies in our 2018 Form 10-K for our fair value policies and Note 16 - Fair Value in our 2018 Form 10-K for our valuation techniques and significant inputs. See Note 9 - Derivatives and Hedging Activities for more information on the Netting and Cash Collateral amounts. Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral September 30, 2019 Carried at amortized cost Cash and due from banks $ 65 $ 65 $ 65 $ — $ — Interest bearing deposits 1,255 1,255 1,255 — — Federal Funds sold and securities purchased under agreements to resell 11,351 11,351 — 11,351 — Held-to-maturity debt securities 2,159 2,422 — 1,907 515 Advances 54,729 54,794 — 54,794 — MPF Loans held in portfolio, net 9,000 9,210 — 9,203 7 Other assets 163 163 — 163 — Carried at fair value on a recurring basis Trading debt securities 4,496 4,496 — 4,496 — Government related non-MBS, ABS, and MBS 16,177 16,177 — 16,177 — Private label residential MBS 37 37 — — 37 Available-for-sale debt securities 16,214 16,214 — 16,177 37 Advances - fair value option election 2,900 2,900 — 2,900 — Derivative assets 11 11 1 208 — $ (198 ) Other assets - held for sale at fair value 88 88 — 88 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 4 4 — — 4 Other assets 1 1 — — 1 Financial assets 102,436 $ 102,974 $ 1,321 $ 101,287 $ 564 $ (198 ) Other non financial assets 107 Assets $ 102,543 Carried at amortized cost Deposits $ (1,032 ) $ (1,032 ) $ — $ (1,032 ) $ — Consolidated obligation discount notes (47,647 ) (47,651 ) — (47,651 ) — Consolidated obligation bonds (40,099 ) (40,329 ) — (40,329 ) — Mandatorily redeemable capital stock (324 ) (324 ) (324 ) — — Other liabilities (152 ) (152 ) — (152 ) — Carried at fair value on a recurring basis Consolidated obligation bonds - fair value option (6,639 ) (6,639 ) — (6,639 ) — Derivative liabilities (18 ) (18 ) — (478 ) — $ 460 Financial liabilities (95,911 ) $ (96,145 ) $ (324 ) $ (96,281 ) $ — $ 460 Other non financial liabilities (1,086 ) Liabilities $ (96,997 ) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting December 31, 2018 Carried at amortized cost Cash and due from banks $ 28 $ 28 $ 28 $ — $ — Interest bearing deposits 775 775 775 — — Federal Funds sold and securities purchased under agreements to resell 10,604 10,604 — 10,604 — Held-to-maturity debt securities 3,213 3,492 — 2,870 622 Advances 51,603 51,615 — 51,615 — MPF Loans held in portfolio, net 7,096 7,091 — 7,085 6 Other assets 190 190 — 190 — Carried at fair value on a recurring basis Trading debt securities 3,478 3,478 — 3,478 — Government related non-MBS, ABS, and MBS 14,573 14,573 — 14,573 — Private label residential MBS 41 41 — — 41 Available-for-sale debt securities 14,614 14,614 — 14,573 41 Advances - fair value option election 1,025 1,025 — 1,025 — Derivative assets 6 6 — 140 — $ (134 ) Other assets - held for sale at fair value 108 108 — 108 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 7 7 — — 7 Other assets 1 1 — — 1 Financial assets 92,748 $ 93,034 $ 803 $ 91,688 $ 677 $ (134 ) Other non financial assets 109 Assets $ 92,857 Carried at amortized cost Deposits (551 ) (551 ) — (551 ) — Consolidated obligation discount notes (42,174 ) (42,170 ) — (42,170 ) — Consolidated obligation bonds (39,898 ) (39,895 ) — (39,895 ) — Mandatorily redeemable capital stock (313 ) (313 ) (313 ) — — Other liabilities (153 ) (153 ) — (153 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes - fair value option (992 ) (992 ) — (992 ) — Consolidated obligation bonds - fair value option (2,352 ) (2,352 ) — (2,352 ) — Derivative liabilities (16 ) (16 ) — (321 ) — 305 Financial liabilities (86,449 ) $ (86,442 ) $ (313 ) $ (86,434 ) $ — $ 305 Other non financial liabilities (1,119 ) Liabilities $ (87,568 ) We had no transfers between levels for the periods shown. 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 criteria. 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 2018 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 September 30, Nine months ended September 30, 2019 2018 2019 2018 Advances $ 18 $ (1 ) $ 52 $ (11 ) Other assets — (1 ) — (6 ) Consolidated obligation bonds 6 (1 ) (9 ) (3 ) Noninterest income - Instruments held under fair value option $ 24 $ (3 ) $ 43 $ (20 ) 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. September 30, 2019 December 31, 2018 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 2,857 $ 6,617 $ 1,037 $ 2,358 Fair value over (under) UPB 43 22 (12 ) (6 ) Fair value $ 2,900 $ 6,639 $ 1,025 $ 2,352 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2019 | |
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. September 30, 2019 December 31, 2018 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 148 $ — $ 148 $ 114 $ — $ 114 Member standby letters of credit 16,226 7,527 a 23,753 19,971 4,335 a 24,306 Housing authority standby bond purchase agreements 152 298 450 84 289 373 Advance commitments 9 30 39 267 7 274 MPF delivery commitments 1,058 — 1,058 336 — 336 Other 1 — 1 3 — 3 Commitments $ 17,594 $ 7,855 $ 25,449 $ 20,775 $ 4,631 $ 25,406 a Contains $4.8 billion and $1.7 billion of member standby letters of credit as of September 30, 2019 , and December 31, 2018 , which were renewable annually. For a description of defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2018 Form 10-K. |
Transactions with Related Parti
Transactions with Related Parties and Other FHLBs | 9 Months Ended |
Sep. 30, 2019 | |
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. These 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 no t material. As of September 30, 2019 December 31, 2018 Assets - Advances $ 678 $ 665 Liabilities - Deposits 9 6 Equity - Capital Stock 32 27 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 are identified on the face of our Financial Statements starting on page 3. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2019 | |
Accounting Policies [Abstract] | |
Derivatives, Policy [Policy Text Block] | (FASB ASU 2018-16) In October of 2018, the FASB issued an amendment that adds the OIS rate based on the SOFR as a U.S. benchmark interest rate for hedge accounting purposes, in light of the plan for a phase out of the oversight of LIBOR. The SOFR OIS rate is the fixed rate on a U.S. dollar, constant-notional interest rate swap that has its variable-rate leg referenced to SOFR (an overnight rate) with no additional spread over SOFR on that variable-rate leg. That fixed rate is the derived rate that would result in the swap having a zero fair value at inception because the present value of fixed cash flows, based on that rate, equates to the present value of the variable cash flows. Including the OIS rate based on SOFR as an eligible benchmark interest rate during the early stages of the marketplace transition should facilitate the LIBOR to SOFR transition and provide sufficient lead time for us to prepare for changes to interest rate risk hedging strategies for both risk management and hedge accounting purposes. We adopted this amendment on a prospective basis for qualifying new hedging relationships entered on or after January 1, 2019. The new guidance did not have an effect on our financial condition, results of operations, and cash flows at the time of adoption but we continue to evaluate potential future impacts. |
Derivatives, Methods of Accounting, Hedge Effectiveness [Policy Text Block] | 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. Upon adoption, we modified the risk of certain fair value hedges from contractual coupon interest rate to benchmark rate component improving hedge effectiveness. The opening cumulative adjustment related to modifying the risk being hedged was an increase to retained earnings of $16 million and a corresponding increase to the cumulative basis adjustment (carrying value) of the hedged items. The opening adjustment to retained earnings related to ineffectiveness recognized in prior reporting periods attributable to open cash flow hedges was not material. Prior reporting periods were not restated. Significant changes to existing GAAP guidance were as follows: Hedging Strategies Newly Permitted: • Permits entering into a cash flow hedge of the variability in cash flows in a financial instrument that has a contractually specified interest rate. • Permits hedging the benchmark risk component of cash flows in a fair value hedge. • Permits entering into a partial-term fair value hedge of the hedged item. • Permits entering into last-of-layer fair value hedges. Assessment of Hedge Effectiveness: • Permits qualitatively assessing hedge effectiveness. • Enabled applying the long-haul method of assessing hedge effectiveness in cases where the shortcut method was initially applied but subsequently is not or is no longer appropriate. Financial Statement Presentation: • Required the entire change in fair value of the hedging instrument in a cash flow hedge to be recorded and deferred in AOCI until reclassification to our statements of income would be required. • Required hedge ineffectiveness to be presented in either interest income or interest expense, whichever is appropriate, rather than into noninterest income on derivatives and hedging activities in our statements of income. This means that changes in fair value on AFS debt securities in a fair value hedging relationship are immediately recognized into interest income in our statement of income. • The above presentation guidance was prospectively adopted. Prior to January 1, 2019, hedge ineffectiveness was classified in noninterest income on derivatives and hedging activities in our statements of income. |
Lessee, Leases [Policy Text Block] | Leases (ASU 2016-02) In February of 2016, the FASB issued lease accounting guidance that became effective January 1, 2019. Upon adoption, we applied the guidance to the beginning of January 1, 2019, using the modified retrospective approach. Prior financial statements were not restated. There was no cumulative effect adjustment to the opening balance of retained earnings as of January 1, 2019. The guidance required us to recognize and measure our operating leases as right-of-use assets, with terms that exceed 12 months, in our statements of condition - that amount, which was $11 million , was recognized in other assets and other liabilities as of January 1, 2019. Expenses attributable to our leases are included in noninterest expense - operating expenses in our statements of income. Payments related to our operating leases are classified within operating activities in our statements of cash flows. |
