Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2021shares | |
Document and Entity Information [Abstract] | |
Entity Incorporation, State or Country Code | X1 |
Entity Tax Identification Number | 36-6001019 |
Entity Address, Address Line One | 433 West Van Buren Street, Suite 501S |
Entity Address, City or Town | Chicago, |
Entity Address, State or Province | IL |
Entity Address, Postal Zip Code | 60607 |
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 | Jun. 30, 2021 |
Document Transition Report | false |
Entity File Number | 000-51401 |
Document Fiscal Year Focus | 2021 |
Document Fiscal Period Focus | Q2 |
Amendment Flag | false |
Entity Common Stock, Shares Outstanding | 22,550,015 |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Assets | ||
Cash and due from banks | $ 440 | $ 3,541 |
Interest bearing deposits | 855 | 855 |
Federal Funds sold | 4,775 | 4,125 |
Securities purchased under agreements to resell | 11,745 | 10,120 |
Trading, | 2,830 | 4,621 |
pledged | 582 | 1,292 |
Available-for-sale, | 18,890 | 18,437 |
amortized cost | 18,346 | 18,145 |
Held-to-maturity, | 1,491 | 1,491 |
Fair Value | 1,536 | 1,549 |
Investment debt securities | 23,211 | 24,549 |
Advances, | 46,270 | 46,695 |
carried at fair value | 1,209 | 1,315 |
MPF Loans held in portfolio, net of | 9,759 | 10,038 |
Derivative assets | 14 | 5 |
Other assets, | 425 | 428 |
carried at fair value | 108 | 105 |
Assets | 97,494 | 100,356 |
Deposits - | ||
Demand and overnight - noninterest bearing | 259 | 394 |
Demand and overnight - interest bearing, | 864 | 875 |
from other FHLBs | 17 | 18 |
Term deposits - interest bearing | 0 | 15 |
Deposits | 1,123 | 1,284 |
Consolidated obligations, net - | ||
Discount notes, | 45,728 | 48,643 |
carried at fair value | 0 | 2,000 |
Bonds, | 42,922 | 42,670 |
carried at fair value | 342 | 1,844 |
Consolidated obligations, net | 88,650 | 91,313 |
Derivative liabilities | 88 | 691 |
Affordable Housing Program assessment payable | 82 | 89 |
Mandatorily redeemable capital stock | 248 | 279 |
Other liabilities | 670 | 411 |
Liabilities | 90,861 | 94,067 |
Commitments and contingencies - see notes to the financial statements | ||
Capital | ||
Class B1 activity stock, | $ 1,283 | $ 1,257 |
million shares issued and outstanding | 13 | 13 |
Class B2 membership stock, | $ 724 | $ 753 |
million shares issued and outstanding | 7 | 8 |
Capital stock - putable, | $ 2,007 | $ 2,010 |
par value per share | $ 100 | $ 100 |
Retained earnings - unrestricted | $ 3,469 | $ 3,424 |
Retained earnings - restricted | 670 | 648 |
Retained earnings | 4,139 | 4,072 |
Accumulated other comprehensive income (loss) (AOCI) | 487 | 207 |
Capital | 6,633 | 6,289 |
Liabilities and capital | 97,494 | 100,356 |
MPF Loans held in portfolio | ||
Assets | ||
allowance for credit losses | (3) | (3) |
allowance for credit losses | (3) | (3) |
Other assets | ||
Assets | ||
allowance for credit losses | $ (7) | $ (7) |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Income Statement [Abstract] | ||||
Interest income | $ 225 | $ 347 | $ 417 | $ 912 |
Interest expense | 72 | 209 | 154 | 628 |
Net interest income | 153 | 138 | 263 | 284 |
Provision for (reversal of) credit losses | 1 | 4 | 1 | 6 |
Net interest income after provision for (reversal of) credit losses | 152 | 134 | 262 | 278 |
Noninterest income - | ||||
Trading securities | (13) | (25) | (31) | 62 |
Derivatives and hedging activities | (13) | (21) | 7 | (159) |
Instruments held under the fair value option | 3 | 36 | (26) | 76 |
MPF fees, | 13 | 15 | 25 | 25 |
from other FHLBs | 6 | 8 | 13 | 16 |
Other, net | 0 | 4 | 2 | 7 |
Noninterest income | (10) | 9 | (23) | 11 |
Noninterest expense - | ||||
Compensation and benefits | 25 | 35 | 53 | 71 |
Nonpayroll operating expenses | 20 | 26 | 40 | 46 |
COVID-19 relief program | 3 | 19 | 3 | 19 |
Other, net | 7 | 5 | 20 | 6 |
Noninterest expense | 55 | 85 | 116 | 142 |
Income before assessments | 87 | 58 | 123 | 147 |
Affordable Housing Program | 9 | 6 | 13 | 15 |
Net income | $ 78 | $ 52 | $ 110 | $ 132 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 78 | $ 52 | $ 110 | $ 132 |
Other comprehensive income (loss) - | ||||
Net unrealized gain (loss) available-for-sale debt securities | 54 | 347 | 252 | (284) |
Noncredit OTTI held-to-maturity debt securities | 0 | 5 | 0 | 9 |
Net unrealized gain (loss) cash flow hedges | (9) | (4) | 32 | (48) |
Postretirement plans | 1 | 0 | (4) | (11) |
Other comprehensive income (loss) | 46 | 348 | 280 | (334) |
Comprehensive income | $ 124 | $ 400 | $ 390 | $ (202) |
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 | AOCI | Cumulative effect adjustment - see Note 2 | Cumulative effect adjustment - see Note 2Retained Earnings, Unrestricted |
Shares, beginning at Dec. 31, 2019 | 13 | 4 | ||||||
Balance, beginning at Dec. 31, 2019 | $ 5,454 | $ 1,337 | $ 376 | $ 3,197 | $ 573 | $ (29) | ||
Balance, beginning (Cumulative effect adjustment - see Note 2) at Dec. 31, 2019 | $ (7) | $ (7) | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | (202) | 106 | 26 | (334) | ||||
Issuance of capital stock - shares | 11 | 0 | ||||||
Issuance of capital stock - value | 1,151 | $ 1,133 | $ 18 | |||||
Repurchases of capital stock - shares | 0 | (10) | ||||||
Repurchases of capital stock - value | (1,026) | $ 0 | $ (1,026) | |||||
Capital stock reclassed to mandatorily redeemable capital stock liability - shares | 0 | 0 | ||||||
Capital stock reclassed to mandatorily redeemable capital stock liability - value | (1) | $ 0 | $ (1) | |||||
Transfers between classes of capital stock - shares | (11) | 11 | ||||||
Transfers between classes of capital stock - value | $ (1,147) | $ 1,147 | ||||||
Partial recovery of prior capital distribution to FICO - see Note 11 | 19 | 19 | ||||||
Cash dividends - class B1 | (38) | (38) | ||||||
Cash dividends - class B2 | (3) | (3) | ||||||
Common Stock Dividend - Annualized Rate | 5.00% | 2.25% | ||||||
Total change in period excl. cumulative effect - shares | 0 | 1 | ||||||
Total change in period excl. cumulative effect - value | (100) | $ (14) | $ 138 | 84 | 26 | (334) | ||
Shares, ending at Jun. 30, 2020 | 13 | 5 | ||||||
Balance, ending at Jun. 30, 2020 | 5,347 | $ 1,323 | $ 514 | 3,274 | 599 | (363) | ||
Shares, beginning at Mar. 31, 2020 | 15 | 4 | ||||||
Balance, beginning at Mar. 31, 2020 | 5,065 | $ 1,528 | $ 426 | 3,233 | 589 | (711) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 400 | 42 | 10 | 348 | ||||
Issuance of capital stock - shares | 4 | 0 | ||||||
Issuance of capital stock - value | 423 | $ 405 | $ 18 | |||||
Repurchases of capital stock - shares | 0 | (5) | ||||||
Repurchases of capital stock - value | (540) | $ 0 | $ (540) | |||||
Transfers between classes of capital stock - shares | (6) | 6 | ||||||
Transfers between classes of capital stock - value | $ (610) | $ 610 | ||||||
Partial recovery of prior capital distribution to FICO - see Note 11 | 19 | 19 | ||||||
Cash dividends - class B1 | (18) | (18) | ||||||
Cash dividends - class B2 | (2) | (2) | ||||||
Common Stock Dividend - Annualized Rate | 5.00% | 2.25% | ||||||
Total change in period excl. cumulative effect - shares | (2) | 1 | ||||||
Total change in period excl. cumulative effect - value | 282 | $ (205) | $ 88 | 41 | 10 | 348 | ||
Shares, ending at Jun. 30, 2020 | 13 | 5 | ||||||
Balance, ending at Jun. 30, 2020 | 5,347 | $ 1,323 | $ 514 | 3,274 | 599 | (363) | ||
Shares, beginning at Dec. 31, 2020 | 13 | 8 | ||||||
Balance, beginning at Dec. 31, 2020 | 6,289 | $ 1,257 | $ 753 | 3,424 | 648 | 207 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 390 | 88 | 22 | 280 | ||||
Issuance of capital stock - shares | 2 | 0 | ||||||
Issuance of capital stock - value | 273 | $ 260 | $ 13 | |||||
Repurchases of capital stock - shares | 0 | (3) | ||||||
Repurchases of capital stock - value | (270) | $ 0 | $ (270) | |||||
Capital stock reclassed to mandatorily redeemable capital stock liability - shares | 0 | 0 | ||||||
Capital stock reclassed to mandatorily redeemable capital stock liability - value | (6) | $ (1) | $ (5) | |||||
Transfers between classes of capital stock - shares | (2) | 2 | ||||||
Transfers between classes of capital stock - value | $ (233) | $ 233 | ||||||
Cash dividends - class B1 | (38) | (38) | ||||||
Cash dividends - class B2 | (5) | (5) | ||||||
Common Stock Dividend - Annualized Rate | 5.00% | 2.00% | ||||||
Total change in period excl. cumulative effect - shares | 0 | (1) | ||||||
Total change in period excl. cumulative effect - value | 344 | $ 26 | $ (29) | 45 | 22 | 280 | ||
Shares, ending at Jun. 30, 2021 | 13 | 7 | ||||||
Balance, ending at Jun. 30, 2021 | 6,633 | $ 1,283 | $ 724 | 3,469 | 670 | 487 | ||
Shares, beginning at Mar. 31, 2021 | 13 | 7 | ||||||
Balance, beginning at Mar. 31, 2021 | 6,542 | $ 1,312 | $ 707 | 3,428 | 654 | 441 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 124 | 62 | 16 | 46 | ||||
Issuance of capital stock - shares | 1 | 0 | ||||||
Issuance of capital stock - value | 105 | $ 92 | $ 13 | |||||
Repurchases of capital stock - shares | 0 | (1) | ||||||
Repurchases of capital stock - value | (112) | $ 0 | $ (112) | |||||
Capital stock reclassed to mandatorily redeemable capital stock liability - shares | 0 | 0 | ||||||
Capital stock reclassed to mandatorily redeemable capital stock liability - value | (5) | $ 0 | $ (5) | |||||
Transfers between classes of capital stock - shares | (1) | 1 | ||||||
Transfers between classes of capital stock - value | $ (121) | $ 121 | ||||||
Cash dividends - class B1 | (19) | (19) | ||||||
Cash dividends - class B2 | (2) | (2) | ||||||
Common Stock Dividend - Annualized Rate | 5.00% | 2.00% | ||||||
Total change in period excl. cumulative effect - shares | 0 | 0 | ||||||
Total change in period excl. cumulative effect - value | 91 | $ (29) | $ 17 | 41 | 16 | 46 | ||
Shares, ending at Jun. 30, 2021 | 13 | 7 | ||||||
Balance, ending at Jun. 30, 2021 | $ 6,633 | $ 1,283 | $ 724 | $ 3,469 | $ 670 | $ 487 |
Condensed Statements of Cash Fl
Condensed Statements of Cash Flows - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Operating | ||
Net cash provided by (used in) operating activities | $ 296 | $ (2,013) |
Investing | ||
Net change interest bearing deposits | 0 | 425 |
Net change Federal Funds sold | (650) | 2,385 |
Net change securities purchased under agreements to resell | (1,625) | 3,250 |
Trading debt securities - | ||
Sales | 0 | 1,502 |
Proceeds from maturities and paydowns | 1,751 | 252 |
Purchases | 0 | (3,025) |
Available-for-sale debt securities - | ||
Sales | 20 | 0 |
Proceeds from maturities and paydowns | 259 | 609 |
Purchases | (759) | (2,760) |
Held-to-maturity debt securities - | ||
Proceeds from maturities and paydowns | 1,239 | 1,519 |
Purchases | (1,239) | (786) |
Advances - | ||
Principal collected | 247,898 | 600,688 |
Issued | (247,793) | (598,601) |
MPF Loans held in portfolio - | ||
Principal collected | 1,890 | 1,716 |
Purchases | (1,662) | (2,695) |
Other investing activities | (7) | (9) |
Net cash provided by (used in) investing activities | (678) | 4,470 |
Financing | ||
Net change deposits, | (161) | 618 |
from other FHLBs | 0 | 10 |
Discount notes - | ||
Net proceeds from issuance | 300,754 | 323,650 |
Payments for maturing and retiring | (303,665) | (327,833) |
Consolidated obligation bonds - | ||
Net proceeds from issuance | 21,133 | 27,805 |
Payments for maturing and retiring | (20,704) | (26,743) |
Capital stock - | ||
Proceeds from issuance | 273 | 1,151 |
Repurchases | (270) | (1,026) |
Cash dividends paid | (43) | (41) |
Other financing activities | (36) | (19) |
Net cash provided by (used in) financing activities | (2,719) | (2,438) |
Net increase (decrease) in cash and due from banks | (3,101) | 19 |
Cash and due from banks at beginning of period | 3,541 | 29 |
Cash and due from banks at end of period | $ 440 | $ 48 |
Background and Basis of Present
Background and Basis of Presentation | 6 Months Ended |
Jun. 30, 2021 | |
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, 2020, included in our 2020 Annual Report on Form 10-K (2020 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 61 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 2020 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 2020 Form 10-K. Refer to Note 1- Background and Basis of Presentation to the financial statements in our 2020 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 | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Our significant accounting policies adopted through December 31, 2020, can be found in Note 2 – Summary of Significant Accounting Policies |
Recently Issued but Not Yet Ado
Recently Issued but Not Yet Adopted Accounting Standards | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Issued but Not Yet Adopted Accounting Standards [Text Block] | Recently Issued but Not Yet Adopted Accounting StandardsThere were no recently issued but not yet adopted accounting standards which may have a material effect on our financial statements. |
Interest Income and Interest Ex
Interest Income and Interest Expense | 6 Months Ended |
Jun. 30, 2021 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense Disclosure [Text Block] | Interest Income and Interest Expense The following table presents interest income and interest expense for the periods indicated: Three months ended June 30, Six months ended June 30, 2021 2020 2021 2020 Interest income - Trading $ 13 $ 28 $ 34 $ 54 Available-for-sale 74 75 95 215 Held-to-maturity 7 21 15 48 Investment debt securities 94 124 144 317 Advances interest income 60 132 131 368 Advances prepayment fees 7 13 12 15 Advances 67 145 143 383 MPF Loans held in portfolio 60 76 123 163 Federal funds sold 1 1 2 27 Securities purchased under agreements to resell — — 1 12 Other 3 1 4 10 Interest income 225 347 417 912 Interest expense - Consolidated obligations - Discount notes 10 82 25 267 Bonds 59 123 123 351 Other 3 4 6 10 Interest expense 72 209 154 628 Net interest income 153 138 263 284 |
Investment Debt Securities
Investment Debt Securities | 6 Months Ended |
Jun. 30, 2021 | |
