Document and Entity Information
Document and Entity Information | 3 Months Ended |
Mar. 31, 2020shares | |
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 | Mar. 31, 2020 |
Document Transition Report | false |
Entity File Number | 000-51401 |
Document Fiscal Year Focus | 2020 |
Document Fiscal Period Focus | Q1 |
Amendment Flag | false |
Entity Common Stock, Shares Outstanding | 22,814,927 |
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 | Mar. 31, 2020 | Dec. 31, 2019 |
Assets | ||
Cash and due from banks | $ 62 | $ 29 |
Interest bearing deposits | 1,530 | 1,680 |
Federal Funds sold | 7,345 | 7,356 |
Securities purchased under agreements to resell | 2,950 | 6,750 |
Trading, | 5,697 | 4,648 |
pledged | 583 | 432 |
Available-for-sale | 18,020 | 16,067 |
Held-to-maturity, | 1,707 | 2,381 |
Fair Value | 1,907 | 2,615 |
Investment debt securities | 25,424 | 23,096 |
Advances, | 55,005 | 50,508 |
carried at fair value | 2,869 | 2,808 |
MPF Loans held in portfolio, net of | 10,647 | 10,000 |
Derivative assets | 73 | 6 |
Other assets, | 407 | 402 |
carried at fair value | 92 | 83 |
Assets | 103,443 | 99,827 |
Deposits - | ||
Noninterest bearing | 302 | 184 |
Interest bearing, | 929 | 663 |
from other FHLBs | 18 | 15 |
Deposits | 1,231 | 847 |
Consolidated obligations, net - | ||
Discount notes, | 47,095 | 41,675 |
carried at fair value | 13,817 | 17,966 |
Bonds, | 48,593 | 50,474 |
carried at fair value | 6,135 | 7,984 |
Consolidated obligations, net | 95,688 | 92,149 |
Derivative liabilities | 25 | 14 |
Affordable Housing Program assessment payable | 84 | 84 |
Mandatorily redeemable capital stock | 328 | 324 |
Other liabilities | 1,022 | 955 |
Liabilities | 98,378 | 94,373 |
Commitments and contingencies - see notes to the financial statements | ||
Capital | ||
Class B1 activity stock, | $ 1,528 | $ 1,337 |
million shares issued and outstanding | 15 | 13 |
Class B2 membership stock, | $ 426 | $ 376 |
million shares issued and outstanding | 4 | 4 |
Capital stock - putable, | $ 1,954 | $ 1,713 |
par value per share | $ 100 | $ 100 |
Retained earnings - unrestricted | $ 3,233 | $ 3,197 |
Retained earnings - restricted | 589 | 573 |
Retained earnings | 3,822 | 3,770 |
Accumulated other comprehensive income (loss) (AOCI) | (711) | (29) |
Capital | 5,065 | 5,454 |
Liabilities and capital | 103,443 | 99,827 |
MPF Loans held in portfolio, net of | ||
Assets | ||
MPF Loans held in portfolio, net of | 10,647 | 10,000 |
allowance for credit losses | (2) | (1) |
Other assets, net of | ||
Assets | ||
allowance for credit losses | $ (7) | $ 0 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Income Statement [Abstract] | ||
Interest income | $ 565 | $ 686 |
Interest expense | 419 | 568 |
Net interest income | 146 | 118 |
Provision for (reversal of) credit losses | 2 | 0 |
Net interest income after provision for (reversal of) credit losses | 144 | 118 |
Noninterest income - | ||
Trading securities | 87 | 8 |
Derivatives and hedging activities | (138) | (2) |
Instruments held under fair value option | 40 | 2 |
MPF fees, | 10 | 8 |
from other FHLBs | 8 | 7 |
Other, net | 3 | 2 |
Noninterest income | 2 | 18 |
Noninterest expense - | ||
Compensation and benefits | 36 | 28 |
Nonpayroll operating expenses | 20 | 20 |
Other | 1 | 2 |
Noninterest expense | 57 | 50 |
Income before assessments | 89 | 86 |
Affordable Housing Program | 9 | 9 |
Net income | $ 80 | $ 77 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 80 | $ 77 |
Other comprehensive income (loss) - | ||
Net unrealized gain (loss) available-for-sale debt securities | (631) | (2) |
Noncredit OTTI held-to-maturity debt securities | 4 | 6 |
Net unrealized gain (loss) cash flow hedges | (44) | (2) |
Postretirement plans | (11) | 4 |
Other comprehensive income (loss) | (682) | 6 |
Comprehensive income | $ (602) | $ 83 |
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, 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 | 83 | 62 | 15 | 77 | 6 | ||
Proceeds from issuance of capital stock shares | 6 | 0 | |||||
Proceeds from issuance of capital stock | 612 | $ 612 | $ 0 | ||||
Repurchases of capital stock shares | 0 | (6) | |||||
Repurchases of capital stock | (649) | $ 0 | $ (649) | ||||
Capital stock reclassified to mandatorily redeemable capital stock liability shares | 0 | 0 | |||||
Capital stock reclassed to mandatorily redeemable capital stock liability | (1) | $ 0 | $ (1) | ||||
Transfers between classes of capital stock shares | (7) | 7 | |||||
Transfers between classes of capital stock | $ (722) | $ 722 | |||||
Cash dividends - class B1 | (20) | (20) | (20) | ||||
Cash dividends - class B2 | (1) | (1) | (1) | ||||
Common Stock Dividend - Annualized Rate | 5.00% | 2.00% | |||||
Total change in period shares | (1) | 1 | |||||
Total change in period | 40 | $ (110) | $ 72 | 57 | 15 | 72 | 6 |
Shares, ending at Mar. 31, 2019 | 14 | 3 | |||||
Balance, ending at Mar. 31, 2019 | 5,329 | $ 1,366 | $ 294 | 3,080 | 528 | 3,608 | 61 |
Shares, beginning at Dec. 31, 2019 | 13 | 4 | |||||
Balance, beginning at Dec. 31, 2019 | 5,454 | $ 1,337 | $ 376 | 3,197 | 573 | 3,770 | (29) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Cumulative effect adjustment - see Note 2 | (7) | (7) | 0 | (7) | |||
Comprehensive income | (602) | 64 | 16 | 80 | (682) | ||
Proceeds from issuance of capital stock shares | 7 | 0 | |||||
Proceeds from issuance of capital stock | 728 | $ 728 | $ 0 | ||||
Repurchases of capital stock shares | 0 | (5) | |||||
Repurchases of capital stock | (486) | $ 0 | $ (486) | ||||
Capital stock reclassified to mandatorily redeemable capital stock liability shares | 0 | 0 | |||||
Capital stock reclassed to mandatorily redeemable capital stock liability | (1) | $ 0 | $ (1) | ||||
Transfers between classes of capital stock shares | (5) | 5 | |||||
Transfers between classes of capital stock | $ (537) | $ 537 | |||||
Cash dividends - class B1 | (20) | (20) | (20) | ||||
Cash dividends - class B2 | (1) | (1) | (1) | ||||
Common Stock Dividend - Annualized Rate | 5.00% | 2.25% | |||||
Total change in period shares | 2 | 0 | |||||
Total change in period | (389) | $ 191 | $ 50 | 36 | 16 | 52 | (682) |
Shares, ending at Mar. 31, 2020 | 15 | 4 | |||||
Balance, ending at Mar. 31, 2020 | $ 5,065 | $ 1,528 | $ 426 | $ 3,233 | $ 589 | $ 3,822 | $ (711) |
Condensed Statements of Cash Fl
Condensed Statements of Cash Flows - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Operating | ||
Net cash provided by (used in) operating activities | $ (1,897) | $ 10 |
Investing | ||
Net change interest bearing deposits | 150 | 350 |
Net change Federal Funds sold | 11 | (3,516) |
Net change securities purchased under agreements to resell | 3,800 | 500 |
Trading debt securities - | ||
Sales | 1,300 | 0 |
Proceeds from maturities and paydowns | 2 | 1,500 |
Purchases | (2,275) | (1,993) |
Available-for-sale debt securities - | ||
Proceeds from maturities and paydowns | 381 | 1,400 |
Purchases | (1,618) | (1,560) |
Held-to-maturity debt securities - | ||
Proceeds from maturities and paydowns | 1,198 | 1,190 |
Purchases | (514) | (450) |
Advances - | ||
Principal collected | 393,096 | 369,296 |
Issued | (396,817) | (367,318) |
MPF Loans held in portfolio - | ||
Principal collected | 532 | 168 |
Purchases | (1,186) | (645) |
Other investing activities | (2) | 3 |
Net cash provided by (used in) investing activities | (1,942) | (1,075) |
Financing | ||
Net change deposits, | 384 | 10 |
from other FHLBs | 4 | (13) |
Discount notes - | ||
Net proceeds from issuance | 246,265 | 430,677 |
Payments for maturing and retiring | (240,872) | (434,225) |
Consolidated obligation bonds - | ||
Net proceeds from issuance | 10,484 | 12,297 |
Payments for maturing and retiring | (12,614) | (7,640) |
Capital stock - | ||
Proceeds from issuance | 728 | 612 |
Repurchases | (486) | (649) |
Cash dividends paid | (21) | (21) |
Other financing activities | 4 | 1 |
Net cash provided by (used in) financing activities | 3,872 | 1,062 |
Net increase (decrease) in cash and due from banks | 33 | (3) |
Cash and due from banks at beginning of period | 29 | 28 |
Cash and due from banks at end of period | $ 62 | $ 25 |
Background and Basis of Present
Background and Basis of Presentation | 3 Months Ended |
Mar. 31, 2020 | |
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, 2019 , included in our 2019 Annual Report on Form 10-K ( 2019 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 66 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 2019 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 2019 Form 10-K. Refer to Note 1- Background and Basis of Presentation to the financial statements in our 2019 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 | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Our Summary of Significant Accounting Policies through December 31, 2019 , can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2019 Form 10-K including details on the cumulative effect adjustment recorded in 2019. We adopted the following policies effective January 1, 2020 : We adopted the Accounting Standards Update Measurement of Credit Losses on Financial Instruments (ASU 2016-13), as amended, for interim and annual periods effective January 1, 2020. ASU 2016-13 amended existing GAAP guidance applicable to measuring credit losses on financial instruments. Specifically, the amendment replaced the “incurred loss” impairment methodology 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. Expected recoveries of amounts previously written off and expected to be written off should be included in the allowance for credit losses determination but should not exceed the aggregate of amounts previously written off and expected to be written off by us. In addition, for collateral dependent financial assets, the amendment clarified that an allowance for credit losses that is added to the amortized cost of the financial asset(s) should not exceed amounts previously written off. We recognize a recovery when realized and apply the cost recovery method. Upon adoption, any difference between our existing and CECL allowance for credit losses was recognized as a cumulative effect adjustment to the opening balance of our retained earnings as of January 1, 2020. We recorded a cumulative effect adjustment to our opening balance of retained earnings of $(7) million , which related to Community First® Fund (the “Fund”) loans. Our elections at the time of adoption, include, but are not limited to, presenting accrued interest receivable separately for loans that are carried at amortized cost and held to maturity (HTM) debt securities, which also are carried at amortized cost. An allowance for credit losses determination is not required because we recognize the reversal of interest on a monthly basis in the event of an interest shortfall. The accounting for HTM and available for sale (AFS) debt securities changed on a prospective basis. Reversals of prior losses is permitted for HTM and AFS securities purchased after January 1, 2020. Such reversals are not permitted for HTM and AFS OTTI debt securities existing prior to January 1, 2020. Additionally, HTM and AFS debt securities will have their own allowance for credit losses. Recognition of a credit loss on available-for-sale (AFS) securities into the income statement occurs if the present value of cash flows expected to be collected on the security is less than its amortized cost basis. Additionally, the allowance on AFS debt securities will be limited to the amount by which fair value is less than the amortized cost basis. We adopted the Accounting Standards Update (ASU): Customer’s Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement (ASU 2018-15) for interim and annual periods on January 1, 2020. ASU 2018-15 amended existing GAAP 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 guidance did not have an effect on our financial condition, results of operations, and cash flows at the time of adoption. We applied the new guidance on a prospective basis. The following amendments to GAAP became effective March 12, 2020: In March of 2020, the FASB issued Accounting Standards Update (ASU): Reference Rate Reform (Topic 848) Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). The amendments provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. Optional Expedients for Contract Modifications: • Includes replacement of reference rate and contract modifications to add or change fallback provisions. • Modifications of receivables or debt may be accounted for prospectively adjusting the effective interest rate. • Modifications do not require reassessment of whether embedded derivative should be bifurcated. • Election must be applied consistently for all eligible contracts. Optional Expedients for Fair Value Hedges: • Change in benchmark rate is permitted. A change to the cumulative fair value basis adjustment may need to be recognized in current earnings. • Certain qualifying conditions for the shortcut method may be disregarded for the remainder of the fair value hedging relationship to continue the shortcut method. • The optional expedient may be elected on an individual hedging relationship basis. Optional Expedients for Cash Flow Hedges: • Certain criteria are met. For example, if the designated hedged interest rate risk is a rate that is affected by reference rate reform. • For cash flow hedges for which either the hedging instrument or hedged forecasted transactions reference a rate that is expected to be affected by reference rate reform, an entity may adjust how it applies the method used to initially and subsequently assess hedge effectiveness. • For cash flow hedges of portfolios of forecasted transactions that reference a rate that is expected to be affected by reference rate reform, an entity may disregard the requirement that the group of individual transactions must share the same risk exposure for which they are designated as being hedged. • The optional expedients for cash flow hedging relationships may be elected on an individual hedging relationship basis. Optional One-Time Election to Sell or Transfer Debt Securities Classified as Held-to-Maturity. The amendments apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The expedients and exceptions provided by the amendments do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that we elected certain optional expedients for and that are retained through the end of the hedging relationship. We are in the process of determining which optional items we will elect. At this time we do not expect these to have a material impact on the Bank. |
Recently Issued but Not Yet Ado
Recently Issued but Not Yet Adopted Accounting Standards | 3 Months Ended |
Mar. 31, 2020 | |
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 There were no recently issued but not yet adopted accounting standards which may have an effect on our financial statements. |
Interest Income and Interest Ex
Interest Income and Interest Expense | 3 Months Ended |
Mar. 31, 2020 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense Disclosure [Text Block] | Interest Income and Interest Expense The following table presents interest income and interest expense for the periods indicated: Three months ended March 31, 2020 2019 Interest income - Trading $ 26 $ 17 Available-for-sale 140 125 Held-to-maturity 27 38 Investment debt securities 193 180 Advances 238 358 MPF Loans held in portfolio 87 76 Federal funds sold and securities purchased under agreements to resell 38 67 Other 9 5 Interest income 565 686 Interest expense - Consolidated obligations - Discount notes 185 281 Bonds 228 279 Other 6 8 Interest expense 419 568 Net interest income 146 118 Provision for (reversal of) credit losses 2 — Net interest income after provision for (reversal of) credit losses $ 144 $ 118 |