Interest Income and Interest _2
Interest Income and Interest Expense (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, Nine months ended September 30, 2019 2018 2019 2018 Interest income - Trading $ 24 $ 8 $ 62 $ 23 Available-for-sale interest income 126 107 378 318 Available-for-sale prepayment fees 1 7 3 27 Available-for-sale 127 114 381 345 Held-to-maturity 33 46 105 135 Investment debt securities 184 168 548 503 Advances 326 312 1,046 811 MPF Loans held in portfolio 79 62 233 177 Federal funds sold and securities purchased under agreements to resell 64 54 201 152 Other 9 7 23 17 Interest income 662 603 2,051 1,660 Interest expense - Consolidated obligations - Discount notes 270 208 831 596 Bonds 272 263 851 665 Other 7 6 22 17 Interest expense 549 477 1,704 1,278 Net interest income 113 126 347 382 Provision for (reversal of) credit losses — (1 ) — (1 ) Net interest income after provision for (reversal of) credit losses $ 113 $ 127 $ 347 $ 383 |
Investment Debt Securities (Tab
Investment Debt Securities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 debt securities. As of September 30, 2019 December 31, 2018 U.S. Government & other government related $ 4,482 $ 3,460 Residential MBS GSE 13 17 Government guaranteed 1 1 Trading debt securities $ 4,496 $ 3,478 The following table presents our gains and losses on trading debt securities recorded in Noninterest Income Other. Three months ended September 30, Nine months ended September 30, 2019 2018 2019 2018 Net unrealized gains (losses) on securities held at period end $ (9 ) $ 4 $ 3 $ 8 Net realized gains (losses) on securities sold/matured during the period 6 1 17 — Net gains (losses) on trading debt securities $ (3 ) $ 5 $ 20 $ 8 |
Available-for-sale Securities by Major Security Type [Table Text Block] | Amortized Cost Basis and Fair Value – Available-for-Sale Debt Securities (AFS) Amortized Cost Basis Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Carrying Amount and Fair Value As of September 30, 2019 U.S. Government & other government related $ 715 $ 40 $ — $ 755 State or local housing agency 14 1 — 15 FFELP ABS 3,309 155 (5 ) 3,459 Residential MBS GSE 11,614 10 (87 ) 11,537 Government guaranteed 401 10 — 411 Private label 30 7 — 37 Available-for-sale debt securities $ 16,083 $ 223 $ (92 ) $ 16,214 As of December 31, 2018 U.S. Government & other government related $ 528 $ 15 $ — $ 543 State or local housing agency 17 — — 17 FFELP ABS 3,578 203 — 3,781 Residential MBS GSE 9,602 20 (48 ) 9,574 Government guaranteed 645 13 — 658 Private label 33 8 — 41 Available-for-sale debt securities $ 14,403 $ 259 $ (48 ) $ 14,614 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 Debt 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 September 30, 2019 U.S. Government & other government related $ 666 $ — $ 666 $ 24 $ — $ 690 State or local housing agency 4 — 4 — — 4 Residential MBS GSE 964 — 964 35 — 999 Government guaranteed 211 — 211 3 — 214 Private label 408 (94 ) 314 201 — 515 Held-to-maturity debt securities $ 2,253 $ (94 ) $ 2,159 $ 263 $ — $ 2,422 As of December 31, 2018 U.S. Government & other government related $ 1,305 $ — $ 1,305 $ 18 $ (1 ) $ 1,322 State or local housing agency 6 — 6 — — 6 Residential MBS GSE 1,141 — 1,141 30 — 1,171 Government guaranteed 369 — 369 2 — 371 Private label 506 (114 ) 392 230 — 622 Held-to-maturity debt securities $ 3,327 $ (114 ) $ 3,213 $ 280 $ (1 ) $ 3,492 We had no sales of HTM securities for the periods presented. |
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 September 30, 2019 Carrying Amount and Fair Value Carrying Amount Fair Value Year of Maturity - Due in one year or less $ — $ 126 $ 126 Due after one year through five years 6 41 42 Due after five years through ten years 250 79 79 Due after ten years 514 424 447 ABS and MBS without a single maturity date 15,444 1,489 1,728 Total debt securities $ 16,214 $ 2,159 $ 2,422 |
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 in the following section 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 debt securities As of September 30, 2019 U.S. Government & other government related $ — $ — $ 3 $ — $ 3 $ — FFELP ABS 530 (5 ) — — 530 (5 ) Residential MBS GSE 8,202 (64 ) 1,162 (23 ) 9,364 (87 ) Private label — — 5 — 5 — Available-for-sale debt securities $ 8,732 $ (69 ) $ 1,170 $ (23 ) $ 9,902 $ (92 ) As of December 31, 2018 U.S. Government & other government related $ — $ — $ 3 $ — $ 3 $ — State or local housing agency 1 — 3 — 4 — Residential MBS GSE 5,573 (46 ) 48 (2 ) 5,621 (48 ) Government guaranteed 31 — — — 31 — Private label — — 5 — 5 — Available-for-sale debt securities $ 5,605 $ (46 ) $ 59 $ (2 ) $ 5,664 $ (48 ) Held-to-maturity debt securities As of September 30, 2019 State or local housing agency 2 — — — 2 — Residential MBS GSE 5 — — — 5 — Government-guaranteed 45 — 24 — 69 — Private label — — 490 (94 ) 490 (94 ) Held-to-maturity debt securities $ 52 $ — $ 514 $ (94 ) $ 566 $ (94 ) As of December 31, 2018 U.S. Government & other government related $ 459 $ — $ 23 $ (1 ) $ 482 $ (1 ) State or local housing agency — — 2 — 2 — Residential MBS Government guaranteed 170 — — — 170 — Private label — — 592 (114 ) 592 (114 ) Held-to-maturity debt securities $ 629 $ — $ 617 $ (115 ) $ 1,246 $ (115 ) |
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 debt securities recognized into earnings for the reporting periods indicated. Three months ended September 30, Nine months ended September 30, 2019 2018 2019 2018 Beginning Balance $ 427 $ 459 $ 442 $ 477 Reductions: Securities sold, matured, or fully prepaid over the period — — (1 ) — Increases in cash flows expected to be collected and recognized into interest income (6 ) (8 ) (20 ) (26 ) Ending Balance $ 421 $ 451 $ 421 $ 451 |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | The following table presents our advances by terms of contractual maturity and the related weighted average contractual interest rate. For amortizing advances, contractual maturity is determined based on the advance’s amortization schedule. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties. As of September 30, 2019 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 24,504 2.06 % One to two years 2,964 2.20 % Two to three years 3,000 2.36 % Three to four years 6,451 2.44 % Four to five years 7,296 2.22 % More than five years 12,900 2.24 % Par value $ 57,115 2.19 % 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 September 30, 2019 December 31, 2018 Par value $ 57,115 $ 52,606 Fair value hedging adjustments 469 30 Other adjustments 45 (8 ) Advances $ 57,629 $ 52,628 |
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 September 30, 2019 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 19.3 % BMO Harris Bank, National Association 10,975 19.2 % The Northern Trust Company 7,700 13.5 % 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) | 9 Months Ended |
Sep. 30, 2019 | |
Receivables [Abstract] | |
Schedule of Participating Mortgage Loans [Table Text Block] | The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase. As of September 30, 2019 December 31, 2018 Medium term (15 years or less) $ 546 $ 334 Long term (greater than 15 years) 8,301 6,662 Unpaid principal balance 8,847 6,996 Net premiums, credit enhancement, and/or deferred loan fees 147 100 Fair value and economic hedging adjustments 11 8 MPF Loans held in portfolio, before allowance for credit losses 9,005 7,104 Allowance for credit losses on MPF Loans (1 ) (1 ) MPF Loans held in portfolio, net $ 9,004 $ 7,103 Conventional mortgage loans $ 7,936 $ 6,062 Government Loans 911 934 Unpaid principal balance $ 8,847 $ 6,996 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 2018 Form 10-K for information related to the accounting treatment of these off balance sheet MPF Loan products. |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Receivables [Abstract] | |
Financing Receivable, Allowance for Credit Loss [Table Text Block] | We only have recorded an allowance for credit losses on conventional MPF Loans held in portfolio as further discussed below. For further detail of our MPF Risk Sharing Structure see page F-15 in our 2018 Form 10-K. There has been no material activity in our allowance for credit losses since December 31, 2018 . The following table presents the recorded investment and the allowance for credit losses in conventional MPF Loans by impairment methodology. As of September 30, 2019 December 31, 2018 Conventional mortgage loans - Individually evaluated for impairment $ 29 $ 33 Collectively evaluated for impairment 8,093 6,155 Recorded investment $ 8,122 $ 6,188 Allowance for credit losses - Collectively evaluated for impairment $ 1 $ 1 |
Financing Receivable, Past Due [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. • Conventional MPF Loans are individually evaluated for impairment when they are adversely classified. There is no allowance for credit losses attributable to conventional MPF Loans that are individually evaluated for impairment, since the related allowance for credit losses has been charged off. We do not recognize interest income on impaired conventional MPF Loans. September 30, 2019 December 31, 2018 As of Conventional Government Total Conventional Government Total Past due 30-59 days $ 66 $ 39 $ 105 $ 59 $ 42 $ 101 Past due 60-89 days 19 11 30 17 14 31 Past due 90 days or more 28 15 43 31 19 50 Past due 113 65 178 107 75 182 Current 8,009 866 8,875 6,081 879 6,960 Recorded investment $ 8,122 $ 931 $ 9,053 $ 6,188 $ 954 $ 7,142 In process of foreclosure $ 10 $ 3 $ 13 $ 13 $ 6 $ 19 Serious delinquency rate 0.35 % 1.53 % 0.47 % 0.51 % 1.95 % 0.70 % Past due 90 days or more and still accruing interest $ 4 $ 14 $ 18 $ 5 $ 19 $ 24 Impaired loans without an allowance for credit losses and on nonaccrual status 29 29 33 33 Unpaid principal balance of impaired loans without an allowance for credit losses 32 32 36 36 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table presents details on the notional amounts, and derivative assets and liabilities on our statements of condition. 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. September 30, 2019 December 31, 2018 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 35,906 $ 43 $ 363 $ 35,549 $ 39 $ 261 Derivatives not in hedge accounting relationships- Interest rate contracts 18,934 164 111 19,803 100 59 Other 1,905 2 4 619 1 1 Derivatives not in hedge accounting relationships 20,839 166 115 20,422 101 60 Gross derivative amount before netting adjustments and cash collateral $ 56,745 209 478 $ 55,971 140 321 Netting adjustments and cash collateral (198 ) (460 ) (134 ) (305 ) Derivatives on statements of condition $ 11 $ 18 $ 6 $ 16 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 312 $ 203 Cash collateral received and related accrued interest 50 32 |