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, or 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. • SOFR Structured Adjustable Rate Mortgage (SOFR SARM) 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 June 30, 2021 December 31, 2020 U.S. Government & other government related $ 2,823 $ 4,612 Residential MBS GSE 7 8 Government guaranteed — 1 Trading debt securities $ 2,830 $ 4,621 The following table presents our gains and losses on trading debt securities recorded in Noninterest Income Other. Three months ended June 30, Six months ended June 30, 2021 2020 2021 2020 Net unrealized gains (losses) on securities held at period end $ (9) $ (29) $ (11) $ 41 Net realized gains (losses) on securities sold/matured during the period (4) 4 (20) 21 Net gains (losses) on trading debt securities $ (13) $ (25) $ (31) $ 62 Available-for-Sale Debt Securities (AFS) The following table presents the amortized cost and fair value of our AFS debt securities. Amortized Cost Basis a Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Net Carrying Amount and Fair Value As of June 30, 2021 U.S. Government & other government related $ 1,475 $ 49 $ (7) $ 1,517 State or local housing agency 13 1 — 14 FFELP ABS 2,769 160 — 2,929 Residential MBS GSE 13,869 341 (7) 14,203 Government guaranteed 220 7 — 227 Available-for-sale debt securities $ 18,346 $ 558 $ (14) $ 18,890 As of December 31, 2020 U.S. Government & other government related $ 1,535 $ 83 $ — $ 1,618 State or local housing agency 14 1 — 15 FFELP ABS 2,922 121 (9) 3,034 Residential MBS GSE 13,413 147 (59) 13,501 Government guaranteed 261 8 — 269 Available-for-sale debt securities $ 18,145 $ 360 $ (68) $ 18,437 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 $52 million and $53 million at June 30, 2021 and December 31, 2020. We had sales of AFS debt securities for the periods presented. See Note 2 - Summary of Significant Accounting Policies in our 2020 Form 10-K for details on the amounts and accounting policies related to these transactions. Any gains or losses are determined on a specific identification basis. Held-to-Maturity Debt Securities (HTM) The following table presents the amortized cost, carrying amount, and fair value of our HTM debt securities. Amortized Cost and Net Carrying Amount a Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of June 30, 2021 U.S. Government & other government related $ 1,148 $ 19 $ — $ 1,167 Residential MBS GSE 249 24 — 273 Government guaranteed 82 2 — 84 Other 12 — — 12 Held-to-maturity debt securities $ 1,491 $ 45 $ — $ 1,536 As of December 31, 2020 U.S. Government & other government related $ 1,098 $ 24 $ — $ 1,122 Residential MBS GSE 285 31 — 316 Government guaranteed 94 2 — 96 Other 14 1 — 15 Held-to-maturity debt securities $ 1,491 $ 58 $ — $ 1,549 a Includes adjustments made to the cost basis of an investment for accretion, amortization, and/or net charge-offs. We had sales of HTM debt securities for the periods presented. See Note 2 - Summary of Significant Accounting Policies in our 2020 Form 10-K for details on the amounts and accounting policies related to these transactions. Any gains or losses are determined on a specific identification basis. 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 June 30, 2021 Amortized Cost Basis Net Carrying Amount and Fair Value Amortized Cost and Net Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 1 $ 1 $ 800 $ 800 Due after one year through five years 11 12 23 23 Due after five years through ten years 462 475 317 334 Due after ten years 1,014 1,043 8 10 ABS and MBS without a single maturity date 16,858 17,359 343 369 Total debt securities $ 18,346 $ 18,890 $ 1,491 $ 1,536 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 losses on these unrealized loss positions. Refer to the Credit Loss Analysis below. 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 Available-for-sale debt securities Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) As of June 30, 2021 U.S. Government & other government related $ 295 $ (7) $ — $ — $ 295 $ (7) Residential MBS GSE 728 (3) 55 (4) 783 (7) Available-for-sale debt securities $ 1,023 $ (10) $ 55 $ (4) $ 1,078 $ (14) As of December 31, 2020 U.S. Government & other government related $ — $ — $ 2 $ — $ 2 $ — FFELP ABS 21 — 459 (9) 480 (9) Residential MBS GSE 102 (1) 6,327 (58) 6,429 (59) Available-for-sale debt securities $ 123 $ (1) $ 6,788 $ (67) $ 6,911 $ (68) Credit Loss Analysis We recognized no credit losses on HTM or AFS debt securities for the periods presented. We do not intend to sell AFS securities (although in October 2020 the Bank sold private label mortgage backed securities (PLMBS), as discussed in Note 2 – Summary of Significant Accounting Policies of our 2020 Form 10-K) 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 other-than-temporary impairment (OTTI) charges on our AFS and HTM PLMBS were $6 million for the three months ended June 30, 2020 and $12 million for the six months ended June 30, 2020. As discussed in Note 2 – Summary of Significant Accounting Policies of our 2020 Form 10-K, we sold these PLMBS during October 2020. |
Advances
Advances | 6 Months Ended |
Jun. 30, 2021 | |
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 the remaining life of our advances by the advance’s contractual maturity and the related weighted average interest rate. For amortizing advances, remaining 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 June 30, 2021 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 13,124 0.47 % One to two years 3,547 1.27 % Two to three years 9,895 0.44 % Three to four years 7,597 0.86 % Four to five years 3,089 0.90 % More than five years 8,463 1.74 % Par value $ 45,715 0.86 % The following table reconciles the par value of our advances to the carrying amount on our Statements of Condition as of the dates indicated. As of June 30, 2021 December 31, 2020 Par value $ 45,715 $ 45,820 Fair value hedging adjustments 462 760 Other adjustments 93 115 Advances $ 46,270 $ 46,695 The following advance borrowers exceeded 10% of our advances outstanding: As of June 30, 2021 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 24.1 % The Northern Trust Company 5,005 10.9 % a One Mortgage Partners Corp. (OMP) is a subsidiary of JPMorgan Chase Bank NA. Effective February 19, 2021, we terminated OMP’s membership in connection with the FHFA rule that made captive insurance companies ineligible for FHLB membership. |
MPF Loans Held in Portfolio (No
MPF Loans Held in Portfolio (Notes) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 December 31, 2020 Medium term (15 years or less) $ 1,603 $ 1,403 Long term (greater than 15 years) 7,993 8,453 Unpaid principal balance 9,596 9,856 Net premiums, credit enhancement, and/or deferred loan fees 173 177 Fair value hedging and delivery commitment basis adjustments (7) 8 MPF Loans held in portfolio, before allowance for credit losses 9,762 10,041 Allowance for credit losses on MPF Loans (3) (3) MPF Loans held in portfolio, net $ 9,759 $ 10,038 Conventional mortgage loans $ 8,743 $ 8,979 Government Loans 853 877 Unpaid principal balance $ 9,596 $ 9,856 The above table excludes MPF Loans acquired under the MPF Xtra ® and MPF Government MBS products. See Note 2 - Summary of Significant Accounting Policies in our 2020 Form 10-K for information related to the accounting treatment of these off-balance sheet MPF Loan products. Coronavirus Disease 2019 (COVID-19) Forbearance Section 4013 of the CARES Act provides temporary relief from the accounting and reporting requirements for troubled debt restructurings (TDRs) for certain loan modifications related to COVID-19. Specifically, the CARES Act provides that a qualifying financial institution may elect to suspend (1) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR, and (2) any determination that such loan modifications would be considered a TDR, including the related impairment for accounting purposes. Section 4013 of the CARES Act applies to any modification related to an economic hardship as a result of the COVID-19 pandemic, including a forbearance arrangement, an interest rate modification, a repayment plan, or any similar arrangement that defers or delays payment of principal or interest, that occurs during the period beginning on March 1, 2020 and ending on the earlier of December 31, 2020 or the date that is 60 days after the declaration of the national emergency related to the COVID-19 pandemic ends for a loan that was not more than 30 days past due as of December 31, 2019. On December 27, 2020, the Consolidated Appropriations Act, 2021, was signed into law, extending the applicable end period to the earlier of January 1, 2022, or 60 days following the termination of the national emergency related to the COVID-19 pandemic. We have elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act, such modifications to loans outstanding as of June 30, 2021 were $15 million. Our servicers may grant a forbearance period to borrowers who have requested forbearance based on COVID-19 related difficulties regardless of the status of the loan at the time of the request. We continue to apply our accounting policy for past due loans and charge-offs to loans during the forbearance period whether it be formal or informal. A charge-off is not recognized when there is a presumption that we will collect on a loan even if it is 180 days past due. The accrual status for loans under forbearance will be driven by the past due status of the loan as the legal terms of the contractual arrangement have not been modified. As of June 30, 2021, there were $226 million in unpaid principal balance (UPB) of conventional loans in a forbearance plan as a result of COVID-19. Of these conventional loans in forbearance, $115 million in UPB had a current payment status, $9 million were 30 to 59 days past due, $8 million were 60 to 89 days past due, and $94 million were greater than 90 days past due and in nonaccrual payment status. These loans represent 2% of our MPF Loans held in portfolio at June 30, 2021. |
Allowance for Credit Losses
Allowance for Credit Losses | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses See Note 2 - Summary of Significant Accounting Policies to the financial statements in our 2020 Form 10-K for further details regarding our accounting policies pertaining to allowances for credit losses. Our allowances for credit losses are immaterial due to the nature of our credit enhancements, collateral support, and/or credit worthiness of our counterparties. See Note 8 - Allowance for Credit Losses to the financial statements in our 2020 Form 10-K for more information. Allowance for Credit Losses on MPF Loans The following table presents the activity in our allowance for credit losses for MPF Loans. Three months ended June 30, Six months ended June 30, For the periods ending 2021 2020 2021 2020 Allowance for MPF credit losses beginning balance $ 3 2 $ 3 1 Allowance for MPF credit losses charged-off (2) (2) (2) (3) Allowance for credit loss recovery 1 — 1 — Provision for (reversal of) allowance for MPF for credit losses 1 4 1 6 Allowance for MPF credit losses ending balances $ 3 $ 4 $ 3 $ 4 Allowance for Credit Losses on Community First Fund (the Fund) As of June 30, 2021 we had $45 million in Fund loans outstanding, unchanged from $45 million at December 31, 2020, recorded in Other assets in our Statements of Condition . Under the “currently expected credit losses” methodology (CECL), on January 1, 2020, we recorded a $7 million allowances for credit losses on a basis of expected losses over the life of the loans. As of June 30, 2021, all Fund loans were current. The following table details our allowance for credit losses on Fund loans. As we had not incurred any credit losses under the pre-CECL accounting policy, we had no allowance prior to 2020. We have had no material activity in the allowance through June 30, 2021. Three months ended June 30, Six months ended June 30, For the periods ending 2021 2020 2021 2020 Allowance for Fund loan credit losses beginning balance $ 7 $ 7 $ 7 $ — Adjustment for cumulative effect of accounting change — — — 7 Allowance for Fund loan credit losses ending balances $ 7 $ 7 $ 7 $ 7 The following tables summarize our conventional MPF Loans by our key credit quality indicators. See Coronavirus Disease 2019 (COVID-19) Forbearance in Note 7 – MPF Loans Held in Portfolio for more information on how the forbearance impacts the accounting for the below credit quality indicators. June 30, 2021 December 31, 2020 Conventional MPF Amortized Cost by Origination Year Conventional MPF Amortized Cost by Origination Year 2017 to 2021 Prior to 2017 Total 2016 to 2020 Prior to 2016 Total Past due 30-59 days $ 35 $ 25 $ 60 $ 47 $ 23 $ 70 Past due 60-89 days 8 7 15 17 9 26 Past due 90 days or more 78 43 121 121 38 159 Past due 121 75 196 185 70 255 Current 7,526 1,176 8,702 7,984 912 8,896 Total $ 7,647 $ 1,251 $ 8,898 $ 8,169 $ 982 $ 9,151 June 30, 2021 December 31, 2020 Amortized Cost Amortized Cost As of Conventional Government Total Conventional Government Total In process of foreclosure $ 12 $ 11 $ 23 $ 13 $ 5 $ 18 Serious delinquency rate 1.38 % 3.85 % 1.60 % 1.78 % 4.22 % 2.00 % Past due 90 days or more and still accruing interest $ 40 $ 26 $ 66 $ 48 $ 17 $ 65 Loans on nonaccrual status 87 — 87 120 — 120 Loans on nonaccrual status with no allowance for credit losses 20 — 20 21 — 21 Accrued interest receivable We present accrued interest receivable separately for loans and HTM debt securities which are carried at amortized cost. We do not measure an allowance for credit losses on accrued interest receivables as we reverse accrued 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 June 30, 2021 December 31, 2020 MPF Loans held in portfolio $ 45 $ 48 HTM securities 4 5 Advances 33 37 Accrued interest receivable $ 82 $ 90 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2021 | |