Investment Debt Securities
Investment Debt Securities | 3 Months Ended |
Mar. 31, 2020 | |
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, HTM, 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. We have no allowance for credit losses on our investment debt securities and we have elected to exclude accrued interest receivable from the amortized cost in the following HTM tables. See Note 8 - Allowance for Credit Losses for further details on these amounts. Pledged Collateral We disclose the amount of investment debt 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 March 31, 2020 December 31, 2019 U.S. Government & other government related $ 5,687 $ 4,636 Residential MBS GSE 9 11 Government guaranteed 1 1 Trading debt securities $ 5,697 $ 4,648 The following table presents our gains and losses on trading debt securities recorded in Noninterest Income Other. Three months ended March 31, 2020 2019 Net unrealized gains (losses) on securities held at period end $ 70 $ (3 ) Net realized gains (losses) on securities sold/matured during the period 17 11 Net gains (losses) on trading debt securities $ 87 $ 8 Available-for-Sale Debt Securities (AFS) Amortized Cost Basis a Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Net Carrying Amount and Fair Value As of March 31, 2020 U.S. Government & other government related $ 1,246 $ 35 $ (7 ) $ 1,274 State or local housing agency 14 1 — 15 FFELP ABS 3,139 9 (67 ) 3,081 Residential MBS GSE 13,798 16 (526 ) 13,288 Government guaranteed 322 10 — 332 Private label 28 3 (1 ) 30 Available-for-sale debt securities $ 18,547 $ 74 $ (601 ) $ 18,020 As of December 31, 2019 U.S. Government & other government related $ 749 $ 32 $ — $ 781 State or local housing agency 14 1 — 15 FFELP ABS 3,219 140 (7 ) 3,352 Residential MBS GSE 11,600 19 (97 ) 11,522 Government guaranteed 352 10 — 362 Private label 29 6 — 35 Available-for-sale debt securities $ 15,963 $ 208 $ (104 ) $ 16,067 a Includes adjustments made to the cost basis of an investment for accretion, amortization, net charge-offs, fair value hedge accounting adjustments, and includes accrued interest receivable of $54 million and $57 million at March 31, 2020 and December 31, 2019. We had no sales of AFS debt securities for the periods presented. Held-to-Maturity Debt Securities (HTM) Amortized Cost a Non-credit OTTI Recognized in AOCI (Loss) Net Carrying Amount Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of March 31, 2020 U.S. Government & other government related $ 598 $ — $ 598 $ 26 $ — $ 624 State or local housing agency 3 — 3 — — 3 Residential MBS GSE 681 — 681 35 — 716 Government guaranteed 147 — 147 2 — 149 Private label 359 (81 ) 278 138 (1 ) 415 Held-to-maturity debt securities $ 1,788 $ (81 ) $ 1,707 $ 201 $ (1 ) $ 1,907 As of December 31, 2019 U.S. Government & other government related $ 1,129 $ — $ 1,129 $ 18 $ (1 ) $ 1,146 State or local housing agency 4 — 4 — — 4 Residential MBS GSE 788 — 788 31 — 819 Government guaranteed 167 — 167 2 — 169 Private label 378 (85 ) 293 184 — 477 Held-to-maturity debt securities $ 2,466 $ (85 ) $ 2,381 $ 235 $ (1 ) $ 2,615 a Includes adjustments made to the cost basis of an investment for accretion, amortization, and/or net charge-offs. We had no sales of HTM debt securities for the periods presented. Contractual Maturity Terms The maturity of our AFS and HTM debt securities is detailed in the following table. Available-for-Sale Held-to-Maturity As of March 31, 2020 Amortized Cost Basis Net Carrying Amount and Fair Value Net Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 1 $ 1 $ 125 $ 125 Due after one year through five years 7 7 15 15 Due after five years through ten years 506 515 97 99 Due after ten years 746 766 364 388 ABS and MBS without a single maturity date 17,287 16,731 1,106 1,280 Total debt securities $ 18,547 $ 18,020 $ 1,707 $ 1,907 Aging of Unrealized Temporary Losses The following table presents unrealized temporary losses on our AFS portfolio for periods less than 12 months and for 12 months or more. We recognized no credit charges on these unrealized loss positions. Refer to the Credit Loss Analysis in the following section for further discussion. In the tables below, in cases where the gross unrealized losses for an investment category were 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 March 31, 2020 U.S. Government & other government related $ 503 $ (7 ) $ 3 $ — $ 506 $ (7 ) FFELP ABS 1,069 (35 ) 473 (32 ) 1,542 (67 ) Residential MBS GSE 7,186 (255 ) 5,375 (271 ) 12,561 (526 ) Government guaranteed 14 — — — 14 — Private label — — 10 (1 ) 10 (1 ) Available-for-sale debt securities $ 8,772 $ (297 ) $ 5,861 $ (304 ) $ 14,633 $ (601 ) As of December 31, 2019 U.S. Government & other government related $ 44 $ — $ 2 $ — $ 46 $ — FFELP ABS 512 (7 ) — — 512 (7 ) Residential MBS GSE 3,426 (25 ) 4,412 (72 ) 7,838 (97 ) Government guaranteed 1 — — — 1 — Private label — — 5 — 5 — Available-for-sale debt securities $ 3,983 $ (32 ) $ 4,419 $ (72 ) $ 8,402 $ (104 ) Credit Loss Analysis We recognized no credit losses 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. We expect to recover the entire amortized cost on these securities. Accretion on Prior Years' Other-Than-Temporary Impairment Increases in cash flows expected to be collected and recognized into interest income on prior years' credit related OTTI charges on AFS or HTM debt securities were $6 million and $7 million for the three months ended March 31, 2020 and 2019 respectively. |
Advances
Advances | 3 Months Ended |
Mar. 31, 2020 | |
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 options. We have no allowance for credit losses on our advances and we have elected to exclude accrued interest receivable from the amortized cost in the following tables. See Note 8 - Allowance for Credit Losses for further details on these amounts. 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 March 31, 2020 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 20,214 0.79 % One to two years 2,617 2.12 % Two to three years 3,240 1.99 % Three to four years 9,341 1.63 % Four to five years 8,607 1.67 % More than five years 9,824 1.96 % Par value $ 53,843 1.43 % The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated. As of March 31, 2020 December 31, 2019 Par value $ 53,843 $ 50,122 Fair value hedging adjustments 1,059 344 Other adjustments 103 42 Advances $ 55,005 $ 50,508 The following advance borrowers exceeded 10% of our advances outstanding: As of March 31, 2020 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 20.4 % The Northern Trust Company 5,820 10.8 % 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) | 3 Months Ended |
Mar. 31, 2020 | |
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. We have an allowance for credit losses on our MPF Loans and we have elected to exclude accrued interest receivable from the amortized cost in the following tables. See Note 8 - Allowance for Credit Losses for further details on these amounts. As of March 31, 2020 December 31, 2019 Medium term (15 years or less) $ 1,008 $ 856 Long term (greater than 15 years) 9,452 8,974 Unpaid principal balance 10,460 9,830 Net premiums, credit enhancement, and/or deferred loan fees 176 163 Fair value and economic hedging adjustments 13 8 MPF Loans held in portfolio, before allowance for credit losses 10,649 10,001 Allowance for credit losses on MPF Loans (2 ) (1 ) MPF Loans held in portfolio, net $ 10,647 $ 10,000 Conventional mortgage loans $ 9,553 $ 8,919 Government Loans 907 911 Unpaid principal balance $ 10,460 $ 9,830 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 2019 Form 10-K for information related to the accounting treatment of these off balance sheet MPF Loan products. |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses See Note 2 - Summary of Significant Accounting Policies for further details regarding our accounting policies pertaining to credit losses that are applicable to each of our portfolio segments discussed below. Our credit analysis determines whether an asset is classified as adversely classified. An asset not adversely classified is supported by an appropriate credit analysis that documents the quality of a loan or an investment debt security, as well as ongoing analyses that demonstrate the obligor’s continued repayment capacity. In such cases, the loan or investment security will not be adversely classified as substandard, doubtful, or loss. Adversely classified loans or investment debt securities are expected to have credit losses and thus will have an allowance. We have the following portfolio segments: Nongovernment related • Member credit products (advances, letters of credit and other extensions of credit to borrowers) • Conventional MPF Loans held in portfolio • Federal Funds Sold and Securities Purchased Under Agreements to Resell • Community First Fund (CFF) • Municipal Securities and Standby Bond Purchase Agreements • Private Label Mortgage Backed Securities Member Credit Products Member Credit Products encompass secured credit extensions to members including advances and letters of credit. The Credit Department monitors the financial performance of members at least quarterly, classifies credit extensions in accordance with our asset classification approach, monitors that our credit outstanding is sufficiently well collateralized and recommends credit reserves against individual credit exposures if needed. We did not record an allowance for credit losses related to our advances nor a liability for our letters of credit as of the end of this reporting period based on the factors outlined below. • None of our Member Credit Products portfolio was adversely classified. • Loss mitigation techniques, which include, but are not limited to the following: • Credit monitoring which includes underwriting; credit limits; and ongoing collateral monitoring • Collateral policies or monitoring which include: • Rights to collateral, nature of the collateral and future changes to collateral. • Complying with regulatory requirements to fully collateralize advances, which incorporate the associated collateral haircut process. Collateral value represents the borrowing capacity assigned to pledged collateral and does not imply fair value. • Our credit outstanding is sufficiently well collateralized as of the end of this reporting period - that is, the Advances Collateral Pledge and Security Agreement with each member requires that a member provide collateral value equal to its credit outstanding (unless we specifically require more for a particular member - for example, due to the member’s risk rating based on our credit analyses of our members). Further, we require our member to pledge additional collateral if we perceive additional risk. • Credit risk mitigation efforts such as on-site collateral reviews to confirm the collateral meets eligibility requirements and ongoing monitoring to verify the sufficiency of collateral to advance exposure; • All payments due under the contractual terms have been received as of the end of this reporting period. In particular, no Member Credit Products were past due, on nonaccrual status, involved in a troubled debt restructuring, or otherwise considered impaired. Our long history of no credit losses on advances and letters of credit along with loss mitigation techniques are sufficient to support a conclusion of zero allowance for credit losses as of the end of this reporting period. Conventional MPF Loans Held in Portfolio We measure expected credit losses on conventional MPF Loans held in portfolio on a collective basis, pooling loans with similar risk characteristics. If an MPF Loan no longer shares risk characteristics with other loans in the pool (for example, the loan has become collateral dependent), it is removed from the pool and evaluated for expected credit losses on an individual basis. The analysis on a pool basis includes consideration of various loan portfolio collateral related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic credit losses. The model projects cash flows of estimated expected credit losses over the remaining life of an MPF Loan, which also considers how credit enhancements mitigate those credit losses through the MPF credit sharing structure at a master commitment level. The model relies on a number of assumptions, with the primary ones being the actual implied forward curves from active markets for treasuries and LIBOR and a housing price index (HPI) as follows: • An HPI base case scenario is used • The scenario is at the Core Based Statistical Area (CBSA) level • A reasonable and supportable short-term forecast horizon of 12 months is used • Next, a transition period reverting to the long-term mean, which varies based on CBSA (and on average is approximately 4 years) The model consists of two sub-models: a transition model and a cash flow model, with Monte Carlo simulators of transitional probabilities, as well as the ability to calibrate the model to unique aspects of our portfolio. The allowance excludes accrued interest receivable since we place the loan on nonaccrual when the loan becomes impaired and reverse interest income. In addition to evaluating our model output, management included a qualitative adjustment to reflect the additional economic uncertainty from the impact of the COVID-19 pandemic. Our allowance for credit losses considers the risk sharing structure of conventional MPF loans held in portfolio. For further detail of our MPF Risk Sharing Structure see page F-28 in our 2019 Form 10-K. There has been no material activity in our allowance for credit losses for the three months ended March 31, 2020 or 2019. The following tables summarize our MPF Loans by our key Credit Quality Indicator s, as further described on page F-29 in our 2019 Form 10-K. The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at March 31, 2020 excludes accrued interest receivable. March 31, 2020 December 31, 2019 Amortized Cost by Origination Year Recorded Investment 2016 to 2020 Prior to 2016 Total Past due 30-59 days $ 46 $ 37 $ 83 $ 82 Past due 60-89 days 8 10 18 19 Past due 90 days or more 10 21 31 28 Past due 64 68 132 129 Current 8,435 1,161 9,596 8,994 Total $ 8,499 $ 1,229 $ 9,728 $ 9,123 March 31, 2020 December 31, 2019 Amortized Cost Recorded Investment As of Conventional Government Total Conventional Government Total In process of foreclosure $ 11 $ 4 $ 15 $ 10 $ 4 $ 14 Serious delinquency rate 0.33 % 1.65 % 0.44 % 0.31 % 1.67 % 0.44 % Past due 90 days or more and still accruing interest $ 6 $ 15 $ 21 $ 4 $ 16 $ 20 Loans on nonaccrual status 30 — 30 Loans on nonaccrual status with no allowance for credit losses 10 — 10 Loans without an allowance for credit losses and on nonaccrual status 29 — 29 Unpaid principal balance of impaired loans without an allowance for credit losses 31 — 31 Interest Bearing Deposits, Federal Funds Sold and Term Securities Purchased Under Agreements to Resell We face credit risk on our unsecured short-term investment portfolio. We invest in unsecured overnight interest bearing deposits and Federal Funds sold in order to ensure the availability of funds to meet members' credit and liquidity needs. If the credit markets experience significant disruptions, it may increase