Derivatives And Hedging Activities as Presented in the Statements of Income [Table Text Block] | The following table presents the Noninterest income - Derivatives and hedging activities as presented in the Statements of Income. For fair value and cash flow hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness are recorded in Noninterest income for periods prior to January 1, 2019. Three months ended September 30, Nine months ended September 30, For the periods ending 2019 2018 2019 2018 Fair value hedges - interest rate contracts $ (6 ) $ (6 ) Cash flow hedges - interest rate contracts — 1 Economic hedges - Interest rate contracts $ (9 ) 2 $ (44 ) 1 Other (1 ) (1 ) 4 (2 ) Economic hedges (10 ) 1 (40 ) (1 ) Variation margin on daily settled cleared derivatives 5 — 9 1 Noninterest income - Derivatives and hedging activities $ (5 ) $ (5 ) $ (31 ) $ (5 ) |
Offsetting Assets [Table Text Block] | The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. 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. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of September 30, 2019 Derivatives with legal right of offset - Gross recognized amount $ 136 $ 71 $ 207 $ 407 $ 68 $ 475 Netting adjustments and cash collateral (134 ) (64 ) (198 ) (396 ) (64 ) (460 ) Derivatives with legal right of offset - net 2 7 9 11 4 15 Derivatives without legal right of offset 2 — 2 3 — 3 Derivatives on statements of condition 4 7 11 14 4 18 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 4 4 Net amount $ 4 $ 7 $ 11 $ 14 $ — $ 14 As of December 31, 2018 Derivatives with legal right of offset - Gross recognized amount $ 107 $ 32 $ 139 $ 279 $ 41 $ 320 Netting adjustments and cash collateral (102 ) (32 ) (134 ) (273 ) (32 ) (305 ) Derivatives with legal right of offset - net 5 — 5 6 9 15 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 6 — 6 7 9 16 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 9 9 Net amount $ 6 $ — $ 6 $ 7 $ — $ 7 |
Offsetting Liabilities [Table Text Block] | The following table presents details regarding the offsetting of our derivative assets and liabilities on our statements of condition. 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. Derivative Assets Derivative Liabilities Bilateral Cleared Total Bilateral Cleared Total As of September 30, 2019 Derivatives with legal right of offset - Gross recognized amount $ 136 $ 71 $ 207 $ 407 $ 68 $ 475 Netting adjustments and cash collateral (134 ) (64 ) (198 ) (396 ) (64 ) (460 ) Derivatives with legal right of offset - net 2 7 9 11 4 15 Derivatives without legal right of offset 2 — 2 3 — 3 Derivatives on statements of condition 4 7 11 14 4 18 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 4 4 Net amount $ 4 $ 7 $ 11 $ 14 $ — $ 14 As of December 31, 2018 Derivatives with legal right of offset - Gross recognized amount $ 107 $ 32 $ 139 $ 279 $ 41 $ 320 Netting adjustments and cash collateral (102 ) (32 ) (134 ) (273 ) (32 ) (305 ) Derivatives with legal right of offset - net 5 — 5 6 9 15 Derivatives without legal right of offset 1 — 1 1 — 1 Derivatives on statements of condition 6 — 6 7 9 16 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 9 9 Net amount $ 6 $ — $ 6 $ 7 $ — $ 7 At September 30, 2019 , we had $468 million of additional credit exposure on cleared derivatives due to pledging of noncash collateral to our DCOs for initial margin, which exceeded our derivative position. We had $260 million of comparable exposure at December 31, 2018 . |
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 were no t material, 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. • Beginning January 1, 2019, on a prospective basis, hedge ineffectiveness, which represents the difference between changes in fair value of the derivative hedging instrument and the related change in fair value of the hedged item is recognized into net interest income in the same line item as the earnings effect of the hedged item. Prior to January 1, 2019, hedge ineffectiveness was classified in noninterest income on derivatives and hedging activities. Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Derivatives and Hedging Activities Amount Recorded in Net Interest Income Three months ended September 30, 2019 Available-for-sale debt securities $ (302 ) $ 294 $ (8 ) Advances (131 ) 134 3 MPF Loans held for portfolio — (1 ) (1 ) Consolidated obligation bonds 23 (30 ) (7 ) Total $ (410 ) $ 397 $ (13 ) Three months ended September 30, 2018 Available-for-sale debt securities $ 46 $ (50 ) (4 ) $ (14 ) Advances 43 (47 ) (4 ) 6 MPF Loans held for portfolio — — — (1 ) Consolidated obligation bonds (17 ) 19 2 (18 ) Total $ 72 $ (78 ) $ (6 ) $ (27 ) Nine months ended September 30, 2019 Available-for-sale debt securities $ (825 ) $ 798 $ (27 ) Advances (404 ) 429 25 MPF Loans held for portfolio — (1 ) (1 ) Consolidated obligation bonds 255 (307 ) (52 ) Total $ (974 ) $ 919 $ (55 ) Nine months ended September 30, 2018 Available-for-sale debt securities $ 95 $ (101 ) $ (6 ) $ (44 ) Advances 150 (148 ) 2 9 MPF Loans held for portfolio — — — (3 ) Consolidated obligation bonds (166 ) 164 (2 ) (34 ) Total $ 79 $ (85 ) $ (6 ) $ (72 ) The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost basis of the hedged items. The line for MPF Loans held for portfolio relates to discontinued closed fair value hedges that are being amortized over the remaining life of the loans, as of September 30, 2019 we did not have any active fair value hedges on our MPF Loans. As of September 30, 2019 Amortized cost of hedged asset/(liability) Basis adjustments active hedges included in amortized cost Basis adjustments discontinued hedges included in amortized cost Cumulative amount of fair value hedging basis adjustments Advances $ 10,457 $ 469 $ — $ 469 Available-for-sale securities 10,894 947 1 948 MPF Loans held for portfolio 726 — 13 13 Consolidated obligation bonds (16,282 ) (112 ) 32 (80 ) |
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 Reclassified from AOCI into 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 initially recorded in AOCI and are reclassified to the interest income/expense line item of the respective hedged item type. Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Three months ended September 30, 2019 Discount notes $ (8 ) $ (4 ) Total $ (8 ) $ (4 ) Nine months ended September 30, 2019 Discount notes $ (40 ) $ (22 ) Bonds — (1 ) Total $ (40 ) $ (23 ) Ineffectiveness Recorded in Derivatives and Hedging Activities Effective Portion Recorded in AOCI Amount Recorded in Net Interest Income Three months ended September 30, 2018 Discount notes — 15 (22 ) Total $ — $ 15 $ (22 ) Nine months ended September 30, 2018 Advances $ — $ — $ 1 Discount notes 1 103 (86 ) Bonds — — (1 ) Total $ 1 $ 103 $ (86 ) |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 December 31, 2018 Consolidated obligation discount notes $ 47,647 $ 43,166 Weighted Average Interest Rate 1.91 % 2.28 % |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following table presents maturities and contractual interest rates on 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 September 30, 2019 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 18,387 1.94 % $ 30,437 One to two years 11,365 2.17 % 8,891 Two to three years 6,637 2.31 % 3,820 Three to four years 2,768 2.70 % 2,104 Four to five years 1,806 2.49 % 562 Thereafter 5,679 3.08 % 828 Total par value $ 46,642 2.25 % $ 46,642 |
Schedule of Long-term Debt Instruments [Table Text Block] | The following table presents consolidated obligation bonds outstanding by call feature: As of September 30, 2019 December 31, 2018 Noncallable $ 32,207 $ 27,999 Callable 14,435 14,487 Par value 46,642 42,486 Fair value hedging adjustments 80 (227 ) Other adjustments 16 (9 ) Consolidated obligation bonds $ 46,738 $ 42,250 |
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 September 30, 2019 , and December 31, 2018 . See Note 17 - Commitments and Contingencies in our 2018 Form 10-K for further details. September 30, 2019 December 31, 2018 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 621,082 $ 389,189 $ 1,010,271 $ 604,250 $ 427,367 $ 1,031,617 FHLB Chicago as primary obligor 46,642 47,733 94,375 42,486 43,280 85,766 As a percent of the FHLB System 8 % 12 % 9 % 7 % 10 % 8 % |
Capital and Mandatorily Redee_2
