Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Jul. 31, 2016 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2016 | |
Amendment Flag | false | |
Entity Registrant Name | Federal Home Loan Bank of Boston | |
Entity Central Index Key | 1,331,463 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Common Class A [Member] | ||
Entity Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 0 | |
Common Class B [Member] | ||
Entity Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 24,172,622 |
Statements of Condition (unaudi
Statements of Condition (unaudited) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Cash and due from banks | $ 413,908 | $ 254,218 | |
Interest-bearing deposits | 298 | 197 | |
Securities purchased under agreements to resell | 5,799,000 | 6,700,000 | |
Federal funds sold | 3,840,000 | 2,120,000 | |
Investment securities: | |||
Trading securities | 226,630 | 230,134 | |
Available-for-sale securities - includes $16,268 and $22,822 pledged as collateral at June 30, 2016, and December 31, 2015, respectively that may be repledged | 7,423,099 | 6,314,285 | |
Held-to-maturity securities - includes $33,898 and $42,703 pledged as collateral at June 30, 2016, and December 31, 2015, respectively that may be repledged | [1],[2] | 2,387,460 | 2,654,565 |
Total investment securities | 10,037,189 | 9,198,984 | |
Advances | 38,241,920 | 36,076,167 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $900 and $1,025 at June 30, 2016, and December 31, 2015 | 3,628,464 | 3,581,788 | |
Accrued interest receivable | 82,995 | 84,442 | |
Premises, software, and equipment, net | 3,440 | 3,360 | |
Derivative assets, net | 61,402 | 40,117 | |
Other assets | 51,538 | 43,396 | |
Total Assets | 62,160,154 | 58,102,669 | |
Deposits | |||
Interest-bearing | 604,426 | 458,513 | |
Non-interest-bearing | 30,569 | 24,089 | |
Total deposits | 634,995 | 482,602 | |
Consolidated obligations (COs) | |||
Bonds | 27,139,771 | 25,427,277 | |
Discount notes | 30,483,963 | 28,479,097 | |
Total consolidated obligations | 57,623,734 | 53,906,374 | |
Mandatorily redeemable capital stock | 35,076 | 41,989 | |
Accrued interest payable | 76,098 | 81,268 | |
Affordable Housing Program (AHP) payable | 82,979 | 82,081 | |
Derivative liabilities, net | 502,864 | 442,007 | |
Other liabilities | 43,895 | 43,435 | |
Total liabilities | 58,999,641 | 55,079,756 | |
Commitments and contingencies (Note 18) | |||
Capital | |||
Capital stock – Class B – putable ($100 par value), 23,537 shares and 23,367 shares issued and outstanding at June 30, 2016, and December 31, 2015, respectively | 2,353,698 | 2,336,662 | |
Retained earnings: | |||
Unrestricted | 955,126 | 934,214 | |
Restricted | 210,031 | 194,634 | |
Total retained earnings | 1,165,157 | 1,128,848 | |
Accumulated other comprehensive loss | (358,342) | (442,597) | |
Total capital | 3,160,513 | 3,022,913 | |
Total Liabilities and Capital | $ 62,160,154 | $ 58,102,669 | |
[1] | Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss. | ||
[2] | Fair values of held-to-maturity securities were $2,613,754 and $2,923,124 at June 30, 2016, and December 31, 2015, respectively. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 16,268 | $ 22,822 |
Held-to-maturity securities pledged as collateral that may be repledged (a) | 33,898 | 42,703 |
Allowance for credit losses | 900 | 1,025 |
Fair value of held-to-maturity securities | $ 2,613,754 | $ 2,923,124 |
Common Class B [Member] | ||
Common Stock, Class B, putable shares issued | 23,537 | 23,367 |
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Common Stock, Class B, putable shares outstanding | 23,537 | 23,367 |
Statements of Operations (unaud
Statements of Operations (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
INTEREST INCOME | ||||
Advances | $ 81,011 | $ 58,441 | $ 159,230 | $ 115,849 |
Prepayment fees on advances, net | 863 | 279 | 2,932 | 4,021 |
Securities purchased under agreements to resell | 2,713 | 1,104 | 5,906 | 1,907 |
Federal funds sold | 5,176 | 1,223 | 10,792 | 2,850 |
Investment securities: | ||||
Trading securities | 2,205 | 2,296 | 4,441 | 4,614 |
Available-for-sale securities | 23,170 | 23,603 | 48,315 | 44,175 |
Held-to-maturity securities | 22,218 | 24,264 | 44,388 | 49,135 |
Prepayment fees on investments | 6 | 94 | 331 | 257 |
Total investment securities | 47,599 | 50,257 | 97,475 | 98,181 |
Mortgage loans held for portfolio | 29,906 | 30,190 | 60,982 | 61,241 |
Other | 136 | 14 | 243 | 25 |
Total interest income | 167,404 | 141,508 | 337,560 | 284,074 |
Consolidated obligations: | ||||
Bonds | 89,780 | 79,923 | 180,640 | 162,164 |
Discount notes | 22,579 | 4,909 | 45,276 | 10,422 |
Total consolidated obligations | 112,359 | 84,832 | 225,916 | 172,586 |
Deposits | 146 | 19 | 261 | 33 |
Mandatorily redeemable capital stock | 319 | 468 | 698 | 803 |
Other borrowings | 1 | 2 | 2 | 2 |
Total interest expense | 112,825 | 85,321 | 226,877 | 173,424 |
NET INTEREST INCOME | 54,579 | 56,187 | 110,683 | 110,650 |
Reduction of provision for credit losses | (111) | (223) | (100) | (283) |
NET INTEREST INCOME AFTER REDUCTION OF PROVISION FOR CREDIT LOSSES | 54,690 | 56,410 | 110,783 | 110,933 |
OTHER INCOME (LOSS) | ||||
Total other-than-temporary impairment losses on investment securities | (643) | (356) | (1,085) | (580) |
Net amount of impairment losses reclassified from accumulated other comprehensive loss | (360) | (1,073) | (1,265) | (1,195) |
Net other-than-temporary impairment losses on investment securities, credit portion | (1,003) | (1,429) | (2,350) | (1,775) |
Litigation settlements | 19,584 | 134,690 | 19,584 | 134,713 |
Loss on early extinguishment of debt | (742) | (129) | (1,300) | (129) |
Service fees | 1,934 | 2,089 | 3,902 | 4,008 |
Net unrealized gains (losses) on trading securities | 84 | (2,393) | 1,957 | (1,112) |
Net losses on derivatives and hedging activities | (2,963) | (1,142) | (9,198) | (4,501) |
Other | (100) | (333) | (138) | (452) |
Total other income | 16,794 | 131,353 | 12,457 | 130,752 |
OTHER EXPENSE | ||||
Compensation and benefits | 10,023 | 13,865 | 20,350 | 23,298 |
Other operating expenses | 5,895 | 5,303 | 11,147 | 10,156 |
Federal Housing Finance Agency (the FHFA) | 818 | 883 | 1,821 | 1,903 |
Office of Finance | 726 | 836 | 1,542 | 1,527 |
Other | 1,226 | 563 | 2,762 | 1,150 |
Total other expense | 18,688 | 21,450 | 37,622 | 38,034 |
INCOME BEFORE ASSESSMENTS | 52,796 | 166,313 | 85,618 | 203,651 |
AHP | 5,312 | 16,678 | 8,632 | 20,445 |
NET INCOME | $ 47,484 | $ 149,635 | $ 76,986 | $ 183,206 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 47,484 | $ 149,635 | $ 76,986 | $ 183,206 |
Other Comprehensive Income, Available-for-sale Securities Adjustment, before Tax, Portion Attributable to Parent [Abstract] | ||||
Net unrealized gains (losses) on available-for-sale securities | 27,941 | (14,793) | 79,771 | 5,796 |
Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | ||||
Net amount of impairment losses reclassified to non-interest income | 359 | 1,073 | 1,264 | 1,195 |
Accretion of noncredit portion | 9,211 | 11,990 | 18,352 | 23,453 |
Total net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | 9,570 | 13,063 | 19,616 | 24,648 |
Net unrealized gains (losses) relating to hedging activities | ||||
Unrealized (losses) gains | (9,731) | 12,773 | (26,770) | 630 |
Reclassification adjustment for previously deferred hedging gains and losses included in net income | 6,893 | 5,631 | 14,104 | 10,527 |
Total net unrealized (losses) gains relating to hedging activities | (2,838) | 18,404 | (12,666) | 11,157 |
Pension and postretirement benefits | (2,585) | 92 | (2,466) | 322 |
Total other comprehensive income | 32,088 | 16,766 | 84,255 | 41,923 |
Comprehensive income | $ 79,572 | $ 166,401 | $ 161,241 | $ 225,129 |
Statements of Capital (unaudite
Statements of Capital (unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | $ 3,022,913 | $ 2,877,786 | ||
Proceeds from sale of capital stock | 225,813 | 98,708 | ||
Repurchase of capital stock | (208,737) | (29,524) | ||
Shares Reclassified to Mandatorily Redeemable Capital Stock | (40) | (54) | ||
Comprehensive income | $ 79,572 | $ 166,401 | 161,241 | 225,129 |
Cash dividends on capital stock | (40,677) | (21,010) | ||
Period end | 3,160,513 | 3,151,035 | 3,160,513 | 3,151,035 |
Retained Earnings, Unrestricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | 934,214 | 764,888 | ||
Comprehensive income | 61,589 | 146,565 | ||
Cash dividends on capital stock | (40,677) | (21,010) | ||
Period end | 955,126 | 890,443 | 955,126 | 890,443 |
Retained Earnings, Restricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | 194,634 | 136,770 | ||
Comprehensive income | 15,397 | 36,641 | ||
Period end | 210,031 | 173,411 | 210,031 | 173,411 |
Retained Earnings, Total | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | 1,128,848 | 901,658 | ||
Comprehensive income | 76,986 | 183,206 | ||
Cash dividends on capital stock | (40,677) | (21,010) | ||
Period end | 1,165,157 | 1,063,854 | 1,165,157 | 1,063,854 |
Accumulated Other Comprehensive Loss | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | (442,597) | (436,986) | ||
Comprehensive income | 84,255 | 41,923 | ||
Period end | $ (358,342) | $ (395,063) | $ (358,342) | $ (395,063) |
Common Class B [Member] | Capital Stock Class B - Putable | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period, shares | 23,367 | 24,131 | ||
Beginning of period | $ 2,336,662 | $ 2,413,114 | ||
Proceeds from sale of capital stock, shares | 2,258 | 987 | ||
Proceeds from sale of capital stock | $ 225,813 | $ 98,708 | ||
Repurchase of capital stock, shares | (2,087) | (295) | ||
Repurchase of capital stock | $ (208,737) | $ (29,524) | ||
Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | (1) | (1) | ||
Shares Reclassified to Mandatorily Redeemable Capital Stock | $ (40) | $ (54) | ||
Period end, shares | 23,537 | 24,822 | 23,537 | 24,822 |
Period end | $ 2,353,698 | $ 2,482,244 | $ 2,353,698 | $ 2,482,244 |
Statements of Cash Flows (unaud
Statements of Cash Flows (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
OPERATING ACTIVITIES | |||||
Net income | $ 47,484 | $ 149,635 | $ 76,986 | $ 183,206 | |
Adjustments to reconcile net income to net cash provided by operating activities: | |||||
Depreciation and amortization | (10,722) | (29,823) | |||
Reduction of provision for credit losses | (111) | (223) | (100) | (283) | |
Change in net fair-value adjustments on derivatives and hedging activities | 23,851 | 3,124 | |||
Net other-than-temporary impairment losses on investment securities, credit portion | 1,003 | 1,429 | 2,350 | 1,775 | |
Loss on early extinguishment of debt | 742 | 129 | 1,300 | 129 | |
Other adjustments | 1,018 | (202) | |||
Net change in: | |||||
Market value of trading securities | (1,957) | 1,112 | |||
Accrued interest receivable | 1,447 | (417) | |||
Other assets | (15) | (2,412) | |||
Accrued interest payable | (5,170) | (11,717) | |||
Other liabilities | (2,278) | 10,515 | |||
Total adjustments | 9,724 | (28,199) | |||
Net cash provided by operating activities | 86,710 | 155,007 | |||
INVESTING ACTIVITIES | |||||
Interest-bearing deposits | (150,602) | (15,297) | |||
Securities purchased under agreements to resell | 901,000 | 200,000 | |||
Federal funds sold | (1,720,000) | (980,000) | |||
Premises, software, and equipment | (848) | (551) | |||
Trading securities: | |||||
Proceeds from long-term | 5,461 | 6,443 | |||
Available-for-sale securities: | |||||
Proceeds from long-term | 530,343 | 441,729 | |||
Purchases of long-term | (1,501,952) | (873,647) | |||
Held-to-maturity securities: | |||||
Proceeds from long-term | 294,084 | 452,744 | |||
Advances to members: | |||||
Proceeds | 173,556,118 | 160,347,563 | |||
Disbursements | (175,623,844) | (161,008,371) | |||
Mortgage loans held for portfolio: | |||||
Proceeds | 248,017 | 286,838 | |||
Purchases | (300,648) | (388,956) | |||
Proceeds from sale of foreclosed assets | 3,078 | 4,273 | |||
Net cash used in investing activities | (3,759,793) | (1,527,232) | |||
FINANCING ACTIVITIES | |||||
Net change in deposits | 151,644 | 34,724 | |||
Net payments on derivatives with a financing element | (6,707) | (7,996) | |||
Net proceeds from issuance of consolidated obligations: | |||||
Discount notes | 76,298,504 | 72,190,118 | |||
Bonds | 9,716,022 | 5,262,645 | |||
Bonds transferred from other Federal Home Loan Banks | 0 | 87,782 | |||
Payments for maturing and retiring consolidated obligations: | |||||
Discount notes | (74,297,930) | (71,527,562) | |||
Bonds | (7,998,206) | (4,754,583) | |||
Proceeds from issuance of capital stock | 225,813 | 98,708 | |||
Payments for redemption of mandatorily redeemable capital stock | (6,953) | (241,385) | |||
Payments for repurchase of capital stock | (208,737) | (29,524) | |||
Cash dividends paid | (40,677) | (21,010) | |||
Net cash provided by financing activities | 3,832,773 | 1,091,917 | |||
Net increase (decrease) in cash and due from banks | 159,690 | (280,308) | |||
Cash and due from banks at beginning of the year | 254,218 | 1,124,536 | $ 1,124,536 | ||
Cash and due from banks at end of the period | $ 413,908 | $ 844,228 | 413,908 | 844,228 | 254,218 |
Supplemental disclosures: | |||||
Interest paid | 254,901 | 218,112 | |||
AHP payments | 7,025 | 9,233 | $ 16,716 | ||
Noncash transfers of mortgage loans held for portfolio to real-estaste-owned (REO) | $ 1,604 | $ 3,698 |
Basis of Presentation
Basis of Presentation | 6 Months Ended |
Jun. 30, 2016 | |
Basis of Presentation [Abstract] | |
Basis of Presentation [Text Block] | Basis of Presentation The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information. Accordingly, they do not include all of the information and footnotes required by GAAP for complete annual financial statements. In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring accruals. The presentation of financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The results of operations for interim periods are not necessarily indicative of the results to be expected for the year ending December 31, 2016. The unaudited financial statements should be read in conjunction with the Federal Home Loan Bank of Boston's audited financial statements and related notes in our Annual Report on Form 10-K for the year ended December 31, 2015, filed with the Securities and Exchange Commission (the SEC) on March 18, 2016 (the 2015 Annual Report). Unless otherwise indicated or the context requires otherwise, all references in this discussion to “the Bank,” "we," "us," "our," or similar references mean the Federal Home Loan Bank of Boston. |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 6 Months Ended |
Jun. 30, 2016 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles [Text Block] | Recently Issued and Adopted Accounting Guidance Financial Instruments - Credit Losses. On June 16, 2016, the Financial Accounting Standards Board (FASB) issued new guidance to introduce a new model for recognizing credit losses on financial instruments based on an estimate of current expected credit losses. The guidance applies to: (1) loans, accounts receivable, trade receivables, and other financial assets measured at amortized cost, (2) loan commitments and certain other off-balance sheet credit exposures, (3) debt securities and other financial assets measured at fair value through other comprehensive income, and (4) beneficial interests in securitized financial assets. The guidance is effective for us on January 1, 2020. Early application of the guidance is permitted for all entities for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. We are in the process of evaluating this guidance and its effect on our financial condition, results of operations, and cash flows. Contingent Put and Call Options in Debt Instruments (a consensus of the Emerging Issues Task Force) . On March 14, 2016, the FASB issued updated guidance to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. Specifically, the updated guidance clarifies what steps are required when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts, which is one of the criteria for bifurcating an embedded derivative. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. The guidance becomes effective for us for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. We are in the process of evaluating this guidance and its effect on our financial condition, results of operations, and cash flows. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships (a consensus of the Emerging Issues Task Force) . On March 10, 2016, the FASB issued final guidance clarifying that the novation of a derivative contract (that is, a change in the counterparty) in a hedge accounting relationship does not, in and of itself, require de-designation of that hedge accounting relationship. Hedge accounting relationships could continue as long as all of the other hedge accounting criteria are met, including the expectation that the hedge will be highly effective when the creditworthiness of the new counterparty to the derivative contract is considered. The guidance becomes effective for us for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. We elected to early adopt the guidance prospectively on January 1, 2016. The adoption of this guidance had no effect on our financial condition, results of operations, and cash flows. Leases. On February 25, 2016, the FASB issued guidance that requires recognition of lease assets and lease liabilities on the statement of condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the statement of condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the statement of condition. The guidance becomes effective for us for the interim and annual periods beginning on January 1, 2019, and early application is permitted. We are in the process of evaluating this guidance and its effect on our financial condition, results of operations, and cash flows. Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In August of 2015, the FASB deferred the effective date for the new revenue recognition guidance until January 1, 2018. In March of 2016, the FASB issued additional guidance related to distinguishing when an entity is acting as a principal versus an agent in contracts with customers. The distinction is relevant to reporting revenue gross (as principal) or net (as agent). In April of 2016, the FASB issued additional guidance for identifying performance obligations and licensing agreements for purposes of revenue recognition. Financial instruments and other contractual rights within the scope of other GAAP guidance are excluded from the scope of this new revenue recognition guidance. This guidance will be effective for us beginning January 1, 2018, and is not expected to have a material impact on our financial condition, results of operations, and cash flows. Accounting for Cloud Computing Arrangements. On April 15, 2015, the FASB issued amendments to clarify a customer's accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. We adopted this new guidance on January 1, 2016, using the prospective approach, for all arrangements entered into or materially modified after the adoption date. The adoption of this new guidance did not have a material impact on our financial condition, results of operations, and cash flows. Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the statement of condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The guidance became effective for us for the interim and annual periods beginning on January 1, 2016, and was adopted retrospectively. The adoption of this guidance resulted in a $6.1 million reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the statement of condition at December 31, 2015. The adoption of this guidance did not have any effect on our results of operations and cash flows. |