the likelihood that one of our counterparties could experience liquidity or financial constraints that may cause them to become insolvent or otherwise default on their obligations to us. We did not establish an allowance for credit losses for our unsecured overnight interest bearing deposits or Federal Funds sold as of March 31, 2020 since all Federal Funds sold were repaid and all unsecured overnight interest bearing deposits were returned according to their contractual terms. We invest in overnight securities purchased under agreements to resell in order to ensure the availability of funds to meet members' liquidity and credit needs. Securities purchased under agreements to resell are secured by marketable securities held by a third-party custodian and collateral is adjusted daily to ensure full collateral coverage. We use the collateral maintenance provision practical expedient for securities purchased under an agreement to resell. If the credit markets experience disruptions, and as a result, one of our counterparties becomes insolvent or otherwise defaults on their obligations to us, and the collateral is insufficient to cover our exposure, we may suffer a credit loss. We did not record credit losses for our securities purchased under an agreement to resell portfolio segment since the entire portfolio was not adversely classified and sufficient collateral existed as of March 31, 2020. We did not establish an allowance for credit losses for overnight securities purchased under an agreement to resell as of March 31, 2020 since overnight securities purchased under agreements to resell were paid according to their contractual terms. Community First Fund (the Fund) We created the Fund, which is structured as an on balance sheet revolving pool of funds, with a mission to provide access to capital that supports economic development and affordable housing needs in the communities that our members serve in Illinois and Wisconsin. This is accomplished by providing long-term, unsecured loans to community development intermediary organizations (Partners). Partners to the Fund are unregulated and are often less sophisticated than our regulated members. We calculate a loss allowance based expected loss rates on representative rated securities and average tenor of the outstanding portfolio. As of March 31, 2020 we had $45 million in Fund loans outstanding, unchanged from $45 million at December 31, 2019 . We had no allowance as of December 31, 2019 , under the pre-CECL accounting policy, as we had not incurred any credit losses to that date. Under CECL effective January 1, 2020, we are recording allowances for credit losses on an expected basis over the life of the loans, although as of March 31, 2020, all Fund loans were current, and none were past due or on nonaccrual status. Our allowance for credit losses was $7 million at March 31, 2020 . Municipal Securities and Standby Bond Purchase Agreements We invest in municipal securities consisting of Housing Finance Authority (HFA) securities and off balance sheet Standby Bond Purchase Agreements (SBPAs) with these authorities. Nearly all of the securities were classified as AFS, only a de minimis amount were HTM. We review the ratings of the HFA securities and the corresponding Moody’s Default Balance to determine potential credit exposure. Since our municipal securities are rated above BBB, no credit loss were expected for HFA securities and SBPAs at March 31, 2020 . PLMBS We invested in senior tranches of Private Label Mortgage Backed Securities (PLMBS) that are classified as Prime, Alt-A, or Subprime. The majority of PLMBS are HTM. The HTM PLMBS are subject to the forward-looking model of CECL through the analysis of projected cash flows. The projected cash flows exceed the amortized cost of our PLMBS, and consequently, there was no additional allowance for credit losses for these PLMBS during the first quarter of 2020. We assess an HTM separately from AFS PLMBS. We assess an AFS PLMBS for credit losses whenever its fair value is less than its amortized cost as of the reporting date. Our evaluation includes estimating the projected cash flows that we are likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as: • the remaining payment terms for the security; • prepayment speeds based on underlying loan-level borrower and loan characteristics; • expected default rates based on underlying loan-level borrower and loan characteristics; • expected loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; • expected housing price changes; and • expected interest-rate assumptions. The results of these models can vary significantly with changes in assumptions and expectations. The projected cash flows reflect a best estimate scenario and include a base case housing price forecast and a base case housing price recovery path. As of March 31, 2020, 6% of our private-label MBS (AFS and HTM combined) were rated single-A, or above, by a nationally recognized statistical rating organization and the remaining securities were either rated less than single-A, or were unrated. This was unchanged from December 31, 2019. U.S. Government related assets • Investment debt securities issued or guaranteed by the U.S. Government • Investment debt securities issued or guaranteed by U.S. Government Sponsored Enterprises • U.S. Government guaranteed Federal Family Education Loan Program (FFELP) • U.S. Government guaranteed MPF Loans held in portfolio We have not established an allowance for credit losses for U.S. Government related assets, as we do not expect any losses on the basis of: 1) an explicit U.S. Government guarantee ; 2) the assumption that an implicit U.S. Government guarantee exists; 3) a demonstration of the U.S. Government’s willingness to act on the implicit guarantee as evidenced by U.S. Government capitalization and support during past financial crisis events that resulted in no losses for investors in such securities; and 4) the assumption of the U.S. Government’s willingness and ability to act on the explicit and implicit guarantees in the future on the basis of the importance of the Agencies in terms of promoting public policy and economic stability. With respect to defaulted U.S. Government guaranteed MPF Loans, any losses incurred that are not recovered from the U.S. Government insurer or guarantor are absorbed by the MPF PFI servicer. Accordingly, credit losses are based on our assessment of our servicers' ability to absorb losses not covered by the applicable U.S. Government guarantee or insurance. We did not establish an allowance for credit losses on our Government Loans held in portfolio for the reporting periods presented based on our assessment that our servicers have the ability to absorb such losses. Further, no Government MPF Loans were placed on nonaccrual status or as troubled debt restructurings for the same reason. Accrued interest receivable As permitted under the new CECL accounting standard, our elections at the time of adoption include, but are not limited to, presenting accrued interest receivable separately for loans and HTM debt securities which are carried at amortized cost. An allowance for credit losses determination is not required because we recognize the reversal of interest on a monthly basis in the event of an interest shortfall. The following table summarizes our accrued interest receivable by portfolio segment. Financial Instrument Type March 31, 2020 December 31, 2019 Total MPF Loans held in portfolio $ 55 $ 52 HTM securities 9 11 Interest bearing deposits 1 2 Advances 79 83 Other — 1 Accrued interest receivable $ 144 $ 149 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2020 | |
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 2019 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. The assumed maturity of the hedged item occurs on the date in which the last hedged cash flow is due and payable. 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. 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 March 31, 2020 , based on credit analyses and collateral requirements, we have not recorded a credit loss on our over-the-counter derivative agreements. See Note 15 - Fair Value in our 2019 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 $1 million at March 31, 2020 . 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 2019 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 $583 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at March 31, 2020 . Additionally, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, if our credit rating downgrades. We had no requirement to post additional initial margin by our FCMs at March 31, 2020 . The following table presents details on the notional amounts, and cleared and bilateral 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. March 31, 2020 December 31, 2019 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 41,953 $ 102 $ 1,051 $ 38,509 $ 76 $ 257 Derivatives not in hedge accounting relationships- Interest rate contracts 31,054 180 193 36,404 110 89 Other 5,675 31 30 1,122 2 1 Derivatives not in hedge accounting relationships 36,729 211 223 37,526 112 90 Gross derivative amount before netting adjustments and cash collateral $ 78,682 313 1,274 $ 76,035 188 347 Netting adjustments and cash collateral (240 ) (1,249 ) (182 ) (333 ) Derivatives on statements of condition $ 73 $ 25 $ 6 $ 14 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 1,049 $ 187 Cash collateral received and related accrued interest 41 35 The following table presents the noninterest income - derivatives and hedging activities as presented in the statements of income. Three months ended March 31, For the periods ending 2020 2019 Economic hedges - Interest rate contracts $ (148 ) (5 ) Other 6 2 Economic hedges (142 ) (3 ) Variation margin on daily settled cleared derivatives 4 1 Noninterest income - Derivatives and hedging activities $ (138 ) $ (2 ) The following table presents details regarding the offsetting of our cleared and bilateral 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 March 31, 2020 Derivatives with legal right of offset - Gross recognized amount $ 130 $ 151 $ 281 $ 1,122 $ 129 $ 1,251 Netting adjustments and cash collateral (112 ) (128 ) (240 ) (1,120 ) (129 ) (1,249 ) Derivatives with legal right of offset - net 18 23 41 2 — 2 Derivatives without legal right of offset 32 — 32 23 — 23 Derivatives on statements of condition 50 23 73 25 — 25 Net amount $ 50 $ 23 $ 73 $ 25 $ — $ 25 As of December 31, 2019 Derivatives with legal right of offset - Gross recognized amount $ 129 $ 57 $ 186 $ 281 $ 65 $ 346 Netting adjustments and cash collateral (127 ) (55 ) (182 ) (279 ) (54 ) (333 ) Derivatives with legal right of offset - net 2 2 4 2 11 13 Derivatives without legal right of offset 2 — 2 1 — 1 Derivatives on statements of condition 4 2 6 3 11 14 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 11 11 Net amount $ 4 $ 2 $ 6 $ 3 $ — $ 3 At March 31, 2020 , we had $583 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 $421 million of comparable exposure at December 31, 2019 . Fair Value Hedges The following table presents our fair value hedging results by the type of hedged item. We had no net gain or loss on hedged firm commitments that no longer qualified as a fair value hedge. Changes in fair value of the derivative and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Gains (losses) on derivatives include unrealized changes in fair value, as well as net interest settlements. Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Three months ended March 31, 2020 Available-for-sale debt securities $ (1,258 ) $ 1,271 $ 13 Advances (730 ) 715 (15 ) Consolidated obligation bonds 252 (245 ) 7 Total $ (1,736 ) $ 1,741 $ 5 Three months ended March 31, 2019 Available-for-sale debt securities $ (204 ) $ 193 $ (11 ) Advances (94 ) 106 12 Consolidated obligation bonds 104 (128 ) (24 ) Total $ (194 ) $ 171 $ (23 ) The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost 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 March 31, 2020 we did not have any active fair value hedges on our MPF Loans. As of March 31, 2020 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 $ 13,845 $ 1,057 $ — $ 1,057 Available-for-sale securities 13,368 1,920 — 1,920 MPF Loans held for portfolio 655 — 12 12 Consolidated obligation bonds 16,665 325 (28 ) 297 Cash Flow Hedges 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. We are exposed to the variability in the total net proceeds received from forecasted zero-coupon discount note issuances, which is attributable to changes in the benchmark interest rate. 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 the benchmark interest rate. 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 cash flow 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 March 31, 2020 . 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 March 31, 2020 Discount notes $ (48 ) $ (4 ) Three months ended March 31, 2019 Discount notes $ (13 ) $ (11 ) |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | Consolidated Obligations The FHLBs issue consolidated obligations through the Office of Finance as their agent. Consolidated obligations consist of discount notes and consolidated obligation bonds. Consolidated discount notes are issued to raise short-term funds, are issued at less than their face amount and redeemed at par value when they mature. The maturity of consolidated obligation bonds may range from less than one year to over 20 years , but they are not subject to any statutory or regulatory limits on maturity. The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of March 31, 2020 December 31, 2019 Consolidated obligation discount notes - carrying amount $ 47,095 $ 41,675 Consolidated obligation discount notes - par amount 47,155 41,770 Weighted Average Interest Rate 1.20 % 1.61 % The following table presents maturities and weighted average 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 March 31, 2020 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 22,575 0.79 % $ 34,296 One to two years 7,851 1.65 % 7,066 Two to three years 7,311 2.23 % 4,265 Three to four years 2,046 2.19 % 1,385 Four to five years 3,201 1.96 % 758 Thereafter 5,287 2.95 % 501 Total par value $ 48,271 1.52 % $ 48,271 The following table presents consolidated obligation bonds outstanding by call feature: As of March 31, 2020 December 31, 2019 Noncallable $ 32,978 $ 35,556 Callable 15,293 14,842 Par value 48,271 50,398 Fair value hedging adjustments 297 53 Other adjustments 25 23 Consolidated obligation bonds $ 48,593 $ 50,474 The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of March 31, 2020 , and December 31, 2019 . See Note 16 - Commitments and Contingencies in our 2019 Form 10-K for further details. March 31, 2020 December 31, 2019 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 597,360 $ 577,310 $ 1,174,670 $ 620,942 $ 404,953 $ 1,025,895 FHLB Chicago as primary obligor 48,271 47,155 95,426 50,398 41,770 92,168 As a percent of the FHLB System 8 % 8 % 8 % 8 % 10 % 9 % |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock (MRCS) | 3 Months Ended |
Mar. 31, 2020 | |