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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-42 of our 2018 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. September 30, 2019 December 31, 2018 Requirement Actual Requirement Actual Total regulatory capital $ 4,102 $ 5,892 $ 3,714 $ 5,547 Total regulatory capital ratio 4.00 % 5.75 % 4.00 % 5.97 % Leverage capital $ 5,127 $ 8,838 $ 4,643 $ 8,321 Leverage capital ratio 5.00 % 8.62 % 5.00 % 8.96 % Risk-based capital $ 1,152 $ 5,892 $ 1,111 $ 5,547 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 September 30, 2019 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) BMO Harris Bank, National Association $ 494 22.8 % $ — The Northern Trust Company 247 11.4 % — One Mortgage Partners Corp. 245 a 11.3 % 245 a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 Total in AOCI Three months ended September 30, 2019 Beginning balance $ 192 $ (101 ) $ (44 ) $ (6 ) $ 41 Change in the period recorded to the statements of condition, before reclassifications to statements of income (61 ) 7 (8 ) (6 ) (68 ) Amounts reclassified in period to statements of income: Net interest income — — 4 4 Noninterest expense 1 1 Ending balance $ 131 $ (94 ) $ (48 ) $ (11 ) $ (22 ) Three months ended September 30, 2018 Beginning balance $ 315 $ (128 ) $ (57 ) $ (8 ) $ 122 Change in the period recorded to the statements of condition, before reclassifications to statements of income (32 ) 7 15 (5 ) (15 ) Amounts reclassified in period to statements of income: Net interest income — — 10 10 Noninterest expense 1 1 Ending balance $ 283 $ (121 ) $ (32 ) $ (12 ) $ 118 Nine months ended September 30, 2019 Beginning balance $ 211 $ (114 ) $ (31 ) $ (11 ) $ 55 Change in the period recorded to the statements of condition, before reclassifications to statements of income (80 ) 20 (40 ) (2 ) (102 ) Amounts reclassified in period to statements of income: Net interest income — — 23 23 Noninterest expense 2 2 Ending balance $ 131 $ (94 ) $ (48 ) $ (11 ) $ (22 ) Nine months ended September 30, 2018 Beginning balance $ 407 $ (143 ) $ (147 ) $ (5 ) $ 112 Change in the period recorded to the statements of condition, before reclassifications to statements of income (124 ) 22 103 (8 ) (7 ) Amounts reclassified in period to statements of income: Net interest income — — 13 13 Noninterest income (1 ) (1 ) Noninterest expense 1 1 Ending balance $ 283 $ (121 ) $ (32 ) $ (12 ) $ 118 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurement [Table Text Block] | 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 measure instrument-specific credit risk attributable to our consolidated obligations based on our nonperformance risk, which includes the credit risk associated with the joint and several liability of other FHLBs. As a result, we did not recognize any instrument-specific credit risk attributable to our consolidated obligations that are carried at fair value. See Note 2 - Summary of Significant Accounting Policies in our 2018 Form 10-K for our fair value policies and Note 16 - Fair Value in our 2018 Form 10-K for our valuation techniques and significant inputs. See Note 9 - Derivatives and Hedging Activities for more information on the Netting and Cash Collateral amounts. Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral September 30, 2019 Carried at amortized cost Cash and due from banks $ 65 $ 65 $ 65 $ — $ — Interest bearing deposits 1,255 1,255 1,255 — — Federal Funds sold and securities purchased under agreements to resell 11,351 11,351 — 11,351 — Held-to-maturity debt securities 2,159 2,422 — 1,907 515 Advances 54,729 54,794 — 54,794 — MPF Loans held in portfolio, net 9,000 9,210 — 9,203 7 Other assets 163 163 — 163 — Carried at fair value on a recurring basis Trading debt securities 4,496 4,496 — 4,496 — Government related non-MBS, ABS, and MBS 16,177 16,177 — 16,177 — Private label residential MBS 37 37 — — 37 Available-for-sale debt securities 16,214 16,214 — 16,177 37 Advances - fair value option election 2,900 2,900 — 2,900 — Derivative assets 11 11 1 208 — $ (198 ) Other assets - held for sale at fair value 88 88 — 88 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 4 4 — — 4 Other assets 1 1 — — 1 Financial assets 102,436 $ 102,974 $ 1,321 $ 101,287 $ 564 $ (198 ) Other non financial assets 107 Assets $ 102,543 Carried at amortized cost Deposits $ (1,032 ) $ (1,032 ) $ — $ (1,032 ) $ — Consolidated obligation discount notes (47,647 ) (47,651 ) — (47,651 ) — Consolidated obligation bonds (40,099 ) (40,329 ) — (40,329 ) — Mandatorily redeemable capital stock (324 ) (324 ) (324 ) — — Other liabilities (152 ) (152 ) — (152 ) — Carried at fair value on a recurring basis Consolidated obligation bonds - fair value option (6,639 ) (6,639 ) — (6,639 ) — Derivative liabilities (18 ) (18 ) — (478 ) — $ 460 Financial liabilities (95,911 ) $ (96,145 ) $ (324 ) $ (96,281 ) $ — $ 460 Other non financial liabilities (1,086 ) Liabilities $ (96,997 ) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting December 31, 2018 Carried at amortized cost Cash and due from banks $ 28 $ 28 $ 28 $ — $ — Interest bearing deposits 775 775 775 — — Federal Funds sold and securities purchased under agreements to resell 10,604 10,604 — 10,604 — Held-to-maturity debt securities 3,213 3,492 — 2,870 622 Advances 51,603 51,615 — 51,615 — MPF Loans held in portfolio, net 7,096 7,091 — 7,085 6 Other assets 190 190 — 190 — Carried at fair value on a recurring basis Trading debt securities 3,478 3,478 — 3,478 — Government related non-MBS, ABS, and MBS 14,573 14,573 — 14,573 — Private label residential MBS 41 41 — — 41 Available-for-sale debt securities 14,614 14,614 — 14,573 41 Advances - fair value option election 1,025 1,025 — 1,025 — Derivative assets 6 6 — 140 — $ (134 ) Other assets - held for sale at fair value 108 108 — 108 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 7 7 — — 7 Other assets 1 1 — — 1 Financial assets 92,748 $ 93,034 $ 803 $ 91,688 $ 677 $ (134 ) Other non financial assets 109 Assets $ 92,857 Carried at amortized cost Deposits (551 ) (551 ) — (551 ) — Consolidated obligation discount notes (42,174 ) (42,170 ) — (42,170 ) — Consolidated obligation bonds (39,898 ) (39,895 ) — (39,895 ) — Mandatorily redeemable capital stock (313 ) (313 ) (313 ) — — Other liabilities (153 ) (153 ) — (153 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes - fair value option (992 ) (992 ) — (992 ) — Consolidated obligation bonds - fair value option (2,352 ) (2,352 ) — (2,352 ) — Derivative liabilities (16 ) (16 ) — (321 ) — 305 Financial liabilities (86,449 ) $ (86,442 ) $ (313 ) $ (86,434 ) $ — $ 305 Other non financial liabilities (1,119 ) Liabilities $ (87,568 ) We had no |
Fair Value Option, 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 September 30, Nine months ended September 30, 2019 2018 2019 2018 Advances $ 18 $ (1 ) $ 52 $ (11 ) Other assets — (1 ) — (6 ) Consolidated obligation bonds 6 (1 ) (9 ) (3 ) Noninterest income - Instruments held under fair value option $ 24 $ (3 ) $ 43 $ (20 ) 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. September 30, 2019 December 31, 2018 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 2,857 $ 6,617 $ 1,037 $ 2,358 Fair value over (under) UPB 43 22 (12 ) (6 ) Fair value $ 2,900 $ 6,639 $ 1,025 $ 2,352 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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. September 30, 2019 December 31, 2018 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 148 $ — $ 148 $ 114 $ — $ 114 Member standby letters of credit 16,226 7,527 a 23,753 19,971 4,335 a 24,306 Housing authority standby bond purchase agreements 152 298 450 84 289 373 Advance commitments 9 30 39 267 7 274 MPF delivery commitments 1,058 — 1,058 336 — 336 Other 1 — 1 3 — 3 Commitments $ 17,594 $ 7,855 $ 25,449 $ 20,775 $ 4,631 $ 25,406 a Contains $4.8 billion and $1.7 billion of member standby letters of credit as of September 30, 2019 , and December 31, 2018 , which were renewable annually. For a description of defined terms see Note 17 - Commitments and Contingencies to the financial statements in our 2018 Form 10-K. |
Transactions with Related Par_2
Transactions with Related Parties and Other FHLBs (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 no t material. As of September 30, 2019 December 31, 2018 Assets - Advances $ 678 $ 665 Liabilities - Deposits 9 6 Equity - Capital Stock 32 27 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies Narrative (Details) $ in Millions | Jan. 01, 2019USD ($) |
Accounting Standards Update 2017-12 [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative Effect of New Accounting Principle in Period of Adoption | $ 16 |
Accounting Standards Update 2016-02 [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative Effect of New Accounting Principle in Period of Adoption | 0 |
Operating Lease, Right-of-Use Asset | 11 |
Operating Lease, Liability | $ 11 |
Interest Income and Interest _3
Interest Income and Interest Expense (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Interest income - | ||||
Trading | $ 24 | $ 8 | $ 62 | $ 23 |
Available-for-sale interest income | 126 | 107 | 378 | 318 |
Available-for-sale prepayment fees | 1 | 7 | 3 | 27 |
Available-for-sale | 127 | 114 | 381 | 345 |
Held-to-maturity | 33 | 46 | 105 | 135 |
Investment debt securities | 184 | 168 | 548 | 503 |
Advances | 326 | 312 | 1,046 | 811 |
MPF Loans held in portfolio | 79 | 62 | 233 | 177 |
Federal funds sold and securities purchased under agreements to resell | 64 | 54 | 201 | 152 |
Other | 9 | 7 | 23 | 17 |
Interest income | 662 | 603 | 2,051 | 1,660 |
Consolidated obligations - | ||||
Discount notes | 270 | 208 | 831 | 596 |
Bonds | 272 | 263 | 851 | 665 |
Other | 7 | 6 | 22 | 17 |
Interest expense | 549 | 477 | 1,704 | 1,278 |
Net interest income | 113 | 126 | 347 | 382 |
Provision for (reversal of) credit losses | 0 | (1) | 0 | (1) |
Net interest income after provision for (reversal of) credit losses | $ 113 | $ 127 | $ 347 | $ 383 |
Investment Debt Securities (Tra
Investment Debt Securities (Trading debt scurities) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Debt and Equity Securities, FV-NI [Line Items] | |||||
Trading debt securities | $ 4,496 | $ 4,496 | $ 3,478 | ||
Net unrealized gains (losses) on securities held at period end | (9) | $ 4 | 3 | $ 8 | |
Net realized gains (losses) on securities sold/matured during the period | 6 | 1 | 17 | 0 | |
Net gains (losses) on trading debt securities | (3) | $ 5 | 20 | $ 8 | |
U.S. Government & other government related | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Trading debt securities | 4,482 | 4,482 | 3,460 | ||
Residential MBS | GSE | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Trading debt securities | 13 | 13 | 17 | ||
Residential MBS | Government guaranteed | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Trading debt securities | $ 1 | $ 1 | $ 1 |
Investment Debt Securities (Ava
Investment Debt Securities (Available-for-sale debt securities) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | $ 16,083 | $ 14,403 |
Gross Unrealized Gains in AOCI | 223 | 259 |
Gross Unrealized (Losses) in AOCI | (92) | (48) |
Carrying Amount and Fair Value | 16,214 | 14,614 |
U.S. Government & other government related | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 715 | 528 |
Gross Unrealized Gains in AOCI | 40 | 15 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 755 | 543 |