Trading Securities
Trading Securities | 6 Months Ended |
Jun. 30, 2016 | |
Trading Securities [Abstract] | |
Trading Securities (and Certain Trading Assets) Disclosure [Text Block] | Trading Securities Major Security Types . Our trading securities as of June 30, 2016 , and December 31, 2015 , were (dollars in thousands): June 30, 2016 December 31, 2015 Mortgage-backed securities (MBS) U.S. government-guaranteed – single-family $ 9,416 $ 10,296 Government-sponsored enterprise (GSEs) – single-family 1,056 1,449 GSEs – multifamily 216,158 218,389 Total $ 226,630 $ 230,134 Net unrealized gains (losses) on trading securities for the six months ended June 30, 2016 and 2015 , amounted to gains of $2.0 million and losses of $1.1 million for securities held on June 30, 2016 and 2015 , respectively. We do not participate in speculative trading practices and typically hold these investments over a longer time horizon. |
Available-for-Sale Securities
Available-for-Sale Securities | 6 Months Ended |
Jun. 30, 2016 | |
Available-for-sale Securities [Abstract] | |
Available-for-Sale Securities Disclosure [Text Block] | Available-for-Sale Securities Major Security Types . Our available-for-sale securities as of June 30, 2016 , were (dollars in thousands): Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value Supranational institutions $ 494,000 $ — $ (34,114 ) $ 459,886 U.S. government-owned corporations 360,432 — (61,826 ) 298,606 GSEs 146,965 — (18,227 ) 128,738 1,001,397 — (114,167 ) 887,230 MBS U.S. government guaranteed – single-family 142,021 56 (1,550 ) 140,527 U.S. government guaranteed – multifamily 685,781 2,290 (575 ) 687,496 GSEs – single-family 4,969,866 54,949 (638 ) 5,024,177 GSEs – multi-family 681,981 1,688 — 683,669 6,479,649 58,983 (2,763 ) 6,535,869 Total $ 7,481,046 $ 58,983 $ (116,930 ) $ 7,423,099 _______________________ (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Our available-for-sale securities as of December 31, 2015 , were (dollars in thousands): Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value Supranational institutions $ 467,277 $ — $ (28,364 ) $ 438,913 U.S. government-owned corporations 323,404 — (57,436 ) 265,968 GSEs 133,691 — (15,899 ) 117,792 924,372 — (101,699 ) 822,673 MBS U.S. government guaranteed – single-family 159,232 181 (2,771 ) 156,642 U.S. government guaranteed – multifamily 747,205 430 (2,873 ) 744,762 GSEs – single-family 4,621,194 6,248 (37,234 ) 4,590,208 5,527,631 6,859 (42,878 ) 5,491,612 Total $ 6,452,003 $ 6,859 $ (144,577 ) $ 6,314,285 _______________________ (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. The following table summarizes our available-for-sale securities with unrealized losses as of June 30, 2016 , which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands): Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Supranational institutions $ — $ — $ 459,886 $ (34,114 ) $ 459,886 $ (34,114 ) U.S. government-owned corporations — — 298,606 (61,826 ) 298,606 (61,826 ) GSEs — — 128,738 (18,227 ) 128,738 (18,227 ) — — 887,230 (114,167 ) 887,230 (114,167 ) MBS U.S. government guaranteed – single-family 36,136 (12 ) 101,810 (1,538 ) 137,946 (1,550 ) U.S. government guaranteed – multifamily 102,494 (178 ) 100,512 (397 ) 203,006 (575 ) GSEs – single-family 382,995 (262 ) 139,376 (376 ) 522,371 (638 ) 521,625 (452 ) 341,698 (2,311 ) 863,323 (2,763 ) Total temporarily impaired $ 521,625 $ (452 ) $ 1,228,928 $ (116,478 ) $ 1,750,553 $ (116,930 ) The following table summarizes our available-for-sale securities with unrealized losses as of December 31, 2015 , which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands): Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Supranational institutions $ — $ — $ 438,913 $ (28,364 ) $ 438,913 $ (28,364 ) U.S. government-owned corporations — — 265,968 (57,436 ) 265,968 (57,436 ) GSEs — — 117,792 (15,899 ) 117,792 (15,899 ) — — 822,673 (101,699 ) 822,673 (101,699 ) MBS U.S. government guaranteed – single-family — — 113,626 (2,771 ) 113,626 (2,771 ) U.S. government guaranteed – multifamily 537,059 (2,040 ) 109,138 (833 ) 646,197 (2,873 ) GSEs – single-family 3,113,057 (28,878 ) 373,634 (8,356 ) 3,486,691 (37,234 ) 3,650,116 (30,918 ) 596,398 (11,960 ) 4,246,514 (42,878 ) Total temporarily impaired $ 3,650,116 $ (30,918 ) $ 1,419,071 $ (113,659 ) $ 5,069,187 $ (144,577 ) Redemption Terms. The amortized cost and fair value of our available-for-sale securities by contractual maturity at June 30, 2016 , and December 31, 2015 , were (dollars in thousands): June 30, 2016 December 31, 2015 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ — $ — $ — $ — Due after one year through five years — — — — Due after five years through 10 years 134,736 126,731 128,473 121,722 Due after 10 years 866,661 760,499 795,899 700,951 1,001,397 887,230 924,372 822,673 MBS (1) 6,479,649 6,535,869 5,527,631 5,491,612 Total $ 7,481,046 $ 7,423,099 $ 6,452,003 $ 6,314,285 _______________________ (1) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities
Held-to-Maturity Securities | 6 Months Ended |
Jun. 30, 2016 | |
Held-to-maturity Securities, Unclassified [Abstract] | |
Held-to-maturity Securities Disclosure [Text Block] | Held-to-Maturity Securities Major Security Types . Our held-to-maturity securities as of June 30, 2016 , were (dollars in thousands): Amortized Cost Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value U.S. agency obligations $ 2,825 $ — $ 2,825 $ 109 $ — $ 2,934 State or local housing-finance-agency obligations (HFA securities) 168,223 — 168,223 16 (22,111 ) 146,128 171,048 — 171,048 125 (22,111 ) 149,062 MBS U.S. government guaranteed – single-family 14,378 — 14,378 305 — 14,683 U.S. government guaranteed – multifamily 7,411 — 7,411 11 — 7,422 GSEs – single-family 955,485 — 955,485 25,398 (168 ) 980,715 GSEs – multifamily 348,936 — 348,936 20,949 — 369,885 Private-label – residential 1,085,887 (209,548 ) 876,339 215,097 (12,895 ) 1,078,541 Asset-backed securities (ABS) backed by home equity loans 14,484 (621 ) 13,863 531 (948 ) 13,446 2,426,581 (210,169 ) 2,216,412 262,291 (14,011 ) 2,464,692 Total $ 2,597,629 $ (210,169 ) $ 2,387,460 $ 262,416 $ (36,122 ) $ 2,613,754 Our held-to-maturity securities as of December 31, 2015 , were (dollars in thousands): Amortized Cost Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value U.S. agency obligations $ 3,605 $ — $ 3,605 $ 180 $ — $ 3,785 HFA securities 170,928 — 170,928 18 (21,356 ) 149,590 174,533 — 174,533 198 (21,356 ) 153,375 MBS U.S. government guaranteed – single-family 15,999 — 15,999 354 — 16,353 U.S. government guaranteed – multifamily 17,794 — 17,794 21 (7 ) 17,808 GSEs – single-family 1,093,124 — 1,093,124 26,562 (142 ) 1,119,544 GSEs – multifamily 386,635 — 386,635 18,118 — 404,753 Private-label – residential 1,180,661 (229,117 ) 951,544 257,312 (12,262 ) 1,196,594 ABS backed by home equity loans 15,604 (668 ) 14,936 682 (921 ) 14,697 2,709,817 (229,785 ) 2,480,032 303,049 (13,332 ) 2,769,749 Total $ 2,884,350 $ (229,785 ) $ 2,654,565 $ 303,247 $ (34,688 ) $ 2,923,124 The following table summarizes our held-to-maturity securities with unrealized losses as of June 30, 2016 , which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands). Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ — $ — $ 143,134 $ (22,111 ) $ 143,134 $ (22,111 ) MBS GSEs – single-family 12,423 (10 ) 15,134 (158 ) 27,557 (168 ) Private-label – residential 115,916 (3,774 ) 460,904 (51,283 ) 576,820 (55,057 ) ABS backed by home equity loans 204 (14 ) 12,176 (1,153 ) 12,380 (1,167 ) 128,543 (3,798 ) 488,214 (52,594 ) 616,757 (56,392 ) Total $ 128,543 $ (3,798 ) $ 631,348 $ (74,705 ) $ 759,891 $ (78,503 ) The following table summarizes our held-to-maturity securities with unrealized losses as of December 31, 2015 , which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands). Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ — $ — $ 146,594 $ (21,356 ) $ 146,594 $ (21,356 ) MBS U.S. government guaranteed - multifamily 5,842 (7 ) — — 5,842 (7 ) GSEs – single-family 22,261 (6 ) 16,417 (136 ) 38,678 (142 ) Private-label – residential 105,318 (1,729 ) 493,228 (45,051 ) 598,546 (46,780 ) ABS backed by home equity loans 205 (16 ) 13,348 (1,064 ) 13,553 (1,080 ) 133,626 (1,758 ) 522,993 (46,251 ) 656,619 (48,009 ) Total $ 133,626 $ (1,758 ) $ 669,587 $ (67,607 ) $ 803,213 $ (69,365 ) Redemption Terms. The amortized cost, carrying value, and fair value of our held-to-maturity securities by contractual maturity at June 30, 2016 , and December 31, 2015 , are shown below (dollars in thousands). Expected maturities of some securities and MBS may differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. June 30, 2016 December 31, 2015 Year of Maturity Amortized Cost Carrying Value (1) Fair Value Amortized Cost Carrying Value (1) Fair Value Due in one year or less $ — $ — $ — $ — $ — $ — Due after one year through five years 20,803 20,803 20,849 21,583 21,583 21,677 Due after five years through 10 years — — — — — — Due after 10 years 150,245 150,245 128,213 152,950 152,950 131,698 171,048 171,048 149,062 174,533 174,533 153,375 MBS (2) 2,426,581 2,216,412 2,464,692 2,709,817 2,480,032 2,769,749 Total $ 2,597,629 $ 2,387,460 $ 2,613,754 $ 2,884,350 $ 2,654,565 $ 2,923,124 _______________________ (1) Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss. (2) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 6 Months Ended |
Jun. 30, 2016 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Other-than-Temporary Impairment [Text Block] | Other-Than-Temporary Impairment We evaluate our individual available-for-sale and held-to-maturity securities for other-than-temporary impairment each quarter. Available-for-Sale Securities We determined that none of our available-for-sale securities were other-than-temporarily impaired at June 30, 2016 . At June 30, 2016 , we held certain available-for-sale securities in an unrealized loss position. These unrealized losses reflect the impact of normal yield and spread fluctuations attendant with security markets. We consider these unrealized losses temporary because we expect to recover the entire amortized cost basis on these available-for-sale securities in an unrealized loss position and neither intend to sell these securities nor is it more likely than not that we will be required to sell these securities before the anticipated recovery of each security's remaining amortized cost basis. Additionally, there have been no shortfalls of principal or interest on any available-for-sale security. Regarding available-for-sale securities that were in an unrealized loss position as of June 30, 2016 : • Debentures issued by a supranational institution that were in an unrealized loss position as of June 30, 2016 , are expected to return contractual principal and interest based on our review and analysis of independent third-party credit reports on the supranational institution, and the supranational institution's triple-A (or equivalent) rating by each of the nationally recognized statistical rating organizations (NRSROs) that rates it. • Debentures issued by U.S. government-owned corporations are not obligations of the U.S. government and not guaranteed by the U.S. government. However, these securities are rated at the same level as the U.S. government by the NRSROs. These ratings reflect the U.S. government's implicit support of the government-owned corporation as well as the entity's underlying business and financial risk. • The probability of default on debt issued by Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac) is remote given their status as GSEs and their support from the U.S. government. • The U.S. government-guaranteed securities that we hold are MBS issued by the Government National Mortgage Association (Ginnie Mae). The strength of Ginnie Mae's guarantees as a direct obligation from the U.S. government is sufficient to protect us from losses based on current expectations. • For MBS issued by Fannie Mae and Freddie Mac, which we sometimes refer to as agency MBS in this report, the strength of the issuers' guarantees through direct obligation or support from the U.S. government is sufficient to protect us from losses based on current expectations. Held-to-Maturity Securities HFA Securities. We have reviewed our investments in HFA securities and have determined that unrealized losses reflect the impact of normal market yield and spread fluctuations and illiquidity in the credit markets. We have determined that all unrealized losses are temporary given the creditworthiness of the issuers and the underlying collateral, including an assessment of past payment history (no shortfalls of principal or interest), property vacancy rates, debt service ratios, over-collateralization and other credit enhancement, and third-party bond insurance as applicable. As of June 30, 2016 , none of our held-to-maturity investments in HFA securities that are in an unrealized loss position were rated below investment grade by an NRSRO. Because the decline in market value is attributable to changes in interest rates, credit spreads, and illiquidity in this market and not to a significant deterioration in the fundamental credit quality of these obligations, and because we do not intend to sell the investments nor is it more likely than not that we will be required to sell the investments before recovery of the amortized cost basis, we do not consider these investments to be other-than-temporarily impaired at June 30, 2016 . Agency MBS. For agency MBS, we determined that the strength of the issuers' guarantees through direct obligation or support from the U.S. government is sufficient to protect us from losses based on current expectations. Additionally, there have been no shortfalls of principal or interest on any such security. As a result, we have determined that, as of June 30, 2016 , all of the gross unrealized losses on such MBS are temporary. We do not believe that the declines in market value of these securities are attributable to credit quality, and because we do not intend to sell the investments, nor is it more likely than not that we will be required to sell the investments before recovery of the amortized cost basis, we do not consider any of these investments to be other-than-temporarily impaired at June 30, 2016 . Private-Label Residential MBS and ABS Backed by Home Equity Loans. To ensure consistency in determination of the other-than-temporary impairment for private-label residential MBS and certain home equity loan investments (including home equity ABS) among all FHLBanks, the FHLBanks use an FHLBank System governance committee (the OTTI Governance Committee) and a formal process to ensure consistency in key other-than-temporary impairment modeling assumptions used for purposes of their cash-flow analyses for the majority of these securities. We use the FHLBanks' uniform framework and approved assumptions for purposes of our other-than-temporary impairment cash-flow analyses of our private-label residential MBS and certain home equity loan investments. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 7 — Other-Than-Temporary Impairment in the 2015 Annual Report To assess whether the entire amortized cost basis of private-label residential MBS will be recovered, cash-flow analyses for each of our private-label residential MBS were performed. These analyses use two third-party models. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying our securities, in conjunction with assumptions about current home prices and future changes in home prices and interest rates, producing monthly projections of prepayments, defaults, loan modifications, and loss severities. A significant input to the first model is the forecast of future housing-price changes, based on an assessment of individual housing markets for the relevant states and core-based statistical areas (CBSA), as defined by the United States Office of Management and Budget. The OTTI Governance Committee developed a short-term housing price forecast, with projected changes ranging from a decrease of 2.0 percent to an increase of 10.0 percent over the 12- month period beginning April 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0 percent to an increase of 6.0 percent . Thereafter, we have projected a unique recovery path for each relevant geographic area based on an internally developed framework derived from historical data. The month-by-month projections of future loan level performance are derived from the first model to determine projected prepayments, defaults, loan modifications, and loss severities. These projections are then input into a second model that allocates the cash flows and losses among the various classes in the securitization structure in accordance with the cash-flow and loss-allocation rules prescribed by the securitization structure. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero. The projected cash flows are based on a number of assumptions and expectations and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best estimate scenario and includes a base case current-to-trough housing price forecast and a base case housing price recovery path described in the prior paragraph. For those securities for which a credit loss was recognized during the three months ended June 30, 2016 , the following table presents a summary of the average projected values over the remaining lives of the securities for the significant inputs used to measure the amount of the credit loss recognized in earnings, as well as related current credit enhancement. Credit enhancement is defined as the percentage of subordinated tranches, over-collateralization, and other credit enhancement, if any, in a security structure that will generally absorb losses before we will experience a credit loss on the security. The calculated averages represent the dollar-weighted average of Alt-A other-than-temporarily impaired private-label residential MBS (dollars in thousands). Weighted Average of Significant Inputs Weighted Average Current Credit Enhancement Private-label MBS by Classification Par Value Projected Prepayment Rates Projected Default Rates Projected Loss Severities Alt-A - Private-label residential MBS (1) $ 115,845 9.1 % 28.4 % 39.3 % 6.1 % _______________________ (1) Securities are classified based upon the current performance characteristics of the underlying loan pool and therefore the manner in which the loan pool backing the security has been modeled (as prime, Alt-A, or subprime), rather than their classification of the security at the time of issuance. The following table sets forth our securities for which other-than-temporary impairment credit losses were recognized during the life of the security through June 30, 2016 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance. June 30, 2016 Other-Than-Temporarily Impaired Investment (1) Par Value Amortized Cost Carrying Value Fair Value Private-label residential MBS – Prime $ 43,629 $ 37,789 $ 29,895 $ 38,071 Private-label residential MBS – Alt-A 1,190,864 880,834 679,181 885,991 ABS backed by home equity loans – Subprime 3,927 3,575 2,954 3,485 Total other-than-temporarily impaired securities $ 1,238,420 $ 922,198 $ 712,030 $ 927,547 _______________________ (1) We have instituted litigation related to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate. The following table presents a roll-forward of the amounts related to credit losses recognized in earnings. The roll-forward is the amount of credit losses on investment securities for which we recognized a portion of other-than-temporary impairment charges into accumulated other comprehensive loss (dollars in thousands). For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Balance at beginning of period $ 525,809 $ 559,725 $ 533,888 $ 568,652 Additions: Additional credit losses for which an other-than-temporary impairment charge was previously recognized (1) 1,003 1,429 2,350 1,775 Reductions: Increase in cash flows expected to be collected which are recognized over the remaining life of the security (2) (9,890 ) (9,813 ) (19,316 ) (19,086 ) Balance at end of period $ 516,922 $ 551,341 $ 516,922 $ 551,341 _______________________ (1) For the three months ended June 30, 2016 and 2015 , additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to April 1, 2016 and 2015 . For the six months ended June 30, 2016 and 2015 , additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to January 1, 2016 and 2015 . (2) Represents amounts accreted as interest income during the current period. |