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 12 – Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements in our 2019 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-39 of our 2019 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. March 31, 2020 December 31, 2019 Requirement Actual Requirement Actual Total regulatory capital $ 4,138 $ 6,104 $ 3,993 $ 5,807 Total regulatory capital ratio 4.00 % 5.90 % 4.00 % 5.82 % Leverage capital $ 5,172 $ 9,155 $ 4,991 $ 8,710 Leverage capital ratio 5.00 % 8.85 % 5.00 % 8.73 % Risk-based capital $ 1,297 $ 6,104 $ 1,141 $ 5,807 Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. The following members had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS): As of March 31, 2020 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) The Northern Trust Company $ 247 10.8 % $ — One Mortgage Partners Corp. 245 a 10.7 % 245 a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. Dividends Our ability to pay dividends is subject to the FHLB Act and FHFA regulations. On April 28, 2020 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 first quarter of 2020 . This dividend totaled $25 million (recorded as $21 million dividends on capital stock and $4 million interest expense on mandatorily redeemable capital stock) and is scheduled for payment on May 14, 2020 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 3 Months Ended |
Mar. 31, 2020 | |
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 Debt Securities Held-to-maturity Debt Securities Post-Retirement Plans Total in AOCI Three months ended March 31, 2020 Beginning balance $ 104 $ (85 ) $ (38 ) $ (10 ) $ (29 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (631 ) 4 (48 ) (12 ) (687 ) Amounts reclassified in period to statements of income: Net interest income — — 4 4 Noninterest expense 1 1 Ending balance $ (527 ) $ (81 ) $ (82 ) $ (21 ) $ (711 ) Three months ended March 31, 2019 Beginning balance $ 211 $ (114 ) $ (31 ) $ (11 ) $ 55 Change in the period recorded to the statements of condition, before reclassifications to statements of income (2 ) 6 (13 ) 4 (5 ) Amounts reclassified in period to statements of income: Net interest income — — 11 11 Ending balance $ 209 $ (108 ) $ (33 ) $ (7 ) $ 61 |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2020 | |
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, see Note 16 - Commitments and Contingencies in our 2019 Form 10-K. 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 2019 Form 10-K for our fair value policies and Note 15 - Fair Value in our 2019 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 March 31, 2020 Carried at amortized cost Cash and due from banks $ 62 $ 62 $ 62 $ — $ — Interest bearing deposits 1,530 1,530 1,530 — — Federal Funds sold and securities purchased under agreements to resell 10,295 10,295 — 10,295 — Held-to-maturity debt securities 1,707 1,907 — 1,492 415 Advances 52,136 52,097 — 52,097 — MPF Loans held in portfolio, net 10,644 11,011 — 11,001 10 Other assets 144 144 — 144 — Carried at fair value on a recurring basis Trading debt securities 5,697 5,697 — 5,697 — Government related non-MBS, ABS, and MBS 17,990 17,990 — 17,990 — Private label residential MBS 30 30 — — 30 Available-for-sale debt securities 18,020 18,020 — 17,990 30 Advances - fair value option election 2,869 2,869 — 2,869 — Derivative assets 73 73 — 313 — $ (240 ) Other assets - held for sale at fair value 92 92 — 92 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 3 3 — — 3 Financial assets 103,272 $ 103,800 $ 1,592 $ 101,990 $ 458 $ (240 ) Other non financial assets 171 Assets $ 103,443 Carried at amortized cost Deposits $ (1,231 ) $ (1,231 ) $ — $ (1,231 ) $ — Consolidated obligation discount notes (33,278 ) (33,328 ) — (33,328 ) — Consolidated obligation bonds (42,458 ) (42,796 ) — (42,796 ) — Mandatorily redeemable capital stock (328 ) (328 ) (328 ) — — Other liabilities (150 ) (150 ) — (150 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes - fair value option (13,817 ) (13,817 ) — (13,817 ) — Consolidated obligation bonds - fair value option (6,135 ) (6,135 ) — (6,135 ) — Derivative liabilities (25 ) (25 ) — (1,274 ) — $ 1,249 Financial liabilities (97,422 ) $ (97,810 ) $ (328 ) $ (98,731 ) $ — $ 1,249 Other non financial liabilities (956 ) Liabilities $ (98,378 ) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting December 31, 2019 Carried at amortized cost Cash and due from banks $ 29 $ 29 $ 29 $ — $ — Interest bearing deposits 1,680 1,680 1,680 — — Federal Funds sold and securities purchased under agreements to resell 14,106 14,106 — 14,106 — Held-to-maturity debt securities 2,381 2,615 — 2,138 477 Advances 47,700 47,780 — 47,780 — MPF Loans held in portfolio, net 9,995 10,189 — 10,183 6 Other assets 149 149 — 149 — Carried at fair value on a recurring basis Trading debt securities 4,648 4,648 — 4,648 — Government related non-MBS, ABS, and MBS 16,032 16,032 — 16,032 — Private label residential MBS 35 35 — — 35 Available-for-sale debt securities 16,067 16,067 — 16,032 35 Advances - fair value option election 2,808 2,808 — 2,808 — Derivative assets 6 6 2 186 — $ (182 ) Other assets - held for sale at fair value 83 83 — 83 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 5 5 — — 5 Other assets 1 1 — — 1 Financial assets 99,658 $ 100,166 $ 1,711 $ 98,113 $ 524 $ (182 ) Other non financial assets 169 Assets $ 99,827 Carried at amortized cost Deposits (847 ) (847 ) — (847 ) — Consolidated obligation discount notes (23,709 ) (23,709 ) — (23,709 ) — Consolidated obligation bonds (42,490 ) (42,728 ) — (42,728 ) — Mandatorily redeemable capital stock (324 ) (324 ) (324 ) — — Other liabilities (158 ) (158 ) — (158 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes - fair value option (17,966 ) (17,966 ) — (17,966 ) — Consolidated obligation bonds - fair value option (7,984 ) (7,984 ) — (7,984 ) — Derivative liabilities (14 ) (14 ) — (347 ) — 333 Financial liabilities (93,492 ) $ (93,730 ) $ (324 ) $ (93,739 ) $ — $ 333 Other non financial liabilities (881 ) Liabilities $ (94,373 ) 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, or in certain cases where we wish to mitigate the risk associated with selecting the fair value option for other instruments. 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 2019 Form 10-K for further details. The following table presents the changes in fair values of financial assets and liabilities carried at fair value under the fair value option. These changes were recognized in noninterest income - instruments held under the fair value option in our statements of income. Three months ended March 31, 2020 2019 Advances $ 60 $ 10 Other assets 2 — Discount notes (14 ) — Consolidated obligation bonds (8 ) (8 ) Noninterest income - Instruments held under fair value option $ 40 $ 2 The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. March 31, 2020 December 31, 2019 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 2,768 $ 6,105 $ 2,768 $ 7,955 Fair value over (under) UPB 101 30 40 29 Fair value $ 2,869 $ 6,135 $ 2,808 $ 7,984 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies The following table shows our commitments outstanding, which represent off-balance sheet obligations. March 31, 2020 December 31, 2019 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 485 $ — $ 485 $ 81 $ — $ 81 Unsettled consolidated obligation discount notes — — — 750 — 750 Member standby letters of credit 19,147 6,045 a 25,192 18,077 5,774 a 23,851 Housing authority standby bond purchase agreements 12 426 438 32 409 441 Advance commitments 40 25 65 8 30 38 MPF delivery commitments 2,972 — 2,972 615 — 615 Other 4 — 4 1 — 1 Commitments $ 22,660 $ 6,496 $ 29,156 $ 19,564 $ 6,213 $ 25,777 a Contains $5.3 billion and $4.2 billion of member standby letters of credit as of March 31, 2020 , and December 31, 2019 , which were renewable annually. For a description of defined terms see Note 16 - Commitments and Contingencies to the financial statements in our 2019 Form 10-K. |
Transactions with Related Parti
Transactions with Related Parties and Other FHLBs | 3 Months Ended |
Mar. 31, 2020 | |
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 net income impacts to our Statements of Income were no t material. As of March 31, 2020 December 31, 2019 Assets - Advances $ 300 $ 696 Liabilities - Deposits 8 10 Equity - Capital Stock 13 31 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. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Credit Loss, Financial Instrument [Policy Text Block] | We adopted the Accounting Standards Update Measurement of Credit Losses on Financial Instruments (ASU 2016-13), as amended, for interim and annual periods effective January 1, 2020. ASU 2016-13 amended existing GAAP guidance applicable to measuring credit losses on financial instruments. Specifically, the amendment replaced the “incurred loss” impairment methodology 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. Expected recoveries of amounts previously written off and expected to be written off should be included in the allowance for credit losses determination but should not exceed the aggregate of amounts previously written off and expected to be written off by us. In addition, for collateral dependent financial assets, the amendment clarified that an allowance for credit losses that is added to the amortized cost of the financial asset(s) should not exceed amounts previously written off. We recognize a recovery when realized and apply the cost recovery method. Upon adoption, any difference between our existing and CECL allowance for credit losses was recognized as a cumulative effect adjustment to the opening balance of our retained earnings as of January 1, 2020. We recorded a cumulative effect adjustment to our opening balance of retained earnings of $(7) million , which related to Community First® Fund (the “Fund”) loans. Our elections at the time of adoption, include, but are not limited to, presenting accrued interest receivable separately for loans that are carried at amortized cost and held to maturity (HTM) debt securities, which also are carried at amortized cost. An allowance for credit losses determination is not required because we recognize the reversal of interest on a monthly basis in the event of an interest shortfall. The accounting for HTM and available for sale (AFS) debt securities changed on a prospective basis. Reversals of prior losses is permitted for HTM and AFS securities purchased after January 1, 2020. Such reversals are not permitted for HTM and AFS OTTI debt securities existing prior to January 1, 2020. Additionally, HTM and AFS debt securities will have their own allowance for credit losses. Recognition of a credit loss on available-for-sale (AFS) securities into the income statement occurs if the present value of cash flows expected to be collected on the security is less than its amortized cost basis. Additionally, the allowance on AFS debt securities will be limited to the amount by which fair value is less than the amortized cost basis. |
Derivatives, Policy [Policy Text Block] | In March of 2020, the FASB issued Accounting Standards Update (ASU): Reference Rate Reform (Topic 848) Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). The amendments provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. Optional Expedients for Contract Modifications: • Includes replacement of reference rate and contract modifications to add or change fallback provisions. • Modifications of receivables or debt may be accounted for prospectively adjusting the effective interest rate. • Modifications do not require reassessment of whether embedded derivative should be bifurcated. • Election must be applied consistently for all eligible contracts. Optional Expedients for Fair Value Hedges: • Change in benchmark rate is permitted. A change to the cumulative fair value basis adjustment may need to be recognized in current earnings. • Certain qualifying conditions for the shortcut method may be disregarded for the remainder of the fair value hedging relationship to continue the shortcut method. • The optional expedient may be elected on an individual hedging relationship basis. Optional Expedients for Cash Flow Hedges: • Certain criteria are met. For example, if the designated hedged interest rate risk is a rate that is affected by reference rate reform. • For cash flow hedges for which either the hedging instrument or hedged forecasted transactions reference a rate that is expected to be affected by reference rate reform, an entity may adjust how it applies the method used to initially and subsequently assess hedge effectiveness. • For cash flow hedges of portfolios of forecasted transactions that reference a rate that is expected to be affected by reference rate reform, an entity may disregard the requirement that the group of individual transactions must share the same risk exposure for which they are designated as being hedged. • The optional expedients for cash flow hedging relationships may be elected on an individual hedging relationship basis. Optional One-Time Election to Sell or Transfer Debt Securities Classified as Held-to-Maturity. The amendments apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The expedients and exceptions provided by the amendments do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that we elected certain optional expedients for and that are retained through the end of the hedging relationship. We are in the process of determining which optional items we will elect. At this time we do not expect these to have a material impact on the Bank. |
Research, Development, and Computer Software, Policy [Policy Text Block] | We adopted the Accounting Standards Update (ASU): Customer’s Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement (ASU 2018-15) for interim and annual periods on January 1, 2020. ASU 2018-15 amended existing GAAP 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 guidance did not have an effect on our financial condition, results of operations, and cash flows at the time of adoption. We applied the new guidance on a prospective basis. |
Interest Income and Interest _2
Interest Income and Interest Expense (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense [Table Text Block] | The following table presents interest income and interest expense for the periods indicated: Three months ended March 31, 2020 2019 Interest income - Trading $ 26 $ 17 Available-for-sale 140 125 Held-to-maturity 27 38 Investment debt securities 193 180 Advances 238 358 MPF Loans held in portfolio 87 76 Federal funds sold and securities purchased under agreements to resell 38 67 Other 9 5 Interest income 565 686 Interest expense - Consolidated obligations - Discount notes 185 281 Bonds 228 279 Other 6 8 Interest expense 419 568 Net interest income 146 118 Provision for (reversal of) credit losses 2 — Net interest income after provision for (reversal of) credit losses $ 144 $ 118 |
Investment Debt Securities (Tab
Investment Debt Securities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, 2020 December 31, 2019 U.S. Government & other government related $ 5,687 $ 4,636 Residential MBS GSE 9 11 Government guaranteed 1 1 Trading debt securities $ 5,697 $ 4,648 The following table presents our gains and losses on trading debt securities recorded in Noninterest Income Other. Three months ended March 31, 2020 2019 Net unrealized gains (losses) on securities held at period end $ 70 $ (3 ) Net realized gains (losses) on securities sold/matured during the period 17 11 Net gains (losses) on trading debt securities $ 87 $ 8 |