State or local housing agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 14 | 17 |
Gross Unrealized Gains in AOCI | 1 | 0 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 15 | 17 |
FFELP ABS | FFELP ABS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 3,309 | 3,578 |
Gross Unrealized Gains in AOCI | 155 | 203 |
Gross Unrealized (Losses) in AOCI | (5) | 0 |
Carrying Amount and Fair Value | 3,459 | 3,781 |
Residential MBS | GSE | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 11,614 | 9,602 |
Gross Unrealized Gains in AOCI | 10 | 20 |
Gross Unrealized (Losses) in AOCI | (87) | (48) |
Carrying Amount and Fair Value | 11,537 | 9,574 |
Residential MBS | Government guaranteed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 401 | 645 |
Gross Unrealized Gains in AOCI | 10 | 13 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | 411 | 658 |
Residential MBS | Private label | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 30 | 33 |
Gross Unrealized Gains in AOCI | 7 | 8 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Carrying Amount and Fair Value | $ 37 | $ 41 |
Investment Debt Securities (Hel
Investment Debt Securities (Held-to-maturities debt securities) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | $ 2,253 | $ 3,327 |
Non-credit OTTI Recognized in AOCI (Loss) | (94) | (114) |
Carrying Amount | 2,159 | 3,213 |
Gross Unrecognized Holding Gains | 263 | 280 |
Gross Unrecognized Holding (Losses) | 0 | (1) |
Fair Value | 2,422 | 3,492 |
U.S. Government & other government related | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 666 | 1,305 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 666 | 1,305 |
Gross Unrecognized Holding Gains | 24 | 18 |
Gross Unrecognized Holding (Losses) | 0 | (1) |
Fair Value | 690 | 1,322 |
State or local housing agency | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 4 | 6 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 4 | 6 |
Gross Unrecognized Holding Gains | 0 | 0 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | 4 | 6 |
Residential MBS | GSE | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 964 | 1,141 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 964 | 1,141 |
Gross Unrecognized Holding Gains | 35 | 30 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | 999 | 1,171 |
Residential MBS | Government guaranteed | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 211 | 369 |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 |
Carrying Amount | 211 | 369 |
Gross Unrecognized Holding Gains | 3 | 2 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | 214 | 371 |
Residential MBS | Private label | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost Basis | 408 | 506 |
Non-credit OTTI Recognized in AOCI (Loss) | (94) | (114) |
Carrying Amount | 314 | 392 |
Gross Unrecognized Holding Gains | 201 | 230 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | $ 515 | $ 622 |
Investment Debt Securities Cont
Investment Debt Securities Contractual maturities (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale, Maturity, Fair Value, Rolling Maturity [Abstract] | ||
Due in one year or less | $ 0 | |
Due after one year through five years | 6 | |
Due after five years through ten years | 250 | |
Due after ten years | 514 | |
ABS and MBS without a single maturity date | 15,444 | |
Carrying Amount and Fair Value | 16,214 | $ 14,614 |
Debt Securities, Held-to-maturity, Maturity, Amortized Cost, Rolling Maturity [Abstract] | ||
Due in one year or less | 126 | |
Due after one year through five years | 41 | |
Due after five years through ten years | 79 | |
Due after ten years | 424 | |
ABS and MBS without a single maturity date | 1,489 | |
Carrying Amount | 2,159 | 3,213 |
Debt Securities, Held-to-maturity, Maturity, Fair Value, Rolling Maturity [Abstract] | ||
Due in one year or less | 126 | |
Due after one year through five years | 42 | |
Due after five years through ten years | 79 | |
Due after ten years | 447 | |
ABS and MBS without a single maturity date | 1,728 | |
Fair Value | $ 2,422 | $ 3,492 |
Investment Debt Securities Agin
Investment Debt Securities Aging of unrealized temporary losses (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Available-for-sale debt securities | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | $ 8,732 | $ 5,605 |
Less than 12 Months, Gross Unrealized (Losses) | (69) | (46) |
12 Months or More, Fair Value | 1,170 | 59 |
12 Months or More, Gross Unrealized (Losses) | (23) | (2) |
Total, Fair Value | 9,902 | 5,664 |
Total, Gross Unrealized (Losses) | (92) | (48) |
Available-for-sale debt securities | U.S. Government & other government related | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 3 | 3 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 3 | 3 |
Total, Gross Unrealized (Losses) | 0 | 0 |
Available-for-sale debt securities | State or local housing agency | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 1 | |
Less than 12 Months, Gross Unrealized (Losses) | 0 | |
12 Months or More, Fair Value | 3 | |
12 Months or More, Gross Unrealized (Losses) | 0 | |
Total, Fair Value | 4 | |
Total, Gross Unrealized (Losses) | 0 | |
Available-for-sale debt securities | FFELP ABS | FFELP ABS | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 530 | |
Less than 12 Months, Gross Unrealized (Losses) | (5) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Gross Unrealized (Losses) | 0 | |
Total, Fair Value | 530 | |
Total, Gross Unrealized (Losses) | (5) | |
Available-for-sale debt securities | Residential MBS | GSE | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 8,202 | 5,573 |
Less than 12 Months, Gross Unrealized (Losses) | (64) | (46) |
12 Months or More, Fair Value | 1,162 | 48 |
12 Months or More, Gross Unrealized (Losses) | (23) | (2) |
Total, Fair Value | 9,364 | 5,621 |
Total, Gross Unrealized (Losses) | (87) | (48) |
Available-for-sale debt securities | Residential MBS | Government guaranteed | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 31 | |
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 | 31 | |
Total, Gross Unrealized (Losses) | 0 | |
Available-for-sale debt securities | Residential MBS | Private label | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 5 | 5 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 5 | 5 |
Total, Gross Unrealized (Losses) | 0 | 0 |
Held-to-maturity debt securities | ||
Held-to-maturity debt securities | ||
Less than 12 Months, Fair Value | 52 | 629 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 514 | 617 |
12 Months or More, Gross Unrealized (Losses) | (94) | (115) |
Total, Fair Value | 566 | 1,246 |
Total, Gross Unrealized (Losses) | (94) | (115) |
Held-to-maturity debt securities | U.S. Government & other government related | ||
Held-to-maturity debt securities | ||
Less than 12 Months, Fair Value | 459 | |
Less than 12 Months, Gross Unrealized (Losses) | 0 | |
12 Months or More, Fair Value | 23 | |
12 Months or More, Gross Unrealized (Losses) | (1) | |
Total, Fair Value | 482 | |
Total, Gross Unrealized (Losses) | (1) | |
Held-to-maturity debt securities | State or local housing agency | ||
Held-to-maturity debt securities | ||
Less than 12 Months, Fair Value | 2 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 0 | 2 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 2 | 2 |
Total, Gross Unrealized (Losses) | 0 | 0 |
Held-to-maturity debt securities | Residential MBS | GSE | ||
Held-to-maturity debt securities | ||
Less than 12 Months, Fair Value | 5 | |
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 | 5 | |
Total, Gross Unrealized (Losses) | 0 | |
Held-to-maturity debt securities | Residential MBS | Government guaranteed | ||
Held-to-maturity debt securities | ||
Less than 12 Months, Fair Value | 45 | 170 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 24 | 0 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 69 | 170 |
Total, Gross Unrealized (Losses) | 0 | 0 |
Held-to-maturity debt securities | Residential MBS | Private label | ||
Held-to-maturity debt securities | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 490 | 592 |
12 Months or More, Gross Unrealized (Losses) | (94) | (114) |
Total, Fair Value | 490 | 592 |
Total, Gross Unrealized (Losses) | $ (94) | $ (114) |
Investment Debt Securities (OTT
Investment Debt Securities (OTTI rollforward) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Beginning Balance | $ 427 | $ 459 | $ 442 | $ 477 |
Reductions: | ||||
Securities sold, matured, or fully prepaid over the period | 0 | 0 | (1) | 0 |
Increases in cash flows expected to be collected and recognized into interest income | (6) | (8) | (20) | (26) |
Ending Balance | $ 421 | $ 451 | $ 421 | $ 451 |
Advances By redemption terms (D
Advances By redemption terms (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value Amount [Abstract] | ||
Due in one year or less | $ 24,504 | |
One to two years | 2,964 | |
Two to three years | 3,000 | |
Three to four years | 6,451 | |
Four to five years | 7,296 | |
More than five years | 12,900 | |
Par value | $ 57,115 | $ 52,606 |
Federal Home Loan Bank, Advances, Weighted Average Contractual Interest Rate, Rolling Year [Abstract] | ||
Due in one year or less | 2.06% | |
One to two years | 2.20% | |
Two to three years | 2.36% | |
Three to four years | 2.44% | |
Four to five years | 2.22% | |
More than five years | 2.24% | |
Par value | 2.19% |
Advances Reconciliation of par
Advances Reconciliation of par values to carrying values (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Federal Home Loan Banks [Abstract] | ||
Par value | $ 57,115 | $ 52,606 |
Fair value hedging adjustments | 469 | 30 |
Other adjustments | 45 | (8) |
Advances | $ 57,629 | $ 52,628 |
Advances By counterparty concen
Advances By counterparty concentration (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Sep. 30, 2019 | Dec. 31, 2018 | ||
Concentration Risk [Line Items] | |||
Par value | $ 57,115 | $ 52,606 | |
Credit Concentration Risk | One Mortgage Partners Corp. [Member] | |||
Concentration Risk [Line Items] | |||
Par value | [1] | $ 11,000 | |
% of Total Outstanding | 19.30% | ||
Credit Concentration Risk | BMO Harris Bank, N.A. [Member] | |||
Concentration Risk [Line Items] | |||
Par value | $ 10,975 | ||