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 2020 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 manage our exposure to changes in the fair value of (1) a recognized asset or liability or (2) an unrecognized firm commitment, attributable to changes in a benchmark interest rate, such as LIBOR. Our cash flow hedge strategy is to hedge the variability in the total proceeds received from rolling forecasted zero-coupon discount note issuance, attributable to changes in the benchmark interest rate, by entering into pay-fixed interest rate swaps. 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. We may also use economic hedges when hedge accounting is not permitted or hedge effectiveness is not 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 June 30, 2021, 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 2020 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). We pledged no investment securities on our bilateral derivative transactions that can be sold or repledged by our counterparty as of June 30, 2021. 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 immaterial at June 30, 2021. 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 2020 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. We pledged $582 million of investment securities that can be sold or repledged, as part of our initial margin related to cleared derivative transactions at June 30, 2021. Additionally, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, if our credit rating downgrades. We had no requirement to post additional initial margin by our FCMs at June 30, 2021. 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. June 30, 2021 December 31, 2020 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 52,683 $ 93 $ 577 $ 39,493 $ 65 $ 729 Derivatives not in hedge accounting relationships- Interest rate contracts 7,581 23 89 11,265 46 141 Mortgage delivery commitments 1,315 3 3 2,831 5 7 Other 235 — — 257 — 1 Derivatives not in hedge accounting relationships 9,131 26 92 14,353 51 149 Gross derivative amount before netting adjustments and cash collateral $ 61,814 119 669 $ 53,846 $ 116 878 Netting adjustments and cash collateral (105) (581) (111) (187) Derivatives on Statements of Condition $ 14 $ 88 $ 5 $ 691 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 483 $ 84 Cash collateral received and related accrued interest 7 8 The following table presents the noninterest income - derivatives and hedging activities as presented in the Statements of Income . Three months ended June 30, Six months ended June 30, For the periods ending 2021 2020 2021 2020 Economic hedges - Interest rate contracts $ (11) (11) $ 16 (159) Mortgage delivery commitments 1 — (12) — Other (3) (10) 3 (4) Economic hedges (13) (21) 7 (163) Variation margin on daily settled cleared derivatives — — — 4 Noninterest income - Derivatives and hedging activities $ (13) $ (21) $ 7 $ (159) The following tables present details regarding the offsetting of our cleared and bilateral derivatives 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 As of June 30, 2021 As of December 31, 2020 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 59 $ 57 $ 116 $ 60 $ 51 $ 111 Netting adjustments and cash collateral (48) (57) (105) (60) (51) (111) Derivatives with legal right of offset - net 11 — 11 — — — Derivatives without legal right of offset 3 — 3 5 — 5 Derivatives on Statements of Condition 14 — 14 5 — 5 Net amount $ 14 $ — $ 14 $ 5 $ — $ 5 Derivative Liabilities As of June 30, 2021 As of December 31, 2020 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 548 $ 118 $ 666 $ 812 $ 59 $ 871 Netting adjustments and cash collateral (524) (57) (581) (136) (51) (187) Derivatives with legal right of offset - net 24 61 85 676 8 684 Derivatives without legal right of offset 3 — 3 7 — 7 Derivatives on Statements of Condition 27 61 88 683 8 691 Less: Noncash collateral received or pledged and cannot be sold or repledged — 61 61 668 8 676 Net amount $ 27 $ — $ 27 $ 15 $ — $ 15 At June 30, 2021, we had $520 million of additional credit exposure on cleared derivatives due to pledging of noncash collateral to our DCOs (for initial margin), which exceeded our cleared net derivative liability position. We had no additional credit exposure on bilateral derivatives, which exceeded our bilateral net derivative liability position. At December 31, 2020, we had $615 million of comparable exposure on our cleared derivatives and $1 million on our bilateral derivatives. 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. The line for Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the loans, as we did not have any active fair value hedges on our MPF Loans as of June 30, 2021. Three months ended June 30, 2021 Three months ended June 30, 2020 Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Available-for-sale debt securities $ (354) $ 310 $ (44) $ (80) $ 28 $ (52) Advances (124) 77 (47) (63) 38 (25) Consolidated obligation bonds 135 (76) 59 31 5 36 Total $ (343) $ 311 $ (32) $ (112) $ 71 $ (41) Six months ended June 30, 2021 Six months ended June 30, 2020 Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Available-for-sale debt securities $ 381 $ (521) $ (140) $ (1,338) $ 1,299 $ (39) Advances 212 (298) (86) (793) 753 (40) Consolidated obligation bonds (70) 176 106 283 (240) 43 Other — (1) (1) — — — Total $ 523 $ (644) $ (121) $ (1,848) $ 1,812 $ (36) 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 Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the loans, as we did not have any active fair value hedges on our MPF Loans as of June 30, 2021. As of June 30, 2021 Amortized cost of hedged asset/liability Basis adjustments active hedges included in amortized cost Basis adjustments discontinued hedges included in amortized cost Total amount of fair value hedging basis adjustments Advances $ 17,994 $ 459 $ 2 $ 461 Available-for-sale securities 13,438 976 — 976 Consolidated obligation bonds 21,719 43 (18) 25 Other 305 — 7 7 Cash Flow Hedges For cash flow hedges the entire change in the fair value of the hedging instrument is recorded in AOCI and reclassified into earnings (net interest income) as the hedged item affects earnings. Hedge effectiveness testing is performed to determine whether hedge accounting is qualified. 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 9 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 immaterial as of June 30, 2021. 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 below 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. Three months ended June 30, 2021 Three months ended June 30, 2020 Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Discount notes $ (14) $ (4) $ (10) $ (5) Bonds — (1) — (1) Total $ (14) $ (5) $ (10) $ (6) Six months ended June 30, 2021 Six months ended June 30, 2020 Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Discount notes $ 23 $ (8) $ (58) $ (9) Bonds — (1) — (1) Total $ 23 $ (9) $ (58) $ (10) |
Consolidated Obligations
Consolidated Obligations | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | Consolidated Obligations The FHLBs issue consolidated obligations through the Office of Finance as their agent. Consolidated obligations consist of discount notes and consolidated obligation bonds. Consolidated discount notes are issued to raise short-term funds, are issued at less than their face amount and redeemed at par value when they mature. The maturity of consolidated obligation bonds may range from less than one year to over 20 years, but they are not subject to any statutory or regulatory limits on maturity. The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of June 30, 2021 December 31, 2020 Consolidated obligation discount notes - carrying amount $ 45,728 $ 48,643 Consolidated obligation discount notes - par amount 45,732 48,654 Weighted Average Interest Rate 0.03 % 0.10 % The following table presents the remaining life of our consolidated obligation bonds by the bond’s contractual maturity and the related weighted average interest rate, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates. As of June 30, 2021 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 12,586 0.69 % $ 30,576 One to two years 8,782 1.13 % 8,816 Two to three years 2,372 0.99 % 1,541 Three to four years 2,471 0.88 % 1,194 Four to five years 6,940 0.69 % 206 Thereafter 9,757 1.71 % 575 Total par value $ 42,908 1.04 % $ 42,908 The following table presents consolidated obligation bonds outstanding by call feature: As of June 30, 2021 December 31, 2020 Noncallable $ 22,730 $ 35,075 Callable 20,178 7,397 Par value 42,908 42,472 Fair value hedging adjustments 25 200 Other adjustments (11) (2) Consolidated obligation bonds $ 42,922 $ 42,670 The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of June 30, 2021, and December 31, 2020. See Note 16 - Commitments and Contingencies in our 2020 Form 10-K for further details. June 30, 2021 December 31, 2020 Par values as of Bonds Discount Total Bonds Discount Total FHLB System total consolidated obligations $ 435,014 $ 231,733 $ 666,747 $ 471,919 $ 274,853 $ 746,772 FHLB Chicago as primary obligor 42,908 45,732 88,640 42,472 48,654 91,126 As a percent of the FHLB System 10 % 20 % 13 % 9 % 18 % 12 % |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock (MRCS) | 6 Months Ended |
Jun. 30, 2021 | |
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. All stock that supports a member’s activity stock requirement with the Bank is classified as Class B1 activity stock. Any additional amount of stock necessary for the total amount of Class B stock held to equal a member’s minimum investment amount will be classified as Class B2 membership stock. Members purchase Class B2 membership stock to satisfy their membership stock requirement with the Bank. Stock held in excess of a member’s minimum investment requirement is classified as Class B2 excess capital stock. See Note 12 – Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements in our 2020 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 in Note 12 – Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements in our 2020 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. June 30, 2021 December 31, 2020 Requirement Actual Requirement Actual Total regulatory capital $ 3,900 $ 6,394 $ 4,014 $ 6,361 Total regulatory capital ratio 4.00 % 6.56 % 4.00 % 6.34 % Leverage capital $ 4,875 $ 9,592 $ 5,018 $ 9,541 Leverage capital ratio 5.00 % 9.84 % 5.00 % 9.51 % Risk-based capital $ 1,778 $ 6,394 $ 1,587 $ 6,361 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. Additionally, an FHFA Advisory Bulletin sets forth guidance for each FHLB to maintain a ratio of at least two percent of capital stock to total assets. In accordance with this guidance, the FHFA considers the proportion of capital stock to assets, measured on a daily average basis at month end, when assessing each FHLB’s capital management practices. The following members had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS): As of June 30, 2021 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) One Mortgage Partners Corp. $ 245 a 10.9 % $ 245 a One Mortgage Partners Corp. (OMP) is a subsidiary of JPMorgan Chase Bank NA. Effective February 19, 2021, we terminated OMP’s membership in connection with the FHFA rule that made captive insurance companies ineligible for FHLB membership. Dividends Our ability to pay dividends is subject to the FHLB Act and FHFA regulations. On July 28, 2021 our Board of Directors declared a 5.00% dividend (annualized) for Class B1 activity stock and a 2.00% dividend (annualized) for Class B2 membership stock based on our preliminary financial results for the second quarter of 2021. This dividend totaled $25 million (recorded as $22 million dividends on capital stock and $3 million interest expense on mandatorily redeemable capital stock) and is scheduled for payment on August 12, 2021. Any future dividend payment remains subject to declaration by the Board and will depend on future operating results, our Retained Earnings and Dividend Policy and any other factors the Board determines to be relevant. Repurchase of Excess Capital Stock Members may request repurchase of excess capital stock on any business day. Additionally, starting on March 15, 2021, and continuing on a monthly basis, the Bank repurchases excess capital stock held by each member or former member that exceeds certain limits set by the Bank. All repurchases of excess capital stock, including any monthly repurchases, will continue until otherwise announced, but remain subject to our regulatory requirements, certain financial and capital thresholds, and prudent business practices. FICO Dissolution The Competitive Equality Banking Act of 1987 was enacted in August 1987, which, among other things, provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBs to FICO in exchange for FICO nonvoting capital stock. Capital distributions were made by the FHLBs in 1987, 1988 and 1989 that aggregated to $680 million. Upon passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBs’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBs charged-off their prior capital distributions to FICO directly against retained earnings. In connection with the dissolution of FICO in July 2020, FICO determined that excess funds aggregating to $200 million were available for distribution to its stockholders, the FHLBs and FICO distributed these funds to the FHLBs in June 2020. Specifically, our partial recovery of prior capital distribution was $19 million, which was determined based on our share of the $680 million originally contributed to FICO. We treated the receipt of these funds as a return of our investment in FICO capital stock, and therefore as a partial recovery of the prior capital distributions we made to FICO in 1987, 1988, and 1989. These funds have been credited to unrestricted retained earnings in our Statements of Capital and in Other Financing Activities in our Condensed Statements of Cash Flows . |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 Beginning balance $ 490 $ — $ (24) $ (25) $ 441 Other comprehensive income before reclassification - recorded to the Statements of Condition 55 — (14) — 41 Amounts reclassified in period to Statements of Income: Net interest income (1) — 5 4 Noninterest expense 1 1 Ending balance $ 544 $ — $ (33) $ (24) $ 487 Three months ended June 30, 2020 Beginning balance $ (527) $ (81) $ (82) $ (21) $ (711) Other comprehensive income before reclassification - recorded to the Statements of Condition 347 5 (10) — 342 Amounts reclassified in period to statements of income: Net interest income — — 6 6 Ending balance $ (180) $ (76) $ (86) $ (21) $ (363) Six months ended June 30, 2021 Beginning balance $ 292 $ — $ (65) $ (20) $ 207 Other comprehensive income before reclassification - recorded to the Statements of Condition 253 — 23 (10) 266 Amounts reclassified in period to Statements of Income: Net interest income (1) — 9 8 Noninterest expense 6 6 Ending balance $ 544 $ — $ (33) $ (24) $ 487 Six months ended June 30, 2020 Beginning balance $ 104 $ (85) $ (38) $ (10) $ (29) Other comprehensive income before reclassification - recorded to the Statements of Condition (284) 9 (58) (12) (345) Amounts reclassified in period to Statements of Income: Net interest income — 10 10 Noninterest expense 1 1 Ending balance $ (180) $ (76) $ (86) $ (21) $ (363) |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2021 | |