Available-for-sale Securities by Major Security Type [Table Text Block] | Available-for-Sale Debt Securities (AFS) Amortized Cost Basis a Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Net Carrying Amount and Fair Value As of March 31, 2020 U.S. Government & other government related $ 1,246 $ 35 $ (7 ) $ 1,274 State or local housing agency 14 1 — 15 FFELP ABS 3,139 9 (67 ) 3,081 Residential MBS GSE 13,798 16 (526 ) 13,288 Government guaranteed 322 10 — 332 Private label 28 3 (1 ) 30 Available-for-sale debt securities $ 18,547 $ 74 $ (601 ) $ 18,020 As of December 31, 2019 U.S. Government & other government related $ 749 $ 32 $ — $ 781 State or local housing agency 14 1 — 15 FFELP ABS 3,219 140 (7 ) 3,352 Residential MBS GSE 11,600 19 (97 ) 11,522 Government guaranteed 352 10 — 362 Private label 29 6 — 35 Available-for-sale debt securities $ 15,963 $ 208 $ (104 ) $ 16,067 a Includes adjustments made to the cost basis of an investment for accretion, amortization, net charge-offs, fair value hedge accounting adjustments, and includes accrued interest receivable of $54 million and $57 million at March 31, 2020 and December 31, 2019. We had no sales of AFS debt securities for the periods presented. |
Held-to-maturity Securities by Major Security Type [Table Text Block] | Held-to-Maturity Debt Securities (HTM) Amortized Cost a Non-credit OTTI Recognized in AOCI (Loss) Net Carrying Amount Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of March 31, 2020 U.S. Government & other government related $ 598 $ — $ 598 $ 26 $ — $ 624 State or local housing agency 3 — 3 — — 3 Residential MBS GSE 681 — 681 35 — 716 Government guaranteed 147 — 147 2 — 149 Private label 359 (81 ) 278 138 (1 ) 415 Held-to-maturity debt securities $ 1,788 $ (81 ) $ 1,707 $ 201 $ (1 ) $ 1,907 As of December 31, 2019 U.S. Government & other government related $ 1,129 $ — $ 1,129 $ 18 $ (1 ) $ 1,146 State or local housing agency 4 — 4 — — 4 Residential MBS GSE 788 — 788 31 — 819 Government guaranteed 167 — 167 2 — 169 Private label 378 (85 ) 293 184 — 477 Held-to-maturity debt securities $ 2,466 $ (85 ) $ 2,381 $ 235 $ (1 ) $ 2,615 a Includes adjustments made to the cost basis of an investment for accretion, amortization, and/or net charge-offs. We had no sales of HTM debt securities for the periods presented. |
Investments Classified by Contractual Maturity Date [Table Text Block] | The maturity of our AFS and HTM debt securities is detailed in the following table. Available-for-Sale Held-to-Maturity As of March 31, 2020 Amortized Cost Basis Net Carrying Amount and Fair Value Net Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 1 $ 1 $ 125 $ 125 Due after one year through five years 7 7 15 15 Due after five years through ten years 506 515 97 99 Due after ten years 746 766 364 388 ABS and MBS without a single maturity date 17,287 16,731 1,106 1,280 Total debt securities $ 18,547 $ 18,020 $ 1,707 $ 1,907 |
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table presents unrealized temporary losses on our AFS portfolio for periods less than 12 months and for 12 months or more. We recognized no credit charges on these unrealized loss positions. Refer to the Credit Loss Analysis in the following section for further discussion. In the tables below, in cases where the gross unrealized losses for an investment category were 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 March 31, 2020 U.S. Government & other government related $ 503 $ (7 ) $ 3 $ — $ 506 $ (7 ) FFELP ABS 1,069 (35 ) 473 (32 ) 1,542 (67 ) Residential MBS GSE 7,186 (255 ) 5,375 (271 ) 12,561 (526 ) Government guaranteed 14 — — — 14 — Private label — — 10 (1 ) 10 (1 ) Available-for-sale debt securities $ 8,772 $ (297 ) $ 5,861 $ (304 ) $ 14,633 $ (601 ) As of December 31, 2019 U.S. Government & other government related $ 44 $ — $ 2 $ — $ 46 $ — FFELP ABS 512 (7 ) — — 512 (7 ) Residential MBS GSE 3,426 (25 ) 4,412 (72 ) 7,838 (97 ) Government guaranteed 1 — — — 1 — Private label — — 5 — 5 — Available-for-sale debt securities $ 3,983 $ (32 ) $ 4,419 $ (72 ) $ 8,402 $ (104 ) |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, 2020 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 20,214 0.79 % One to two years 2,617 2.12 % Two to three years 3,240 1.99 % Three to four years 9,341 1.63 % Four to five years 8,607 1.67 % More than five years 9,824 1.96 % Par value $ 53,843 1.43 % The following table reconciles the par value of our advances to the carrying amount on our statements of condition as of the dates indicated. As of March 31, 2020 December 31, 2019 Par value $ 53,843 $ 50,122 Fair value hedging adjustments 1,059 344 Other adjustments 103 42 Advances $ 55,005 $ 50,508 |
Credit Concentration Risk | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The following advance borrowers exceeded 10% of our advances outstanding: As of March 31, 2020 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 20.4 % The Northern Trust Company 5,820 10.8 % a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
MPF Loans Held in Portfolio (Ta
MPF Loans Held in Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Schedule of Participating Mortgage Loans [Table Text Block] | As of March 31, 2020 December 31, 2019 Medium term (15 years or less) $ 1,008 $ 856 Long term (greater than 15 years) 9,452 8,974 Unpaid principal balance 10,460 9,830 Net premiums, credit enhancement, and/or deferred loan fees 176 163 Fair value and economic hedging adjustments 13 8 MPF Loans held in portfolio, before allowance for credit losses 10,649 10,001 Allowance for credit losses on MPF Loans (2 ) (1 ) MPF Loans held in portfolio, net $ 10,647 $ 10,000 Conventional mortgage loans $ 9,553 $ 8,919 Government Loans 907 911 Unpaid principal balance $ 10,460 $ 9,830 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 2019 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) | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Financing Receivable, Past Due [Table Text Block] | The following tables summarize our MPF Loans by our key Credit Quality Indicator s, as further described on page F-29 in our 2019 Form 10-K. The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at March 31, 2020 excludes accrued interest receivable. March 31, 2020 December 31, 2019 Amortized Cost by Origination Year Recorded Investment 2016 to 2020 Prior to 2016 Total Past due 30-59 days $ 46 $ 37 $ 83 $ 82 Past due 60-89 days 8 10 18 19 Past due 90 days or more 10 21 31 28 Past due 64 68 132 129 Current 8,435 1,161 9,596 8,994 Total $ 8,499 $ 1,229 $ 9,728 $ 9,123 March 31, 2020 December 31, 2019 Amortized Cost Recorded Investment As of Conventional Government Total Conventional Government Total In process of foreclosure $ 11 $ 4 $ 15 $ 10 $ 4 $ 14 Serious delinquency rate 0.33 % 1.65 % 0.44 % 0.31 % 1.67 % 0.44 % Past due 90 days or more and still accruing interest $ 6 $ 15 $ 21 $ 4 $ 16 $ 20 Loans on nonaccrual status 30 — 30 Loans on nonaccrual status with no allowance for credit losses 10 — 10 Loans without an allowance for credit losses and on nonaccrual status 29 — 29 Unpaid principal balance of impaired loans without an allowance for credit losses 31 — 31 |
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | The following table summarizes our accrued interest receivable by portfolio segment. Financial Instrument Type March 31, 2020 December 31, 2019 Total MPF Loans held in portfolio $ 55 $ 52 HTM securities 9 11 Interest bearing deposits 1 2 Advances 79 83 Other — 1 Accrued interest receivable $ 144 $ 149 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table presents details on the notional amounts, and cleared and bilateral derivative assets and liabilities on our statements of condition. 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. March 31, 2020 December 31, 2019 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 41,953 $ 102 $ 1,051 $ 38,509 $ 76 $ 257 Derivatives not in hedge accounting relationships- Interest rate contracts 31,054 180 193 36,404 110 89 Other 5,675 31 30 1,122 2 1 Derivatives not in hedge accounting relationships 36,729 211 223 37,526 112 90 Gross derivative amount before netting adjustments and cash collateral $ 78,682 313 1,274 $ 76,035 188 347 Netting adjustments and cash collateral (240 ) (1,249 ) (182 ) (333 ) Derivatives on statements of condition $ 73 $ 25 $ 6 $ 14 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 1,049 $ 187 Cash collateral received and related accrued interest 41 35 |
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. Three months ended March 31, For the periods ending 2020 2019 Economic hedges - Interest rate contracts $ (148 ) (5 ) Other 6 2 Economic hedges (142 ) (3 ) Variation margin on daily settled cleared derivatives 4 1 Noninterest income - Derivatives and hedging activities $ (138 ) $ (2 ) |
Offsetting Assets [Table Text Block] | The following table presents details regarding the offsetting of our cleared and bilateral 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 March 31, 2020 Derivatives with legal right of offset - Gross recognized amount $ 130 $ 151 $ 281 $ 1,122 $ 129 $ 1,251 Netting adjustments and cash collateral (112 ) (128 ) (240 ) (1,120 ) (129 ) (1,249 ) Derivatives with legal right of offset - net 18 23 41 2 — 2 Derivatives without legal right of offset 32 — 32 23 — 23 Derivatives on statements of condition 50 23 73 25 — 25 Net amount $ 50 $ 23 $ 73 $ 25 $ — $ 25 As of December 31, 2019 Derivatives with legal right of offset - Gross recognized amount $ 129 $ 57 $ 186 $ 281 $ 65 $ 346 Netting adjustments and cash collateral (127 ) (55 ) (182 ) (279 ) (54 ) (333 ) Derivatives with legal right of offset - net 2 2 4 2 11 13 Derivatives without legal right of offset 2 — 2 1 — 1 Derivatives on statements of condition 4 2 6 3 11 14 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 11 11 Net amount $ 4 $ 2 $ 6 $ 3 $ — $ 3 |
Offsetting Liabilities [Table Text Block] | The following table presents details regarding the offsetting of our cleared and bilateral 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 March 31, 2020 Derivatives with legal right of offset - Gross recognized amount $ 130 $ 151 $ 281 $ 1,122 $ 129 $ 1,251 Netting adjustments and cash collateral (112 ) (128 ) (240 ) (1,120 ) (129 ) (1,249 ) Derivatives with legal right of offset - net 18 23 41 2 — 2 Derivatives without legal right of offset 32 — 32 23 — 23 Derivatives on statements of condition 50 23 73 25 — 25 Net amount $ 50 $ 23 $ 73 $ 25 $ — $ 25 As of December 31, 2019 Derivatives with legal right of offset - Gross recognized amount $ 129 $ 57 $ 186 $ 281 $ 65 $ 346 Netting adjustments and cash collateral (127 ) (55 ) (182 ) (279 ) (54 ) (333 ) Derivatives with legal right of offset - net 2 2 4 2 11 13 Derivatives without legal right of offset 2 — 2 1 — 1 Derivatives on statements of condition 4 2 6 3 11 14 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 11 11 Net amount $ 4 $ 2 $ 6 $ 3 $ — $ 3 At March 31, 2020 , we had $583 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 $421 million of comparable exposure at December 31, 2019 . |
Fair Value Hedges [Table Text Block] | The following table presents our fair value hedging results by the type of hedged item. We had no net gain or loss on hedged firm commitments that no longer qualified as a fair value hedge. Changes in fair value of the derivative and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Gains (losses) on derivatives include unrealized changes in fair value, as well as net interest settlements. Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Three months ended March 31, 2020 Available-for-sale debt securities $ (1,258 ) $ 1,271 $ 13 Advances (730 ) 715 (15 ) Consolidated obligation bonds 252 (245 ) 7 Total $ (1,736 ) $ 1,741 $ 5 Three months ended March 31, 2019 Available-for-sale debt securities $ (204 ) $ 193 $ (11 ) Advances (94 ) 106 12 Consolidated obligation bonds 104 (128 ) (24 ) Total $ (194 ) $ 171 $ (23 ) The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost 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 March 31, 2020 we did not have any active fair value hedges on our MPF Loans. As of March 31, 2020 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 $ 13,845 $ 1,057 $ — $ 1,057 Available-for-sale securities 13,368 1,920 — 1,920 MPF Loans held for portfolio 655 — 12 12 Consolidated obligation bonds 16,665 325 (28 ) 297 |
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 March 31, 2020 Discount notes $ (48 ) $ (4 ) Three months ended March 31, 2019 Discount notes $ (13 ) $ (11 ) |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Short-term Debt [Table Text Block] | The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of March 31, 2020 December 31, 2019 Consolidated obligation discount notes - carrying amount $ 47,095 $ 41,675 Consolidated obligation discount notes - par amount 47,155 41,770 Weighted Average Interest Rate 1.20 % 1.61 % |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following table presents maturities and weighted average 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 March 31, 2020 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 22,575 0.79 % $ 34,296 One to two years 7,851 1.65 % 7,066 Two to three years 7,311 2.23 % 4,265 Three to four years 2,046 2.19 % 1,385 Four to five years 3,201 1.96 % 758 Thereafter 5,287 2.95 % 501 Total par value $ 48,271 1.52 % $ 48,271 |
Schedule of Long-term Debt Instruments [Table Text Block] | The following table presents consolidated obligation bonds outstanding by call feature: As of March 31, 2020 December 31, 2019 Noncallable $ 32,978 $ 35,556 Callable 15,293 14,842 Par value 48,271 50,398 Fair value hedging adjustments 297 53 Other adjustments 25 23 Consolidated obligation bonds $ 48,593 $ 50,474 |
Schedule of Guarantor Obligations [Table Text Block] | The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of March 31, 2020 , and December 31, 2019 . See Note 16 - Commitments and Contingencies in our 2019 Form 10-K for further details. March 31, 2020 December 31, 2019 Par values as of Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 597,360 $ 577,310 $ 1,174,670 $ 620,942 $ 404,953 $ 1,025,895 FHLB Chicago as primary obligor 48,271 47,155 95,426 50,398 41,770 92,168 As a percent of the FHLB System 8 % 8 % 8 % 8 % 10 % 9 % |
Capital and Mandatorily Redee_2
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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-39 of our 2019 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. March 31, 2020 December 31, 2019 Requirement Actual Requirement Actual Total regulatory capital $ 4,138 $ 6,104 $ 3,993 $ 5,807 Total regulatory capital ratio 4.00 % 5.90 % 4.00 % 5.82 % Leverage capital $ 5,172 $ 9,155 $ 4,991 $ 8,710 Leverage capital ratio 5.00 % 8.85 % 5.00 % 8.73 % Risk-based capital $ 1,297 $ 6,104 $ 1,141 $ 5,807 Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. |