% of Total Outstanding | 19.20% | ||
Credit Concentration Risk | The Northern Trust Company [Member] | |||
Concentration Risk [Line Items] | |||
Par value | $ 7,700 | ||
% of Total Outstanding | 13.50% | ||
[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 | Sep. 30, 2019 | Dec. 31, 2018 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Allowance for credit losses on MPF Loans | $ (1) | $ (1) |
MPF Loans held in portfolio, net | 9,004 | 7,103 |
Residential Mortgage [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 8,847 | 6,996 |
Net premiums, credit enhancement, and/or deferred loan fees | 147 | 100 |
Fair value and economic hedging adjustments | 11 | 8 |
MPF Loans held in portfolio, before allowance for credit losses | 9,005 | 7,104 |
Allowance for credit losses on MPF Loans | (1) | (1) |
MPF Loans held in portfolio, net | 9,004 | 7,103 |
Residential Mortgage [Member] | Medium term (15 years or less) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 546 | 334 |
Residential Mortgage [Member] | Long term (greater than 15 years) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 8,301 | 6,662 |
Residential Mortgage [Member] | Conventional mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 7,936 | 6,062 |
Residential Mortgage [Member] | Government Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | $ 911 | $ 934 |
Allowance for Credit Losses Rec
Allowance for Credit Losses Recorded Investment and Allowance on Conventional MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Recorded investment | $ 9,053 | $ 7,142 |
Conventional mortgage loans | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Individually evaluated for impairment | 29 | 33 |
Collectively evaluated for impairment | 8,093 | 6,155 |
Recorded investment | 8,122 | 6,188 |
Allowance for credit losses - Collectively evaluated for impairment | $ 1 | $ 1 |
Allowance for Credit Losses Cre
Allowance for Credit Losses Credit Quality Indicators - MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Financing Receivable, Past Due [Line Items] | ||
Past due | $ 178 | $ 182 |
Current | 8,875 | 6,960 |
Recorded investment | 9,053 | 7,142 |
In process of foreclosure | $ 13 | $ 19 |
Serious delinquency rate | 0.47% | 0.70% |
Past due 90 days or more and still accruing interest | $ 18 | $ 24 |
Impaired loans without an allowance for credit losses and on nonaccrual status | 29 | 33 |
Unpaid principal balance of impaired loans without an allowance for credit losses | 32 | 36 |
Past due 30-59 days | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 105 | 101 |
Past due 60-89 days | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 30 | 31 |
Past due 90 days or more | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 43 | 50 |
Conventional | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 113 | 107 |
Current | 8,009 | 6,081 |
Recorded investment | 8,122 | 6,188 |
In process of foreclosure | $ 10 | $ 13 |
Serious delinquency rate | 0.35% | 0.51% |
Past due 90 days or more and still accruing interest | $ 4 | $ 5 |
Impaired loans without an allowance for credit losses and on nonaccrual status | 29 | 33 |
Unpaid principal balance of impaired loans without an allowance for credit losses | 32 | 36 |
Conventional | Past due 30-59 days | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 66 | 59 |
Conventional | Past due 60-89 days | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 19 | 17 |
Conventional | Past due 90 days or more | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 28 | 31 |
Government | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 65 | 75 |
Current | 866 | 879 |
Recorded investment | 931 | 954 |
In process of foreclosure | $ 3 | $ 6 |
Serious delinquency rate | 1.53% | 1.95% |
Past due 90 days or more and still accruing interest | $ 14 | $ 19 |
Government | Past due 30-59 days | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 39 | 42 |
Government | Past due 60-89 days | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | 11 | 14 |
Government | Past due 90 days or more | ||
Financing Receivable, Past Due [Line Items] | ||
Past due | $ 15 | $ 19 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Sep. 30, 2019USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Additional collateral due to derivatives counterparties if credit rating was lowered one level | $ 3 |
Financial Instruments Owned and Pledged as Collateral, Amount Eligible to be Repledged by Counterparty | $ 471 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in statements of condition (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 56,745 | $ 55,971 |
Derivative assets netting adjustments and cash collateral | (198) | (134) |
Derivative liabilities netting adjustments and cash collateral | (460) | (305) |
Derivative assets on statements of condition | 11 | 6 |
Derivative liabilities on statements of condition | 18 | 16 |
Cash collateral posted and related accrued interest | 312 | 203 |
Cash collateral received and related accrued interest | 50 | 32 |
Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 35,906 | 35,549 |
Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 20,839 | 20,422 |
Derivatives not in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 18,934 | 19,803 |
Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 1,905 | 619 |
Derivative Assets | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 209 | 140 |
Derivative assets netting adjustments and cash collateral | (198) | (134) |
Derivative assets on statements of condition | 11 | 6 |
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 43 | 39 |
Derivative Assets | Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 166 | 101 |
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 | 164 | 100 |
Derivative Assets | Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 2 | 1 |
Derivative Liabilities | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 478 | 321 |
Derivative liabilities netting adjustments and cash collateral | (460) | (305) |
Derivative liabilities on statements of condition | 18 | 16 |
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 363 | 261 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 115 | 60 |
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 | 111 | 59 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | $ 4 | $ 1 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Derivatives in statement of income (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | $ (10) | $ 1 | $ (40) | $ (1) |
Variation margin on daily settled cleared derivatives | 5 | 0 | 9 | 1 |
Noninterest income - Derivatives and hedging activities | (5) | (5) | (31) | (5) |
Interest rate contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Fair value hedges - interest rate contracts | (6) | (6) | ||
Cash flow hedges - interest rate contracts | 0 | 1 | ||
Economic hedges | (9) | 2 | (44) | 1 |
Other | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | $ (1) | $ (1) | $ 4 | $ (2) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Derivative assets with legal right of offset (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative assets with legal right of offset - | ||
Gross recognized amount | $ 207 | $ 139 |
Derivative assets netting adjustments and cash collateral | (198) | (134) |
Derivatives with legal right of offset - net | 9 | 5 |
Derivatives without legal right of offset | 2 | 1 |
Derivative assets on statements of condition | 11 | 6 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 0 |
Net amount | 11 | 6 |
Bilateral | ||
Derivative assets with legal right of offset - | ||
Gross recognized amount | 136 | 107 |
Derivative assets netting adjustments and cash collateral | (134) | (102) |
Derivatives with legal right of offset - net | 2 | 5 |
Derivatives without legal right of offset | 2 | 1 |
Derivative assets on statements of condition | 4 | 6 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 0 |
Net amount | 4 | 6 |
Cleared | ||
Derivative assets with legal right of offset - | ||
Gross recognized amount | 71 | 32 |
Derivative assets netting adjustments and cash collateral | (64) | (32) |
Derivatives with legal right of offset - net | 7 | 0 |
Derivatives without legal right of offset | 0 | 0 |
Derivative assets on statements of condition | 7 | 0 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 0 |
Net amount | $ 7 | $ 0 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Derivative liabilities with legal right of offset (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | $ 475 | $ 320 |
Derivative liabilities netting adjustments and cash collateral | (460) | (305) |
Derivatives with legal right of offset - net | 15 | 15 |
Derivatives without legal right of offset | 3 | 1 |
Derivative liabilities on statements of condition | 18 | 16 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 4 | 9 |
Net amount | 14 | 7 |
Credit exposure on overcollateralized pledged securities exceeding derivative position | 468 | 260 |
Bilateral | ||
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | 407 | 279 |
Derivative liabilities netting adjustments and cash collateral | (396) | (273) |
Derivatives with legal right of offset - net | 11 | 6 |
Derivatives without legal right of offset | 3 | 1 |
Derivative liabilities on statements of condition | 14 | 7 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 0 |
Net amount | 14 | 7 |
Cleared | ||
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | 68 | 41 |
Derivative liabilities netting adjustments and cash collateral | (64) | (32) |
Derivatives with legal right of offset - net | 4 | 9 |
Derivatives without legal right of offset | 0 | 0 |
Derivative liabilities on statements of condition | 4 | 9 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 4 | 9 |
Net amount | $ 0 | $ 0 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount Recorded in Net Interest Income | $ 113 | $ 126 | $ 347 | $ 382 |
Fair value hedges | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | (410) | 72 | (974) | 79 |
Gain (Loss) on Hedged Item | 397 | (78) | 919 | (85) |
Amount Recorded in Derivatives and Hedging Activities | (6) | (6) | ||
Amount Recorded in Net Interest Income | (13) | (27) | (55) | (72) |
Fair value hedges | Available-for-sale debt securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | (302) | 46 | (825) | 95 |