Advances
Advances | 6 Months Ended |
Jun. 30, 2016 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances General Terms. At both June 30, 2016 , and December 31, 2015 , we had advances outstanding with interest rates ranging from zero percent to 7.72 percent , as summarized below (dollars in thousands). June 30, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Rate Amount Weighted Average Rate Overdrawn demand-deposit accounts $ 10,245 0.68 % $ 7,546 0.65 % Due in one year or less 19,407,150 0.80 18,282,139 0.72 Due after one year through two years 9,108,416 1.18 8,970,109 1.31 Due after two years through three years 2,697,227 1.80 3,170,267 1.94 Due after three years through four years 2,020,420 1.71 1,495,494 1.89 Due after four years through five years 1,909,821 1.51 1,845,396 1.71 Thereafter 2,883,735 2.13 2,196,832 2.70 Total par value 38,037,014 1.15 % 35,967,783 1.20 % Premiums 21,392 24,183 Discounts (18,839 ) (17,437 ) Fair value of bifurcated derivatives (1) 9,068 1,241 Hedging adjustments 193,285 100,397 Total $ 38,241,920 $ 36,076,167 _________________________ (1) At June 30, 2016 , and December 31, 2015 , we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives. At June 30, 2016 , and December 31, 2015 , we had callable advances and floating-rate advances that may be prepaid on a floating-rate reset date without prepayment or termination fees outstanding totaling $ 7.0 billion and $6.5 billion , respectively. Year of Contractual Maturity or Next Call Date (1) , Par Value June 30, 2016 December 31, 2015 Overdrawn demand-deposit accounts $ 10,245 $ 7,546 Due in one year or less 25,076,325 23,728,314 Due after one year through two years 3,871,416 3,983,109 Due after two years through three years 2,666,227 3,130,267 Due after three years through four years 2,010,420 1,455,494 Due after four years through five years 1,734,621 1,670,196 Thereafter 2,667,760 1,992,857 Total par value $ 38,037,014 $ 35,967,783 _______________________ (1) Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. At June 30, 2016 , and December 31, 2015 , we had putable advances outstanding totaling $ 3.1 billion and $2.2 billion , respectively. The following table sets forth our advances outstanding by the year of contractual maturity or next put date for putable advances (dollars in thousands): Year of Contractual Maturity or Next Put Date, Par Value June 30, 2016 December 31, 2015 Overdrawn demand-deposit accounts $ 10,245 $ 7,546 Due in one year or less 21,424,950 19,924,939 Due after one year through two years 8,524,366 7,909,809 Due after two years through three years 2,634,477 2,870,517 Due after three years through four years 1,787,420 1,383,244 Due after four years through five years 1,615,821 1,783,896 Thereafter 2,039,735 2,087,832 Total par value $ 38,037,014 $ 35,967,783 Interest-Rate-Payment Terms. The following table details interest-rate-payment types for our outstanding advances (dollars in thousands): Par value of advances June 30, 2016 December 31, 2015 Fixed-rate $ 30,363,970 $ 29,257,362 Variable-rate 7,673,044 6,710,421 Total par value $ 38,037,014 $ 35,967,783 Credit-Risk Exposure and Security Terms . At June 30, 2016 , and December 31, 2015 , we had $15.5 billion and $14.2 billion , respectively, of advances issued to members with at least $1.0 billion of advances outstanding. These advances were made to six borrowers at June 30, 2016 , and five borrowers at December 31, 2015 , representing 40.6 percent and 39.4 percent , respectively, of total par value of outstanding advances. For information related to our credit risk on advances and allowance for credit losses, see Note 9 — Allowance for Credit Losses. Prepayment Fees. For the three and six months ended June 30, 2016 and 2015 , net advance prepayment fees recognized in income are reflected in the following table (dollars in thousands): For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Prepayment fees received from borrowers $ 2,808 $ 279 $ 6,664 $ 3,896 Less: hedging fair-value adjustments on prepaid advances (1,037 ) — (2,226 ) (2,731 ) Less: net premiums associated with prepaid advances (18 ) — (1,774 ) — Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications (890 ) — (1,408 ) (246 ) Prepayment fees recognized in income on advance restructurings deemed to be extinguishments — — 1,676 3,102 Net prepayment fees recognized in income $ 863 $ 279 $ 2,932 $ 4,021 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portofolio [Text Block] | Mortgage Loans Held for Portfolio We invest in mortgage loans through the Mortgage Partnership Finance ® (MPF ® program). These investments (MPF loans) are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced by the related entity that sold the loan (a participating financial institution), as is the case with conventional mortgage loans. All such investments are held for portfolio. The following table presents certain characteristics of these investments (dollars in thousands): June 30, 2016 December 31, 2015 Real estate Fixed-rate 15-year single-family mortgages $ 550,970 $ 568,786 Fixed-rate 20- and 30-year single-family mortgages 3,011,348 2,949,589 Premiums 65,639 63,994 Discounts (1,883 ) (2,141 ) Deferred derivative gains, net 3,290 2,585 Total mortgage loans held for portfolio 3,629,364 3,582,813 Less: allowance for credit losses (900 ) (1,025 ) Total mortgage loans, net of allowance for credit losses $ 3,628,464 $ 3,581,788 The following table details the par value of mortgage loans held for portfolio (dollars in thousands): June 30, 2016 December 31, 2015 Conventional mortgage loans $ 3,159,409 $ 3,107,415 Government mortgage loans 402,909 410,960 Total par value $ 3,562,318 $ 3,518,375 See Note 9 — Allowance for Credit Losses for information related to our credit risk from our investments in mortgage loans and allowance for credit losses based on these investments. "Mortgage Partnership Finance," and "MPF" are registered trademarks of the Federal Home Loan Bank of Chicago. |
Allowance for Credit Losses
Allowance for Credit Losses | 6 Months Ended |
Jun. 30, 2016 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if necessary, to provide for probable losses inherent in our portfolio as of the statement of condition date. To the extent necessary, an allowance for credit losses for off-balance-sheet credit exposure is recorded as a liability. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2015 Annual Report. Secured Member Credit Products We manage our credit exposure to secured member credit products through an integrated approach that generally includes establishing a credit limit for each borrower, an ongoing review of each borrower's financial condition, and collateral and lending policies that are intended to limit risk of loss while balancing borrowers' needs for a reliable source of funding. At June 30, 2016 , and December 31, 2015 , none of our secured member credit products outstanding were past due, on nonaccrual status, or considered impaired. In addition, there were no troubled debt restructurings related to credit products during the three months ended June 30, 2016 and 2015 . Based upon the collateral held as security, our credit extension and collateral policies, management's credit analysis, and the repayment history on secured member credit products, we have not recorded any allowance for credit losses on our secured member credit products at June 30, 2016 , and December 31, 2015 . At June 30, 2016 , and December 31, 2015 , no liability to reflect an allowance for credit losses for off-balance-sheet credit exposures was recorded. See Note 18 — Commitments and Contingencies for additional information on our off-balance-sheet credit exposure. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2015 Annual Report. Government Mortgage Loans Held for Portfolio Based on our assessment of our servicers for our government loans, there is no allowance for credit losses for the government mortgage loan portfolio as of June 30, 2016 , and December 31, 2015 . In addition, these mortgage loans are not placed on nonaccrual status due to the government guarantee or insurance on these loans and the contractual obligation of the loan servicers to repurchase their related loans when certain criteria are met. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2015 Annual Report. Conventional Mortgage Loans Held for Portfolio For information on our conventional mortgage loans held for portfolio see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2015 Annual Report. Credit Quality Indicators. Key credit quality indicators for mortgage loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. The tables below set forth certain key credit quality indicators for our investments in mortgage loans at June 30, 2016 , and December 31, 2015 (dollars in thousands): June 30, 2016 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 21,242 $ 13,958 $ 35,200 Past due 60-89 days delinquent 5,867 3,109 8,976 Past due 90 days or more delinquent 20,209 4,887 25,096 Total past due 47,318 21,954 69,272 Total current loans 3,186,254 392,073 3,578,327 Total mortgage loans $ 3,233,572 $ 414,027 $ 3,647,599 Other delinquency statistics In process of foreclosure, included above (1) $ 9,660 $ 1,837 $ 11,497 Serious delinquency rate (2) 0.65 % 1.18 % 0.71 % Past due 90 days or more still accruing interest $ — $ 4,887 $ 4,887 Loans on nonaccrual status (3) $ 20,466 $ — $ 20,466 _______________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class. (3) Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest as well as loans modified within the previous six months under our temporary loan modification plan. December 31, 2015 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 22,270 $ 13,784 $ 36,054 Past due 60-89 days delinquent 8,428 5,230 13,658 Past due 90 days or more delinquent 22,408 5,665 28,073 Total past due 53,106 24,679 77,785 Total current loans 3,125,664 397,667 3,523,331 Total mortgage loans $ 3,178,770 $ 422,346 $ 3,601,116 Other delinquency statistics In process of foreclosure, included above (1) $ 10,812 $ 2,341 $ 13,153 Serious delinquency rate (2) 0.73 % 1.34 % 0.80 % Past due 90 days or more still accruing interest $ — $ 5,665 $ 5,665 Loans on nonaccrual status (3) $ 22,408 $ — $ 22,408 _______________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class. (3) Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. Collectively Evaluated Mortgage Loans. We evaluate the credit risk of our investments in conventional mortgage loans for impairment on a collective basis that considers loan-pool-specific attribute data, at the master commitment pool level, including historical delinquency migration, applies estimated loss severities, and incorporates available credit enhancements to establish our best estimate of probable incurred losses at the reporting date. Migration analysis is a methodology for estimating the rate of default experienced on pools of similar loans based on our historical experience. We apply migration analysis to conventional loans that are currently not past due, loans that are 30 to 59 days past due, 60 to 89 days past due, and 90 to 179 days past due. We then estimate the dollar amount of loans in these categories that we believe are likely to migrate to a realized loss position and apply a loss severity factor to estimate losses that would be incurred at the statement of condition date. The losses are then reduced by the probable cash flows resulting from available credit enhancement. Credit enhancement cash flows that are projected and assessed as not probable of receipt are not considered in reducing estimated losses. Individually Evaluated Mortgage Loans. Certain conventional mortgage loans, primarily impaired mortgage loans that are considered collateral-dependent, may be specifically identified for purposes of calculating the allowance for credit losses. A mortgage loan is considered collateral-dependent if repayment is only expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default and there is no credit enhancement from a participating financial institution to offset losses under the master commitment. The estimated credit losses on impaired collateral-dependent loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss on these loans on an individual loan basis. Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. The resulting incurred loss is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs. Additionally, for our investments in loans modified under our temporary loan modification plan, on the effective date of a loan modification we measure the present value of expected future cash flows discounted at the loan's effective interest rate and reduce the carrying value of the loan accordingly. Charge-Off Policy. A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. We evaluate whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. We charge off the portion of outstanding conventional mortgage loan balances in excess of fair value of the underlying property, less cost to sell and adjusted for any available credit enhancements for loans that are 180 or more days past due, when the borrower has filed for bankruptcy protection and the loan is at least 30 days past due, or when there is evidence of fraud. Individually Evaluated Impaired Loans. The following tables present the recorded investment, par value and any related allowance for impaired loans individually assessed for impairment at June 30, 2016 , and December 31, 2015 , and the average recorded investment and interest income recognized on these loans during the three and six months ended June 30, 2016 and 2015 (dollars in thousands). As of June 30, 2016 As of December 31, 2015 Recorded Investment Par Value Recorded Investment Par Value Individually evaluated impaired mortgage loans with no related allowance $ 24,583 $ 24,546 $ 26,668 $ 26,622 For the Three Months Ended June 30, 2016 2015 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 24,770 $ 102 $ 31,759 $ 129 For the Six Months Ended June 30, 2016 2015 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 25,217 $ 182 $ 32,557 $ 249 Roll-Forward of Allowance for Credit Losses on Mortgage Loans. The following table presents a roll-forward of the allowance for credit losses on conventional mortgage loans for the three and six months ended June 30, 2016 and 2015 , as well as the recorded investment in mortgage loans by impairment methodology at June 30, 2016 and 2015 , (dollars in thousands). The recorded investment in a loan is the par amount of the loan, adjusted for accrued interest, unamortized premiums or discounts, deferred derivative gains and losses, and direct write-downs. The recorded investment is net of any valuation allowance. For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Allowance for credit losses Balance, beginning of period $ 1,025 $ 1,350 $ 1,025 $ 2,012 Charge-offs, net of recoveries (14 ) (27 ) (25 ) (629 ) Reduction of provision for credit losses (111 ) (223 ) (100 ) (283 ) Balance, end of period $ 900 $ 1,100 $ 900 $ 1,100 Ending balance, individually evaluated for impairment $ — $ — $ — $ — Ending balance, collectively evaluated for impairment $ 900 $ 1,100 $ 900 $ 1,100 Recorded investment, end of period (1) Individually evaluated for impairment $ 24,583 $ 31,153 $ 24,583 $ 31,153 Collectively evaluated for impairment $ 3,208,989 $ 3,131,698 $ 3,208,989 $ 3,131,698 _________________________ (1) These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed above under — Government Mortgage Loans Held for Portfolio. REO. At June 30, 2016 , and December 31, 2015 , we had $2.6 million and $3.6 million , respectively, in assets classified as REO. During the six months ended June 30, 2016 and 2015 , we sold REO assets with a recorded carrying value of $2.1 million and $3.6 million , respectively. Upon the sale of these REO properties, and inclusive of any proceeds received from primary mortgage-insurance coverage, we recognized net gains totaling $334,000 and $ 321,000 during the six months ended June 30, 2016 and 2015 , respectively. Gains and losses on the sale of REO assets are recorded in other income. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities The following table presents the fair value of derivatives, including the effect of netting adjustments and cash collateral as of June 30, 2016 , and December 31, 2015 (dollars in thousands): June 30, 2016 December 31, 2015 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 17,843,429 $ 26,652 $ (624,319 ) $ 15,195,012 $ 26,874 $ (468,982 ) Forward-start interest-rate swaps 527,800 — (62,854 ) 527,800 — (35,547 ) Total derivatives designated as hedging instruments 18,371,229 26,652 (687,173 ) 15,722,812 26,874 (504,529 ) Derivatives not designated as hedging instruments Economic hedges: Interest-rate swaps 1,009,500 29 (24,680 ) 562,500 246 (16,623 ) Interest-rate caps or floors — — — 300,000 — — Mortgage-delivery commitments (1) 46,100 309 — 24,714 18 (25 ) Total derivatives not designated as hedging instruments 1,055,600 338 (24,680 ) 887,214 264 (16,648 ) Total notional amount of derivatives $ 19,426,829 $ 16,610,026 Total derivatives before netting and collateral adjustments 26,990 (711,853 ) 27,138 (521,177 ) Netting adjustments and cash collateral including related accrued interest (2) 34,412 208,989 12,979 79,170 Derivative assets and derivative liabilities $ 61,402 $ (502,864 ) $ 40,117 $ (442,007 ) _______________________ (1) Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. (2) Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $243.4 million and $92.9 million at June 30, 2016 , and December 31, 2015 , respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $750,000 at December 31, 2015 . Net (losses) gains on derivatives and hedging activities recorded in Other Income (Loss) for the three and six months ended June 30, 2016 and 2015 were as follows (dollars in thousands): For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Derivatives designated as hedging instruments Interest-rate swaps $ (2,218 ) $ (1,087 ) $ (5,251 ) $ (1,715 ) Forward-start interest-rate swaps (190 ) 184 (536 ) 104 Total net losses related to derivatives designated as hedging instruments (2,408 ) (903 ) (5,787 ) (1,611 ) Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps (1,245 ) 403 (4,717 ) (2,675 ) Mortgage-delivery commitments 690 (642 ) 1,306 (215 ) Total net losses related to derivatives not designated as hedging instruments (555 ) (239 ) (3,411 ) (2,890 ) Net losses on derivatives and hedging activities $ (2,963 ) $ (1,142 ) $ (9,198 ) $ (4,501 ) The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedge relationships and the impact of those derivatives on our net interest income for the three and six months ended June 30, 2016 and 2015 , (dollars in thousands): For the Three Months Ended June 30, 2016 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ (25,621 ) $ 24,655 $ (966 ) $ (26,128 ) Investments (26,830 ) 27,186 356 (8,883 ) COs – bonds 564 (2,172 ) (1,608 ) 7,158 Total $ (51,887 ) $ 49,669 $ (2,218 ) $ (27,853 ) For the Three Months Ended June 30, 2015 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 39,168 $ (38,764 ) $ 404 $ (32,611 ) Investments 54,244 (53,694 ) 550 (9,439 ) COs – bonds (11,130 ) 9,089 (2,041 ) 15,265 Total $ 82,282 $ (83,369 ) $ (1,087 ) $ (26,785 ) For the Six Months Ended June 30, 2016 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ (94,077 ) $ 92,888 $ (1,189 ) $ (56,252 ) Investments (76,285 ) 77,025 740 (17,894 ) COs – bonds 10,831 (15,633 ) (4,802 ) 15,230 Total $ (159,531 ) $ 154,280 $ (5,251 ) $ (58,916 ) For the Six Months Ended June 30, 2015 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 33,311 $ (32,878 ) $ 433 $ (64,510 ) Investments 27,245 (26,368 ) 877 (18,921 ) COs – bonds 4,269 (7,294 ) (3,025 ) 30,963 Total $ 64,825 $ (66,540 ) $ (1,715 ) $ (52,468 ) ____________ (1) The net interest on derivatives in fair-value hedge relationships is presented in the statement of operations as interest income or interest expense of the respective hedged item. The following table presents the gains (losses) recognized in accumulated other comprehensive loss, the gains (losses) reclassified from accumulated other comprehensive loss into income, and the effect of our hedging activities on our net (losses) gains on derivatives and hedging activities in the statement of income for our forward-start interest-rate swaps associated with hedged CO bonds in cash-flow hedge relationships (dollars in thousands). Derivatives and Hedged Items in Cash Flow Hedging Relationships (Losses) Gains Recognized in Other Comprehensive Loss on Derivatives (Effective Portion) Location of (Losses) Gains Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) (Losses) Gains Recognized in Net (Losses) Gains on Derivatives and Hedging Activities (Ineffective Portion) Interest-rate swaps - CO bonds For the Three Months Ended June 30, 2016 $ (9,731 ) Interest expense $ (6,889 ) $ (190 ) For the Three Months Ended June 30, 2015 12,773 Interest expense (5,628 ) 184 For the Six Months Ended June 30, 2016 (26,770 ) Interest expense (14,097 ) (536 ) For the Six Months Ended June 30, 2015 630 Interest expense (10,520 ) 104 For the six months ended June 30, 2016 and 2015 , there were no reclassifications from accumulated other comprehensive loss into earnings as a result of the discontinuance of cash-flow hedges because the original forecasted transactions were not expected to occur by the end of the originally specified time period or within a two-month period thereafter. As of June 30, 2016 , the maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is eight years . As of June 30, 2016 , the amount of deferred net losses on derivatives accumulated in other comprehensive loss related to cash flow hedges expected to be reclassified to earnings during the next 12 months is $17.4 million . Managing Credit Risk on Derivatives. We enter into derivatives that we clear (cleared derivatives) with a derivatives clearing organization (DCO), our counterparty for such derivatives. We also enter into derivatives that are not cleared (bilateral derivatives) under master-netting agreements. Certain of our bilateral derivatives master-netting agreements contain provisions that require us to post additional collateral with our bilateral derivatives counterparties if our credit ratings are lowered. Under the terms that govern such agreements, if our credit rating is lowered by Moody's Investor Services (Moody's) or Standard and Poor's Rating Service (S&P) to a certain level, we are required to deliver additional collateral on uncleared derivatives in a net liability position. In the event of a split between such credit ratings, the lower rating governs. The aggregate fair value of all uncleared derivatives with these provisions that were in a net-liability position (before cash collateral and related accrued interest) at June 30, 2016 , was $532.4 million for which we had delivered cash or securities collateral with a post-haircut value of $471.1 million in accordance with the terms of the master-netting agreements. Securities collateral is subject to valuation haircuts in accordance with the terms of the master-netting agreements. The following table sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at June 30, 2016 (dollars in thousands). Post Haircut Value of Incremental Collateral to be Delivered as of June 30, 2016 Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 24,789 AA- A+, A or A- 19,256 A- below A- 33,026 _______________________ (1) Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. For cleared derivatives, the DCO determines initial margin requirements. We note that we clear our trades via clearing members of the DCOs. These clearing members who act as our agent to the DCOs are U.S. Commodity Futures Trading Commission (the CFTC) - registered futures commission merchants. Our clearing members may require us to post margin in excess of DCO requirements based on our credit or other considerations, including but not limited to, credit rating downgrades. We were not required to post any such excess margin by our clearing members based on credit considerations at June 30, 2016 . Offsetting of Certain Derivatives. We present derivatives, any related cash collateral, including initial and variation margin, received or pledged, and associated accrued interest, on a net basis by counterparty. The following table presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of June 30, 2016 , and December 31, 2015 and the fair value of derivatives that are not subject to such netting (dollars in thousands). Such netting includes any related cash collateral received from or pledged to counterparties. June 30, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives meeting netting requirements Gross recognized amount Uncleared derivatives $ 8,978 $ (541,387 ) $ 8,342 $ (463,154 ) Cleared derivatives 17,703 (170,466 ) 18,778 (57,998 ) Total gross recognized amount 26,681 (711,853 ) 27,120 (521,152 ) Gross amounts of netting adjustments and cash collateral Uncleared derivatives (8,978 ) 38,523 (7,628 ) 21,172 Cleared derivatives 43,390 170,466 20,607 57,998 Total gross amounts of netting adjustments and cash collateral 34,412 208,989 12,979 79,170 Net amounts after netting adjustments and cash collateral Uncleared derivatives — (502,864 ) 714 (441,982 ) Cleared derivatives 61,093 — 39,385 — Total net amounts after netting adjustments and cash collateral 61,093 (502,864 ) 40,099 (441,982 ) Derivatives not meeting netting requirements Mortgage delivery commitments 309 — 18 (25 ) Total derivative assets and total derivative liabilities Uncleared derivatives — (502,864 ) 714 (441,982 ) Cleared derivatives 61,093 — 39,385 — Mortgage delivery commitments 309 — 18 (25 ) Total derivative assets and total derivative liabilities presented in the statement of condition 61,402 (502,864 ) 40,117 (442,007 ) Non-cash collateral received or pledged not offset (1) Can be sold or repledged Uncleared derivatives — 49,911 — 64,391 Cannot be sold or repledged Uncleared derivatives — 408,662 — 331,716 Total non-cash collateral received or pledged, not offset — 458,573 — 396,107 Net amount Uncleared derivatives — (44,291 ) 714 (45,875 ) Cleared derivatives 61,093 — 39,385 — Mortgage delivery commitments 309 — 18 (25 ) Total net amount $ 61,402 $ (44,291 ) $ 40,117 $ (45,900 ) _______________________ (1) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At June 30, 2016 , and December 31, 2015 , we had additional net credit exposure of $6.1 million and $3.1 million , respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Deposits
Deposits | 6 Months Ended |
Jun. 30, 2016 | |
Deposits [Abstract] | |
Deposits [Text Block] | Deposits We offer demand and overnight deposits for members and qualifying nonmembers. In addition, we offer short-term interest-bearing deposit programs to members. Members that service mortgage loans may deposit funds collected in connection with mortgage loans pending disbursement of such funds to the owners of the mortgage loans. We classify these items as "other" in the following table. The following table details interest- and noninterest-bearing deposits (dollars in thousands): June 30, 2016 December 31, 2015 Interest-bearing Demand and overnight $ 599,561 $ 454,087 Other 4,865 4,426 Noninterest-bearing Other 30,569 24,089 Total deposits $ 634,995 $ 482,602 |
Consolidated Obligations
Consolidated Obligations | 6 Months Ended |
Jun. 30, 2016 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations COs - Bonds. The following table sets forth the outstanding CO bonds for which we were primarily liable at June 30, 2016 , and December 31, 2015 , by year of contractual maturity (dollars in thousands): June 30, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 10,932,920 0.94 % $ 8,990,295 1.00 % Due after one year through two years 6,946,535 1.50 6,101,990 1.70 Due after two years through three years 2,767,045 1.55 3,389,580 1.59 Due after three years through four years 2,056,115 2.08 2,056,215 1.97 Due after four years through five years 1,696,720 1.79 1,329,210 2.11 Thereafter 2,614,460 2.94 3,440,045 2.95 Total par value 27,013,795 1.48 % 25,307,335 1.65 % Premiums 134,595 148,903 Discounts (15,741 ) (20,451 ) Hedging adjustments 7,122 (8,510 ) $ 27,139,771 $ 25,427,277 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. Our CO bonds outstanding at June 30, 2016 , and December 31, 2015 , included (dollars in thousands): June 30, 2016 December 31, 2015 Par value of CO bonds Noncallable and nonputable $ 23,786,795 $ 21,714,335 Callable 3,227,000 3,593,000 Total par value $ 27,013,795 $ 25,307,335 The following is a summary of the CO bonds for which we were primarily liable at June 30, 2016 , and December 31, 2015 , by year of contractual maturity or next call date for callable CO bonds (dollars in thousands): Year of Contractual Maturity or Next Call Date June 30, 2016 December 31, 2015 Due in one year or less $ 13,413,920 $ 11,937,295 Due after one year through two years 6,048,535 5,802,990 Due after two years through three years 2,467,045 2,729,580 Due after three years through four years 1,926,115 1,831,215 Due after four years through five years 1,083,720 991,210 Thereafter 2,074,460 2,015,045 Total par value $ 27,013,795 $ 25,307,335 The following table sets forth the CO bonds for which we were primarily liable by interest-rate-payment type at June 30, 2016 , and December 31, 2015 (dollars in thousands): June 30, 2016 December 31, 2015 Par value of CO bonds Fixed-rate $ 21,283,795 $ 21,847,335 Simple variable-rate 5,055,000 3,145,000 Step-up 675,000 315,000 Total par value $ 27,013,795 $ 25,307,335 COs – Discount Notes. Outstanding CO discount notes for which we were primarily liable, all of which are due within one year, were as follows (dollars in thousands): Book Value Par Value Weighted Average Rate (1) June 30, 2016 $ 30,483,963 $ 30,495,259 0.34 % December 31, 2015 $ 28,479,097 $ 28,487,577 0.24 % _______________________ (1) The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program
Affordable Housing Program | 6 Months Ended |
Jun. 30, 2016 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program The following table presents a roll-forward of the AHP liability for the six months ended June 30, 2016 , and year ended December 31, 2015 (dollars in thousands): June 30, 2016 December 31, 2015 Balance at beginning of year $ 82,081 $ 66,993 AHP expense for the period 8,632 32,328 AHP direct grant disbursements (7,025 ) (16,716 ) AHP subsidy for AHP advance disbursements (725 ) (1,255 ) Return of previously disbursed grants and subsidies 16 731 Balance at end of period $ 82,979 $ 82,081 |
Capital
Capital | 6 Months Ended |
Jun. 30, 2016 | |
Capital [Abstract] | |
Capital [Text Block] | Capital We are subject to capital requirements under our capital plan, the Federal Home Loan Bank Act of 1932, as amended (the FHLBank Act), and FHFA regulations: 1. Risk-based capital. We are required to maintain at all times permanent capital, defined as Class B stock, including Class B stock classified as mandatorily redeemable capital stock, and retained earnings, in an amount at least equal to the sum of our credit-risk capital requirement, market-risk capital requirement, and operations-risk capital requirement, calculated in accordance with FHFA rules and regulations, referred to herein as the risk-based capital requirement. Only permanent capital satisfies the risk-based capital requirement. 2. Total regulatory capital. We are required to maintain at all times a total capital-to-assets ratio of at least four percent . Total regulatory capital is the sum of permanent capital, the amount paid-in for Class A stock, the amount of any general loss allowance if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the FHFA as available to absorb losses. We have never issued Class A stock. 3. Leverage capital. We are required to maintain at all times a leverage capital-to-assets ratio of at least five percent . Leverage capital is defined as the sum of permanent capital weighted 1.5 times and all other capital without a weighting factor. The FHFA may require us to maintain a greater amount of permanent capital than is required as defined by the risk-based capital requirements. The following tables demonstrate our compliance with our regulatory capital requirements at June 30, 2016 , and December 31, 2015 (dollars in thousands): Risk-Based Capital Requirements June 30, December 31, Permanent capital Class B capital stock $ 2,353,698 $ 2,336,662 Mandatorily redeemable capital stock 35,076 41,989 Retained earnings 1,165,157 1,128,848 Total permanent capital $ 3,553,931 $ 3,507,499 Risk-based capital requirement Credit-risk capital $ 376,729 $ 381,176 Market-risk capital 101,049 83,875 Operations-risk capital 143,333 139,515 Total risk-based capital requirement $ 621,111 $ 604,566 Permanent capital in excess of risk-based capital requirement $ 2,932,820 $ 2,902,933 June 30, 2016 December 31, 2015 Required Actual Required Actual Capital Ratio Risk-based capital $ 621,111 $ 3,553,931 $ 604,566 $ 3,507,499 Total regulatory capital $ 2,486,406 $ 3,553,931 $ 2,324,107 $ 3,507,499 Total capital-to-asset ratio 4.0 % 5.7 % 4.0 % 6.0 % Leverage Ratio Leverage capital $ 3,108,008 $ 5,330,897 $ 2,905,133 $ 5,261,249 Leverage capital-to-assets ratio 5.0 % 8.6 % 5.0 % 9.1 % |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Loss | 6 Months Ended |
Jun. 30, 2016 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Loss [Text Block] | Accumulated Other Comprehensive Loss The following table presents a summary of changes in accumulated other comprehensive loss for the three and six months ended June 30, 2016 and 2015 , (dollars in thousands): Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss Balance, March 31, 2015 $ (53,034 ) $ (264,357 ) $ (88,675 ) $ (5,763 ) $ (411,829 ) Other comprehensive income (loss) before reclassifications: Net unrealized (losses) gains (14,793 ) — 12,773 — (2,020 ) Accretion of noncredit loss — 11,990 — — 11,990 Net actuarial loss — — — (8 ) (8 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,073 — — 1,073 Amortization - hedging activities (2) — — 5,631 — 5,631 Amortization - pension and postretirement benefits (3) — — — 100 100 Other comprehensive (loss) income (14,793 ) 13,063 18,404 92 16,766 Balance, June 30, 2015 $ (67,827 ) $ (251,294 ) $ (70,271 ) $ (5,671 ) $ (395,063 ) Balance, March 31, 2016 $ (85,888 ) $ (219,739 ) $ (81,065 ) $ (3,738 ) $ (390,430 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 27,941 — (9,731 ) — 18,210 Noncredit other-than-temporary impairment losses — (420 ) — — (420 ) Accretion of noncredit loss — 9,211 — — 9,211 Net actuarial loss — — — (2,918 ) (2,918 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 779 — — 779 Amortization - hedging activities (4) — — 6,893 — 6,893 Amortization - pension and postretirement benefits (3) — — — 333 333 Other comprehensive income (loss) 27,941 9,570 (2,838 ) (2,585 ) 32,088 Balance, June 30, 2016 $ (57,947 ) $ (210,169 ) $ (83,903 ) $ (6,323 ) $ (358,342 ) _______________________ (1) Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. (2) Amortization of hedging activities includes $5.6 million recorded in CO bond interest expense and $4,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. (3) Recorded in other operating expenses in the statement of operations. (4) Amortization of hedging activities includes $6.9 million recorded in CO bond interest expense and $4,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss Balance, December 31, 2014 $ (73,623 ) $ (275,942 ) $ (81,428 ) $ (5,993 ) $ (436,986 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains 5,796 — 630 — 6,426 Accretion of noncredit loss — 23,453 — — 23,453 Net actuarial loss — — — (8 ) (8 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,195 — — 1,195 Amortization - hedging activities (2) — — 10,527 — 10,527 Amortization - pension and postretirement benefits (3) — — — 330 330 Other comprehensive income 5,796 24,648 11,157 322 41,923 Balance, June 30, 2015 $ (67,827 ) $ (251,294 ) $ (70,271 ) $ (5,671 ) $ (395,063 ) Balance, December 31, 2015 $ (137,718 ) $ (229,785 ) $ (71,237 ) $ (3,857 ) $ (442,597 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 79,771 — (26,770 ) — 53,001 Noncredit other-than-temporary impairment losses — (656 ) — — (656 ) Accretion of noncredit loss — 18,352 — — 18,352 Net actuarial loss — — — (2,917 ) (2,917 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,920 — — 1,920 Amortization - hedging activities (4) — — 14,104 — 14,104 Amortization - pension and postretirement benefits (3) — — — 451 451 Other comprehensive income (loss) 79,771 19,616 (12,666 ) (2,466 ) 84,255 Balance, June 30, 2016 $ (57,947 ) $ (210,169 ) $ (83,903 ) $ (6,323 ) $ (358,342 ) _______________________ (1) Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. (2) Amortization of hedging activities includes $10.5 million recorded in CO bond interest expense and $7,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. (3) Recorded in other operating expenses in the statement of operations. (4) Amortization of hedging activities includes $14.1 million recorded in CO bond interest expense and $7,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. |