Stockholders' Equity, Total [Member] | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The following members had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS): As of March 31, 2020 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) The Northern Trust Company $ 247 10.8 % $ — One Mortgage Partners Corp. 245 a 10.7 % 245 a One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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 Debt Securities Held-to-maturity Debt Securities Post-Retirement Plans Total in AOCI Three months ended March 31, 2020 Beginning balance $ 104 $ (85 ) $ (38 ) $ (10 ) $ (29 ) Change in the period recorded to the statements of condition, before reclassifications to statements of income (631 ) 4 (48 ) (12 ) (687 ) Amounts reclassified in period to statements of income: Net interest income — — 4 4 Noninterest expense 1 1 Ending balance $ (527 ) $ (81 ) $ (82 ) $ (21 ) $ (711 ) Three months ended March 31, 2019 Beginning balance $ 211 $ (114 ) $ (31 ) $ (11 ) $ 55 Change in the period recorded to the statements of condition, before reclassifications to statements of income (2 ) 6 (13 ) 4 (5 ) Amounts reclassified in period to statements of income: Net interest income — — 11 11 Ending balance $ 209 $ (108 ) $ (33 ) $ (7 ) $ 61 |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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, see Note 16 - Commitments and Contingencies in our 2019 Form 10-K. 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 2019 Form 10-K for our fair value policies and Note 15 - Fair Value in our 2019 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 March 31, 2020 Carried at amortized cost Cash and due from banks $ 62 $ 62 $ 62 $ — $ — Interest bearing deposits 1,530 1,530 1,530 — — Federal Funds sold and securities purchased under agreements to resell 10,295 10,295 — 10,295 — Held-to-maturity debt securities 1,707 1,907 — 1,492 415 Advances 52,136 52,097 — 52,097 — MPF Loans held in portfolio, net 10,644 11,011 — 11,001 10 Other assets 144 144 — 144 — Carried at fair value on a recurring basis Trading debt securities 5,697 5,697 — 5,697 — Government related non-MBS, ABS, and MBS 17,990 17,990 — 17,990 — Private label residential MBS 30 30 — — 30 Available-for-sale debt securities 18,020 18,020 — 17,990 30 Advances - fair value option election 2,869 2,869 — 2,869 — Derivative assets 73 73 — 313 — $ (240 ) Other assets - held for sale at fair value 92 92 — 92 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 3 3 — — 3 Financial assets 103,272 $ 103,800 $ 1,592 $ 101,990 $ 458 $ (240 ) Other non financial assets 171 Assets $ 103,443 Carried at amortized cost Deposits $ (1,231 ) $ (1,231 ) $ — $ (1,231 ) $ — Consolidated obligation discount notes (33,278 ) (33,328 ) — (33,328 ) — Consolidated obligation bonds (42,458 ) (42,796 ) — (42,796 ) — Mandatorily redeemable capital stock (328 ) (328 ) (328 ) — — Other liabilities (150 ) (150 ) — (150 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes - fair value option (13,817 ) (13,817 ) — (13,817 ) — Consolidated obligation bonds - fair value option (6,135 ) (6,135 ) — (6,135 ) — Derivative liabilities (25 ) (25 ) — (1,274 ) — $ 1,249 Financial liabilities (97,422 ) $ (97,810 ) $ (328 ) $ (98,731 ) $ — $ 1,249 Other non financial liabilities (956 ) Liabilities $ (98,378 ) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting December 31, 2019 Carried at amortized cost Cash and due from banks $ 29 $ 29 $ 29 $ — $ — Interest bearing deposits 1,680 1,680 1,680 — — Federal Funds sold and securities purchased under agreements to resell 14,106 14,106 — 14,106 — Held-to-maturity debt securities 2,381 2,615 — 2,138 477 Advances 47,700 47,780 — 47,780 — MPF Loans held in portfolio, net 9,995 10,189 — 10,183 6 Other assets 149 149 — 149 — Carried at fair value on a recurring basis Trading debt securities 4,648 4,648 — 4,648 — Government related non-MBS, ABS, and MBS 16,032 16,032 — 16,032 — Private label residential MBS 35 35 — — 35 Available-for-sale debt securities 16,067 16,067 — 16,032 35 Advances - fair value option election 2,808 2,808 — 2,808 — Derivative assets 6 6 2 186 — $ (182 ) Other assets - held for sale at fair value 83 83 — 83 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 5 5 — — 5 Other assets 1 1 — — 1 Financial assets 99,658 $ 100,166 $ 1,711 $ 98,113 $ 524 $ (182 ) Other non financial assets 169 Assets $ 99,827 Carried at amortized cost Deposits (847 ) (847 ) — (847 ) — Consolidated obligation discount notes (23,709 ) (23,709 ) — (23,709 ) — Consolidated obligation bonds (42,490 ) (42,728 ) — (42,728 ) — Mandatorily redeemable capital stock (324 ) (324 ) (324 ) — — Other liabilities (158 ) (158 ) — (158 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes - fair value option (17,966 ) (17,966 ) — (17,966 ) — Consolidated obligation bonds - fair value option (7,984 ) (7,984 ) — (7,984 ) — Derivative liabilities (14 ) (14 ) — (347 ) — 333 Financial liabilities (93,492 ) $ (93,730 ) $ (324 ) $ (93,739 ) $ — $ 333 Other non financial liabilities (881 ) Liabilities $ (94,373 ) 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 March 31, 2020 2019 Advances $ 60 $ 10 Other assets 2 — Discount notes (14 ) — Consolidated obligation bonds (8 ) (8 ) Noninterest income - Instruments held under fair value option $ 40 $ 2 The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. March 31, 2020 December 31, 2019 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 2,768 $ 6,105 $ 2,768 $ 7,955 Fair value over (under) UPB 101 30 40 29 Fair value $ 2,869 $ 6,135 $ 2,808 $ 7,984 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | The following table shows our commitments outstanding, which represent off-balance sheet obligations. March 31, 2020 December 31, 2019 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Unsettled consolidated obligation bonds $ 485 $ — $ 485 $ 81 $ — $ 81 Unsettled consolidated obligation discount notes — — — 750 — 750 Member standby letters of credit 19,147 6,045 a 25,192 18,077 5,774 a 23,851 Housing authority standby bond purchase agreements 12 426 438 32 409 441 Advance commitments 40 25 65 8 30 38 MPF delivery commitments 2,972 — 2,972 615 — 615 Other 4 — 4 1 — 1 Commitments $ 22,660 $ 6,496 $ 29,156 $ 19,564 $ 6,213 $ 25,777 a Contains $5.3 billion and $4.2 billion of member standby letters of credit as of March 31, 2020 , and December 31, 2019 , which were renewable annually. For a description of defined terms see Note 16 - Commitments and Contingencies to the financial statements in our 2019 Form 10-K. |
Transactions with Related Par_2
Transactions with Related Parties and Other FHLBs (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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 net income impacts to our Statements of Income were no t material. As of March 31, 2020 December 31, 2019 Assets - Advances $ 300 $ 696 Liabilities - Deposits 8 10 Equity - Capital Stock 13 31 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies Narrative (Details) $ in Millions | Jan. 01, 2020USD ($) |
Accounting Standards Update 2016-13 [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative Effect of New Accounting Principle in Period of Adoption | $ (7) |
Interest Income and Interest _3
Interest Income and Interest Expense (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Interest income - | ||
Trading | $ 26 | $ 17 |
Available-for-sale | 140 | 125 |
Held-to-maturity | 27 | 38 |
Investment debt securities | 193 | 180 |
Advances | 238 | 358 |
MPF Loans held in portfolio | 87 | 76 |
Federal funds sold and securities purchased under agreements to resell | 38 | 67 |
Other | 9 | 5 |
Interest income | 565 | 686 |
Consolidated obligations - | ||
Discount notes | 185 | 281 |
Bonds | 228 | 279 |
Other | 6 | 8 |
Interest expense | 419 | 568 |
Net interest income | 146 | 118 |
Provision for (reversal of) credit losses | 2 | 0 |
Net interest income after provision for (reversal of) credit losses | $ 144 | $ 118 |
Investment Debt Securities (Tra
Investment Debt Securities (Trading debt scurities) (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading debt securities | $ 5,697 | $ 4,648 | |
Net unrealized gains (losses) on securities held at period end | 70 | $ (3) | |
Net realized gains (losses) on securities sold/matured during the period | 17 | 11 | |
Net gains (losses) on trading debt securities | 87 | $ 8 | |
U.S. Government & other government related | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading debt securities | 5,687 | 4,636 | |
Residential MBS | GSE | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading debt securities | 9 | 11 | |
Residential MBS | Government guaranteed | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading debt securities | $ 1 | $ 1 |
Investment Debt Securities (Ava
Investment Debt Securities (Available-for-sale debt securities) (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost Basis | [1] | $ 18,547 | $ 15,963 |
Gross Unrealized Gains in AOCI | 74 | 208 | |
Gross Unrealized (Losses) in AOCI | (601) | (104) | |
Net Carrying Amount and Fair Value | 18,020 | 16,067 | |
U.S. Government & other government related | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost Basis | 1,246 | 749 | |
Gross Unrealized Gains in AOCI | 35 | 32 | |
Gross Unrealized (Losses) in AOCI | (7) | 0 | |
Net Carrying Amount and Fair Value | 1,274 | 781 | |
State or local housing agency | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost Basis | 14 | 14 | |
Gross Unrealized Gains in AOCI | 1 | 1 | |
Gross Unrealized (Losses) in AOCI | 0 | 0 | |
Net Carrying Amount and Fair Value | 15 | 15 | |
FFELP ABS | FFELP ABS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost Basis | 3,139 | 3,219 | |
Gross Unrealized Gains in AOCI | 9 | 140 | |
Gross Unrealized (Losses) in AOCI | (67) | (7) | |
Net Carrying Amount and Fair Value | 3,081 | 3,352 | |
Residential MBS | GSE | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost Basis | 13,798 | 11,600 | |
Gross Unrealized Gains in AOCI | 16 | 19 | |
Gross Unrealized (Losses) in AOCI | (526) | (97) | |
Net Carrying Amount and Fair Value | 13,288 | 11,522 | |
Residential MBS | Government guaranteed | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost Basis | 322 | 352 | |
Gross Unrealized Gains in AOCI | 10 | 10 | |
Gross Unrealized (Losses) in AOCI | 0 | 0 | |
Net Carrying Amount and Fair Value | 332 | 362 | |
Residential MBS | Private label | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost Basis | 28 | 29 | |
Gross Unrealized Gains in AOCI | 3 | 6 | |
Gross Unrealized (Losses) in AOCI | (1) | 0 | |
Net Carrying Amount and Fair Value | $ 30 | $ 35 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, net charge-offs, fair value hedge accounting adjustments, and includes accrued interest receivable of $54 million and $57 million at March 31, 2020 and December 31, 2019. |
Investment Debt Securities (Hel
Investment Debt Securities (Held-to-maturities debt securities) (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 1,788 | $ 2,466 |
Non-credit OTTI Recognized in AOCI (Loss) | (81) | (85) | |
Net Carrying Amount | 1,707 | 2,381 | |
Gross Unrecognized Holding Gains | 201 | 235 | |
Gross Unrecognized Holding (Losses) | (1) | (1) | |
Fair Value | 1,907 | 2,615 | |
U.S. Government & other government related | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 598 | 1,129 | |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 | |
Net Carrying Amount | 598 | 1,129 | |
Gross Unrecognized Holding Gains | 26 | 18 | |
Gross Unrecognized Holding (Losses) | 0 | (1) | |
Fair Value | 624 | 1,146 | |
State or local housing agency | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 3 | 4 | |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 | |
Net Carrying Amount | 3 | 4 | |
Gross Unrecognized Holding Gains | 0 | 0 | |
Gross Unrecognized Holding (Losses) | 0 | 0 | |
Fair Value | 3 | 4 | |
Residential MBS | GSE | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 681 | 788 | |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 | |
Net Carrying Amount | 681 | 788 | |
Gross Unrecognized Holding Gains | 35 | 31 | |
Gross Unrecognized Holding (Losses) | 0 | 0 | |
Fair Value | 716 | 819 | |
Residential MBS | Government guaranteed | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 147 | 167 | |
Non-credit OTTI Recognized in AOCI (Loss) | 0 | 0 | |
Net Carrying Amount | 147 | 167 | |
Gross Unrecognized Holding Gains | 2 | 2 | |
Gross Unrecognized Holding (Losses) | 0 | 0 | |
Fair Value | 149 | 169 | |
Residential MBS | Private label | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 359 | 378 | |
Non-credit OTTI Recognized in AOCI (Loss) | (81) | (85) | |
Net Carrying Amount | 278 | 293 | |
Gross Unrecognized Holding Gains | 138 | 184 | |
Gross Unrecognized Holding (Losses) | (1) | 0 | |
Fair Value | $ 415 | $ 477 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, and/or net charge-offs. |
Investment Debt Securities Cont
Investment Debt Securities Contractual maturities (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale, Maturity, Amortized Cost, Rolling Maturity [Abstract] | |||
Due in one year or less | $ 1 | ||
Due after one year through five years | 7 | ||
Due after five years through ten years | 506 | ||
Due after ten years | 746 | ||
ABS and MBS without a single maturity date | 17,287 | ||
Amortized Cost Basis | [1] | 18,547 | $ 15,963 |
Debt Securities, Available-for-sale, Maturity, Fair Value, Rolling Maturity [Abstract] | |||
Due in one year or less | 1 | ||
Due after one year through five years | 7 | ||
Due after five years through ten years | 515 | ||
Due after ten years | 766 | ||
ABS and MBS without a single maturity date | 16,731 | ||
Net Carrying Amount and Fair Value | 18,020 | 16,067 | |
Debt Securities, Held-to-maturity, Maturity, Amortized Cost, Rolling Maturity [Abstract] | |||
Due in one year or less | 125 | ||
Due after one year through five years | 15 | ||
Due after five years through ten years | 97 | ||
Due after ten years | 364 | ||
ABS and MBS without a single maturity date | 1,106 | ||
Net Carrying Amount | 1,707 | 2,381 | |
Debt Securities, Held-to-maturity, Maturity, Fair Value, Rolling Maturity [Abstract] | |||
Due in one year or less | 125 | ||
Due after one year through five years | 15 | ||
Due after five years through ten years | 99 | ||
Due after ten years | 388 | ||
ABS and MBS without a single maturity date | 1,280 | ||
Fair Value | $ 1,907 | $ 2,615 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, net charge-offs, fair value hedge accounting adjustments, and includes accrued interest receivable of $54 million and $57 million at March 31, 2020 and December 31, 2019. |
Investment Debt Securities Agin
Investment Debt Securities Aging of unrealized temporary losses (Details) - Available-for-sale debt securities - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | $ 8,772 | $ 3,983 |
Less than 12 Months, Gross Unrealized (Losses) | (297) | (32) |
12 Months or More, Fair Value | 5,861 | 4,419 |
12 Months or More, Gross Unrealized (Losses) | (304) | (72) |
Total, Fair Value | 14,633 | 8,402 |
Total, Gross Unrealized (Losses) | (601) | (104) |
U.S. Government & other government related | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 503 | 44 |
Less than 12 Months, Gross Unrealized (Losses) | (7) | 0 |
12 Months or More, Fair Value | 3 | 2 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 506 | 46 |
Total, Gross Unrealized (Losses) | (7) | 0 |
FFELP ABS | FFELP ABS | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 1,069 | 512 |
Less than 12 Months, Gross Unrealized (Losses) | (35) | (7) |
12 Months or More, Fair Value | 473 | 0 |
12 Months or More, Gross Unrealized (Losses) | (32) | 0 |
Total, Fair Value | 1,542 | 512 |
Total, Gross Unrealized (Losses) | (67) | (7) |
Residential MBS | GSE | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 7,186 | 3,426 |
Less than 12 Months, Gross Unrealized (Losses) | (255) | (25) |
12 Months or More, Fair Value | 5,375 | 4,412 |
12 Months or More, Gross Unrealized (Losses) | (271) | (72) |
Total, Fair Value | 12,561 | 7,838 |
Total, Gross Unrealized (Losses) | (526) | (97) |
Residential MBS | Government guaranteed | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 14 | 1 |
Less than 12 Months, Gross Unrealized (Losses) | 0 | 0 |