Gain (Loss) on Hedged Item | 294 | (50) | 798 | (101) |
Amount Recorded in Derivatives and Hedging Activities | (4) | (6) | ||
Amount Recorded in Net Interest Income | (8) | (14) | (27) | (44) |
Fair value hedges | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | (131) | 43 | (404) | 150 |
Gain (Loss) on Hedged Item | 134 | (47) | 429 | (148) |
Amount Recorded in Derivatives and Hedging Activities | (4) | 2 | ||
Amount Recorded in Net Interest Income | 3 | 6 | 25 | 9 |
Fair value hedges | MPF Loans held for portfolio | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | 0 | 0 | 0 | 0 |
Gain (Loss) on Hedged Item | (1) | 0 | (1) | 0 |
Amount Recorded in Derivatives and Hedging Activities | 0 | 0 | ||
Amount Recorded in Net Interest Income | (1) | (1) | (1) | (3) |
Fair value hedges | Consolidated obligation bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | 23 | (17) | 255 | (166) |
Gain (Loss) on Hedged Item | (30) | 19 | (307) | 164 |
Amount Recorded in Derivatives and Hedging Activities | 2 | (2) | ||
Amount Recorded in Net Interest Income | $ (7) | $ (18) | $ (52) | $ (34) |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - Fair value hedges $ in Millions | Sep. 30, 2019USD ($) |
Advances | |
Derivative [Line Items] | |
Amortized cost of hedged asset/(liability) | $ 10,457 |
Basis adjustments active hedges included in amortized cost | 469 |
Basis adjustments discontinued hedges included in amortized cost | 0 |
Cumulative amount of fair value hedging basis adjustments | 469 |
Available-for-sale debt securities | |
Derivative [Line Items] | |
Amortized cost of hedged asset/(liability) | 10,894 |
Basis adjustments active hedges included in amortized cost | 947 |
Basis adjustments discontinued hedges included in amortized cost | 1 |
Cumulative amount of fair value hedging basis adjustments | 948 |
MPF Loans held for portfolio | |
Derivative [Line Items] | |
Amortized cost of hedged asset/(liability) | 726 |
Basis adjustments active hedges included in amortized cost | 0 |
Basis adjustments discontinued hedges included in amortized cost | 13 |
Cumulative amount of fair value hedging basis adjustments | 13 |
Consolidated obligation bonds | |
Derivative [Line Items] | |
Amortized cost of hedged asset/(liability) | (16,282) |
Basis adjustments active hedges included in amortized cost | (112) |
Basis adjustments discontinued hedges included in amortized cost | 32 |
Cumulative amount of fair value hedging basis adjustments | $ (80) |
Derivatives and Hedging Acti_10
Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Maximum Hedging Period For Forecasted Cash Flows | 10 years | |||
Cash Flow Hedge Gain (Loss) to be Reclassified Next 12 Months, Net | $ 2 | $ 2 | ||
Amount Recorded in Net Interest Income | 113 | $ 126 | 347 | $ 382 |
Cash flow hedges | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gross Amount Initially Recognized in AOCI | (8) | (40) | ||
Amount Reclassified from AOCI into Net Interest Income | (4) | (23) | ||
Ineffectiveness Recorded in Derivatives and Hedging Activities | 0 | 1 | ||
Effective Portion Recorded in AOCI | 15 | 103 | ||
Amount Recorded in Net Interest Income | (22) | (86) | ||
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 | 1 | |||
Cash flow hedges | Discount notes | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gross Amount Initially Recognized in AOCI | (8) | (40) | ||
Amount Reclassified from AOCI into Net Interest Income | $ (4) | (22) | ||
Ineffectiveness Recorded in Derivatives and Hedging Activities | 0 | 1 | ||
Effective Portion Recorded in AOCI | 15 | 103 | ||
Amount Recorded in Net Interest Income | $ (22) | (86) | ||
Cash flow hedges | Consolidated obligation bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gross Amount Initially Recognized in AOCI | 0 | |||
Amount Reclassified from AOCI into Net Interest Income | $ (1) | |||
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 | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Disclosure [Abstract] | ||
Consolidated obligation discount notes | $ 47,647 | $ 43,166 |
Weighted Average Interest Rate | 1.91% | 2.28% |
Consolidated Obligations (Long
Consolidated Obligations (Long term bonds by maturity date) (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2019 | Dec. 31, 2018 | |
Contractual Maturity | ||
Due in one year or less | $ 18,387 | |
One to two years | 11,365 | |
Two to three years | 6,637 | |
Three to four years | 2,768 | |
Four to five years | 1,806 | |
Thereafter | 5,679 | |
Total par value | $ 46,642 | $ 42,486 |
Weighted Average Interest Rate | ||
Due in one year or less | 1.94% | |
One to two years | 2.17% | |
Two to three years | 2.31% | |
Three to four years | 2.70% | |
Four to five years | 2.49% | |
Thereafter | 3.08% | |
Total par value | 2.25% | |
By Maturity or Next Call Date | ||
Contractual Maturity | ||
Due in one year or less | $ 30,437 | |
One to two years | 8,891 | |
Two to three years | 3,820 | |
Three to four years | 2,104 | |
Four to five years | 562 | |
Thereafter | 828 | |
Total par value | $ 46,642 | |
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 | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Instrument [Line Items] | ||
Par value | $ 46,642 | $ 42,486 |
Fair value hedging adjustments | 80 | (227) |
Other adjustments | 16 | (9) |
Consolidated obligation bonds | 46,738 | 42,250 |
Noncallable | ||
Debt Instrument [Line Items] | ||
Par value | 32,207 | 27,999 |
Callable | ||
Debt Instrument [Line Items] | ||
Par value | $ 14,435 | $ 14,487 |
Consolidated Obligations (Syste
Consolidated Obligations (Systemwide joint & several liability) (Details) - Guarantee of Indebtedness of Others [Member] - USD ($) $ in Millions | 3 Months Ended | |
Sep. 30, 2019 | Dec. 31, 2018 | |
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 1,010,271 | $ 1,031,617 |
FHLB Chicago as primary obligor | $ 94,375 | $ 85,766 |
As a percent of the FHLB System | 9.00% | 8.00% |
Consolidated obligation bonds | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 621,082 | $ 604,250 |
FHLB Chicago as primary obligor | $ 46,642 | $ 42,486 |
As a percent of the FHLB System | 8.00% | 7.00% |
Discount notes | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 389,189 | $ 427,367 |
FHLB Chicago as primary obligor | $ 47,733 | $ 43,280 |
As a percent of the FHLB System | 12.00% | 10.00% |
Capital and Mandatorily Redee_3
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Capital rules) (Details) - $ / shares | 9 Months Ended | |
Sep. 30, 2019 | Dec. 31, 2018 | |
Federal Home Loan Banks [Abstract] | ||
Par value per share | $ 100 | $ 100 |
Capital Stock, Redemption, Period of Written Notice | 5 years |
Capital and Mandatorily Redee_4
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Regulatory capital requirements) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Federal Home Loan Banks [Abstract] | ||
Total Regulatory Capital, Requirement | $ 4,102 | $ 3,714 |
Total Regulatory Capital, Actual | $ 5,892 | $ 5,547 |
Total Regulatory Capital Ratio, Requirement | 4.00% | 4.00% |
Total Regulatory Capital Ratio, Actual | 5.75% | 5.97% |
Leverage Capital, Requirement | $ 5,127 | $ 4,643 |
Leverage Capital, Actual | $ 8,838 | $ 8,321 |
Leverage Capital Ratio, Requirement | 5.00% | 5.00% |
Leverage Capital Ratio, Actual | 8.62% | 8.96% |
Risk Based Capital, Requirement | $ 1,152 | $ 1,111 |
Risk Based Capital, Actual | $ 5,892 | $ 5,547 |
Capital and Mandatorily Redee_5
Capital and Mandatorily Redeemable Capital Stock (MRCS) Stockholder Concentration (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Sep. 30, 2019 | Dec. 31, 2018 | ||
Concentration Risk [Line Items] | |||
Amount of Which is Classified as a Liability (MRCS) | $ 324 | $ 313 | |
Stockholders' Equity, Total [Member] | BMO Harris Bank, N.A. [Member] | |||
Concentration Risk [Line Items] | |||
Regulatory Capital Stock Outstanding | $ 494 | ||
% of Total Outstanding | 22.80% | ||
Amount of Which is Classified as a Liability (MRCS) | $ 0 | ||
Stockholders' Equity, Total [Member] | The Northern Trust Company [Member] | |||
Concentration Risk [Line Items] | |||
Regulatory Capital Stock Outstanding | $ 247 | ||
% of Total Outstanding | 11.40% | ||
Amount of Which is Classified as a Liability (MRCS) | $ 0 | ||
Stockholders' Equity, Total [Member] | One Mortgage Partners Corp. [Member] | |||
Concentration Risk [Line Items] | |||
Regulatory Capital Stock Outstanding | [1] | $ 245 | |
% of Total Outstanding | 11.30% | ||
Amount of Which is Classified as a Liability (MRCS) | $ 245 | ||
[1] | One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Capital and Mandatorily Redee_6
Capital and Mandatorily Redeemable Capital Stock (MRCS) Dividends (Details) - USD ($) $ in Millions | Nov. 14, 2019 | Oct. 22, 2019 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
Capital Stock - Putable - B1 Activity | ||||||
Subsequent Event [Line Items] | ||||||
Common Stock Dividend Declared - Annualized Rate | 5.00% | 4.25% | 5.00% | 3.92% | ||
Capital Stock - Putable - B2 Membership | ||||||
Subsequent Event [Line Items] | ||||||
Common Stock Dividend Declared - Annualized Rate | 2.25% | 1.70% | 2.17% | 1.60% | ||
Subsequent Event [Member] | ||||||
Subsequent Event [Line Items] | ||||||
Dividend Totaled | $ 24 | |||||
Dividends on Capital Stock | 20 | |||||
Interest Expense on Mandatorily Redeemable Capital Stock | $ 4 | |||||
Subsequent Event [Member] | Capital Stock - Putable - B1 Activity | ||||||
Subsequent Event [Line Items] | ||||||
Common Stock Dividend Declared - Annualized Rate | 5.00% | |||||
Subsequent Event [Member] | Capital Stock - Putable - B2 Membership | ||||||
Subsequent Event [Line Items] | ||||||
Common Stock Dividend Declared - Annualized Rate | 2.25% |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | $ 55 | |||
Amounts reclassified in period to statements of income: | ||||
Ending balance | $ (22) | (22) | ||
Total in AOCI | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 41 | $ 122 | 55 | $ 112 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (68) | (15) | (102) | (7) |
Amounts reclassified in period to statements of income: | ||||
Net interest income | 4 | 10 | 23 | 13 |
Noninterest income | (1) | |||
Noninterest expense | 1 | 1 | 2 | 1 |