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 2020 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 2020 Form 10-K for our fair value policies and Note 15 - Fair Value in our 2020 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 June 30, 2021 Carried at amortized cost Cash and due from banks and interest bearing deposits $ 1,295 $ 1,295 $ 1,295 Federal Funds sold and securities purchased under agreements to resell 16,520 16,520 $ 16,520 Held-to-maturity debt securities 1,491 1,536 1,524 $ 12 Advances 45,061 45,337 45,337 MPF Loans held in portfolio, net 9,750 9,957 9,944 13 Other assets 82 82 82 Carried at fair value on a recurring basis Trading debt securities 2,830 2,830 2,830 Available-for-sale debt securities 18,890 18,890 18,890 Advances 1,209 1,209 1,209 Derivative assets 14 14 119 $ (105) Other assets - held for sale at fair value 108 108 108 Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 9 9 9 Financial assets 97,259 $ 97,787 $ 1,295 $ 96,563 $ 34 $ (105) Other non financial assets 235 Assets $ 97,494 Carried at amortized cost Deposits $ (1,123) $ (1,123) $ (1,123) Consolidated obligation discount notes (45,728) (45,727) (45,727) Consolidated obligation bonds (42,580) (42,682) (42,682) Mandatorily redeemable capital stock (248) (248) $ (248) Other liabilities (110) (110) (110) Carried at fair value on a recurring basis Consolidated obligation bonds (342) (342) (342) Derivative liabilities (88) (88) (669) $ 581 Financial liabilities (90,219) $ (90,320) $ (248) $ (90,653) $ — $ 581 Other non financial liabilities (642) Liabilities $ (90,861) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral December 31, 2020 Carried at amortized cost Cash and due from banks and interest bearing deposits $ 4,396 $ 4,396 $ 4,396 Federal Funds sold and securities purchased under agreements to resell 14,245 14,245 $ 14,245 Held-to-maturity debt securities 1,491 1,549 1,534 $ 15 Advances 45,380 45,696 45,696 MPF Loans held in portfolio, net 10,020 10,332 10,327 5 Other assets 90 90 90 Carried at fair value on a recurring basis Trading debt securities 4,621 4,621 4,621 Available-for-sale debt securities 18,437 18,437 18,437 Advances 1,315 1,315 1,315 Derivative assets 5 5 116 $ (111) Other assets - held for sale at fair value 105 105 105 Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 18 18 18 Financial assets 100,123 $ 100,809 $ 4,396 $ 96,486 $ 38 $ (111) Other non financial assets 233 Assets $ 100,356 Carried at amortized cost Deposits $ (1,284) $ (1,284) $ (1,284) Consolidated obligation discount notes (46,643) (46,644) (46,644) Consolidated obligation bonds (40,826) (41,183) (41,183) Mandatorily redeemable capital stock (279) (279) $ (279) Other liabilities (89) (89) (89) Carried at fair value on a recurring basis Consolidated obligation discount notes (2,000) (2,000) (2,000) Consolidated obligation bonds (1,844) (1,844) (1,844) Derivative liabilities (691) (691) (878) 187 Financial liabilities (93,656) $ (94,014) $ (279) $ (93,922) $ — $ 187 Other non financial liabilities (411) Liabilities $ (94,067) 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 2020 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 June 30, Six months ended June 30, 2021 2020 2021 2020 Advances $ 2 $ 18 $ (26) $ 78 Other assets — — (2) 2 Discount notes — 14 — — Consolidated obligation bonds 1 4 2 (4) Noninterest income - Instruments held under the fair value option $ 3 $ 36 $ (26) $ 76 The following table reflects the difference between the aggregate UPB outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. June 30, 2021 December 31, 2020 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 1,133 $ 339 $ 1,213 $ 1,839 Fair value over (under) UPB 76 3 102 5 Fair value $ 1,209 $ 342 $ 1,315 $ 1,844 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies The following table shows our commitments outstanding, which represent off-balance sheet obligations. June 30, 2021 December 31, 2020 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Member standby letters of credit $ 4,870 $ 7,903 a $ 12,773 $ 10,446 $ 5,949 a $ 16,395 MPF delivery commitments 764 — 764 1,527 — 1,527 Advance commitments 1,081 2 1,083 583 12 595 Housing authority standby bond purchase agreements 53 455 508 10 455 465 Unsettled consolidated obligation bonds 1,200 — 1,200 125 — 125 Other 2 — 2 3 — 3 Commitments $ 7,970 $ 8,360 $ 16,330 $ 12,694 $ 6,416 $ 19,110 a Contains $7.0 billion and $5.2 billion of member standby letters of credit as of June 30, 2021, and December 31, 2020, which were renewable annually. For a description of defined terms see Note 16 - Commitments and Contingencies to the financial statements in our 2020 Form 10-K. |
Transactions with Related Parti
Transactions with Related Parties and Other FHLBs | 6 Months Ended |
Jun. 30, 2021 | |
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 not material. As of June 30, 2021 December 31, 2020 Assets - Advances $ 220 $ 252 Liabilities - Deposits 14 15 Equity - Capital Stock 18 17 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. |
Interest Income and Interest _2
Interest Income and Interest Expense (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense [Table Text Block] | The following table presents interest income and interest expense for the periods indicated: Three months ended June 30, Six months ended June 30, 2021 2020 2021 2020 Interest income - Trading $ 13 $ 28 $ 34 $ 54 Available-for-sale 74 75 95 215 Held-to-maturity 7 21 15 48 Investment debt securities 94 124 144 317 Advances interest income 60 132 131 368 Advances prepayment fees 7 13 12 15 Advances 67 145 143 383 MPF Loans held in portfolio 60 76 123 163 Federal funds sold 1 1 2 27 Securities purchased under agreements to resell — — 1 12 Other 3 1 4 10 Interest income 225 347 417 912 Interest expense - Consolidated obligations - Discount notes 10 82 25 267 Bonds 59 123 123 351 Other 3 4 6 10 Interest expense 72 209 154 628 Net interest income 153 138 263 284 |
Investment Debt Securities (Tab
Investment Debt Securities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 December 31, 2020 U.S. Government & other government related $ 2,823 $ 4,612 Residential MBS GSE 7 8 Government guaranteed — 1 Trading debt securities $ 2,830 $ 4,621 The following table presents our gains and losses on trading debt securities recorded in Noninterest Income Other. Three months ended June 30, Six months ended June 30, 2021 2020 2021 2020 Net unrealized gains (losses) on securities held at period end $ (9) $ (29) $ (11) $ 41 Net realized gains (losses) on securities sold/matured during the period (4) 4 (20) 21 Net gains (losses) on trading debt securities $ (13) $ (25) $ (31) $ 62 |
Available-for-sale Securities by Major Security Type [Table Text Block] | Available-for-Sale Debt Securities (AFS) The following table presents the amortized cost and fair value of our AFS debt securities. Amortized Cost Basis a Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Net Carrying Amount and Fair Value As of June 30, 2021 U.S. Government & other government related $ 1,475 $ 49 $ (7) $ 1,517 State or local housing agency 13 1 — 14 FFELP ABS 2,769 160 — 2,929 Residential MBS GSE 13,869 341 (7) 14,203 Government guaranteed 220 7 — 227 Available-for-sale debt securities $ 18,346 $ 558 $ (14) $ 18,890 As of December 31, 2020 U.S. Government & other government related $ 1,535 $ 83 $ — $ 1,618 State or local housing agency 14 1 — 15 FFELP ABS 2,922 121 (9) 3,034 Residential MBS GSE 13,413 147 (59) 13,501 Government guaranteed 261 8 — 269 Available-for-sale debt securities $ 18,145 $ 360 $ (68) $ 18,437 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 $52 million and $53 million at June 30, 2021 and December 31, 2020. We had sales of AFS debt securities for the periods presented. See Note 2 - Summary of Significant Accounting Policies in our 2020 Form 10-K for details on the amounts and accounting policies related to these transactions. Any gains or losses are determined on a specific identification basis. |
Held-to-maturity Securities by Major Security Type [Table Text Block] | Held-to-Maturity Debt Securities (HTM) The following table presents the amortized cost, carrying amount, and fair value of our HTM debt securities. Amortized Cost and Net Carrying Amount a Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of June 30, 2021 U.S. Government & other government related $ 1,148 $ 19 $ — $ 1,167 Residential MBS GSE 249 24 — 273 Government guaranteed 82 2 — 84 Other 12 — — 12 Held-to-maturity debt securities $ 1,491 $ 45 $ — $ 1,536 As of December 31, 2020 U.S. Government & other government related $ 1,098 $ 24 $ — $ 1,122 Residential MBS GSE 285 31 — 316 Government guaranteed 94 2 — 96 Other 14 1 — 15 Held-to-maturity debt securities $ 1,491 $ 58 $ — $ 1,549 a Includes adjustments made to the cost basis of an investment for accretion, amortization, and/or net charge-offs. We had sales of HTM debt securities for the periods presented. See Note 2 - Summary of Significant Accounting Policies in our 2020 Form 10-K for details on the amounts and accounting policies related to these transactions. Any gains or losses are determined on a specific identification basis. |
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 June 30, 2021 Amortized Cost Basis Net Carrying Amount and Fair Value Amortized Cost and Net Carrying Amount Fair Value Year of Maturity - Due in one year or less $ 1 $ 1 $ 800 $ 800 Due after one year through five years 11 12 23 23 Due after five years through ten years 462 475 317 334 Due after ten years 1,014 1,043 8 10 ABS and MBS without a single maturity date 16,858 17,359 343 369 Total debt securities $ 18,346 $ 18,890 $ 1,491 $ 1,536 |
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 losses on these unrealized loss positions. Refer to the Credit Loss Analysis below. 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 Available-for-sale debt securities Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) As of June 30, 2021 U.S. Government & other government related $ 295 $ (7) $ — $ — $ 295 $ (7) Residential MBS GSE 728 (3) 55 (4) 783 (7) Available-for-sale debt securities $ 1,023 $ (10) $ 55 $ (4) $ 1,078 $ (14) As of December 31, 2020 U.S. Government & other government related $ — $ — $ 2 $ — $ 2 $ — FFELP ABS 21 — 459 (9) 480 (9) Residential MBS GSE 102 (1) 6,327 (58) 6,429 (59) Available-for-sale debt securities $ 123 $ (1) $ 6,788 $ (67) $ 6,911 $ (68) |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | The following table presents the remaining life of our advances by the advance’s contractual maturity and the related weighted average interest rate. For amortizing advances, remaining 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 June 30, 2021 Amount Weighted Average Contractual Interest Rate Due in one year or less $ 13,124 0.47 % One to two years 3,547 1.27 % Two to three years 9,895 0.44 % Three to four years 7,597 0.86 % Four to five years 3,089 0.90 % More than five years 8,463 1.74 % Par value $ 45,715 0.86 % The following table reconciles the par value of our advances to the carrying amount on our Statements of Condition as of the dates indicated. As of June 30, 2021 December 31, 2020 Par value $ 45,715 $ 45,820 Fair value hedging adjustments 462 760 Other adjustments 93 115 Advances $ 46,270 $ 46,695 |
Credit Concentration Risk | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The following advance borrowers exceeded 10% of our advances outstanding: As of June 30, 2021 Par Value % of Total Outstanding One Mortgage Partners Corp. $ 11,000 a 24.1 % The Northern Trust Company 5,005 10.9 % a One Mortgage Partners Corp. (OMP) is a subsidiary of JPMorgan Chase Bank NA. Effective February 19, 2021, we terminated OMP’s membership in connection with the FHFA rule that made captive insurance companies ineligible for FHLB membership. |
MPF Loans Held in Portfolio (Ta
MPF Loans Held in Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Schedule of Participating Mortgage Loans [Table Text Block] | The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase. 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 June 30, 2021 December 31, 2020 Medium term (15 years or less) $ 1,603 $ 1,403 Long term (greater than 15 years) 7,993 8,453 Unpaid principal balance 9,596 9,856 Net premiums, credit enhancement, and/or deferred loan fees 173 177 Fair value hedging and delivery commitment basis adjustments (7) 8 MPF Loans held in portfolio, before allowance for credit losses 9,762 10,041 Allowance for credit losses on MPF Loans (3) (3) MPF Loans held in portfolio, net $ 9,759 $ 10,038 Conventional mortgage loans $ 8,743 $ 8,979 Government Loans 853 877 Unpaid principal balance $ 9,596 $ 9,856 The above table excludes MPF Loans acquired under the MPF Xtra ® and MPF Government MBS products. See Note 2 - Summary of Significant Accounting Policies in our 2020 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) | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Financing Receivable, Allowance for Credit Loss | Allowance for Credit Losses on MPF Loans The following table presents the activity in our allowance for credit losses for MPF Loans. Three months ended June 30, Six months ended June 30, For the periods ending 2021 2020 2021 2020 Allowance for MPF credit losses beginning balance $ 3 2 $ 3 1 Allowance for MPF credit losses charged-off (2) (2) (2) (3) Allowance for credit loss recovery 1 — 1 — Provision for (reversal of) allowance for MPF for credit losses 1 4 1 6 Allowance for MPF credit losses ending balances $ 3 $ 4 $ 3 $ 4 Allowance for Credit Losses on Community First Fund (the Fund) As of June 30, 2021 we had $45 million in Fund loans outstanding, unchanged from $45 million at December 31, 2020, recorded in Other assets in our Statements of Condition . Under the “currently expected credit losses” methodology (CECL), on January 1, 2020, we recorded a $7 million allowances for credit losses on a basis of expected losses over the life of the loans. As of June 30, 2021, all Fund loans were current. The following table details our allowance for credit losses on Fund loans. As we had not incurred any credit losses under the pre-CECL accounting policy, we had no allowance prior to 2020. We have had no material activity in the allowance through June 30, 2021. Three months ended June 30, Six months ended June 30, For the periods ending 2021 2020 2021 2020 Allowance for Fund loan credit losses beginning balance $ 7 $ 7 $ 7 $ — Adjustment for cumulative effect of accounting change — — — 7 Allowance for Fund loan credit losses ending balances $ 7 $ 7 $ 7 $ 7 |