12 Months or More, Fair Value | 0 | 0 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 14 | 1 |
Total, Gross Unrealized (Losses) | 0 | 0 |
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 | 10 | 5 |
12 Months or More, Gross Unrealized (Losses) | (1) | 0 |
Total, Fair Value | 10 | 5 |
Total, Gross Unrealized (Losses) | $ (1) | $ 0 |
Investment Debt Securities (Pri
Investment Debt Securities (Prior years OTTI accretion) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | ||
Increases in cash flows expected to be collected and recognized into interest income | $ (6) | $ (7) |
Advances By redemption terms (D
Advances By redemption terms (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value Amount [Abstract] | ||
Due in one year or less | $ 20,214 | |
One to two years | 2,617 | |
Two to three years | 3,240 | |
Three to four years | 9,341 | |
Four to five years | 8,607 | |
More than five years | 9,824 | |
Par value | $ 53,843 | $ 50,122 |
Federal Home Loan Bank, Advances, Weighted Average Contractual Interest Rate, Rolling Year [Abstract] | ||
Due in one year or less | 0.79% | |
One to two years | 2.12% | |
Two to three years | 1.99% | |
Three to four years | 1.63% | |
Four to five years | 1.67% | |
More than five years | 1.96% | |
Par value | 1.43% |
Advances Reconciliation of par
Advances Reconciliation of par values to carrying values (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Federal Home Loan Banks [Abstract] | ||
Par value | $ 53,843 | $ 50,122 |
Fair value hedging adjustments | 1,059 | 344 |
Other adjustments | 103 | 42 |
Advances | $ 55,005 | $ 50,508 |
Advances By counterparty concen
Advances By counterparty concentration (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020 | Dec. 31, 2019 | ||
Concentration Risk [Line Items] | |||
Par value | $ 53,843 | $ 50,122 | |
Credit Concentration Risk | One Mortgage Partners Corp. [Member] | |||
Concentration Risk [Line Items] | |||
Par value | [1] | $ 11,000 | |
% of Total Outstanding | 20.40% | ||
Credit Concentration Risk | The Northern Trust Company [Member] | |||
Concentration Risk [Line Items] | |||
Par value | $ 5,820 | ||
% of Total Outstanding | 10.80% | ||
[1] | One Mortgage Partners Corp. is a subsidiary of JPMorgan Chase Bank NA. |
MPF Loans Held in Portfolio (De
MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
MPF Loans held in portfolio, net | $ 10,647 | $ 10,000 |
Total MPF Loans held in portfolio | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 10,460 | 9,830 |
Net premiums, credit enhancement, and/or deferred loan fees | 176 | 163 |
Fair value and economic hedging adjustments | 13 | 8 |
MPF Loans held in portfolio, before allowance for credit losses | 10,649 | 10,001 |
Allowance for credit losses on MPF Loans | (2) | (1) |
MPF Loans held in portfolio, net | 10,647 | 10,000 |
Total MPF Loans held in portfolio | Medium term (15 years or less) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 1,008 | 856 |
Total MPF Loans held in portfolio | Long term (greater than 15 years) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 9,452 | 8,974 |
Total MPF Loans held in portfolio | Conventional mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 9,553 | 8,919 |
Total MPF Loans held in portfolio | Government Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | $ 907 | $ 911 |
Allowance for Credit Losses Cre
Allowance for Credit Losses Credit Quality Indicators - MPF Loans Held in Portfolio (Details) - Mortgage Receivable [Member] - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Financing Receivable, Past Due [Line Items] | ||
In process of foreclosure | $ 15 | $ 14 |
Serious delinquency rate | 0.44% | 0.44% |
Past due 90 days or more and still accruing interest | $ 21 | $ 20 |
Loans on nonaccrual status | 30 | |
Loans on nonaccrual status with no allowance for credit losses | 10 | |
Loans without an allowance for credit losses and on nonaccrual status | 29 | |
Unpaid principal balance of impaired loans without an allowance for credit losses | 31 | |
Conventional | ||
Financing Receivable, Past Due [Line Items] | ||
2016 to 2020 | 8,499 | |
Prior to 2016 | 1,229 | |
MPF Loans held in portfolio, before allowance for credit losses | 9,728 | |
MPF Loans held in portfolio, before allowance for credit losses | 9,123 | |
In process of foreclosure | $ 11 | $ 10 |
Serious delinquency rate | 0.33% | 0.31% |
Past due 90 days or more and still accruing interest | $ 6 | $ 4 |
Loans on nonaccrual status | 30 | |
Loans on nonaccrual status with no allowance for credit losses | 10 | |
Loans without an allowance for credit losses and on nonaccrual status | 29 | |
Unpaid principal balance of impaired loans without an allowance for credit losses | 31 | |
Conventional | Performing Financial Instruments [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
2016 to 2020 | 8,435 | |
Prior to 2016 | 1,161 | |
MPF Loans held in portfolio, before allowance for credit losses | 9,596 | |
Recorded Investment - Current | 8,994 | |
Conventional | Nonperforming Financial Instruments [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
2016 to 2020 | 64 | |
Prior to 2016 | 68 | |
MPF Loans held in portfolio, before allowance for credit losses | 132 | |
Recorded Investment - Past due | 129 | |
Conventional | Past due 30-59 days | ||
Financing Receivable, Past Due [Line Items] | ||
2016 to 2020 | 46 | |
Prior to 2016 | 37 | |
MPF Loans held in portfolio, before allowance for credit losses | 83 | |
Recorded Investment - Past due | 82 | |
Conventional | Past due 60-89 days | ||
Financing Receivable, Past Due [Line Items] | ||
2016 to 2020 | 8 | |
Prior to 2016 | 10 | |
MPF Loans held in portfolio, before allowance for credit losses | 18 | |
Recorded Investment - Past due | 19 | |
Conventional | Past due 90 days or more | ||
Financing Receivable, Past Due [Line Items] | ||
2016 to 2020 | 10 | |
Prior to 2016 | 21 | |
MPF Loans held in portfolio, before allowance for credit losses | 31 | |
Recorded Investment - Past due | 28 | |
Government | ||
Financing Receivable, Past Due [Line Items] | ||
In process of foreclosure | $ 4 | $ 4 |
Serious delinquency rate | 1.65% | 1.67% |
Past due 90 days or more and still accruing interest | $ 15 | $ 16 |
Loans on nonaccrual status | 0 | |
Loans on nonaccrual status with no allowance for credit losses | $ 0 | |
Loans without an allowance for credit losses and on nonaccrual status | 0 | |
Unpaid principal balance of impaired loans without an allowance for credit losses | $ 0 |
Allowance for Credit Losses Com
Allowance for Credit Losses Community First Fund (Details) - Other assets - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Loans and Leases Receivable Disclosure [Line Items] | ||
Fund loans outstanding | $ 45 | $ 45 |
Allowance for credit losses | $ 7 | $ 0 |
Allowance for Credit Losses Acc
Allowance for Credit Losses Accrued Interest Receivable (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 144 | $ 149 |
Total MPF Loans held in portfolio | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 55 | 52 |
HTM securities | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 9 | 11 |
Interest bearing deposits | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 1 | 2 |
Advances | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 79 | 83 |
Other | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 0 | $ 1 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Mar. 31, 2020USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Additional collateral due to derivatives counterparties if credit rating was lowered one level | $ 1 |
Financial Instruments Owned and Pledged as Collateral, Amount Eligible to be Repledged by Counterparty | $ 583 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in statements of condition (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 78,682 | $ 76,035 |
Derivative assets netting adjustments and cash collateral | (240) | (182) |
Derivative assets on statements of condition | 73 | 6 |
Derivative liabilities netting adjustments and cash collateral | (1,249) | (333) |
Derivative liabilities on statements of condition | 25 | 14 |
Cash collateral posted and related accrued interest | 1,049 | 187 |
Cash collateral received and related accrued interest | 41 | 35 |
Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 41,953 | 38,509 |
Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 36,729 | 37,526 |
Derivatives not in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 31,054 | 36,404 |
Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 5,675 | 1,122 |
Derivative Assets | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 313 | 188 |
Derivative assets netting adjustments and cash collateral | (240) | (182) |
Derivative assets on statements of condition | 73 | 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 | 102 | 76 |
Derivative Assets | Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 211 | 112 |
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 | 180 | 110 |
Derivative Assets | Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 31 | 2 |
Derivative Liabilities | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 1,274 | 347 |
Derivative liabilities netting adjustments and cash collateral | (1,249) | (333) |
Derivative liabilities on statements of condition | 25 | 14 |
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 1,051 | 257 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 223 | 90 |
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 | 193 | 89 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | $ 30 | $ 1 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Derivatives in statement of income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Economic hedges | $ (142) | $ (3) |
Variation margin on daily settled cleared derivatives | 4 | 1 |
Noninterest income - Derivatives and hedging activities | (138) | (2) |
Interest rate contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Economic hedges | (148) | (5) |
Other | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Economic hedges | $ 6 | $ 2 |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Derivative assets with legal right of offset (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative assets with legal right of offset - | ||
Gross recognized amount | $ 281 | $ 186 |
Derivative assets netting adjustments and cash collateral | (240) | (182) |
Derivatives with legal right of offset - net | 41 | 4 |
Derivatives without legal right of offset | 32 | 2 |
Derivative assets on statements of condition | 73 | 6 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | |
Net amount | 73 | 6 |
Bilateral | ||
Derivative assets with legal right of offset - | ||
Gross recognized amount | 130 | 129 |
Derivative assets netting adjustments and cash collateral | (112) | (127) |
Derivatives with legal right of offset - net | 18 | 2 |
Derivatives without legal right of offset | 32 | 2 |
Derivative assets on statements of condition | 50 | 4 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | |
Net amount | 50 | 4 |
Cleared | ||
Derivative assets with legal right of offset - | ||
Gross recognized amount | 151 | 57 |
Derivative assets netting adjustments and cash collateral | (128) | (55) |
Derivatives with legal right of offset - net | 23 | 2 |
Derivatives without legal right of offset | 0 | 0 |
Derivative assets on statements of condition | 23 | 2 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | |
Net amount | $ 23 | $ 2 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Derivative liabilities with legal right of offset (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | $ 1,251 | $ 346 |
Derivative liabilities netting adjustments and cash collateral | (1,249) | (333) |
Derivatives with legal right of offset - net | 2 | 13 |
Derivatives without legal right of offset | 23 | 1 |
Derivative liabilities on statements of condition | 25 | 14 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 11 | |
Net amount | 25 | 3 |
Credit exposure on overcollateralized pledged securities exceeding derivative position | 583 | 421 |
Bilateral | ||
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | 1,122 | 281 |
Derivative liabilities netting adjustments and cash collateral | (1,120) | (279) |
Derivatives with legal right of offset - net | 2 | 2 |
Derivatives without legal right of offset | 23 | 1 |
Derivative liabilities on statements of condition | 25 | 3 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | |
Net amount | 25 | 3 |
Cleared | ||
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | 129 | 65 |
Derivative liabilities netting adjustments and cash collateral | (129) | (54) |
Derivatives with legal right of offset - net | 0 | 11 |
Derivatives without legal right of offset | 0 | 0 |
Derivative liabilities on statements of condition | 0 | 11 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 11 | |
Net amount | $ 0 | $ 0 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount Recorded in Net Interest Income | $ 146 | $ 118 |
Fair value hedges | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivative | (1,736) | (194) |
Gain (Loss) on Hedged Item | 1,741 | 171 |
Amount Recorded in Net Interest Income | 5 | (23) |
Fair value hedges | Available-for-sale debt securities | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivative | (1,258) | (204) |
Gain (Loss) on Hedged Item | 1,271 | 193 |
Amount Recorded in Net Interest Income | 13 | (11) |
Fair value hedges | Advances | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivative | (730) | (94) |
Gain (Loss) on Hedged Item | 715 | 106 |
Amount Recorded in Net Interest Income | (15) | 12 |
Fair value hedges | Consolidated obligation bonds | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivative | 252 | 104 |
Gain (Loss) on Hedged Item | (245) | (128) |
Amount Recorded in Net Interest Income | $ 7 | $ (24) |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - Fair value hedges $ in Millions | Mar. 31, 2020USD ($) |
Advances | |
Derivative [Line Items] | |
Amortized cost of hedged asset/liability | $ 13,845 |
Basis adjustments active hedges included in amortized cost | 1,057 |
Basis adjustments discontinued hedges included in amortized cost | 0 |
Cumulative amount of fair value hedging basis adjustments | 1,057 |
Available-for-sale debt securities | |
Derivative [Line Items] | |
Amortized cost of hedged asset/liability | 13,368 |
Basis adjustments active hedges included in amortized cost | 1,920 |
Basis adjustments discontinued hedges included in amortized cost | 0 |
Cumulative amount of fair value hedging basis adjustments | 1,920 |
MPF Loans held for portfolio | |
Derivative [Line Items] | |
Amortized cost of hedged asset/liability | 655 |
Basis adjustments active hedges included in amortized cost | 0 |
Basis adjustments discontinued hedges included in amortized cost | 12 |
Cumulative amount of fair value hedging basis adjustments | 12 |
Consolidated obligation bonds | |
Derivative [Line Items] | |
Amortized cost of hedged asset/liability | 16,665 |
Basis adjustments active hedges included in amortized cost | 325 |
Basis adjustments discontinued hedges included in amortized cost | (28) |
Cumulative amount of fair value hedging basis adjustments | $ 297 |
Derivatives and Hedging Acti_10
Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
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 | |
Cash flow hedges | Discount notes | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gross Amount Initially Recognized in AOCI | (48) | $ (13) |