Ending balance | (22) | 118 | (22) | 118 |
Net Unrealized - | Available-for-sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 192 | 315 | 211 | 407 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (61) | (32) | (80) | (124) |
Amounts reclassified in period to statements of income: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Noninterest income | ||||
Ending balance | 131 | 283 | 131 | 283 |
Non-credit OTTI - | Held-to-maturity Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (101) | (128) | (114) | (143) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 7 | 7 | 20 | 22 |
Amounts reclassified in period to statements of income: | ||||
Net interest income | 0 | 0 | 0 | 0 |
Noninterest income | ||||
Ending balance | (94) | (121) | (94) | (121) |
Net Unrealized - Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (44) | (57) | (31) | (147) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (8) | 15 | (40) | 103 |
Amounts reclassified in period to statements of income: | ||||
Net interest income | 4 | 10 | 23 | 13 |
Noninterest income | (1) | |||
Ending balance | (48) | (32) | (48) | (32) |
Post-Retirement Plans | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (6) | (8) | (11) | (5) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (6) | (5) | (2) | (8) |
Amounts reclassified in period to statements of income: | ||||
Noninterest expense | 1 | 1 | 2 | 1 |
Ending balance | $ (11) | $ (12) | $ (11) | $ (12) |
Fair Value Fair Value Estimates
Fair Value Fair Value Estimates (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | $ 4,496 | $ 3,478 |
Available-for-sale | 16,214 | 14,614 |
Held-to-maturity debt securities | 2,422 | 3,492 |
Advances | 2,900 | 1,025 |
Derivative assets | 11 | 6 |
Other assets | 88 | 108 |
Derivative assets netting and cash collateral | (198) | (134) |
Assets | 102,543 | 92,857 |
Consolidated obligation discount notes | 0 | (992) |
Consolidated obligation bonds | (6,639) | (2,352) |
Derivative liabilities | (18) | (16) |
Derivative liabilities netting and cash collateral | 460 | 305 |
Liabilities | (96,997) | (87,568) |
Carrying Amount | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks | 65 | 28 |
Interest bearing deposits | 1,255 | 775 |
Federal Funds sold and securities purchased under agreements to resell | 11,351 | 10,604 |
Held-to-maturity debt securities | 2,159 | 3,213 |
Advances | 54,729 | 51,603 |
MPF Loans held in portfolio, net | 9,000 | 7,096 |
Other assets | 163 | 190 |
Financial assets | 102,436 | 92,748 |
Other non financial assets | 107 | 109 |
Assets | 102,543 | 92,857 |
Deposits | (1,032) | (551) |
Consolidated obligation discount notes | (47,647) | (42,174) |
Consolidated obligation bonds | (40,099) | (39,898) |
Mandatorily redeemable capital stock | (324) | (313) |
Other liabilities | (152) | (153) |
Financial liabilities | (95,911) | (86,449) |
Other non financial liabilities | (1,086) | (1,119) |
Liabilities | (96,997) | (87,568) |
Carrying Amount | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 4,496 | 3,478 |
Available-for-sale | 16,214 | 14,614 |
Advances | 2,900 | 1,025 |
Derivative assets | 11 | 6 |
Other assets | 88 | 108 |
Consolidated obligation discount notes | (992) | |
Consolidated obligation bonds | (6,639) | (2,352) |
Derivative liabilities | (18) | (16) |
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 | 16,177 | 14,573 |
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 | 37 | 41 |
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 | 4 | 7 |
Other assets | 1 | 1 |
Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks | 65 | 28 |
Interest bearing deposits | 1,255 | 775 |
Federal Funds sold and securities purchased under agreements to resell | 11,351 | 10,604 |
Held-to-maturity debt securities | 2,422 | 3,492 |
Advances | 54,794 | 51,615 |
MPF Loans held in portfolio, net | 9,210 | 7,091 |
Other assets | 163 | 190 |
Financial assets | 102,974 | 93,034 |
Deposits | (1,032) | (551) |
Consolidated obligation discount notes | (47,651) | (42,170) |
Consolidated obligation bonds | (40,329) | (39,895) |
Mandatorily redeemable capital stock | (324) | (313) |
Other liabilities | (152) | (153) |
Financial liabilities | (96,145) | (86,442) |
Fair Value | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 4,496 | 3,478 |
Available-for-sale | 16,214 | 14,614 |
Advances | 2,900 | 1,025 |
Derivative assets | 11 | 6 |
Other assets | 88 | 108 |
Consolidated obligation discount notes | (992) | |
Consolidated obligation bonds | (6,639) | (2,352) |
Derivative liabilities | (18) | (16) |
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 | 16,177 | 14,573 |
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 | 37 | 41 |
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 | 4 | 7 |
Other assets | 1 | 1 |
Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks | 65 | 28 |
Interest bearing deposits | 1,255 | 775 |
Federal Funds sold and securities purchased under agreements to resell | 0 | 0 |
Held-to-maturity debt securities | 0 | 0 |
Advances | 0 | 0 |
MPF Loans held in portfolio, net | 0 | 0 |
Other assets | 0 | 0 |
Financial assets | 1,321 | 803 |
Deposits | 0 | 0 |
Consolidated obligation discount notes | 0 | 0 |
Consolidated obligation bonds | 0 | 0 |
Mandatorily redeemable capital stock | (324) | (313) |
Other liabilities | 0 | 0 |
Financial liabilities | (324) | (313) |
Level 1 | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 0 | 0 |
Available-for-sale | 0 | 0 |
Advances | 0 | 0 |
Derivative assets | 1 | 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 | 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 | 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 | 11,351 | 10,604 |
Held-to-maturity debt securities | 1,907 | 2,870 |
Advances | 54,794 | 51,615 |
MPF Loans held in portfolio, net | 9,203 | 7,085 |
Other assets | 163 | 190 |
Financial assets | 101,287 | 91,688 |
Deposits | (1,032) | (551) |
Consolidated obligation discount notes | (47,651) | (42,170) |
Consolidated obligation bonds | (40,329) | (39,895) |
Mandatorily redeemable capital stock | 0 | 0 |
Other liabilities | (152) | (153) |
Financial liabilities | (96,281) | (86,434) |
Level 2 | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 4,496 | 3,478 |
Available-for-sale | 16,177 | 14,573 |
Advances | 2,900 | 1,025 |
Derivative assets | 208 | 140 |
Other assets | 88 | 108 |
Consolidated obligation discount notes | (992) | |
Consolidated obligation bonds | (6,639) | (2,352) |
Derivative liabilities | (478) | (321) |
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 | 16,177 | 14,573 |
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 | 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 debt securities | 515 | 622 |
Advances | 0 | 0 |
MPF Loans held in portfolio, net | 7 | 6 |
Other assets | 0 | 0 |
Financial assets | 564 | 677 |
Deposits | 0 | 0 |
Consolidated obligation discount notes | 0 | 0 |
Consolidated obligation bonds | 0 | 0 |
Mandatorily redeemable capital stock | 0 | 0 |
Other liabilities | 0 | 0 |
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 debt securities | 0 | 0 |
Available-for-sale | 37 | 41 |
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 | 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 | 37 | 41 |
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 | 4 | 7 |
Other assets | $ 1 | $ 1 |
Fair Value Gains (losses) on fa
Fair Value Gains (losses) on fair value option (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under fair value option | $ 24 | $ (3) | $ 43 | $ (20) |
Advances | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under fair value option | 18 | (1) | 52 | (11) |
Other assets | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under fair value option | 0 | (1) | 0 | (6) |
Consolidated obligation bonds | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under fair value option | $ 6 | $ (1) | $ (9) | $ (3) |
Fair Value (Fair Value Option D
Fair Value (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, advances | $ 57,115 | $ 52,606 |
Advances, fair value option | 2,900 | 1,025 |
Unpaid principal balance, bonds | 46,642 | 42,486 |
Consolidated Obligation Bonds, fair value option | 6,639 | 2,352 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, advances | 2,857 | 1,037 |
Fair value over (under) UPB | 43 | (12) |
Advances, fair value option | 2,900 | 1,025 |
Consolidated obligation bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, bonds | 6,617 | 2,358 |
Fair value over (under) UPB | 22 | (6) |
Consolidated Obligation Bonds, fair value option | $ 6,639 | $ 2,352 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 | |
Commitments | |||
Expire within one year | $ 17,594 | $ 20,775 | |
Expire after one year | 7,855 | 4,631 | |
Total | 25,449 | 25,406 | |
Unsettled consolidated obligation bonds | |||
Commitments | |||
Expire within one year | 148 | 114 | |
Expire after one year | 0 | 0 | |
Total | 148 | 114 | |
Member standby letters of credit | |||
Commitments | |||
Expire within one year | 16,226 | 19,971 | |
Expire after one year | [1] | 7,527 | 4,335 |
Total | 23,753 | 24,306 | |
Portion of member standby letters of credit which were renewable annually | 4,800 | 1,700 | |
Housing authority standby bond purchase agreements | |||
Commitments | |||
Expire within one year | 152 | 84 | |
Expire after one year | 298 | 289 | |
Total | 450 | 373 | |
Advance commitments | |||
Commitments | |||
Expire within one year | 9 | 267 | |
Expire after one year | 30 | 7 | |
Total | 39 | 274 | |
MPF delivery commitments | |||
Commitments | |||
Expire within one year | 1,058 | 336 | |
Expire after one year | 0 | 0 | |
Total | 1,058 | 336 | |
Other | |||
Commitments | |||
Expire within one year | 1 | 3 | |
Expire after one year | 0 | 0 | |
Total | $ 1 | $ 3 | |
[1] | Contains $4.8 billion and $1.7 billion of member standby letters of credit as of September 30, 2019 , and December 31, 2018 , which were renewable annually. |
Transactions with Related Par_3
Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | $ 57,629 | $ 52,628 |
Liabilities - Deposits | 1,032 | 551 |
Equity - Capital Stock | 1,846 | 1,698 |
Transactions with members | ||
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | 678 | 665 |
Liabilities - Deposits | 9 | 6 |
Equity - Capital Stock | $ 32 | $ 27 |