Employee Retirement Plans
Employee Retirement Plans | 6 Months Ended |
Jun. 30, 2016 | |
Compensation and Retirement Disclosure [Abstract] | |
Employee Retirement Plans [Text Block] | Employee Retirement Plans Qualified Defined Benefit Multiemployer Plan. We participate in the Pentegra Defined Benefit Plan for Financial Institutions (the Pentegra Defined Benefit Plan), a funded, tax-qualified, noncontributory defined-benefit pension plan. The Pentegra Defined Benefit Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974, as amended (ERISA), and the Internal Revenue Code. Accordingly, certain multiemployer plan disclosures are not applicable to the Pentegra Defined Benefit Plan. Qualified Defined Contribution Plan. We also participate in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The plan covers substantially all of our employees. We contribute a percentage of the participants' compensation by making a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. Our matching contributions are charged to compensation and benefits expense. Nonqualified Defined Contribution Plan. We also maintain the Thrift Benefit Equalization Plan, a nonqualified, unfunded deferred compensation plan covering certain of our senior officers and directors. The plan's liability consists of the accumulated compensation deferrals and the accumulated earnings on these deferrals. We maintain a rabbi trust intended to satisfy future benefit obligations which is recorded in other assets on the statement of condition. The following table sets forth our net pension costs under our defined benefit plan and expenses relating to our defined contribution plans (dollars in thousands): For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Qualified Defined Benefit Multiemployer Plan - Pentegra Defined Benefit Plan $ 106 $ 5,102 $ 214 $ 5,205 Qualified Defined Contribution Plan - Pentegra Defined Contribution Plan 303 280 570 528 Nonqualified Defined Contribution Plan - Thrift Benefit Equalization Plan 8 9 174 119 Nonqualified Supplemental Defined Benefit Retirement Plan. We also maintain a nonqualified, single-employer unfunded defined-benefit plan covering certain senior officers, for which our obligation is detailed below. We maintain a rabbi trust intended to meet future benefit obligations. Postretirement Benefits. We sponsor a fully insured postretirement benefit program that includes life insurance benefits for eligible retirees. We provide life insurance to all employees who retire on or after age 55 after completing six years of service. No contributions are required from the retirees. There are no funded plan assets that have been designated to provide postretirement benefits. The following table presents the components of net periodic benefit cost for our nonqualified supplemental defined benefit retirement plan and postretirement benefits for the three and six months ended June 30, 2016 and 2015 , (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan For the Three Months Ended June 30, Postretirement Benefits For the Three Months Ended June 30, 2016 2015 2016 2015 Net Periodic Benefit Cost Service cost $ 342 $ 172 $ 7 $ 12 Interest cost 186 121 9 9 Amortization of net actuarial loss 331 97 2 3 Net periodic benefit cost $ 859 $ 390 $ 18 $ 24 Nonqualified Supplemental Defined Benefit Retirement Plan For the Six Months Ended June 30, Postretirement Benefits For the Six Months Ended June 30, 2016 2015 2016 2015 Net Periodic Benefit Cost Service cost $ 513 $ 343 $ 16 $ 19 Interest cost 319 242 17 16 Amortization of net actuarial loss 448 326 3 4 Net periodic benefit cost $ 1,280 $ 911 $ 36 $ 39 |
Fair Values
Fair Values | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value [Text Block] | Fair Values A fair-value hierarchy is used to prioritize the inputs of valuation techniques used to measure fair value. A description of the application of the fair-value hierarchy, valuation techniques, and significant inputs is disclosed in Item 8 — Financial Statements and Supplementary Data — Note 18 — Fair Values in the 2015 Annual Report. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs during the six months ended June 30, 2016 . The carrying values, fair values, and fair-value hierarchy of our financial instruments at June 30, 2016 , and December 31, 2015 , were as follows (dollars in thousands). These fair values do not represent an estimate of our overall market value as a going concern, which would take into account, among other things, our future business opportunities and the net profitability of our assets and liabilities. June 30, 2016 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral Financial instruments Assets: Cash and due from banks $ 413,908 $ 413,908 $ 413,908 $ — $ — $ — Interest-bearing deposits 298 298 298 — — — Securities purchased under agreements to resell 5,799,000 5,798,911 — 5,798,911 — — Federal funds sold 3,840,000 3,839,982 — 3,839,982 — — Trading securities (1) 226,630 226,630 — 226,630 — — Available-for-sale securities (1) 7,423,099 7,423,099 — 7,423,099 — — Held-to-maturity securities 2,387,460 2,613,754 — 1,375,639 1,238,115 — Advances 38,241,920 38,503,180 — 38,503,180 — — Mortgage loans, net 3,628,464 3,775,949 — 3,746,992 28,957 — Accrued interest receivable 82,995 82,995 — 82,995 — — Derivative assets (1) 61,402 61,402 — 26,990 — 34,412 Other assets (1) 17,417 17,417 7,222 10,195 — — Liabilities: Deposits (634,995 ) (634,993 ) — (634,993 ) — — COs: Bonds (27,139,771 ) (27,608,287 ) — (27,608,287 ) — — Discount notes (30,483,963 ) (30,485,960 ) — (30,485,960 ) — — Mandatorily redeemable capital stock (35,076 ) (35,076 ) (35,076 ) — — — Accrued interest payable (76,098 ) (76,098 ) — (76,098 ) — — Derivative liabilities (1) (502,864 ) (502,864 ) — (711,853 ) — 208,989 Other: Commitments to extend credit for advances — (1,235 ) — (1,235 ) — — Standby letters of credit (699 ) (699 ) — (699 ) — — _______________________ (1) Carried at fair value on a recurring basis. December 31, 2015 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral Financial instruments Assets: Cash and due from banks $ 254,218 $ 254,218 $ 254,218 $ — $ — $ — Interest-bearing deposits 197 197 197 — — — Securities purchased under agreements to resell 6,700,000 6,699,852 — 6,699,852 — — Federal funds sold 2,120,000 2,119,962 — 2,119,962 — — Trading securities (1) 230,134 230,134 — 230,134 — — Available-for-sale securities (1) 6,314,285 6,314,285 — 6,314,285 — — Held-to-maturity securities 2,654,565 2,923,124 — 1,562,243 1,360,881 — Advances 36,076,167 36,209,343 — 36,209,343 — — Mortgage loans, net 3,581,788 3,666,146 — 3,635,073 31,073 — Accrued interest receivable 84,442 84,442 — 84,442 — — Derivative assets (1) 40,117 40,117 — 27,138 — 12,979 Other assets (1) 15,292 15,292 6,373 8,919 — — Liabilities: Deposits (482,602 ) (482,595 ) — (482,595 ) — — COs: Bonds (25,427,277 ) (25,578,547 ) — (25,578,547 ) — — Discount notes (28,479,097 ) (28,479,076 ) — (28,479,076 ) — — Mandatorily redeemable capital stock (41,989 ) (41,989 ) (41,989 ) — — — Accrued interest payable (81,268 ) (81,268 ) — (81,268 ) — — Derivative liabilities (1) (442,007 ) (442,007 ) — (521,177 ) — 79,170 Other: Commitments to extend credit for advances — (689 ) — (689 ) — — Standby letters of credit (831 ) (831 ) — (831 ) — — _______________________ (1) Carried at fair value on a recurring basis. Fair Value Measured on a Recurring Basis. The following tables present our assets and liabilities that are measured at fair value on the statement of condition, which are recorded on a recurring basis at June 30, 2016 , and December 31, 2015 , by fair-value hierarchy level (dollars in thousands): June 30, 2016 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. government-guaranteed – single-family MBS $ — $ 9,416 $ — $ — $ 9,416 GSEs – single-family MBS — 1,056 — — 1,056 GSEs – multi-family MBS — 216,158 — — 216,158 Total trading securities — 226,630 — — 226,630 Available-for-sale securities: Supranational institutions — 459,886 — — 459,886 U.S. government-owned corporations — 298,606 — — 298,606 GSEs — 128,738 — — 128,738 U.S. government guaranteed – single-family MBS — 140,527 — — 140,527 U.S. government guaranteed – multifamily MBS — 687,496 — — 687,496 GSEs – single-family MBS — 5,024,177 — — 5,024,177 GSEs – multi-family MBS — 683,669 — — 683,669 Total available-for-sale securities — 7,423,099 — — 7,423,099 Derivative assets: Interest-rate-exchange agreements — 26,681 — 34,412 61,093 Mortgage delivery commitments — 309 — — 309 Total derivative assets — 26,990 — 34,412 61,402 Other assets 7,222 10,195 — — 17,417 Total assets at fair value $ 7,222 $ 7,686,914 $ — $ 34,412 $ 7,728,548 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (711,853 ) $ — $ 208,989 $ (502,864 ) Total liabilities at fair value $ — $ (711,853 ) $ — $ 208,989 $ (502,864 ) _______________________ (1) These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. December 31, 2015 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. government-guaranteed – single-family MBS $ — $ 10,296 $ — $ — $ 10,296 GSEs – single-family MBS — 1,449 — — 1,449 GSEs – multifamily MBS — 218,389 — — 218,389 Total trading securities — 230,134 — — 230,134 Available-for-sale securities: Supranational institutions — 438,913 — — 438,913 U.S. government-owned corporations — 265,968 — — 265,968 GSEs — 117,792 — — 117,792 U.S. government guaranteed – single-family MBS — 156,642 — — 156,642 U.S. government guaranteed – multifamily MBS — 744,762 — — 744,762 GSEs – single-family MBS — 4,590,208 — — 4,590,208 Total available-for-sale securities — 6,314,285 — — 6,314,285 Derivative assets: Interest-rate-exchange agreements — 27,120 — 12,979 40,099 Mortgage delivery commitments — 18 — — 18 Total derivative assets — 27,138 — 12,979 40,117 Other assets 6,373 8,919 — — 15,292 Total assets at fair value $ 6,373 $ 6,580,476 $ — $ 12,979 $ 6,599,828 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (521,152 ) $ — $ 79,170 $ (441,982 ) Mortgage delivery commitments — (25 ) — — (25 ) Total liabilities at fair value $ — $ (521,177 ) $ — $ 79,170 $ (442,007 ) _______________________ (1) These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. Fair Value on a Nonrecurring Basis We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security). The following tables present financial assets by level within the fair-value hierarchy which were recorded at fair value on a nonrecurring basis during the six months ended June 30, 2016 , and year ended December 31, 2015 (dollars in thousands): For the Six Months Ended June 30, 2016 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 9,386 $ 9,386 Mortgage loans held for portfolio — — 5,413 5,413 REO — — 1,492 1,492 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 16,291 $ 16,291 For the Year Ended December 31, 2015 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 16,653 $ 16,653 Mortgage loans held for portfolio — — 5,376 5,376 REO — — 2,284 2,284 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 24,313 $ 24,313 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies Joint and Several Liability. COs are backed by the financial resources of the FHLBanks. The FHFA has authority to require any FHLBank to repay all or a portion of the principal and interest on COs for which another FHLBank is the primary obligor. No FHLBank has ever been asked or required to repay the principal or interest on any CO on behalf of another FHLBank. We evaluate the financial condition of the other FHLBanks primarily based on known regulatory actions, publicly available financial information, and individual long-term credit-rating action as of each period-end presented. Based on this evaluation, as of June 30, 2016 , and through the filing of this report, we believe there is a remote likelihood that we will be required to repay the principal or interest on any CO on behalf of another FHLBank. We have considered applicable FASB guidance and determined it is not necessary to recognize a liability for the fair value of our joint and several liability for all of the COs. The joint and several obligation is mandated by FHFA regulations and is not the result of an arms-length transaction among the FHLBanks. The FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several obligation. Because the FHLBanks are subject to the authority of the FHFA as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' COs, each FHLBank's joint and several obligation is excluded from the initial recognition and measurement provisions. Accordingly, we have not recognized a liability for our joint and several obligation related to other FHLBanks' COs at June 30, 2016 , and December 31, 2015 . The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $ 906.2 billion and $851.4 billion at June 30, 2016 , and December 31, 2015 , respectively. See Note 12 — Consolidated Obligations for additional information. Off-Balance-Sheet Commitments The following table sets forth our off-balance-sheet commitments as of June 30, 2016 , and December 31, 2015 (dollars in thousands): June 30, 2016 December 31, 2015 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (1) $ 3,922,777 $ 68,855 $ 3,991,632 $ 3,998,609 $ 77,477 $ 4,076,086 Commitments for unused lines of credit - advances (2) 1,254,875 — 1,254,875 1,263,182 — 1,263,182 Commitments to make additional advances 1,133,755 44,680 1,178,435 650,890 54,308 705,198 Commitments to invest in mortgage loans 46,100 — 46,100 24,714 — 24,714 Unsettled CO bonds, at par (3) 322,500 — 322,500 25,000 — 25,000 Unsettled CO discount notes, at par 408,000 — 408,000 700,000 — 700,000 __________________________ (1) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At June 30, 2016 , and December 31, 2015 , these amounts totaled $ 14.0 million and $27.3 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $4.0 million at December 31, 2015 . (2) Commitments for unused line-of-credit advances are generally for periods of up to 12 months . Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. (3) We had $25.0 million in unsettled CO bonds that were hedged with associated interest-rate swaps at December 31, 2015 . Standby Letters of Credit. A standby letter of credit is a financing arrangement pursuant to which we agree for a fee to fund the associated obligation to a third-party beneficiary should the primary obligor fail to fund such obligation. If we are required to make payment for a beneficiary's draw, our strategy is to take prompt action to recover the funds paid to the third-party beneficiary, including converting the payment amount into a collateralized advance to the primary obligor, withdrawing the payment amount from the primary obligor’s demand deposit account with us, or selling collateral pledged by the primary obligor in a commercially reasonable manner to offset the payment amount. The original terms of these standby letters of credit have original expiration periods of up to 20 years , currently expiring no later than 2024 . Our unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled $699,000 and $831,000 at June 30, 2016 , and December 31, 2015 , respectively. Commitments to Invest in Mortgage Loans. Commitments to invest in mortgage loans are generally for periods not to exceed 45 business days. Such commitments are recorded as derivatives at their fair values on the statement of condition. Pledged Collateral. We have pledged securities, as collateral, related to derivatives. See Note 10 — Derivatives and Hedging Activities for additional information about our pledged collateral and other credit-risk-related contingent features. Legal Proceedings . We are subject to various legal proceedings arising in the normal course of business from time to time. We would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. Management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on our financial condition, results of operations, or cash flows. |
Transactions with Shareholders
Transactions with Shareholders | 6 Months Ended |
Jun. 30, 2016 | |
Transactions with Shareholders [Abstract] | |
Transactions with Shareholders [Text Block] | Transactions with Shareholders Related Parties. We define related parties as members with 10 percent or more of the voting interests of our capital stock outstanding. Under the FHLBank Act and FHFA regulations, each member directorship is designated to one of the six states in our district. Each member eligible to vote is entitled to cast by ballot one vote for each share of stock that it was required to hold as of the record date, which is December 31, of the year prior to each election, subject to the limitation that no member may cast more votes than the average number of shares of our stock that is required to be held by all members located in such member's state. Eligible members are permitted to vote all their eligible shares for one candidate for each open member directorship in the state in which the member is located and for each open independent directorship. A nonmember stockholder is not entitled to cast votes for the election of directors unless it was a member as of the record date. At June 30, 2016 , and December 31, 2015 , no shareholder owned more than 10 percent of the total voting interests due to statutory limits on members' voting rights, therefore, we did not have any related parties. Shareholder Concentrations. We consider shareholder concentrations as members or nonmembers whose capital stock holdings (including mandatorily redeemable capital stock) are in excess of 10 percent of total capital stock outstanding. The following tables present transactions with shareholders whose holdings of capital stock exceed 10 percent or more of total capital stock outstanding at June 30, 2016 , and December 31, 2015 (dollars in thousands): Capital Stock Outstanding Percent of Total Par Value of Advances Percent of Total Par Value of Advances Total Accrued Interest Receivable Percent of Total Accrued Interest Receivable on Advances As of June 30, 2016 Citizens Bank, N.A. $ 313,618 13.1 % $ 6,260,716 16.5 % $ 789 2.4 % As of December 31, 2015 Citizens Bank, N.A. $ 308,280 13.0 % $ 6,015,163 16.7 % $ 1,583 4.5 % We held sufficient collateral to support the advances to the above institution such that we do not expect to incur any credit losses on these advances. We recognized interest income on outstanding advances and fees on letters of credit from Citizens Bank, N.A. during the three and six months ended June 30, 2016 and 2015 as follows (dollars in thousands): For the Three Months Ended June 30, For the Six Months Ended June 30, Citizens Bank, N.A. 2016 2015 2016 2015 Interest income on advances $ 8,082 $ 3,447 $ 16,286 $ 7,163 Fees on letters of credit 779 1,050 1,619 2,039 Transactions with Directors' Institutions. We provide, in the ordinary course of business, products and services to members whose officers or directors serve on our board of directors. In accordance with FHFA regulations, transactions with directors' institutions are conducted on the same terms as those with any other member. The following table presents the outstanding balances of capital stock, advances, and accrued interest receivable with members whose officers or directors serve on our board of directors, and those balances as a percentage of our total balance as reported on our statement of condition (dollars in thousands): Capital Stock Outstanding Percent of Total Capital Stock Outstanding Par Value of Advances Percent of Total Par Value of Advances Total Accrued Interest Receivable Percent of Total Accrued Interest Receivable on Advances As of June 30, 2016 $ 86,354 3.6 % $ 1,454,518 3.8 % $ 1,388 4.2 % As of December 31, 2015 72,251 3.0 1,064,489 3.0 1,297 3.7 |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events On July 29, 2016 , the board of directors declared a cash dividend at an annualized rate of 3.65 percent based on capital stock balances outstanding during the second quarter of 2016. The dividend, including dividends on mandatorily redeemable capital stock, amounted to $21.9 million and was paid on August 2, 2016 . |