Amount Reclassified from AOCI into Net Interest Income | $ (4) | $ (11) |
Consolidated Obligations (Short
Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Short-term Debt [Line Items] | ||
Consolidated obligation discount notes - carrying amount | $ 47,095 | $ 41,675 |
Weighted Average Interest Rate | 1.20% | 1.61% |
Discount notes | ||
Short-term Debt [Line Items] | ||
Consolidated obligation discount notes - par amount | $ 47,155 | $ 41,770 |
Consolidated Obligations (Bonds
Consolidated Obligations (Bonds by maturity date) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Contractual Maturity | ||
Due in one year or less | $ 22,575 | |
One to two years | 7,851 | |
Two to three years | 7,311 | |
Three to four years | 2,046 | |
Four to five years | 3,201 | |
Thereafter | 5,287 | |
Total par value | $ 48,271 | $ 50,398 |
Weighted Average Interest Rate | ||
Due in one year or less | 0.79% | |
One to two years | 1.65% | |
Two to three years | 2.23% | |
Three to four years | 2.19% | |
Four to five years | 1.96% | |
Thereafter | 2.95% | |
Total par value | 1.52% | |
By Maturity or Next Call Date | ||
Contractual Maturity | ||
Due in one year or less | $ 34,296 | |
One to two years | 7,066 | |
Two to three years | 4,265 | |
Three to four years | 1,385 | |
Four to five years | 758 | |
Thereafter | 501 | |
Total par value | $ 48,271 | |
Minimum | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 1 year | |
Maximum | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 20 years |
Consolidated Obligations (Bon_2
Consolidated Obligations (Bonds by callable feature) (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Par value | $ 48,271 | $ 50,398 |
Fair value hedging adjustments | 297 | 53 |
Other adjustments | 25 | 23 |
Consolidated obligation bonds | 48,593 | 50,474 |
Noncallable | ||
Debt Instrument [Line Items] | ||
Par value | 32,978 | 35,556 |
Callable | ||
Debt Instrument [Line Items] | ||
Par value | $ 15,293 | $ 14,842 |
Consolidated Obligations (Syste
Consolidated Obligations (Systemwide joint & several liability) (Details) - Guarantee of Indebtedness of Others [Member] - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 1,174,670 | $ 1,025,895 |
FHLB Chicago as primary obligor | $ 95,426 | $ 92,168 |
As a percent of the FHLB System | 8.00% | 9.00% |
Consolidated obligation bonds | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 597,360 | $ 620,942 |
FHLB Chicago as primary obligor | $ 48,271 | $ 50,398 |
As a percent of the FHLB System | 8.00% | 8.00% |
Discount notes | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 577,310 | $ 404,953 |
FHLB Chicago as primary obligor | $ 47,155 | $ 41,770 |
As a percent of the FHLB System | 8.00% | 10.00% |
Capital and Mandatorily Redee_3
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Capital rules) (Details) - $ / shares | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
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 | Mar. 31, 2020 | Dec. 31, 2019 |
Federal Home Loan Banks [Abstract] | ||
Total Regulatory Capital, Requirement | $ 4,138 | $ 3,993 |
Total Regulatory Capital, Actual | $ 6,104 | $ 5,807 |
Total Regulatory Capital Ratio, Requirement | 4.00% | 4.00% |
Total Regulatory Capital Ratio, Actual | 5.90% | 5.82% |
Leverage Capital, Requirement | $ 5,172 | $ 4,991 |
Leverage Capital, Actual | $ 9,155 | $ 8,710 |
Leverage Capital Ratio, Requirement | 5.00% | 5.00% |
Leverage Capital Ratio, Actual | 8.85% | 8.73% |
Risk Based Capital, Requirement | $ 1,297 | $ 1,141 |
Risk Based Capital, Actual | $ 6,104 | $ 5,807 |
Capital and Mandatorily Redee_5
Capital and Mandatorily Redeemable Capital Stock (MRCS) Stockholder Concentration (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2020 | Dec. 31, 2019 | ||
Concentration Risk [Line Items] | |||
Amount of Which is Classified as a Liability (MRCS) | $ 328 | $ 324 | |
Stockholders' Equity, Total [Member] | The Northern Trust Company [Member] | |||
Concentration Risk [Line Items] | |||
Regulatory Capital Stock Outstanding | $ 247 | ||
% of Total Outstanding | 10.80% | ||
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 | 10.70% | ||
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 | May 14, 2020 | Apr. 28, 2020 | Mar. 31, 2020 | Mar. 31, 2019 |
Capital Stock - Putable - B1 Activity | ||||
Subsequent Event [Line Items] | ||||
Common Stock Dividend Declared - Annualized Rate | 5.00% | 5.00% | ||
Capital Stock - Putable - B2 Membership | ||||
Subsequent Event [Line Items] | ||||
Common Stock Dividend Declared - Annualized Rate | 2.25% | 2.00% | ||
Subsequent Event [Member] | ||||
Subsequent Event [Line Items] | ||||
Dividend Totaled | $ 25 | |||
Recorded as Dividends on Capital Stock | 21 | |||
Recorded as 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 | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | $ (29) | |
Amounts reclassified in period to statements of income: | ||
Ending balance | (711) | |
Total in AOCI | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (29) | $ 55 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (687) | (5) |
Amounts reclassified in period to statements of income: | ||
Net interest income | 4 | 11 |
Noninterest expense | 1 | |
Ending balance | (711) | 61 |
Net Unrealized - | Available-for-sale Debt Securities | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | 104 | 211 |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (631) | (2) |
Amounts reclassified in period to statements of income: | ||
Net interest income | 0 | 0 |
Ending balance | (527) | 209 |
Non-credit OTTI - | Held-to-maturity Debt Securities | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (85) | (114) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | 4 | 6 |
Amounts reclassified in period to statements of income: | ||
Net interest income | 0 | 0 |
Ending balance | (81) | (108) |
Net Unrealized - Cash Flow Hedges | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (38) | (31) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (48) | (13) |
Amounts reclassified in period to statements of income: | ||
Net interest income | 4 | 11 |
Ending balance | (82) | (33) |
Post-Retirement Plans | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Beginning balance | (10) | (11) |
Change in the period recorded to the statements of condition, before reclassifications to statements of income | (12) | 4 |
Amounts reclassified in period to statements of income: | ||
Noninterest expense | 1 | |
Ending balance | $ (21) | $ (7) |
Fair Value Fair Value Estimates
Fair Value Fair Value Estimates (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | $ 5,697 | $ 4,648 |
Available-for-sale | 18,020 | 16,067 |
Held-to-maturity debt securities | 1,907 | 2,615 |
Advances | 2,869 | 2,808 |
Derivative assets | 73 | 6 |
Other assets | 92 | 83 |
Derivative assets netting and cash collateral | (240) | (182) |
Assets | 103,443 | 99,827 |
Consolidated obligation discount notes | (13,817) | (17,966) |
Consolidated obligation bonds | (6,135) | (7,984) |
Derivative liabilities | (25) | (14) |
Derivative liabilities netting and cash collateral | 1,249 | 333 |
Liabilities | (98,378) | (94,373) |
Carrying Amount | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks | 62 | 29 |
Interest bearing deposits | 1,530 | 1,680 |
Federal Funds sold and securities purchased under agreements to resell | 10,295 | 14,106 |
Held-to-maturity debt securities | 1,707 | 2,381 |
Advances | 52,136 | 47,700 |
MPF Loans held in portfolio, net | 10,644 | 9,995 |
Other assets | 144 | 149 |
Financial assets | 103,272 | 99,658 |
Other non financial assets | 171 | 169 |
Assets | 103,443 | 99,827 |
Deposits | (1,231) | (847) |
Consolidated obligation discount notes | (33,278) | (23,709) |
Consolidated obligation bonds | (42,458) | (42,490) |
Mandatorily redeemable capital stock | (328) | (324) |
Other liabilities | (150) | (158) |
Financial liabilities | (97,422) | (93,492) |
Other non financial liabilities | (956) | (881) |
Liabilities | (98,378) | (94,373) |
Carrying Amount | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 5,697 | 4,648 |
Available-for-sale | 18,020 | 16,067 |
Advances | 2,869 | 2,808 |
Derivative assets | 73 | 6 |
Other assets | 92 | 83 |
Consolidated obligation discount notes | (13,817) | (17,966) |
Consolidated obligation bonds | (6,135) | (7,984) |
Derivative liabilities | (25) | (14) |
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 | 17,990 | 16,032 |
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 | 30 | 35 |
Carrying Amount | Carried at fair value on a nonrecurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
MPF Loans held in portfolio, net | 3 | 5 |
Other assets | 1 | |
Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks | 62 | 29 |
Interest bearing deposits | 1,530 | 1,680 |
Federal Funds sold and securities purchased under agreements to resell | 10,295 | 14,106 |
Held-to-maturity debt securities | 1,907 | 2,615 |
Advances | 52,097 | 47,780 |
MPF Loans held in portfolio, net | 11,011 | 10,189 |
Other assets | 144 | 149 |
Financial assets | 103,800 | 100,166 |
Deposits | (1,231) | (847) |
Consolidated obligation discount notes | (33,328) | (23,709) |
Consolidated obligation bonds | (42,796) | (42,728) |
Mandatorily redeemable capital stock | (328) | (324) |
Other liabilities | (150) | (158) |
Financial liabilities | (97,810) | (93,730) |
Fair Value | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 5,697 | 4,648 |
Available-for-sale | 18,020 | 16,067 |
Advances | 2,869 | 2,808 |
Derivative assets | 73 | 6 |
Other assets | 92 | 83 |
Consolidated obligation discount notes | (13,817) | (17,966) |
Consolidated obligation bonds | (6,135) | (7,984) |
Derivative liabilities | (25) | (14) |
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 | 17,990 | 16,032 |
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 | 30 | 35 |
Fair Value | Carried at fair value on a nonrecurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
MPF Loans held in portfolio, net | 3 | 5 |
Other assets | 1 | |
Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks | 62 | 29 |
Interest bearing deposits | 1,530 | 1,680 |
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 | 1,592 | 1,711 |
Deposits | 0 | 0 |
Consolidated obligation discount notes | 0 | 0 |
Consolidated obligation bonds | 0 | 0 |
Mandatorily redeemable capital stock | (328) | (324) |
Other liabilities | 0 | 0 |
Financial liabilities | (328) | (324) |
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 | 0 | 2 |
Other assets | 0 | 0 |
Consolidated obligation discount notes | 0 | 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 | |
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 | 10,295 | 14,106 |
Held-to-maturity debt securities | 1,492 | 2,138 |
Advances | 52,097 | 47,780 |
MPF Loans held in portfolio, net | 11,001 | 10,183 |
Other assets | 144 | 149 |
Financial assets | 101,990 | 98,113 |
Deposits | (1,231) | (847) |
Consolidated obligation discount notes | (33,328) | (23,709) |
Consolidated obligation bonds | (42,796) | (42,728) |
Mandatorily redeemable capital stock | 0 | 0 |
Other liabilities | (150) | (158) |
Financial liabilities | (98,731) | (93,739) |
Level 2 | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 5,697 | 4,648 |
Available-for-sale | 17,990 | 16,032 |
Advances | 2,869 | 2,808 |
Derivative assets | 313 | 186 |
Other assets | 92 | 83 |
Consolidated obligation discount notes | (13,817) | (17,966) |
Consolidated obligation bonds | (6,135) | (7,984) |
Derivative liabilities | (1,274) | (347) |
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 | 17,990 | 16,032 |
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 | |
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 | 415 | 477 |
Advances | 0 | 0 |
MPF Loans held in portfolio, net | 10 | 6 |
Other assets | 0 | 0 |
Financial assets | 458 | 524 |
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 | 30 | 35 |
Advances | 0 | 0 |
Derivative assets | 0 | 0 |
Other assets | 0 | 0 |
Consolidated obligation discount notes | 0 | 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 | 30 | 35 |
Level 3 | Carried at fair value on a nonrecurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
MPF Loans held in portfolio, net | $ 3 | 5 |
Other assets | $ 1 |
Fair Value Gains (losses) on fa
Fair Value Gains (losses) on fair value option (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Noninterest income - Instruments held under fair value option | $ 40 | $ 2 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Noninterest income - Instruments held under fair value option | 60 | 10 |
Other assets | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Noninterest income - Instruments held under fair value option | 2 | 0 |
Discount notes | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Noninterest income - Instruments held under fair value option | (14) | 0 |
Consolidated obligation bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Noninterest income - Instruments held under fair value option | $ (8) | $ (8) |
Fair Value (Fair Value Option D
Fair Value (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, advances | $ 53,843 | $ 50,122 |
Advances, fair value option | 2,869 | 2,808 |
Unpaid principal balance, bonds | 48,271 | 50,398 |
Consolidated Obligation Bonds, fair value option | 6,135 | 7,984 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, advances | 2,768 | 2,768 |
Fair value over (under) UPB | 101 | 40 |
Advances, fair value option | 2,869 | 2,808 |
Consolidated obligation bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, bonds | 6,105 | 7,955 |
Fair value over (under) UPB | 30 | 29 |
Consolidated Obligation Bonds, fair value option | $ 6,135 | $ 7,984 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 | |
Commitments | |||
Expire within one year | $ 22,660 | $ 19,564 | |
Expire after one year | 6,496 | 6,213 | |
Total | 29,156 | 25,777 | |
Unsettled consolidated obligation bonds | |||
Commitments | |||
Expire within one year | 485 | 81 | |
Expire after one year | 0 | 0 | |
Total | 485 | 81 | |
Unsettled consolidated obligation discount notes | |||
Commitments | |||
Expire within one year | 0 | 750 | |
Expire after one year | 0 | 0 | |
Total | 0 | 750 | |
Member standby letters of credit | |||
Commitments | |||
Expire within one year | 19,147 | 18,077 | |
Expire after one year | [1] | 6,045 | 5,774 |
Total | 25,192 | 23,851 | |
Portion of member standby letters of credit which were renewable annually | 5,300 | 4,200 | |
Housing authority standby bond purchase agreements | |||
Commitments | |||
Expire within one year | 12 | 32 | |
Expire after one year | 426 | 409 | |
Total | 438 | 441 | |
Advance commitments | |||
Commitments | |||
Expire within one year | 40 | 8 | |
Expire after one year | 25 | 30 | |
Total | 65 | 38 | |
MPF delivery commitments | |||
Commitments | |||
Expire within one year | 2,972 | 615 | |
Expire after one year | 0 | 0 | |
Total | 2,972 | 615 | |
Other | |||
Commitments | |||
Expire within one year | 4 | 1 | |
Expire after one year | 0 | 0 | |
Total | $ 4 | $ 1 | |
[1] | Contains $5.3 billion and $4.2 billion of member standby letters of credit as of March 31, 2020 , and December 31, 2019 , which were renewable annually. |
Transactions with Related Par_3
Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | $ 55,005 | $ 50,508 |
Liabilities - Deposits | 1,231 | 847 |
Equity - Capital Stock | 1,954 | 1,713 |
Transactions with members | ||
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | 300 | 696 |
Liabilities - Deposits | 8 | 10 |
Equity - Capital Stock | $ 13 | $ 31 |