Financing Receivable, Past Due [Table Text Block] | The following tables summarize our conventional MPF Loans by our key credit quality indicators. See Coronavirus Disease 2019 (COVID-19) Forbearance in Note 7 – MPF Loans Held in Portfolio for more information on how the forbearance impacts the accounting for the below credit quality indicators. June 30, 2021 December 31, 2020 Conventional MPF Amortized Cost by Origination Year Conventional MPF Amortized Cost by Origination Year 2017 to 2021 Prior to 2017 Total 2016 to 2020 Prior to 2016 Total Past due 30-59 days $ 35 $ 25 $ 60 $ 47 $ 23 $ 70 Past due 60-89 days 8 7 15 17 9 26 Past due 90 days or more 78 43 121 121 38 159 Past due 121 75 196 185 70 255 Current 7,526 1,176 8,702 7,984 912 8,896 Total $ 7,647 $ 1,251 $ 8,898 $ 8,169 $ 982 $ 9,151 June 30, 2021 December 31, 2020 Amortized Cost Amortized Cost As of Conventional Government Total Conventional Government Total In process of foreclosure $ 12 $ 11 $ 23 $ 13 $ 5 $ 18 Serious delinquency rate 1.38 % 3.85 % 1.60 % 1.78 % 4.22 % 2.00 % Past due 90 days or more and still accruing interest $ 40 $ 26 $ 66 $ 48 $ 17 $ 65 Loans on nonaccrual status 87 — 87 120 — 120 Loans on nonaccrual status with no allowance for credit losses 20 — 20 21 — 21 |
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 June 30, 2021 December 31, 2020 MPF Loans held in portfolio $ 45 $ 48 HTM securities 4 5 Advances 33 37 Accrued interest receivable $ 82 $ 90 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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. June 30, 2021 December 31, 2020 As of Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 52,683 $ 93 $ 577 $ 39,493 $ 65 $ 729 Derivatives not in hedge accounting relationships- Interest rate contracts 7,581 23 89 11,265 46 141 Mortgage delivery commitments 1,315 3 3 2,831 5 7 Other 235 — — 257 — 1 Derivatives not in hedge accounting relationships 9,131 26 92 14,353 51 149 Gross derivative amount before netting adjustments and cash collateral $ 61,814 119 669 $ 53,846 $ 116 878 Netting adjustments and cash collateral (105) (581) (111) (187) Derivatives on Statements of Condition $ 14 $ 88 $ 5 $ 691 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 483 $ 84 Cash collateral received and related accrued interest 7 8 |
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 June 30, Six months ended June 30, For the periods ending 2021 2020 2021 2020 Economic hedges - Interest rate contracts $ (11) (11) $ 16 (159) Mortgage delivery commitments 1 — (12) — Other (3) (10) 3 (4) Economic hedges (13) (21) 7 (163) Variation margin on daily settled cleared derivatives — — — 4 Noninterest income - Derivatives and hedging activities $ (13) $ (21) $ 7 $ (159) |
Offsetting Assets [Table Text Block] | The following tables present details regarding the offsetting of our cleared and bilateral derivatives 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 As of June 30, 2021 As of December 31, 2020 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 59 $ 57 $ 116 $ 60 $ 51 $ 111 Netting adjustments and cash collateral (48) (57) (105) (60) (51) (111) Derivatives with legal right of offset - net 11 — 11 — — — Derivatives without legal right of offset 3 — 3 5 — 5 Derivatives on Statements of Condition 14 — 14 5 — 5 Net amount $ 14 $ — $ 14 $ 5 $ — $ 5 |
Offsetting Liabilities [Table Text Block] | Derivative Liabilities As of June 30, 2021 As of December 31, 2020 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 548 $ 118 $ 666 $ 812 $ 59 $ 871 Netting adjustments and cash collateral (524) (57) (581) (136) (51) (187) Derivatives with legal right of offset - net 24 61 85 676 8 684 Derivatives without legal right of offset 3 — 3 7 — 7 Derivatives on Statements of Condition 27 61 88 683 8 691 Less: Noncash collateral received or pledged and cannot be sold or repledged — 61 61 668 8 676 Net amount $ 27 $ — $ 27 $ 15 $ — $ 15 |
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. The line for Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the loans, as we did not have any active fair value hedges on our MPF Loans as of June 30, 2021. Three months ended June 30, 2021 Three months ended June 30, 2020 Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Available-for-sale debt securities $ (354) $ 310 $ (44) $ (80) $ 28 $ (52) Advances (124) 77 (47) (63) 38 (25) Consolidated obligation bonds 135 (76) 59 31 5 36 Total $ (343) $ 311 $ (32) $ (112) $ 71 $ (41) Six months ended June 30, 2021 Six months ended June 30, 2020 Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income Available-for-sale debt securities $ 381 $ (521) $ (140) $ (1,338) $ 1,299 $ (39) Advances 212 (298) (86) (793) 753 (40) Consolidated obligation bonds (70) 176 106 283 (240) 43 Other — (1) (1) — — — Total $ 523 $ (644) $ (121) $ (1,848) $ 1,812 $ (36) 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 Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the loans, as we did not have any active fair value hedges on our MPF Loans as of June 30, 2021. As of June 30, 2021 Amortized cost of hedged asset/liability Basis adjustments active hedges included in amortized cost Basis adjustments discontinued hedges included in amortized cost Total amount of fair value hedging basis adjustments Advances $ 17,994 $ 459 $ 2 $ 461 Available-for-sale securities 13,438 976 — 976 Consolidated obligation bonds 21,719 43 (18) 25 Other 305 — 7 7 |
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 below 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. Three months ended June 30, 2021 Three months ended June 30, 2020 Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Discount notes $ (14) $ (4) $ (10) $ (5) Bonds — (1) — (1) Total $ (14) $ (5) $ (10) $ (6) Six months ended June 30, 2021 Six months ended June 30, 2020 Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income Discount notes $ 23 $ (8) $ (58) $ (9) Bonds — (1) — (1) Total $ 23 $ (9) $ (58) $ (10) |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Short-term Debt [Table Text Block] | The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of June 30, 2021 December 31, 2020 Consolidated obligation discount notes - carrying amount $ 45,728 $ 48,643 Consolidated obligation discount notes - par amount 45,732 48,654 Weighted Average Interest Rate 0.03 % 0.10 % |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following table presents the remaining life of our consolidated obligation bonds by the bond’s contractual maturity and the related weighted average interest rate, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates. As of June 30, 2021 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 12,586 0.69 % $ 30,576 One to two years 8,782 1.13 % 8,816 Two to three years 2,372 0.99 % 1,541 Three to four years 2,471 0.88 % 1,194 Four to five years 6,940 0.69 % 206 Thereafter 9,757 1.71 % 575 Total par value $ 42,908 1.04 % $ 42,908 |
Schedule of Long-term Debt Instruments [Table Text Block] | The following table presents consolidated obligation bonds outstanding by call feature: As of June 30, 2021 December 31, 2020 Noncallable $ 22,730 $ 35,075 Callable 20,178 7,397 Par value 42,908 42,472 Fair value hedging adjustments 25 200 Other adjustments (11) (2) Consolidated obligation bonds $ 42,922 $ 42,670 |
Schedule of Guarantor Obligations [Table Text Block] | The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of June 30, 2021, and December 31, 2020. See Note 16 - Commitments and Contingencies in our 2020 Form 10-K for further details. June 30, 2021 December 31, 2020 Par values as of Bonds Discount Total Bonds Discount Total FHLB System total consolidated obligations $ 435,014 $ 231,733 $ 666,747 $ 471,919 $ 274,853 $ 746,772 FHLB Chicago as primary obligor 42,908 45,732 88,640 42,472 48,654 91,126 As a percent of the FHLB System 10 % 20 % 13 % 9 % 18 % 12 % |
Capital and Mandatorily Redee_2
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 in Note 12 – Capital and Mandatorily Redeemable Capital Stock (MRCS) to the financial statements in our 2020 Form 10-K. We complied with our minimum regulatory capital requirements as shown below. June 30, 2021 December 31, 2020 Requirement Actual Requirement Actual Total regulatory capital $ 3,900 $ 6,394 $ 4,014 $ 6,361 Total regulatory capital ratio 4.00 % 6.56 % 4.00 % 6.34 % Leverage capital $ 4,875 $ 9,592 $ 5,018 $ 9,541 Leverage capital ratio 5.00 % 9.84 % 5.00 % 9.51 % Risk-based capital $ 1,778 $ 6,394 $ 1,587 $ 6,361 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. Additionally, an FHFA Advisory Bulletin sets forth guidance for each FHLB to maintain a ratio of at least two percent of capital stock to total assets. In accordance with this guidance, the FHFA considers the proportion of capital stock to assets, measured on a daily average basis at month end, when assessing each FHLB’s capital management practices. |
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 June 30, 2021 Regulatory Capital Stock Outstanding % of Total Outstanding Amount of Which is Classified as a Liability (MRCS) One Mortgage Partners Corp. $ 245 a 10.9 % $ 245 a One Mortgage Partners Corp. (OMP) is a subsidiary of JPMorgan Chase Bank NA. Effective February 19, 2021, we terminated OMP’s membership in connection with the FHFA rule that made captive insurance companies ineligible for FHLB membership. |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 Beginning balance $ 490 $ — $ (24) $ (25) $ 441 Other comprehensive income before reclassification - recorded to the Statements of Condition 55 — (14) — 41 Amounts reclassified in period to Statements of Income: Net interest income (1) — 5 4 Noninterest expense 1 1 Ending balance $ 544 $ — $ (33) $ (24) $ 487 Three months ended June 30, 2020 Beginning balance $ (527) $ (81) $ (82) $ (21) $ (711) Other comprehensive income before reclassification - recorded to the Statements of Condition 347 5 (10) — 342 Amounts reclassified in period to statements of income: Net interest income — — 6 6 Ending balance $ (180) $ (76) $ (86) $ (21) $ (363) Six months ended June 30, 2021 Beginning balance $ 292 $ — $ (65) $ (20) $ 207 Other comprehensive income before reclassification - recorded to the Statements of Condition 253 — 23 (10) 266 Amounts reclassified in period to Statements of Income: Net interest income (1) — 9 8 Noninterest expense 6 6 Ending balance $ 544 $ — $ (33) $ (24) $ 487 Six months ended June 30, 2020 Beginning balance $ 104 $ (85) $ (38) $ (10) $ (29) Other comprehensive income before reclassification - recorded to the Statements of Condition (284) 9 (58) (12) (345) Amounts reclassified in period to Statements of Income: Net interest income — 10 10 Noninterest expense 1 1 Ending balance $ (180) $ (76) $ (86) $ (21) $ (363) |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 2020 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 2020 Form 10-K for our fair value policies and Note 15 - Fair Value in our 2020 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 June 30, 2021 Carried at amortized cost Cash and due from banks and interest bearing deposits $ 1,295 $ 1,295 $ 1,295 Federal Funds sold and securities purchased under agreements to resell 16,520 16,520 $ 16,520 Held-to-maturity debt securities 1,491 1,536 1,524 $ 12 Advances 45,061 45,337 45,337 MPF Loans held in portfolio, net 9,750 9,957 9,944 13 Other assets 82 82 82 Carried at fair value on a recurring basis Trading debt securities 2,830 2,830 2,830 Available-for-sale debt securities 18,890 18,890 18,890 Advances 1,209 1,209 1,209 Derivative assets 14 14 119 $ (105) Other assets - held for sale at fair value 108 108 108 Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 9 9 9 Financial assets 97,259 $ 97,787 $ 1,295 $ 96,563 $ 34 $ (105) Other non financial assets 235 Assets $ 97,494 Carried at amortized cost Deposits $ (1,123) $ (1,123) $ (1,123) Consolidated obligation discount notes (45,728) (45,727) (45,727) Consolidated obligation bonds (42,580) (42,682) (42,682) Mandatorily redeemable capital stock (248) (248) $ (248) Other liabilities (110) (110) (110) Carried at fair value on a recurring basis Consolidated obligation bonds (342) (342) (342) Derivative liabilities (88) (88) (669) $ 581 Financial liabilities (90,219) $ (90,320) $ (248) $ (90,653) $ — $ 581 Other non financial liabilities (642) Liabilities $ (90,861) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral December 31, 2020 Carried at amortized cost Cash and due from banks and interest bearing deposits $ 4,396 $ 4,396 $ 4,396 Federal Funds sold and securities purchased under agreements to resell 14,245 14,245 $ 14,245 Held-to-maturity debt securities 1,491 1,549 1,534 $ 15 Advances 45,380 45,696 45,696 MPF Loans held in portfolio, net 10,020 10,332 10,327 5 Other assets 90 90 90 Carried at fair value on a recurring basis Trading debt securities 4,621 4,621 4,621 Available-for-sale debt securities 18,437 18,437 18,437 Advances 1,315 1,315 1,315 Derivative assets 5 5 116 $ (111) Other assets - held for sale at fair value 105 105 105 Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 18 18 18 Financial assets 100,123 $ 100,809 $ 4,396 $ 96,486 $ 38 $ (111) Other non financial assets 233 Assets $ 100,356 Carried at amortized cost Deposits $ (1,284) $ (1,284) $ (1,284) Consolidated obligation discount notes (46,643) (46,644) (46,644) Consolidated obligation bonds (40,826) (41,183) (41,183) Mandatorily redeemable capital stock (279) (279) $ (279) Other liabilities (89) (89) (89) Carried at fair value on a recurring basis Consolidated obligation discount notes (2,000) (2,000) (2,000) Consolidated obligation bonds (1,844) (1,844) (1,844) Derivative liabilities (691) (691) (878) 187 Financial liabilities (93,656) $ (94,014) $ (279) $ (93,922) $ — $ 187 Other non financial liabilities (411) Liabilities $ (94,067) |