Basis of Presentation Summary o
Basis of Presentation Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Loans and Leases Receivable, Valuation, Policy | Collectively Evaluated Mortgage Loans. We evaluate the credit risk of our investments in conventional mortgage loans for impairment on a collective basis that considers loan-pool-specific attribute data, at the master commitment pool level, including historical delinquency migration, applies estimated loss severities, and incorporates available credit enhancements to establish our best estimate of probable incurred losses at the reporting date. Migration analysis is a methodology for estimating the rate of default experienced on pools of similar loans based on our historical experience. We apply migration analysis to conventional loans that are currently not past due, loans that are 30 to 59 days past due, 60 to 89 days past due, and 90 to 179 days past due. We then estimate the dollar amount of loans in these categories that we believe are likely to migrate to a realized loss position and apply a loss severity factor to estimate losses that would be incurred at the statement of condition date. The losses are then reduced by the probable cash flows resulting from available credit enhancement. Credit enhancement cash flows that are projected and assessed as not probable of receipt are not considered in reducing estimated losses. Individually Evaluated Mortgage Loans. Certain conventional mortgage loans, primarily impaired mortgage loans that are considered collateral-dependent, may be specifically identified for purposes of calculating the allowance for credit losses. A mortgage loan is considered collateral-dependent if repayment is only expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default and there is no credit enhancement from a participating financial institution to offset losses under the master commitment. The estimated credit losses on impaired collateral-dependent loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss on these loans on an individual loan basis. Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. The resulting incurred loss is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs. Additionally, for our investments in loans modified under our temporary loan modification plan, on the effective date of a loan modification we measure the present value of expected future cash flows discounted at the loan's effective interest rate and reduce the carrying value of the loan accordingly. |
Investment, Policy | We evaluate our individual available-for-sale and held-to-maturity securities for other-than-temporary impairment each quarter. |
Fair Value of Financial Instruments, Policy | We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security). |
Joint and Several Liability, Policy | We evaluate the financial condition of the other FHLBanks primarily based on known regulatory actions, publicly available financial information, and individual long-term credit-rating action as of each period-end presented. |
Loans And Leases Receivable Charge Off, Policy | A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. We evaluate whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. We charge off the portion of outstanding conventional mortgage loan balances in excess of fair value of the underlying property, less cost to sell and adjusted for any available credit enhancements for loans that are 180 or more days past due, when the borrower has filed for bankruptcy protection and the loan is at least 30 days past due, or when there is evidence of fraud. |
Trading Securities (Tables)
Trading Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Trading Securities [Abstract] | |
Trading Securities by Major Security Type [Table Text Block] | Our trading securities as of June 30, 2016 , and December 31, 2015 , were (dollars in thousands): June 30, 2016 December 31, 2015 Mortgage-backed securities (MBS) U.S. government-guaranteed – single-family $ 9,416 $ 10,296 Government-sponsored enterprise (GSEs) – single-family 1,056 1,449 GSEs – multifamily 216,158 218,389 Total $ 226,630 $ 230,134 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-Sale (AFS) Securities by Major Security Type [Table Text Block] | Our available-for-sale securities as of June 30, 2016 , were (dollars in thousands): Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value Supranational institutions $ 494,000 $ — $ (34,114 ) $ 459,886 U.S. government-owned corporations 360,432 — (61,826 ) 298,606 GSEs 146,965 — (18,227 ) 128,738 1,001,397 — (114,167 ) 887,230 MBS U.S. government guaranteed – single-family 142,021 56 (1,550 ) 140,527 U.S. government guaranteed – multifamily 685,781 2,290 (575 ) 687,496 GSEs – single-family 4,969,866 54,949 (638 ) 5,024,177 GSEs – multi-family 681,981 1,688 — 683,669 6,479,649 58,983 (2,763 ) 6,535,869 Total $ 7,481,046 $ 58,983 $ (116,930 ) $ 7,423,099 _______________________ (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Our available-for-sale securities as of December 31, 2015 , were (dollars in thousands): Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value Supranational institutions $ 467,277 $ — $ (28,364 ) $ 438,913 U.S. government-owned corporations 323,404 — (57,436 ) 265,968 GSEs 133,691 — (15,899 ) 117,792 924,372 — (101,699 ) 822,673 MBS U.S. government guaranteed – single-family 159,232 181 (2,771 ) 156,642 U.S. government guaranteed – multifamily 747,205 430 (2,873 ) 744,762 GSEs – single-family 4,621,194 6,248 (37,234 ) 4,590,208 5,527,631 6,859 (42,878 ) 5,491,612 Total $ 6,452,003 $ 6,859 $ (144,577 ) $ 6,314,285 _______________________ (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. |
Categories of Investments, Marketable Securities, Available-for-Sale Securities [Member] | |
Schedule of Available-for-sale Securities [Line Items] | |
AFS Securities in a Continuous Unrealized Loss Position [Table Text Block] | The following table summarizes our available-for-sale securities with unrealized losses as of June 30, 2016 , which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands): Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Supranational institutions $ — $ — $ 459,886 $ (34,114 ) $ 459,886 $ (34,114 ) U.S. government-owned corporations — — 298,606 (61,826 ) 298,606 (61,826 ) GSEs — — 128,738 (18,227 ) 128,738 (18,227 ) — — 887,230 (114,167 ) 887,230 (114,167 ) MBS U.S. government guaranteed – single-family 36,136 (12 ) 101,810 (1,538 ) 137,946 (1,550 ) U.S. government guaranteed – multifamily 102,494 (178 ) 100,512 (397 ) 203,006 (575 ) GSEs – single-family 382,995 (262 ) 139,376 (376 ) 522,371 (638 ) 521,625 (452 ) 341,698 (2,311 ) 863,323 (2,763 ) Total temporarily impaired $ 521,625 $ (452 ) $ 1,228,928 $ (116,478 ) $ 1,750,553 $ (116,930 ) The following table summarizes our available-for-sale securities with unrealized losses as of December 31, 2015 , which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands): Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Supranational institutions $ — $ — $ 438,913 $ (28,364 ) $ 438,913 $ (28,364 ) U.S. government-owned corporations — — 265,968 (57,436 ) 265,968 (57,436 ) GSEs — — 117,792 (15,899 ) 117,792 (15,899 ) — — 822,673 (101,699 ) 822,673 (101,699 ) MBS U.S. government guaranteed – single-family — — 113,626 (2,771 ) 113,626 (2,771 ) U.S. government guaranteed – multifamily 537,059 (2,040 ) 109,138 (833 ) 646,197 (2,873 ) GSEs – single-family 3,113,057 (28,878 ) 373,634 (8,356 ) 3,486,691 (37,234 ) 3,650,116 (30,918 ) 596,398 (11,960 ) 4,246,514 (42,878 ) Total temporarily impaired $ 3,650,116 $ (30,918 ) $ 1,419,071 $ (113,659 ) $ 5,069,187 $ (144,577 ) |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and fair value of our available-for-sale securities by contractual maturity at June 30, 2016 , and December 31, 2015 , were (dollars in thousands): June 30, 2016 December 31, 2015 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ — $ — $ — $ — Due after one year through five years — — — — Due after five years through 10 years 134,736 126,731 128,473 121,722 Due after 10 years 866,661 760,499 795,899 700,951 1,001,397 887,230 924,372 822,673 MBS (1) 6,479,649 6,535,869 5,527,631 5,491,612 Total $ 7,481,046 $ 7,423,099 $ 6,452,003 $ 6,314,285 _______________________ (1) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities by Major Security Type [Table Text Block] | Our held-to-maturity securities as of June 30, 2016 , were (dollars in thousands): Amortized Cost Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value U.S. agency obligations $ 2,825 $ — $ 2,825 $ 109 $ — $ 2,934 State or local housing-finance-agency obligations (HFA securities) 168,223 — 168,223 16 (22,111 ) 146,128 171,048 — 171,048 125 (22,111 ) 149,062 MBS U.S. government guaranteed – single-family 14,378 — 14,378 305 — 14,683 U.S. government guaranteed – multifamily 7,411 — 7,411 11 — 7,422 GSEs – single-family 955,485 — 955,485 25,398 (168 ) 980,715 GSEs – multifamily 348,936 — 348,936 20,949 — 369,885 Private-label – residential 1,085,887 (209,548 ) 876,339 215,097 (12,895 ) 1,078,541 Asset-backed securities (ABS) backed by home equity loans 14,484 (621 ) 13,863 531 (948 ) 13,446 2,426,581 (210,169 ) 2,216,412 262,291 (14,011 ) 2,464,692 Total $ 2,597,629 $ (210,169 ) $ 2,387,460 $ 262,416 $ (36,122 ) $ 2,613,754 Our held-to-maturity securities as of December 31, 2015 , were (dollars in thousands): Amortized Cost Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value U.S. agency obligations $ 3,605 $ — $ 3,605 $ 180 $ — $ 3,785 HFA securities 170,928 — 170,928 18 (21,356 ) 149,590 174,533 — 174,533 198 (21,356 ) 153,375 MBS U.S. government guaranteed – single-family 15,999 — 15,999 354 — 16,353 U.S. government guaranteed – multifamily 17,794 — 17,794 21 (7 ) 17,808 GSEs – single-family 1,093,124 — 1,093,124 26,562 (142 ) 1,119,544 GSEs – multifamily 386,635 — 386,635 18,118 — 404,753 Private-label – residential 1,180,661 (229,117 ) 951,544 257,312 (12,262 ) 1,196,594 ABS backed by home equity loans 15,604 (668 ) 14,936 682 (921 ) 14,697 2,709,817 (229,785 ) 2,480,032 303,049 (13,332 ) 2,769,749 Total $ 2,884,350 $ (229,785 ) $ 2,654,565 $ 303,247 $ (34,688 ) $ 2,923,124 |
Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities in a Continuous Unrealized Loss Position [Table Text Block] | The following table summarizes our held-to-maturity securities with unrealized losses as of June 30, 2016 , which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands). Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ — $ — $ 143,134 $ (22,111 ) $ 143,134 $ (22,111 ) MBS GSEs – single-family 12,423 (10 ) 15,134 (158 ) 27,557 (168 ) Private-label – residential 115,916 (3,774 ) 460,904 (51,283 ) 576,820 (55,057 ) ABS backed by home equity loans 204 (14 ) 12,176 (1,153 ) 12,380 (1,167 ) 128,543 (3,798 ) 488,214 (52,594 ) 616,757 (56,392 ) Total $ 128,543 $ (3,798 ) $ 631,348 $ (74,705 ) $ 759,891 $ (78,503 ) The following table summarizes our held-to-maturity securities with unrealized losses as of December 31, 2015 , which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands). Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ — $ — $ 146,594 $ (21,356 ) $ 146,594 $ (21,356 ) MBS U.S. government guaranteed - multifamily 5,842 (7 ) — — 5,842 (7 ) GSEs – single-family 22,261 (6 ) 16,417 (136 ) 38,678 (142 ) Private-label – residential 105,318 (1,729 ) 493,228 (45,051 ) 598,546 (46,780 ) ABS backed by home equity loans 205 (16 ) 13,348 (1,064 ) 13,553 (1,080 ) 133,626 (1,758 ) 522,993 (46,251 ) 656,619 (48,009 ) Total $ 133,626 $ (1,758 ) $ 669,587 $ (67,607 ) $ 803,213 $ (69,365 ) |
HTM Securities by Contractual Maturity [Table Text Block] | The amortized cost, carrying value, and fair value of our held-to-maturity securities by contractual maturity at June 30, 2016 , and December 31, 2015 , are shown below (dollars in thousands). Expected maturities of some securities and MBS may differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. June 30, 2016 December 31, 2015 Year of Maturity Amortized Cost Carrying Value (1) Fair Value Amortized Cost Carrying Value (1) Fair Value Due in one year or less $ — $ — $ — $ — $ — $ — Due after one year through five years 20,803 20,803 20,849 21,583 21,583 21,677 Due after five years through 10 years — — — — — — Due after 10 years 150,245 150,245 128,213 152,950 152,950 131,698 171,048 171,048 149,062 174,533 174,533 153,375 MBS (2) 2,426,581 2,216,412 2,464,692 2,709,817 2,480,032 2,769,749 Total $ 2,597,629 $ 2,387,460 $ 2,613,754 $ 2,884,350 $ 2,654,565 $ 2,923,124 _______________________ (1) Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss. (2) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. |
Other-Than-Temporary Impairme32
Other-Than-Temporary Impairment (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Significant Inputs for OTTI [Table Text Block] | For those securities for which a credit loss was recognized during the three months ended June 30, 2016 , the following table presents a summary of the average projected values over the remaining lives of the securities for the significant inputs used to measure the amount of the credit loss recognized in earnings, as well as related current credit enhancement. Credit enhancement is defined as the percentage of subordinated tranches, over-collateralization, and other credit enhancement, if any, in a security structure that will generally absorb losses before we will experience a credit loss on the security. The calculated averages represent the dollar-weighted average of Alt-A other-than-temporarily impaired private-label residential MBS (dollars in thousands). Weighted Average of Significant Inputs Weighted Average Current Credit Enhancement Private-label MBS by Classification Par Value Projected Prepayment Rates Projected Default Rates Projected Loss Severities Alt-A - Private-label residential MBS (1) $ 115,845 9.1 % 28.4 % 39.3 % 6.1 % _______________________ (1) Securities are classified based upon the current performance characteristics of the underlying loan pool and therefore the manner in which the loan pool backing the security has been modeled (as prime, Alt-A, or subprime), rather than their classification of the security at the time of issuance. |
Total Securities Other-than-Temporarily Impaired during the Life of the Security [Table Text Block] | The following table sets forth our securities for which other-than-temporary impairment credit losses were recognized during the life of the security through June 30, 2016 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance. June 30, 2016 Other-Than-Temporarily Impaired Investment (1) Par Value Amortized Cost Carrying Value Fair Value Private-label residential MBS – Prime $ 43,629 $ 37,789 $ 29,895 $ 38,071 Private-label residential MBS – Alt-A 1,190,864 880,834 679,181 885,991 ABS backed by home equity loans – Subprime 3,927 3,575 2,954 3,485 Total other-than-temporarily impaired securities $ 1,238,420 $ 922,198 $ 712,030 $ 927,547 _______________________ (1) We have instituted litigation related to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate. |
Rollforward of the Amounts Related to Credit Losses Recognized into Earnings [Table Text Block] | The following table presents a roll-forward of the amounts related to credit losses recognized in earnings. The roll-forward is the amount of credit losses on investment securities for which we recognized a portion of other-than-temporary impairment charges into accumulated other comprehensive loss (dollars in thousands). For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Balance at beginning of period $ 525,809 $ 559,725 $ 533,888 $ 568,652 Additions: Additional credit losses for which an other-than-temporary impairment charge was previously recognized (1) 1,003 1,429 2,350 1,775 Reductions: Increase in cash flows expected to be collected which are recognized over the remaining life of the security (2) (9,890 ) (9,813 ) (19,316 ) (19,086 ) Balance at end of period $ 516,922 $ 551,341 $ 516,922 $ 551,341 _______________________ (1) For the three months ended June 30, 2016 and 2015 , additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to April 1, 2016 and 2015 . For the six months ended June 30, 2016 and 2015 , additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to January 1, 2016 and 2015 . (2) Represents amounts accreted as interest income during the current period. |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Advances [Abstract] | |
Advances [Table Text Block] | At both June 30, 2016 , and December 31, 2015 , we had advances outstanding with interest rates ranging from zero percent to 7.72 percent , as summarized below (dollars in thousands). June 30, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Rate Amount Weighted Average Rate Overdrawn demand-deposit accounts $ 10,245 0.68 % $ 7,546 0.65 % Due in one year or less 19,407,150 0.80 18,282,139 0.72 Due after one year through two years 9,108,416 1.18 8,970,109 1.31 Due after two years through three years 2,697,227 1.80 3,170,267 1.94 Due after three years through four years 2,020,420 1.71 1,495,494 1.89 Due after four years through five years 1,909,821 1.51 1,845,396 1.71 Thereafter 2,883,735 2.13 2,196,832 2.70 Total par value 38,037,014 1.15 % 35,967,783 1.20 % Premiums 21,392 24,183 Discounts (18,839 ) (17,437 ) Fair value of bifurcated derivatives (1) 9,068 1,241 Hedging adjustments 193,285 100,397 Total $ 38,241,920 $ 36,076,167 _________________________ (1) At June 30, 2016 , and December 31, 2015 , we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives. The following table sets forth our advances outstanding by the year of contractual maturity or next put date for putable advances (dollars in thousands): Year of Contractual Maturity or Next Put Date, Par Value June 30, 2016 December 31, 2015 Overdrawn demand-deposit accounts $ 10,245 $ 7,546 Due in one year or less 21,424,950 19,924,939 Due after one year through two years 8,524,366 7,909,809 Due after two years through three years 2,634,477 2,870,517 Due after three years through four years 1,787,420 1,383,244 Due after four years through five years 1,615,821 1,783,896 Thereafter 2,039,735 2,087,832 Total par value $ 38,037,014 $ 35,967,783 At June 30, 2016 , and December 31, 2015 , we had callable advances and floating-rate advances that may be prepaid on a floating-rate reset date without prepayment or termination fees outstanding totaling $ 7.0 billion and $6.5 billion , respectively. Year of Contractual Maturity or Next Call Date (1) , Par Value June 30, 2016 December 31, 2015 Overdrawn demand-deposit accounts $ 10,245 $ 7,546 Due in one year or less 25,076,325 23,728,314 Due after one year through two years 3,871,416 3,983,109 Due after two years through three years 2,666,227 3,130,267 Due after three years through four years 2,010,420 1,455,494 Due after four years through five years 1,734,621 1,670,196 Thereafter 2,667,760 1,992,857 Total par value $ 38,037,014 $ 35,967,783 _______________________ (1) Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees For the three and six months ended June 30, 2016 and 2015 , net advance prepayment fees recognized in income are reflected in the following table (dollars in thousands): For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Prepayment fees received from borrowers $ 2,808 $ 279 $ 6,664 $ 3,896 Less: hedging fair-value adjustments on prepaid advances (1,037 ) — (2,226 ) (2,731 ) Less: net premiums associated with prepaid advances (18 ) — (1,774 ) — Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications (890 ) — (1,408 ) (246 ) Prepayment fees recognized in income on advance restructurings deemed to be extinguishments — — 1,676 3,102 Net prepayment fees recognized in income $ 863 $ 279 $ 2,932 $ 4,021 The following table details interest-rate-payment types for our outstanding advances (dollars in thousands): Par value of advances June 30, 2016 December 31, 2015 Fixed-rate $ 30,363,970 $ 29,257,362 Variable-rate 7,673,044 6,710,421 Total par value $ 38,037,014 $ 35,967,783 |
Mortgage Loans Held for Portf34
Mortgage Loans Held for Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | The following table presents certain characteristics of these investments (dollars in thousands): June 30, 2016 December 31, 2015 Real estate Fixed-rate 15-year single-family mortgages $ 550,970 $ 568,786 Fixed-rate 20- and 30-year single-family mortgages 3,011,348 2,949,589 Premiums 65,639 63,994 Discounts (1,883 ) (2,141 ) Deferred derivative gains, net 3,290 2,585 Total mortgage loans held for portfolio 3,629,364 3,582,813 Less: allowance for credit losses (900 ) (1,025 ) Total mortgage loans, net of allowance for credit losses $ 3,628,464 $ 3,581,788 The following table details the par value of mortgage loans held for portfolio (dollars in thousands): June 30, 2016 December 31, 2015 Conventional mortgage loans $ 3,159,409 $ 3,107,415 Government mortgage loans 402,909 410,960 Total par value $ 3,562,318 $ 3,518,375 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Allowance for Credit Losses [Abstract] | |
Recorded Investment in Delinquent Mortgage Loans [Table Text Block] | The tables below set forth certain key credit quality indicators for our investments in mortgage loans at June 30, 2016 , and December 31, 2015 (dollars in thousands): June 30, 2016 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 21,242 $ 13,958 $ 35,200 Past due 60-89 days delinquent 5,867 3,109 8,976 Past due 90 days or more delinquent 20,209 4,887 25,096 Total past due 47,318 21,954 69,272 Total current loans 3,186,254 392,073 3,578,327 Total mortgage loans $ 3,233,572 $ 414,027 $ 3,647,599 Other delinquency statistics In process of foreclosure, included above (1) $ 9,660 $ 1,837 $ 11,497 Serious delinquency rate (2) 0.65 % 1.18 % 0.71 % Past due 90 days or more still accruing interest $ — $ 4,887 $ 4,887 Loans on nonaccrual status (3) $ 20,466 $ — $ 20,466 _______________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class. (3) Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest as well as loans modified within the previous six months under our temporary loan modification plan. December 31, 2015 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 22,270 $ 13,784 $ 36,054 Past due 60-89 days delinquent 8,428 5,230 13,658 Past due 90 days or more delinquent 22,408 5,665 28,073 Total past due 53,106 24,679 77,785 Total current loans 3,125,664 397,667 3,523,331 Total mortgage loans $ 3,178,770 $ 422,346 $ 3,601,116 Other delinquency statistics In process of foreclosure, included above (1) $ 10,812 $ 2,341 $ 13,153 Serious delinquency rate (2) 0.73 % 1.34 % 0.80 % Past due 90 days or more still accruing interest $ — $ 5,665 $ 5,665 Loans on nonaccrual status (3) $ 22,408 $ — $ 22,408 _______________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class. (3) Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |
Individually Evaluated Impaired Loans, Recorded Investment [Table Text Block] | The following tables present the recorded investment, par value and any related allowance for impaired loans individually assessed for impairment at June 30, 2016 , and December 31, 2015 , and the average recorded investment and interest income recognized on these loans during the three and six months ended June 30, 2016 and 2015 (dollars in thousands). As of June 30, 2016 As of December 31, 2015 Recorded Investment Par Value Recorded Investment Par Value Individually evaluated impaired mortgage loans with no related allowance $ 24,583 $ 24,546 $ 26,668 $ 26,622 |
Individually Evaluated Impaired Loans, Average Recorded Investment and Interest Income Recognized [Table Text Block] | For the Three Months Ended June 30, 2016 2015 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 24,770 $ 102 $ 31,759 $ 129 For the Six Months Ended June 30, 2016 2015 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 25,217 $ 182 $ 32,557 $ 249 |
Rollforward of Allowance for Credit Losses on Mortgage Loans [Table Text Block] | The following table presents a roll-forward of the allowance for credit losses on conventional mortgage loans for the three and six months ended June 30, 2016 and 2015 , as well as the recorded investment in mortgage loans by impairment methodology at June 30, 2016 and 2015 , (dollars in thousands). The recorded investment in a loan is the par amount of the loan, adjusted for accrued interest, unamortized premiums or discounts, deferred derivative gains and losses, and direct write-downs. The recorded investment is net of any valuation allowance. For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Allowance for credit losses Balance, beginning of period $ 1,025 $ 1,350 $ 1,025 $ 2,012 Charge-offs, net of recoveries (14 ) (27 ) (25 ) (629 ) Reduction of provision for credit losses (111 ) (223 ) (100 ) (283 ) Balance, end of period $ 900 $ 1,100 $ 900 $ 1,100 Ending balance, individually evaluated for impairment $ — $ — $ — $ — Ending balance, collectively evaluated for impairment $ 900 $ 1,100 $ 900 $ 1,100 Recorded investment, end of period (1) Individually evaluated for impairment $ 24,583 $ 31,153 $ 24,583 $ 31,153 Collectively evaluated for impairment $ 3,208,989 $ 3,131,698 $ 3,208,989 $ 3,131,698 _________________________ (1) These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed above under — Government Mortgage Loans Held for Portfolio. |
Derivatives and Hedging Activ36
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments [Table Text Block] | The following table presents the fair value of derivatives, including the effect of netting adjustments and cash collateral as of June 30, 2016 , and December 31, 2015 (dollars in thousands): June 30, 2016 December 31, 2015 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 17,843,429 $ 26,652 $ (624,319 ) $ 15,195,012 $ 26,874 $ (468,982 ) Forward-start interest-rate swaps 527,800 — (62,854 ) 527,800 — (35,547 ) Total derivatives designated as hedging instruments 18,371,229 26,652 (687,173 ) 15,722,812 26,874 (504,529 ) Derivatives not designated as hedging instruments Economic hedges: Interest-rate swaps 1,009,500 29 (24,680 ) 562,500 246 (16,623 ) Interest-rate caps or floors — — — 300,000 — — Mortgage-delivery commitments (1) 46,100 309 — 24,714 18 (25 ) Total derivatives not designated as hedging instruments 1,055,600 338 (24,680 ) 887,214 264 (16,648 ) Total notional amount of derivatives $ 19,426,829 $ 16,610,026 Total derivatives before netting and collateral adjustments 26,990 (711,853 ) 27,138 (521,177 ) Netting adjustments and cash collateral including related accrued interest (2) 34,412 208,989 12,979 79,170 Derivative assets and derivative liabilities $ 61,402 $ (502,864 ) $ 40,117 $ (442,007 ) _______________________ (1) Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. (2) Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $243.4 million and $92.9 million at June 30, 2016 , and December 31, 2015 , respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $750,000 at December 31, 2015 . |
Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block] | Net (losses) gains on derivatives and hedging activities recorded in Other Income (Loss) for the three and six months ended June 30, 2016 and 2015 were as follows (dollars in thousands): For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Derivatives designated as hedging instruments Interest-rate swaps $ (2,218 ) $ (1,087 ) $ (5,251 ) $ (1,715 ) Forward-start interest-rate swaps (190 ) 184 (536 ) 104 Total net losses related to derivatives designated as hedging instruments (2,408 ) (903 ) (5,787 ) (1,611 ) Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps (1,245 ) 403 (4,717 ) (2,675 ) Mortgage-delivery commitments 690 (642 ) 1,306 (215 ) Total net losses related to derivatives not designated as hedging instruments (555 ) (239 ) (3,411 ) (2,890 ) Net losses on derivatives and hedging activities $ (2,963 ) $ (1,142 ) $ (9,198 ) $ (4,501 ) |
Gains (Losses) By Type of Hedged Item [Table Text Block] | The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedge relationships and the impact of those derivatives on our net interest income for the three and six months ended June 30, 2016 and 2015 , (dollars in thousands): For the Three Months Ended June 30, 2016 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ (25,621 ) $ 24,655 $ (966 ) $ (26,128 ) Investments (26,830 ) 27,186 356 (8,883 ) COs – bonds 564 (2,172 ) (1,608 ) 7,158 Total $ (51,887 ) $ 49,669 $ (2,218 ) $ (27,853 ) For the Three Months Ended June 30, 2015 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 39,168 $ (38,764 ) $ 404 $ (32,611 ) Investments 54,244 (53,694 ) 550 (9,439 ) COs – bonds (11,130 ) 9,089 (2,041 ) 15,265 Total $ 82,282 $ (83,369 ) $ (1,087 ) $ (26,785 ) For the Six Months Ended June 30, 2016 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ (94,077 ) $ 92,888 $ (1,189 ) $ (56,252 ) Investments (76,285 ) 77,025 740 (17,894 ) COs – bonds 10,831 (15,633 ) (4,802 ) 15,230 Total $ (159,531 ) $ 154,280 $ (5,251 ) $ (58,916 ) For the Six Months Ended June 30, 2015 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 33,311 $ (32,878 ) $ 433 $ (64,510 ) Investments 27,245 (26,368 ) 877 (18,921 ) COs – bonds 4,269 (7,294 ) (3,025 ) 30,963 Total $ 64,825 $ (66,540 ) $ (1,715 ) $ (52,468 ) ____________ (1) The net interest on derivatives in fair-value hedge relationships is presented in the statement of operations as interest income or interest expense of the respective hedged item. |
Effect of Cash Flow Hedge-Related Derivative Instruments [Table Text Block] | The following table presents the gains (losses) recognized in accumulated other comprehensive loss, the gains (losses) reclassified from accumulated other comprehensive loss into income, and the effect of our hedging activities on our net (losses) gains on derivatives and hedging activities in the statement of income for our forward-start interest-rate swaps associated with hedged CO bonds in cash-flow hedge relationships (dollars in thousands). Derivatives and Hedged Items in Cash Flow Hedging Relationships (Losses) Gains Recognized in Other Comprehensive Loss on Derivatives (Effective Portion) Location of (Losses) Gains Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) (Losses) Gains Recognized in Net (Losses) Gains on Derivatives and Hedging Activities (Ineffective Portion) Interest-rate swaps - CO bonds For the Three Months Ended June 30, 2016 $ (9,731 ) Interest expense $ (6,889 ) $ (190 ) For the Three Months Ended June 30, 2015 12,773 Interest expense (5,628 ) 184 For the Six Months Ended June 30, 2016 (26,770 ) Interest expense (14,097 ) (536 ) For the Six Months Ended June 30, 2015 630 Interest expense (10,520 ) 104 |
Post-haircut Value of Incremental Collateral Based on Incremental Credit Rating Downgrades [Table Text Block] | The following table sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at June 30, 2016 (dollars in thousands). Post Haircut Value of Incremental Collateral to be Delivered as of June 30, 2016 Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 24,789 AA- A+, A or A- 19,256 A- below A- 33,026 _______________________ (1) Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. |
Fair value of derivative instruments with and without the legal right of offset [Table Text Block] | The following table presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of June 30, 2016 , and December 31, 2015 and the fair value of derivatives that are not subject to such netting (dollars in thousands). Such netting includes any related cash collateral received from or pledged to counterparties. June 30, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives meeting netting requirements Gross recognized amount Uncleared derivatives $ 8,978 $ (541,387 ) $ 8,342 $ (463,154 ) Cleared derivatives 17,703 (170,466 ) 18,778 (57,998 ) Total gross recognized amount 26,681 (711,853 ) 27,120 (521,152 ) Gross amounts of netting adjustments and cash collateral Uncleared derivatives (8,978 ) 38,523 (7,628 ) 21,172 Cleared derivatives 43,390 170,466 20,607 57,998 Total gross amounts of netting adjustments and cash collateral 34,412 208,989 12,979 79,170 Net amounts after netting adjustments and cash collateral Uncleared derivatives — (502,864 ) 714 (441,982 ) Cleared derivatives 61,093 — 39,385 — Total net amounts after netting adjustments and cash collateral 61,093 (502,864 ) 40,099 (441,982 ) Derivatives not meeting netting requirements Mortgage delivery commitments 309 — 18 (25 ) Total derivative assets and total derivative liabilities Uncleared derivatives — (502,864 ) 714 (441,982 ) Cleared derivatives 61,093 — 39,385 — Mortgage delivery commitments 309 — 18 (25 ) Total derivative assets and total derivative liabilities presented in the statement of condition 61,402 (502,864 ) 40,117 (442,007 ) Non-cash collateral received or pledged not offset (1) Can be sold or repledged Uncleared derivatives — 49,911 — 64,391 Cannot be sold or repledged Uncleared derivatives — 408,662 — 331,716 Total non-cash collateral received or pledged, not offset — 458,573 — 396,107 Net amount Uncleared derivatives — (44,291 ) 714 (45,875 ) Cleared derivatives 61,093 — 39,385 — Mortgage delivery commitments 309 — 18 (25 ) Total net amount $ 61,402 $ (44,291 ) $ 40,117 $ (45,900 ) _______________________ (1) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At June 30, 2016 , and December 31, 2015 , we had additional net credit exposure of $6.1 million and $3.1 million , respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Deposits (Tables)
Deposits (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Deposits [Abstract] | |
Interest-bearing and Non-interest-bearing Deposits [Table Text Block] | The following table details interest- and noninterest-bearing deposits (dollars in thousands): June 30, 2016 December 31, 2015 Interest-bearing Demand and overnight $ 599,561 $ 454,087 Other 4,865 4,426 Noninterest-bearing Other 30,569 24,089 Total deposits $ 634,995 $ 482,602 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Debt Disclosure [Abstract] | |
CO Bonds by Year of Contractual Maturity [Table Text Block] | The following table sets forth the outstanding CO bonds for which we were primarily liable at June 30, 2016 , and December 31, 2015 , by year of contractual maturity (dollars in thousands): June 30, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 10,932,920 0.94 % $ 8,990,295 1.00 % Due after one year through two years 6,946,535 1.50 6,101,990 1.70 Due after two years through three years 2,767,045 1.55 3,389,580 1.59 Due after three years through four years 2,056,115 2.08 2,056,215 1.97 Due after four years through five years 1,696,720 1.79 1,329,210 2.11 Thereafter 2,614,460 2.94 3,440,045 2.95 Total par value 27,013,795 1.48 % 25,307,335 1.65 % Premiums 134,595 148,903 Discounts (15,741 ) (20,451 ) Hedging adjustments 7,122 (8,510 ) $ 27,139,771 $ 25,427,277 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. |
CO Bonds by Call Feature [Table Text Block] | Our CO bonds outstanding at June 30, 2016 , and December 31, 2015 , included (dollars in thousands): June 30, 2016 December 31, 2015 Par value of CO bonds Noncallable and nonputable $ 23,786,795 $ 21,714,335 Callable 3,227,000 3,593,000 Total par value $ 27,013,795 $ 25,307,335 |
CO Bonds by Year of Contractual Maturity or Next Call Date [Table Text Block] | The following is a summary of the CO bonds for which we were primarily liable at June 30, 2016 , and December 31, 2015 , by year of contractual maturity or next call date for callable CO bonds (dollars in thousands): Year of Contractual Maturity or Next Call Date June 30, 2016 December 31, 2015 Due in one year or less $ 13,413,920 $ 11,937,295 Due after one year through two years 6,048,535 5,802,990 Due after two years through three years 2,467,045 2,729,580 Due after three years through four years 1,926,115 1,831,215 Due after four years through five years 1,083,720 991,210 Thereafter 2,074,460 2,015,045 Total par value $ 27,013,795 $ 25,307,335 |
CO Bonds by Interest-rate-payment Type [Table Text Block] | The following table sets forth the CO bonds for which we were primarily liable by interest-rate-payment type at June 30, 2016 , and December 31, 2015 (dollars in thousands): June 30, 2016 December 31, 2015 Par value of CO bonds Fixed-rate $ 21,283,795 $ 21,847,335 Simple variable-rate 5,055,000 3,145,000 Step-up 675,000 315,000 Total par value $ 27,013,795 $ 25,307,335 |
CO Discount Notes [Table Text Block] | Outstanding CO discount notes for which we were primarily liable, all of which are due within one year, were as follows (dollars in thousands): Book Value Par Value Weighted Average Rate (1) June 30, 2016 $ 30,483,963 $ 30,495,259 0.34 % December 31, 2015 $ 28,479,097 $ 28,487,577 0.24 % _______________________ (1) The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Affordable Housing Program [Abstract] | |