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 June 30, Six months ended June 30, 2021 2020 2021 2020 Advances $ 2 $ 18 $ (26) $ 78 Other assets — — (2) 2 Discount notes — 14 — — Consolidated obligation bonds 1 4 2 (4) Noninterest income - Instruments held under the fair value option $ 3 $ 36 $ (26) $ 76 The following table reflects the difference between the aggregate UPB outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. June 30, 2021 December 31, 2020 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 1,133 $ 339 $ 1,213 $ 1,839 Fair value over (under) UPB 76 3 102 5 Fair value $ 1,209 $ 342 $ 1,315 $ 1,844 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | The following table shows our commitments outstanding, which represent off-balance sheet obligations. June 30, 2021 December 31, 2020 As of Expire within one year Expire after one year Total Expire within one year Expire after one year Total Member standby letters of credit $ 4,870 $ 7,903 a $ 12,773 $ 10,446 $ 5,949 a $ 16,395 MPF delivery commitments 764 — 764 1,527 — 1,527 Advance commitments 1,081 2 1,083 583 12 595 Housing authority standby bond purchase agreements 53 455 508 10 455 465 Unsettled consolidated obligation bonds 1,200 — 1,200 125 — 125 Other 2 — 2 3 — 3 Commitments $ 7,970 $ 8,360 $ 16,330 $ 12,694 $ 6,416 $ 19,110 a Contains $7.0 billion and $5.2 billion of member standby letters of credit as of June 30, 2021, and December 31, 2020, which were renewable annually. For a description of defined terms see Note 16 - Commitments and Contingencies to the financial statements in our 2020 Form 10-K. |
Transactions with Related Par_2
Transactions with Related Parties and Other FHLBs (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 not material. As of June 30, 2021 December 31, 2020 Assets - Advances $ 220 $ 252 Liabilities - Deposits 14 15 Equity - Capital Stock 18 17 |
Interest Income and Interest _3
Interest Income and Interest Expense (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Interest income - | ||||
Trading | $ 13 | $ 28 | $ 34 | $ 54 |
Available-for-sale | 74 | 75 | 95 | 215 |
Held-to-maturity | 7 | 21 | 15 | 48 |
Investment debt securities | 94 | 124 | 144 | 317 |
Advances interest income | 60 | 132 | 131 | 368 |
Advances prepayment fees | 7 | 13 | 12 | 15 |
Advances | 67 | 145 | 143 | 383 |
MPF Loans held in portfolio | 60 | 76 | 123 | 163 |
Federal funds sold | 1 | 1 | 2 | 27 |
Securities purchased under agreements to resell | 0 | 0 | 1 | 12 |
Other | 3 | 1 | 4 | 10 |
Interest income | 225 | 347 | 417 | 912 |
Consolidated obligations - | ||||
Discount notes | 10 | 82 | 25 | 267 |
Bonds | 59 | 123 | 123 | 351 |
Other | 3 | 4 | 6 | 10 |
Interest expense | 72 | 209 | 154 | 628 |
Net interest income | $ 153 | $ 138 | $ 263 | $ 284 |
Investment Debt Securities (Tra
Investment Debt Securities (Trading debt scurities) (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading debt securities | $ 2,830 | $ 4,621 |
U.S. Government & other government related | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading debt securities | 2,823 | 4,612 |
Residential MBS | GSE | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading debt securities | 7 | 8 |
Residential MBS | Government guaranteed | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading debt securities | $ 0 | $ 1 |
Investment Debt Securities (T_2
Investment Debt Securities (Trading debt scurities) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Net unrealized gains (losses) on securities held at period end | $ (9) | $ (29) | $ (11) | $ 41 |
Net realized gains (losses) on securities sold/matured during the period | (4) | 4 | (20) | 21 |
Net gains (losses) on trading debt securities | $ (13) | $ (25) | $ (31) | $ 62 |
Investment Debt Securities (Ava
Investment Debt Securities (Available-for-sale debt securities) (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | $ 18,346 | $ 18,145 |
Gross Unrealized Gains in AOCI | 558 | 360 |
Gross Unrealized (Losses) in AOCI | (14) | (68) |
Net Carrying Amount and Fair Value | 18,890 | 18,437 |
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | 52 | 53 |
U.S. Government & other government related | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 1,475 | 1,535 |
Gross Unrealized Gains in AOCI | 49 | 83 |
Gross Unrealized (Losses) in AOCI | (7) | 0 |
Net Carrying Amount and Fair Value | 1,517 | 1,618 |
State or local housing agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 13 | 14 |
Gross Unrealized Gains in AOCI | 1 | 1 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Net Carrying Amount and Fair Value | 14 | 15 |
FFELP ABS | FFELP ABS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 2,769 | 2,922 |
Gross Unrealized Gains in AOCI | 160 | 121 |
Gross Unrealized (Losses) in AOCI | 0 | (9) |
Net Carrying Amount and Fair Value | 2,929 | 3,034 |
Residential MBS | GSE | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 13,869 | 13,413 |
Gross Unrealized Gains in AOCI | 341 | 147 |
Gross Unrealized (Losses) in AOCI | (7) | (59) |
Net Carrying Amount and Fair Value | 14,203 | 13,501 |
Residential MBS | Government guaranteed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 220 | 261 |
Gross Unrealized Gains in AOCI | 7 | 8 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Net Carrying Amount and Fair Value | $ 227 | $ 269 |
Investment Debt Securities (Hel
Investment Debt Securities (Held-to-maturities debt securities) (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | $ 1,491 | $ 1,491 |
Gross Unrecognized Holding Gains | 45 | 58 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | 1,536 | 1,549 |
U.S. Government & other government related | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | 1,148 | 1,098 |
Gross Unrecognized Holding Gains | 19 | 24 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | 1,167 | 1,122 |
Residential MBS | GSE | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | 249 | 285 |
Gross Unrecognized Holding Gains | 24 | 31 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | 273 | 316 |
Residential MBS | Government guaranteed | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | 82 | 94 |
Gross Unrecognized Holding Gains | 2 | 2 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | 84 | 96 |
Residential MBS | Other | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | 12 | 14 |
Gross Unrecognized Holding Gains | 0 | 1 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Fair Value | $ 12 | $ 15 |
Investment Debt Securities Cont
Investment Debt Securities Contractual maturities (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
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 | 11 | |
Due after five years through ten years | 462 | |
Due after ten years | 1,014 | |
ABS and MBS without a single maturity date | 16,858 | |
Amortized Cost Basis | 18,346 | $ 18,145 |
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 | 12 | |
Due after five years through ten years | 475 | |
Due after ten years | 1,043 | |
ABS and MBS without a single maturity date | 17,359 | |
Net Carrying Amount and Fair Value | 18,890 | 18,437 |
Debt Securities, Held-to-maturity, Maturity, Amortized Cost, Rolling Maturity [Abstract] | ||
Due in one year or less | 800 | |
Due after one year through five years | 23 | |
Due after five years through ten years | 317 | |
Due after ten years | 8 | |
ABS and MBS without a single maturity date | 343 | |
Amortized Cost and Net Carrying Amount | 1,491 | 1,491 |
Debt Securities, Held-to-maturity, Maturity, Fair Value, Rolling Maturity [Abstract] | ||
Due in one year or less | 800 | |
Due after one year through five years | 23 | |
Due after five years through ten years | 334 | |
Due after ten years | 10 | |
ABS and MBS without a single maturity date | 369 | |
Fair Value | $ 1,536 | $ 1,549 |
Investment Debt Securities Agin
Investment Debt Securities Aging of unrealized temporary losses (Details) - Available-for-sale debt securities - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | $ 1,023 | $ 123 |
Less than 12 Months, Gross Unrealized (Losses) | (10) | (1) |
12 Months or More, Fair Value | 55 | 6,788 |
12 Months or More, Gross Unrealized (Losses) | (4) | (67) |
Total, Fair Value | 1,078 | 6,911 |
Total, Gross Unrealized (Losses) | (14) | (68) |
U.S. Government & other government related | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 295 | 0 |
Less than 12 Months, Gross Unrealized (Losses) | (7) | 0 |
12 Months or More, Fair Value | 0 | 2 |
12 Months or More, Gross Unrealized (Losses) | 0 | 0 |
Total, Fair Value | 295 | 2 |
Total, Gross Unrealized (Losses) | (7) | 0 |
FFELP ABS | FFELP ABS | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 21 | |
Less than 12 Months, Gross Unrealized (Losses) | 0 | |
12 Months or More, Fair Value | 459 | |
12 Months or More, Gross Unrealized (Losses) | (9) | |
Total, Fair Value | 480 | |
Total, Gross Unrealized (Losses) | (9) | |
Residential MBS | GSE | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 728 | 102 |
Less than 12 Months, Gross Unrealized (Losses) | (3) | (1) |
12 Months or More, Fair Value | 55 | 6,327 |
12 Months or More, Gross Unrealized (Losses) | (4) | (58) |
Total, Fair Value | 783 | 6,429 |
Total, Gross Unrealized (Losses) | $ (7) | $ (59) |
Investment Debt Securities (Pri
Investment Debt Securities (Prior years OTTI accretion) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||
Increases in cash flows expected to be collected and recognized into interest income | $ 6 | $ 12 |
Advances By redemption terms (D
Advances By redemption terms (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value Amount [Abstract] | ||
Due in one year or less | $ 13,124 | |
One to two years | 3,547 | |
Two to three years | 9,895 | |
Three to four years | 7,597 | |
Four to five years | 3,089 | |
More than five years | 8,463 | |
Par value | $ 45,715 | $ 45,820 |
Federal Home Loan Bank, Advances, Weighted Average Contractual Interest Rate, Rolling Year [Abstract] | ||
Due in one year or less | 0.47% | |
One to two years | 1.27% | |
Two to three years | 0.44% | |
Three to four years | 0.86% | |
Four to five years | 0.90% | |
More than five years | 1.74% | |
Par value | 0.86% |
Advances Reconciliation of par
Advances Reconciliation of par values to carrying values (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Federal Home Loan Banks [Abstract] | ||
Par value | $ 45,715 | $ 45,820 |
Fair value hedging adjustments | 462 | 760 |
Other adjustments | 93 | 115 |
Advances | $ 46,270 | $ 46,695 |
Advances By counterparty concen
Advances By counterparty concentration (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
Concentration Risk [Line Items] | ||
Par value | $ 45,715 | $ 45,820 |
Credit Concentration Risk | One Mortgage Partners Corp. [Member] | ||
Concentration Risk [Line Items] | ||
Par value | $ 11,000 | |
Credit Concentration Risk | One Mortgage Partners Corp. [Member] | Federal Home Loan Bank of Chicago Advances | ||
Concentration Risk [Line Items] | ||
% of Total Outstanding | 24.10% | |
Credit Concentration Risk | The Northern Trust Company [Member] | ||
Concentration Risk [Line Items] | ||
Par value | $ 5,005 | |
Credit Concentration Risk | The Northern Trust Company [Member] | Federal Home Loan Bank of Chicago Advances | ||
Concentration Risk [Line Items] | ||
% of Total Outstanding | 10.90% |
MPF Loans Held in Portfolio (De
MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
MPF Loans held in portfolio, net | $ 9,759 | $ 10,038 |
MPF Loans held in portfolio | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 9,596 | 9,856 |
Net premiums, credit enhancement, and/or deferred loan fees | 173 | 177 |
Fair value hedging and delivery commitment basis adjustments | (7) | 8 |
MPF Loans held in portfolio, before allowance for credit losses | 9,762 | 10,041 |
Allowance for credit losses on MPF Loans | (3) | (3) |
MPF Loans held in portfolio, net | 9,759 | 10,038 |
MPF Loans held in portfolio | Medium term (15 years or less) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 1,603 | 1,403 |
MPF Loans held in portfolio | Long term (greater than 15 years) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 7,993 | 8,453 |
MPF Loans held in portfolio | Conventional mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 8,743 | 8,979 |
MPF Loans held in portfolio | Government Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | $ 853 | $ 877 |
MPF Loans Held in Portfolio COV
MPF Loans Held in Portfolio COVID-19 Forbearance (Details) $ in Millions | Jun. 30, 2021USD ($) |
Financing Receivable, Loans in Forbearance [Line Items] | |
TDRs under CARES Act Relief | $ 15 |
MPF Loans held in portfolio, net | Conventional | Payment Deferral [Member] | |
Financing Receivable, Loans in Forbearance [Line Items] | |
Unpaid principal balance | $ 226 |
Financing Receivable, Percent in Forbearance | 2.00% |
Current | MPF Loans held in portfolio, net | Conventional | Payment Deferral [Member] | |
Financing Receivable, Loans in Forbearance [Line Items] | |
Unpaid principal balance | $ 115 |
Past due 30-59 days | MPF Loans held in portfolio, net | Conventional | Payment Deferral [Member] | |
Financing Receivable, Loans in Forbearance [Line Items] | |
Unpaid principal balance | 9 |
Past due 60-89 days | MPF Loans held in portfolio, net | Conventional | Payment Deferral [Member] | |
Financing Receivable, Loans in Forbearance [Line Items] | |
Unpaid principal balance | 8 |
Past due 90 days or more | MPF Loans held in portfolio, net | Conventional | Payment Deferral [Member] | |
Financing Receivable, Loans in Forbearance [Line Items] | |
Unpaid principal balance | $ 94 |
Allowance for Credit Losses Rol
Allowance for Credit Losses Rollforward (Details) - MPF Loans held in portfolio - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Loans and Leases Receivable Disclosure [Line Items] | ||||
Allowance for MPF credit losses beginning balance | $ 3 | $ 2 | $ 3 | $ 1 |
Allowance for MPF credit losses charged-off | (2) | (2) | (2) | (3) |
Allowance for credit loss recovery | 1 | 0 | 1 | 0 |
Provision for (reversal of) allowance for MPF for credit losses | 1 | 4 | 1 | 6 |
Allowance for MPF credit losses ending balances | $ 3 | $ 4 | $ 3 | $ 4 |
Allowance for Credit Losses R_2
Allowance for Credit Losses Rollforward (Details) - Community First Fund - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2021 | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Allowance for Fund loan credit losses beginning balance | $ 7 | $ 7 | $ 0 | $ 7 | $ 0 | |
Adjustment for cumulative effect of accounting change | 0 | 0 | 7 | 0 | 7 | |
Allowance for Fund loan credit losses ending balances | 7 | $ 7 | $ 7 | 7 | $ 7 | |
Financial Institutions Borrower [Member] | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Fund loans outstanding | $ 45 | $ 45 | $ 45 |
Allowance for Credit Losses Cre
Allowance for Credit Losses Credit Quality Indicators - MPF Loans Held in Portfolio (Details) - MPF Loans held in portfolio, net - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Financing Receivable, Past Due [Line Items] | ||
In process of foreclosure | $ 23 | $ 18 |
Serious delinquency rate | 1.60% | 2.00% |
Past due 90 days or more and still accruing interest | $ 66 | $ 65 |
Loans on nonaccrual status | 87 | 120 |
Loans on nonaccrual status with no allowance for credit losses | 20 | 21 |
Conventional | ||
Financing Receivable, Past Due [Line Items] | ||
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 7,647 | 8,169 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 1,251 | 982 |
MPF Loans held in portfolio, before allowance for credit losses | 8,898 | 9,151 |
In process of foreclosure | $ 12 | $ 13 |
Serious delinquency rate | 1.38% | 1.78% |
Past due 90 days or more and still accruing interest | $ 40 | $ 48 |
Loans on nonaccrual status | 87 | 120 |
Loans on nonaccrual status with no allowance for credit losses | 20 | 21 |
Government | ||
Financing Receivable, Past Due [Line Items] | ||
In process of foreclosure | $ 11 | $ 5 |
Serious delinquency rate | 3.85% | 4.22% |
Past due 90 days or more and still accruing interest | $ 26 | $ 17 |
Loans on nonaccrual status | 0 | 0 |
Loans on nonaccrual status with no allowance for credit losses | 0 | 0 |
Current | Conventional | ||
Financing Receivable, Past Due [Line Items] | ||
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 7,526 | 7,984 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 1,176 | 912 |
MPF Loans held in portfolio, before allowance for credit losses | 8,702 | 8,896 |
Past due | Conventional | ||
Financing Receivable, Past Due [Line Items] | ||
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 121 | 185 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 75 | 70 |
MPF Loans held in portfolio, before allowance for credit losses | 196 | 255 |
Past due 30-59 days | Conventional | ||
Financing Receivable, Past Due [Line Items] | ||
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 35 | 47 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 25 | 23 |
MPF Loans held in portfolio, before allowance for credit losses | 60 | 70 |
Past due 60-89 days | Conventional | ||
Financing Receivable, Past Due [Line Items] | ||
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 8 | 17 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 7 | 9 |
MPF Loans held in portfolio, before allowance for credit losses | 15 | 26 |
Past due 90 days or more | Conventional | ||
Financing Receivable, Past Due [Line Items] | ||
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 78 | 121 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 43 | 38 |
MPF Loans held in portfolio, before allowance for credit losses | $ 121 | $ 159 |
Allowance for Credit Losses Acc
Allowance for Credit Losses Accrued Interest Receivable (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 82 | $ 90 |
MPF Loans held in portfolio | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 45 | 48 |
HTM securities | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 4 | 5 |
Advances | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 33 | $ 37 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Jun. 30, 2021USD ($) |
Cleared | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |
Financial Instruments Owned and Pledged as Collateral, Amount Eligible to be Repledged by Counterparty | $ 582 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in statements of condition (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 61,814 | $ 53,846 |
Netting adjustments and cash collateral | (105) | (111) |
Derivative assets | 14 | 5 |
Netting adjustments and cash collateral | (581) | (187) |
Derivative liabilities | 88 | 691 |
Cash collateral posted and related accrued interest | 483 | 84 |
Cash collateral received and related accrued interest | 7 | 8 |
Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 52,683 | 39,493 |
Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 9,131 | 14,353 |
Derivatives not in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 7,581 | 11,265 |
Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 1,315 | 2,831 |
Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 235 | 257 |
Derivative Assets | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 119 | 116 |
Netting adjustments and cash collateral | (105) | (111) |
Derivative assets | 14 | 5 |
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 93 | 65 |
Derivative Assets | Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 26 | 51 |
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 | 23 | 46 |
Derivative Assets | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 3 | 5 |
Derivative Assets | Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 0 | 0 |
Derivative Liabilities | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 669 | 878 |
Netting adjustments and cash collateral | (581) | (187) |
Derivative liabilities | 88 | 691 |
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 577 | 729 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 92 | 149 |
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 | 89 | 141 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 3 | 7 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | $ 0 | $ 1 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Derivatives in statement of income (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | $ (13) | $ (21) | $ 7 | $ (163) |
Variation margin on daily settled cleared derivatives | 0 | 0 | 0 | 4 |
Noninterest income - Derivatives and hedging activities | (13) | (21) | 7 | (159) |
Interest rate contracts | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | (11) | (11) | 16 | (159) |
Mortgage delivery commitments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | 1 | 0 | (12) | 0 |
Other | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Economic hedges | $ (3) | $ (10) | $ 3 | $ (4) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Derivative assets with legal right of offset (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Derivative assets with legal right of offset - | ||
Gross recognized amount | $ 116 | $ 111 |
Netting adjustments and cash collateral | (105) | (111) |
Derivatives with legal right of offset - net | 11 | 0 |
Derivatives without legal right of offset | 3 | 5 |
Derivative assets | 14 | 5 |
Net amount | 14 | 5 |
Bilateral | ||
Derivative assets with legal right of offset - | ||
Gross recognized amount | 59 | 60 |
Netting adjustments and cash collateral | (48) | (60) |
Derivatives with legal right of offset - net | 11 | 0 |
Derivatives without legal right of offset | 3 | 5 |
Derivative assets | 14 | 5 |
Net amount | 14 | 5 |
Cleared | ||
Derivative assets with legal right of offset - | ||
Gross recognized amount | 57 | 51 |
Netting adjustments and cash collateral | (57) | (51) |
Derivatives with legal right of offset - net | 0 | 0 |
Derivatives without legal right of offset | 0 | 0 |
Derivative assets | 0 | 0 |
Net amount | $ 0 | $ 0 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Derivative liabilities with legal right of offset (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | $ 666 | $ 871 |
Netting adjustments and cash collateral | (581) | (187) |
Derivatives with legal right of offset - net | 85 | 684 |
Derivatives without legal right of offset | 3 | 7 |
Derivative liabilities | 88 | 691 |
Less: Noncash collateral received or pledged and cannot be sold or repledged | 61 | 676 |
Net amount | 27 | 15 |
Bilateral | ||
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | 548 | 812 |
Netting adjustments and cash collateral | (524) | (136) |
Derivatives with legal right of offset - net | 24 | 676 |
Derivatives without legal right of offset | 3 | 7 |
Derivative liabilities | 27 | 683 |
Less: Noncash collateral received or pledged and cannot be sold or repledged | 0 | 668 |
Net amount | 27 | 15 |
Credit exposure on overcollateralized pledged securities exceeding derivative position | 0 | 1 |
Cleared | ||
Derivative liabilities with legal right of offset - | ||
Gross recognized amount | 118 | 59 |
Netting adjustments and cash collateral | (57) | (51) |
Derivatives with legal right of offset - net | 61 | 8 |
Derivatives without legal right of offset | 0 | 0 |
Derivative liabilities | 61 | 8 |
Less: Noncash collateral received or pledged and cannot be sold or repledged | 61 | 8 |
Net amount | 0 | 0 |
Credit exposure on overcollateralized pledged securities exceeding derivative position | $ 520 | $ 615 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount Recorded in Net Interest Income | $ 153 | $ 138 | $ 263 | $ 284 |
Fair value hedges | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | (343) | (112) | 523 | (1,848) |
Gain (Loss) on Hedged Item | 311 | 71 | (644) | 1,812 |
Amount Recorded in Net Interest Income | (32) | (41) | (121) | (36) |
Fair value hedges | Available-for-sale debt securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | (354) | (80) | 381 | (1,338) |
Gain (Loss) on Hedged Item | 310 | 28 | (521) | 1,299 |
Amount Recorded in Net Interest Income | (44) | (52) | (140) | (39) |
Fair value hedges | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | (124) | (63) | 212 | (793) |
Gain (Loss) on Hedged Item | 77 | 38 | (298) | 753 |
Amount Recorded in Net Interest Income | (47) | (25) | (86) | (40) |
Fair value hedges | Consolidated obligation bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | 135 | 31 | (70) | 283 |
Gain (Loss) on Hedged Item | (76) | 5 | 176 | (240) |
Amount Recorded in Net Interest Income | $ 59 | $ 36 | 106 | 43 |
Fair value hedges | Other | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | 0 | 0 | ||
Gain (Loss) on Hedged Item | (1) | 0 | ||
Amount Recorded in Net Interest Income | $ (1) | $ 0 |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - Fair value hedges $ in Millions | Jun. 30, 2021USD ($) |
Advances | |
Derivative [Line Items] | |
Amortized cost of hedged asset/liability | $ 17,994 |
Basis adjustments active hedges included in amortized cost | 459 |
Basis adjustments discontinued hedges included in amortized cost | 2 |
Total amount of fair value hedging basis adjustments | 461 |
Available-for-sale debt securities | |
Derivative [Line Items] | |
Amortized cost of hedged asset/liability | 13,438 |
Basis adjustments active hedges included in amortized cost | 976 |
Basis adjustments discontinued hedges included in amortized cost | 0 |
Total amount of fair value hedging basis adjustments | 976 |
Consolidated obligation bonds | |
Derivative [Line Items] | |
Amortized cost of hedged asset/liability | 21,719 |
Basis adjustments active hedges included in amortized cost | 43 |
Basis adjustments discontinued hedges included in amortized cost | (18) |
Total amount of fair value hedging basis adjustments | 25 |
Other | |
Derivative [Line Items] | |
Amortized cost of hedged asset/liability | 305 |
Basis adjustments active hedges included in amortized cost | 0 |
Basis adjustments discontinued hedges included in amortized cost | 7 |
Total amount of fair value hedging basis adjustments | $ 7 |
Derivatives and Hedging Acti_10
Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Maximum Hedging Period For Forecasted Cash Flows | 9 years | |||
Cash flow hedges | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gross Amount Initially Recognized in AOCI | $ (14) | $ (10) | $ 23 | $ (58) |
Amount Reclassified from AOCI into Net Interest Income | (5) | (6) | (9) | (10) |
Cash flow hedges | Discount notes | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gross Amount Initially Recognized in AOCI | (14) | (10) | 23 | (58) |
Amount Reclassified from AOCI into Net Interest Income | (4) | (5) | (8) | (9) |
Cash flow hedges | Consolidated obligation bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gross Amount Initially Recognized in AOCI | 0 | 0 | 0 | 0 |
Amount Reclassified from AOCI into Net Interest Income | $ (1) | $ (1) | $ (1) | $ (1) |
Consolidated Obligations (Short
Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Short-term Debt [Line Items] | ||
Consolidated obligation discount notes - carrying amount | $ 45,728 | $ 48,643 |
Weighted Average Interest Rate | 0.03% | 0.10% |
Discount notes | ||
Short-term Debt [Line Items] | ||
Consolidated obligation discount notes - par amount | $ 45,732 | $ 48,654 |
Consolidated Obligations (Bonds
Consolidated Obligations (Bonds by maturity date) (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
Contractual Maturity | ||
Due in one year or less | $ 12,586 | |
One to two years | 8,782 | |
Two to three years | 2,372 | |
Three to four years | 2,471 | |
Four to five years | 6,940 | |
Thereafter | 9,757 | |
Total par value | $ 42,908 | $ 42,472 |
Weighted Average Interest Rate | ||
Due in one year or less | 0.69% | |
One to two years | 1.13% | |
Two to three years | 0.99% | |
Three to four years | 0.88% | |
Four to five years | 0.69% | |
Thereafter | 1.71% | |
Total par value | 1.04% | |
By Maturity or Next Call Date | ||
Contractual Maturity | ||
Due in one year or less | $ 30,576 | |
One to two years | 8,816 | |
Two to three years | 1,541 | |
Three to four years | 1,194 | |
Four to five years | 206 | |
Thereafter | 575 | |
Total par value | $ 42,908 | |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Par value | $ 42,908 | $ 42,472 |
Fair value hedging adjustments | 25 | 200 |
Other adjustments | (11) | (2) |
Consolidated obligation bonds | 42,922 | 42,670 |
Noncallable | ||
Debt Instrument [Line Items] | ||
Par value | 22,730 | 35,075 |
Callable | ||
Debt Instrument [Line Items] | ||
Par value | $ 20,178 | $ 7,397 |
Consolidated Obligations (Syste
Consolidated Obligations (Systemwide joint & several liability) (Details) - Guarantee of Indebtedness of Others [Member] - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 666,747 | $ 746,772 |
FHLB Chicago as primary obligor | $ 88,640 | $ 91,126 |
Geographic Concentration Risk | Total FHLB System Consolidated Obligations | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
As a percent of the FHLB System | 13.00% | 12.00% |
Consolidated obligation bonds | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 435,014 | $ 471,919 |
FHLB Chicago as primary obligor | $ 42,908 | $ 42,472 |
Consolidated obligation bonds | Geographic Concentration Risk | Total FHLB System Consolidated Obligations | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
As a percent of the FHLB System | 10.00% | 9.00% |
Discount notes | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 231,733 | $ 274,853 |
FHLB Chicago as primary obligor | $ 45,732 | $ 48,654 |
Discount notes | Geographic Concentration Risk | Total FHLB System Consolidated Obligations | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
As a percent of the FHLB System | 20.00% | 18.00% |
Capital and Mandatorily Redee_3
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Capital rules) (Details) - $ / shares | 6 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
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 | Jun. 30, 2021 | Dec. 31, 2020 |
Federal Home Loan Banks [Abstract] | ||
Total Regulatory Capital, Requirement | $ 3,900 | $ 4,014 |
Total Regulatory Capital, Actual | $ 6,394 | $ 6,361 |
Total Regulatory Capital Ratio, Requirement | 4.00% | 4.00% |
Total Regulatory Capital Ratio, Actual | 6.56% | 6.34% |
Leverage Capital, Requirement | $ 4,875 | $ 5,018 |
Leverage Capital, Actual | $ 9,592 | $ 9,541 |
Leverage Capital Ratio, Requirement | 5.00% | 5.00% |
Leverage Capital Ratio, Actual | 9.84% | 9.51% |
Risk Based Capital, Requirement | $ 1,778 | $ 1,587 |
Risk Based Capital, Actual | $ 6,394 | $ 6,361 |
Capital and Mandatorily Redee_5
Capital and Mandatorily Redeemable Capital Stock (MRCS) Stockholder Concentration (Details) - USD ($) $ in Millions | 3 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
Concentration Risk [Line Items] | ||
Amount of Which is Classified as a Liability (MRCS) | $ 248 | $ 279 |
Stockholders' Equity, Total [Member] | One Mortgage Partners Corp. [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock Outstanding | 245 | |
Amount of Which is Classified as a Liability (MRCS) | $ 245 | |
Stockholders' Equity, Total [Member] | One Mortgage Partners Corp. [Member] | FHLBank Chicago Capital Concentration Risk | ||
Concentration Risk [Line Items] | ||
% of Total Outstanding | 10.90% |
Capital and Mandatorily Redee_6
Capital and Mandatorily Redeemable Capital Stock (MRCS) Dividends (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Sep. 30, 2021 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Capital Stock - Putable - B1 Activity | |||||
Subsequent Event [Line Items] | |||||
Common Stock Dividend Declared - Annualized Rate | 5.00% | 5.00% | 5.00% | 5.00% | |
Capital Stock - Putable - B2 Membership | |||||
Subsequent Event [Line Items] | |||||
Common Stock Dividend Declared - Annualized Rate | 2.00% | 2.25% | 2.00% | 2.25% | |
Subsequent Event [Member] | |||||
Subsequent Event [Line Items] | |||||
Dividend Total | $ 25 | ||||
Recorded as Dividends on Capital Stock | 22 | ||||
Recorded as Interest Expense on Mandatorily Redeemable Capital Stock | $ 3 | ||||
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 | 2.00% |
Capital and Mandatorily Redee_7
Capital and Mandatorily Redeemable Capital Stock (MRCS) FICO Dissolution (Details) - USD ($) $ in Millions | 3 Months Ended | 36 Months Ended |
Jun. 30, 2020 | Dec. 31, 1989 | |
Equity [Abstract] | ||
Capital Distributions From FHLBanks To FICO | $ 680 | |
Excess FICO Funds Available For Distribution To FHLBanks | $ 200 | |
Partial Recovery Of Prior Capital Distribution To Financing Corporation | $ 19 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | $ 207 | |||
Amounts reclassified in period to Statements of Income: | ||||
Ending balance | $ 487 | 487 | ||
Total in AOCI | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 441 | $ (711) | 207 | $ (29) |
Other comprehensive income before reclassification - recorded to the Statements of Condition | 41 | 342 | 266 | (345) |
Amounts reclassified in period to Statements of Income: | ||||
Net interest income | 4 | 6 | 8 | 10 |
Noninterest expense | 1 | 6 | 1 | |
Ending balance | 487 | (363) | 487 | (363) |
Net Unrealized - | Available-for-sale Debt Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 490 | (527) | 292 | 104 |
Other comprehensive income before reclassification - recorded to the Statements of Condition | 55 | 347 | 253 | (284) |
Amounts reclassified in period to Statements of Income: | ||||
Net interest income | (1) | 0 | (1) | 0 |
Ending balance | 544 | (180) | 544 | (180) |
Non-credit OTTI - | Held-to-maturity Debt Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 0 | (81) | 0 | (85) |
Other comprehensive income before reclassification - recorded to the Statements of Condition | 0 | 5 | 0 | 9 |
Amounts reclassified in period to Statements of Income: | ||||
Net interest income | 0 | 0 | 0 | |
Ending balance | 0 | (76) | 0 | (76) |
Net Unrealized - Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (24) | (82) | (65) | (38) |
Other comprehensive income before reclassification - recorded to the Statements of Condition | (14) | (10) | 23 | (58) |
Amounts reclassified in period to Statements of Income: | ||||
Net interest income | 5 | 6 | 9 | 10 |
Ending balance | (33) | (86) | (33) | (86) |
Post - Retirement Plans | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (25) | (21) | (20) | (10) |
Other comprehensive income before reclassification - recorded to the Statements of Condition | 0 | 0 | (10) | (12) |
Amounts reclassified in period to Statements of Income: | ||||
Noninterest expense | 1 | 6 | 1 | |
Ending balance | $ (24) | $ (21) | $ (24) | $ (21) |
Fair Value Fair Value Estimates
Fair Value Fair Value Estimates (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | $ 2,830 | $ 4,621 |
Available-for-sale, | 18,890 | 18,437 |
Held-to-maturity debt securities | 1,536 | 1,549 |
Advances | 1,209 | 1,315 |
Derivative assets | 14 | 5 |
Other assets | 108 | 105 |
Derivative assets netting and cash collateral | (105) | (111) |
Assets | 97,494 | 100,356 |
Consolidated obligation discount notes | 0 | (2,000) |
Consolidated obligation bonds | (342) | (1,844) |
Derivative liabilities | (88) | (691) |
Derivative liabilities netting and cash collateral | 581 | 187 |
Liabilities | (90,861) | (94,067) |
Carrying Amount | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks and interest bearing deposits | 1,295 | 4,396 |
Federal Funds sold and securities purchased under agreements to resell | 16,520 | 14,245 |
Held-to-maturity debt securities | 1,491 | 1,491 |
Advances | 45,061 | 45,380 |
MPF Loans held in portfolio, net | 9,750 | 10,020 |
Other assets | 82 | 90 |
Financial assets | 97,259 | 100,123 |
Other non financial assets | 235 | 233 |
Assets | 97,494 | 100,356 |
Deposits | (1,123) | (1,284) |
Consolidated obligation discount notes | (45,728) | (46,643) |
Consolidated obligation bonds | (42,580) | (40,826) |
Mandatorily redeemable capital stock | (248) | (279) |
Other liabilities | (110) | (89) |
Financial liabilities | (90,219) | (93,656) |
Other non financial liabilities | (642) | (411) |
Liabilities | (90,861) | (94,067) |
Carrying Amount | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 2,830 | 4,621 |
Available-for-sale, | 18,890 | 18,437 |
Advances | 1,209 | 1,315 |
Derivative assets | 14 | 5 |
Other assets | 108 | 105 |
Consolidated obligation discount notes | (2,000) | |
Consolidated obligation bonds | (342) | (1,844) |
Derivative liabilities | (88) | (691) |
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 | 9 | 18 |
Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks and interest bearing deposits | 1,295 | 4,396 |
Federal Funds sold and securities purchased under agreements to resell | 16,520 | 14,245 |
Held-to-maturity debt securities | 1,536 | 1,549 |
Advances | 45,337 | 45,696 |
MPF Loans held in portfolio, net | 9,957 | 10,332 |
Other assets | 82 | 90 |
Financial assets | 97,787 | 100,809 |
Deposits | (1,123) | (1,284) |
Consolidated obligation discount notes | (45,727) | (46,644) |
Consolidated obligation bonds | (42,682) | (41,183) |
Mandatorily redeemable capital stock | (248) | (279) |
Other liabilities | (110) | (89) |
Financial liabilities | (90,320) | (94,014) |
Fair Value | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 2,830 | 4,621 |
Available-for-sale, | 18,890 | 18,437 |
Advances | 1,209 | 1,315 |
Derivative assets | 14 | 5 |
Other assets | 108 | 105 |
Consolidated obligation discount notes | (2,000) | |
Consolidated obligation bonds | (342) | (1,844) |
Derivative liabilities | (88) | (691) |
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 | 9 | 18 |
Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks and interest bearing deposits | 1,295 | 4,396 |
Financial assets | 1,295 | 4,396 |
Mandatorily redeemable capital stock | (248) | (279) |
Financial liabilities | (248) | (279) |
Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Federal Funds sold and securities purchased under agreements to resell | 16,520 | 14,245 |
Held-to-maturity debt securities | 1,524 | 1,534 |
Advances | 45,337 | 45,696 |
MPF Loans held in portfolio, net | 9,944 | 10,327 |
Other assets | 82 | 90 |
Financial assets | 96,563 | 96,486 |
Deposits | (1,123) | (1,284) |
Consolidated obligation discount notes | (45,727) | (46,644) |
Consolidated obligation bonds | (42,682) | (41,183) |
Other liabilities | (110) | (89) |
Financial liabilities | (90,653) | (93,922) |
Level 2 | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 2,830 | 4,621 |
Available-for-sale, | 18,890 | 18,437 |
Advances | 1,209 | 1,315 |
Derivative assets | 119 | 116 |
Other assets | 108 | 105 |
Consolidated obligation discount notes | (2,000) | |
Consolidated obligation bonds | (342) | (1,844) |
Derivative liabilities | (669) | (878) |
Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Held-to-maturity debt securities | 12 | 15 |
MPF Loans held in portfolio, net | 13 | 5 |
Financial assets | 34 | 38 |
Financial liabilities | 0 | 0 |
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 | $ 9 | $ 18 |
Fair Value Gains (losses) on fa
Fair Value Gains (losses) on fair value option (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under the fair value option | $ 3 | $ 36 | $ (26) | $ 76 |
Advances | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under the fair value option | 2 | 18 | (26) | 78 |
Other assets | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under the fair value option | 0 | 0 | (2) | 2 |
Discount notes | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under the fair value option | 0 | 14 | 0 | 0 |
Consolidated obligation bonds | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Noninterest income - Instruments held under the fair value option | $ 1 | $ 4 | $ 2 | $ (4) |
Fair Value (Fair Value Option D
Fair Value (Fair Value Option Difference Between Fair Value and Unpaid Principal Balance) (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, advances | $ 45,715 | $ 45,820 |
Advances, fair value option | 1,209 | 1,315 |
Unpaid principal balance, bonds | 42,908 | 42,472 |
Consolidated Obligation Bonds, fair value option | 342 | 1,844 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, advances | 1,133 | 1,213 |
Fair value over (under) UPB | 76 | 102 |
Advances, fair value option | 1,209 | 1,315 |
Consolidated obligation bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, bonds | 339 | 1,839 |
Fair value over (under) UPB | 3 | 5 |
Consolidated Obligation Bonds, fair value option | $ 342 | $ 1,844 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Commitments | ||
Expire within one year | $ 7,970 | $ 12,694 |
Expire after one year | 8,360 | 6,416 |
Total | 16,330 | 19,110 |
Member standby letters of credit | ||
Commitments | ||
Expire within one year | 4,870 | 10,446 |
Expire after one year | 7,903 | 5,949 |
Total | 12,773 | 16,395 |
Portion of member standby letters of credit which were renewable annually | 7,000 | 5,200 |
MPF delivery commitments | ||
Commitments | ||
Expire within one year | 764 | 1,527 |
Expire after one year | 0 | 0 |
Total | 764 | 1,527 |
Advance commitments | ||
Commitments | ||
Expire within one year | 1,081 | 583 |
Expire after one year | 2 | 12 |
Total | 1,083 | 595 |
Housing authority standby bond purchase agreements | ||
Commitments | ||
Expire within one year | 53 | 10 |
Expire after one year | 455 | 455 |
Total | 508 | 465 |
Unsettled consolidated obligation bonds | ||
Commitments | ||
Expire within one year | 1,200 | 125 |
Expire after one year | 0 | 0 |
Total | 1,200 | 125 |
Other | ||
Commitments | ||
Expire within one year | 2 | 3 |
Expire after one year | 0 | 0 |
Total | $ 2 | $ 3 |
Transactions with Related Par_3
Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | $ 46,270 | $ 46,695 |
Liabilities - Deposits | 1,123 | 1,284 |
Equity - Capital Stock | 2,007 | 2,010 |
Transactions with members | ||
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | 220 | 252 |
Liabilities - Deposits | 14 | 15 |
Equity - Capital Stock | $ 18 | $ 17 |