Roll-forward of the AHP Liability[Table Text Block] | The following table presents a roll-forward of the AHP liability for the six months ended June 30, 2016 , and year ended December 31, 2015 (dollars in thousands): June 30, 2016 December 31, 2015 Balance at beginning of year $ 82,081 $ 66,993 AHP expense for the period 8,632 32,328 AHP direct grant disbursements (7,025 ) (16,716 ) AHP subsidy for AHP advance disbursements (725 ) (1,255 ) Return of previously disbursed grants and subsidies 16 731 Balance at end of period $ 82,979 $ 82,081 |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Capital [Abstract] | |
Compliance with Regulatory Capital Requirements [Table Text Block] | The following tables demonstrate our compliance with our regulatory capital requirements at June 30, 2016 , and December 31, 2015 (dollars in thousands): Risk-Based Capital Requirements June 30, December 31, Permanent capital Class B capital stock $ 2,353,698 $ 2,336,662 Mandatorily redeemable capital stock 35,076 41,989 Retained earnings 1,165,157 1,128,848 Total permanent capital $ 3,553,931 $ 3,507,499 Risk-based capital requirement Credit-risk capital $ 376,729 $ 381,176 Market-risk capital 101,049 83,875 Operations-risk capital 143,333 139,515 Total risk-based capital requirement $ 621,111 $ 604,566 Permanent capital in excess of risk-based capital requirement $ 2,932,820 $ 2,902,933 June 30, 2016 December 31, 2015 Required Actual Required Actual Capital Ratio Risk-based capital $ 621,111 $ 3,553,931 $ 604,566 $ 3,507,499 Total regulatory capital $ 2,486,406 $ 3,553,931 $ 2,324,107 $ 3,507,499 Total capital-to-asset ratio 4.0 % 5.7 % 4.0 % 6.0 % Leverage Ratio Leverage capital $ 3,108,008 $ 5,330,897 $ 2,905,133 $ 5,261,249 Leverage capital-to-assets ratio 5.0 % 8.6 % 5.0 % 9.1 % |
Accumulated Other Comprehensi41
Accumulated Other Comprehensive Loss (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Accumulated Other Comprehensive Loss [Table Text Block] | Accumulated Other Comprehensive Loss The following table presents a summary of changes in accumulated other comprehensive loss for the three and six months ended June 30, 2016 and 2015 , (dollars in thousands): Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss Balance, March 31, 2015 $ (53,034 ) $ (264,357 ) $ (88,675 ) $ (5,763 ) $ (411,829 ) Other comprehensive income (loss) before reclassifications: Net unrealized (losses) gains (14,793 ) — 12,773 — (2,020 ) Accretion of noncredit loss — 11,990 — — 11,990 Net actuarial loss — — — (8 ) (8 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,073 — — 1,073 Amortization - hedging activities (2) — — 5,631 — 5,631 Amortization - pension and postretirement benefits (3) — — — 100 100 Other comprehensive (loss) income (14,793 ) 13,063 18,404 92 16,766 Balance, June 30, 2015 $ (67,827 ) $ (251,294 ) $ (70,271 ) $ (5,671 ) $ (395,063 ) Balance, March 31, 2016 $ (85,888 ) $ (219,739 ) $ (81,065 ) $ (3,738 ) $ (390,430 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 27,941 — (9,731 ) — 18,210 Noncredit other-than-temporary impairment losses — (420 ) — — (420 ) Accretion of noncredit loss — 9,211 — — 9,211 Net actuarial loss — — — (2,918 ) (2,918 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 779 — — 779 Amortization - hedging activities (4) — — 6,893 — 6,893 Amortization - pension and postretirement benefits (3) — — — 333 333 Other comprehensive income (loss) 27,941 9,570 (2,838 ) (2,585 ) 32,088 Balance, June 30, 2016 $ (57,947 ) $ (210,169 ) $ (83,903 ) $ (6,323 ) $ (358,342 ) _______________________ (1) Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. (2) Amortization of hedging activities includes $5.6 million recorded in CO bond interest expense and $4,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. (3) Recorded in other operating expenses in the statement of operations. (4) Amortization of hedging activities includes $6.9 million recorded in CO bond interest expense and $4,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss Balance, December 31, 2014 $ (73,623 ) $ (275,942 ) $ (81,428 ) $ (5,993 ) $ (436,986 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains 5,796 — 630 — 6,426 Accretion of noncredit loss — 23,453 — — 23,453 Net actuarial loss — — — (8 ) (8 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,195 — — 1,195 Amortization - hedging activities (2) — — 10,527 — 10,527 Amortization - pension and postretirement benefits (3) — — — 330 330 Other comprehensive income 5,796 24,648 11,157 322 41,923 Balance, June 30, 2015 $ (67,827 ) $ (251,294 ) $ (70,271 ) $ (5,671 ) $ (395,063 ) Balance, December 31, 2015 $ (137,718 ) $ (229,785 ) $ (71,237 ) $ (3,857 ) $ (442,597 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 79,771 — (26,770 ) — 53,001 Noncredit other-than-temporary impairment losses — (656 ) — — (656 ) Accretion of noncredit loss — 18,352 — — 18,352 Net actuarial loss — — — (2,917 ) (2,917 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,920 — — 1,920 Amortization - hedging activities (4) — — 14,104 — 14,104 Amortization - pension and postretirement benefits (3) — — — 451 451 Other comprehensive income (loss) 79,771 19,616 (12,666 ) (2,466 ) 84,255 Balance, June 30, 2016 $ (57,947 ) $ (210,169 ) $ (83,903 ) $ (6,323 ) $ (358,342 ) _______________________ (1) Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. (2) Amortization of hedging activities includes $10.5 million recorded in CO bond interest expense and $7,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. (3) Recorded in other operating expenses in the statement of operations. (4) Amortization of hedging activities includes $14.1 million recorded in CO bond interest expense and $7,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Employee Retirement Plans [Line Items] | |
Net Periodic Benefit Cost [Table Text Block] | The following table presents the components of net periodic benefit cost for our nonqualified supplemental defined benefit retirement plan and postretirement benefits for the three and six months ended June 30, 2016 and 2015 , (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan For the Three Months Ended June 30, Postretirement Benefits For the Three Months Ended June 30, 2016 2015 2016 2015 Net Periodic Benefit Cost Service cost $ 342 $ 172 $ 7 $ 12 Interest cost 186 121 9 9 Amortization of net actuarial loss 331 97 2 3 Net periodic benefit cost $ 859 $ 390 $ 18 $ 24 |
Pentegra Defined Contribution Plan and Thrift Benefit Equalization Plan [Member] | |
Employee Retirement Plans [Line Items] | |
Schedule of Costs of Retirement Plans [Table Text Block] | The following table sets forth our net pension costs under our defined benefit plan and expenses relating to our defined contribution plans (dollars in thousands): For the Three Months Ended June 30, For the Six Months Ended June 30, 2016 2015 2016 2015 Qualified Defined Benefit Multiemployer Plan - Pentegra Defined Benefit Plan $ 106 $ 5,102 $ 214 $ 5,205 Qualified Defined Contribution Plan - Pentegra Defined Contribution Plan 303 280 570 528 Nonqualified Defined Contribution Plan - Thrift Benefit Equalization Plan 8 9 174 119 |
Fair Values (Tables)
Fair Values (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments [Table Text Block] | The carrying values, fair values, and fair-value hierarchy of our financial instruments at June 30, 2016 , and December 31, 2015 , were as follows (dollars in thousands). These fair values do not represent an estimate of our overall market value as a going concern, which would take into account, among other things, our future business opportunities and the net profitability of our assets and liabilities. June 30, 2016 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral Financial instruments Assets: Cash and due from banks $ 413,908 $ 413,908 $ 413,908 $ — $ — $ — Interest-bearing deposits 298 298 298 — — — Securities purchased under agreements to resell 5,799,000 5,798,911 — 5,798,911 — — Federal funds sold 3,840,000 3,839,982 — 3,839,982 — — Trading securities (1) 226,630 226,630 — 226,630 — — Available-for-sale securities (1) 7,423,099 7,423,099 — 7,423,099 — — Held-to-maturity securities 2,387,460 2,613,754 — 1,375,639 1,238,115 — Advances 38,241,920 38,503,180 — 38,503,180 — — Mortgage loans, net 3,628,464 3,775,949 — 3,746,992 28,957 — Accrued interest receivable 82,995 82,995 — 82,995 — — Derivative assets (1) 61,402 61,402 — 26,990 — 34,412 Other assets (1) 17,417 17,417 7,222 10,195 — — Liabilities: Deposits (634,995 ) (634,993 ) — (634,993 ) — — COs: Bonds (27,139,771 ) (27,608,287 ) — (27,608,287 ) — — Discount notes (30,483,963 ) (30,485,960 ) — (30,485,960 ) — — Mandatorily redeemable capital stock (35,076 ) (35,076 ) (35,076 ) — — — Accrued interest payable (76,098 ) (76,098 ) — (76,098 ) — — Derivative liabilities (1) (502,864 ) (502,864 ) — (711,853 ) — 208,989 Other: Commitments to extend credit for advances — (1,235 ) — (1,235 ) — — Standby letters of credit (699 ) (699 ) — (699 ) — — _______________________ (1) Carried at fair value on a recurring basis. December 31, 2015 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral Financial instruments Assets: Cash and due from banks $ 254,218 $ 254,218 $ 254,218 $ — $ — $ — Interest-bearing deposits 197 197 197 — — — Securities purchased under agreements to resell 6,700,000 6,699,852 — 6,699,852 — — Federal funds sold 2,120,000 2,119,962 — 2,119,962 — — Trading securities (1) 230,134 230,134 — 230,134 — — Available-for-sale securities (1) 6,314,285 6,314,285 — 6,314,285 — — Held-to-maturity securities 2,654,565 2,923,124 — 1,562,243 1,360,881 — Advances 36,076,167 36,209,343 — 36,209,343 — — Mortgage loans, net 3,581,788 3,666,146 — 3,635,073 31,073 — Accrued interest receivable 84,442 84,442 — 84,442 — — Derivative assets (1) 40,117 40,117 — 27,138 — 12,979 Other assets (1) 15,292 15,292 6,373 8,919 — — Liabilities: Deposits (482,602 ) (482,595 ) — (482,595 ) — — COs: Bonds (25,427,277 ) (25,578,547 ) — (25,578,547 ) — — Discount notes (28,479,097 ) (28,479,076 ) — (28,479,076 ) — — Mandatorily redeemable capital stock (41,989 ) (41,989 ) (41,989 ) — — — Accrued interest payable (81,268 ) (81,268 ) — (81,268 ) — — Derivative liabilities (1) (442,007 ) (442,007 ) — (521,177 ) — 79,170 Other: Commitments to extend credit for advances — (689 ) — (689 ) — — Standby letters of credit (831 ) (831 ) — (831 ) — — _______________________ (1) Carried at fair value on a recurring basis. |
Fair Value Measured on Recurring Basis [Table Text Block] | The following tables present our assets and liabilities that are measured at fair value on the statement of condition, which are recorded on a recurring basis at June 30, 2016 , and December 31, 2015 , by fair-value hierarchy level (dollars in thousands): June 30, 2016 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. government-guaranteed – single-family MBS $ — $ 9,416 $ — $ — $ 9,416 GSEs – single-family MBS — 1,056 — — 1,056 GSEs – multi-family MBS — 216,158 — — 216,158 Total trading securities — 226,630 — — 226,630 Available-for-sale securities: Supranational institutions — 459,886 — — 459,886 U.S. government-owned corporations — 298,606 — — 298,606 GSEs — 128,738 — — 128,738 U.S. government guaranteed – single-family MBS — 140,527 — — 140,527 U.S. government guaranteed – multifamily MBS — 687,496 — — 687,496 GSEs – single-family MBS — 5,024,177 — — 5,024,177 GSEs – multi-family MBS — 683,669 — — 683,669 Total available-for-sale securities — 7,423,099 — — 7,423,099 Derivative assets: Interest-rate-exchange agreements — 26,681 — 34,412 61,093 Mortgage delivery commitments — 309 — — 309 Total derivative assets — 26,990 — 34,412 61,402 Other assets 7,222 10,195 — — 17,417 Total assets at fair value $ 7,222 $ 7,686,914 $ — $ 34,412 $ 7,728,548 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (711,853 ) $ — $ 208,989 $ (502,864 ) Total liabilities at fair value $ — $ (711,853 ) $ — $ 208,989 $ (502,864 ) _______________________ (1) These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. December 31, 2015 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. government-guaranteed – single-family MBS $ — $ 10,296 $ — $ — $ 10,296 GSEs – single-family MBS — 1,449 — — 1,449 GSEs – multifamily MBS — 218,389 — — 218,389 Total trading securities — 230,134 — — 230,134 Available-for-sale securities: Supranational institutions — 438,913 — — 438,913 U.S. government-owned corporations — 265,968 — — 265,968 GSEs — 117,792 — — 117,792 U.S. government guaranteed – single-family MBS — 156,642 — — 156,642 U.S. government guaranteed – multifamily MBS — 744,762 — — 744,762 GSEs – single-family MBS — 4,590,208 — — 4,590,208 Total available-for-sale securities — 6,314,285 — — 6,314,285 Derivative assets: Interest-rate-exchange agreements — 27,120 — 12,979 40,099 Mortgage delivery commitments — 18 — — 18 Total derivative assets — 27,138 — 12,979 40,117 Other assets 6,373 8,919 — — 15,292 Total assets at fair value $ 6,373 $ 6,580,476 $ — $ 12,979 $ 6,599,828 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (521,152 ) $ — $ 79,170 $ (441,982 ) Mortgage delivery commitments — (25 ) — — (25 ) Total liabilities at fair value $ — $ (521,177 ) $ — $ 79,170 $ (442,007 ) _______________________ (1) These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Fair Value on a Nonrecurring Basis [Table Text Block] | The following tables present financial assets by level within the fair-value hierarchy which were recorded at fair value on a nonrecurring basis during the six months ended June 30, 2016 , and year ended December 31, 2015 (dollars in thousands): For the Six Months Ended June 30, 2016 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 9,386 $ 9,386 Mortgage loans held for portfolio — — 5,413 5,413 REO — — 1,492 1,492 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 16,291 $ 16,291 For the Year Ended December 31, 2015 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 16,653 $ 16,653 Mortgage loans held for portfolio — — 5,376 5,376 REO — — 2,284 2,284 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 24,313 $ 24,313 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | The following table sets forth our off-balance-sheet commitments as of June 30, 2016 , and December 31, 2015 (dollars in thousands): June 30, 2016 December 31, 2015 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (1) $ 3,922,777 $ 68,855 $ 3,991,632 $ 3,998,609 $ 77,477 $ 4,076,086 Commitments for unused lines of credit - advances (2) 1,254,875 — 1,254,875 1,263,182 — 1,263,182 Commitments to make additional advances 1,133,755 44,680 1,178,435 650,890 54,308 705,198 Commitments to invest in mortgage loans 46,100 — 46,100 24,714 — 24,714 Unsettled CO bonds, at par (3) 322,500 — 322,500 25,000 — 25,000 Unsettled CO discount notes, at par 408,000 — 408,000 700,000 — 700,000 __________________________ (1) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At June 30, 2016 , and December 31, 2015 , these amounts totaled $ 14.0 million and $27.3 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $4.0 million at December 31, 2015 . (2) Commitments for unused line-of-credit advances are generally for periods of up to 12 months . Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. (3) We had $25.0 million in unsettled CO bonds that were hedged with associated interest-rate swaps at December 31, 2015 . |
Transactions with Shareholders
Transactions with Shareholders (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Transactions with Shareholders [Abstract] | |
Schedule of Transactions with Shareholders [Table Text Block] | The following tables present transactions with shareholders whose holdings of capital stock exceed 10 percent or more of total capital stock outstanding at June 30, 2016 , and December 31, 2015 (dollars in thousands): Capital Stock Outstanding Percent of Total Par Value of Advances Percent of Total Par Value of Advances Total Accrued Interest Receivable Percent of Total Accrued Interest Receivable on Advances As of June 30, 2016 Citizens Bank, N.A. $ 313,618 13.1 % $ 6,260,716 16.5 % $ 789 2.4 % As of December 31, 2015 Citizens Bank, N.A. $ 308,280 13.0 % $ 6,015,163 16.7 % $ 1,583 4.5 % |
Schedule of Transactions with Shareholders, Interest Income [Table Text Block] | We recognized interest income on outstanding advances and fees on letters of credit from Citizens Bank, N.A. during the three and six months ended June 30, 2016 and 2015 as follows (dollars in thousands): For the Three Months Ended June 30, For the Six Months Ended June 30, Citizens Bank, N.A. 2016 2015 2016 2015 Interest income on advances $ 8,082 $ 3,447 $ 16,286 $ 7,163 Fees on letters of credit 779 1,050 1,619 2,039 |
Schedule of Transactions with Shareholders, Transactions with Directors' Financial Institutions [Table Text Block] | The following table presents the outstanding balances of capital stock, advances, and accrued interest receivable with members whose officers or directors serve on our board of directors, and those balances as a percentage of our total balance as reported on our statement of condition (dollars in thousands): Capital Stock Outstanding Percent of Total Capital Stock Outstanding Par Value of Advances Percent of Total Par Value of Advances Total Accrued Interest Receivable Percent of Total Accrued Interest Receivable on Advances As of June 30, 2016 $ 86,354 3.6 % $ 1,454,518 3.8 % $ 1,388 4.2 % As of December 31, 2015 72,251 3.0 1,064,489 3.0 1,297 3.7 |
Recently Issued and Adopted A46
Recently Issued and Adopted Accounting Guidance Debt Issuance Costs (Details) $ in Millions | Dec. 31, 2015USD ($) |
Statement of Financial Position [Abstract] | |
Unamortized concessions | $ 6.1 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 226,630 | $ 230,134 |
U.S. government-guaranteed - single-family MBS [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 9,416 | 10,296 |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 1,056 | 1,449 |
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 216,158 | $ 218,389 |
Trading Securities - Net Unreal
Trading Securities - Net Unrealized (Losses) Gains (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Trading Securities [Abstract] | ||||
Net unrealized gains (losses) on trading securities | $ 84 | $ (2,393) | $ 1,957 | $ (1,112) |
Available-for-Sale Securities M
Available-for-Sale Securities Major Security Types (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 7,481,046 | $ 6,452,003 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 58,983 | 6,859 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (116,930) | (144,577) | |
Available-for-sale securities Fair Value | 7,423,099 | 6,314,285 | |
Supranational institutions [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 494,000 | 467,277 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (34,114) | (28,364) | |
Available-for-sale securities Fair Value | 459,886 | 438,913 | |
U.S. government-owned corporations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 360,432 | 323,404 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (61,826) | (57,436) | |
Available-for-sale securities Fair Value | 298,606 | 265,968 | |
GSEs [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 146,965 | 133,691 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (18,227) | (15,899) | |
Available-for-sale securities Fair Value | 128,738 | 117,792 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 1,001,397 | 924,372 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (114,167) | (101,699) | |
Available-for-sale securities Fair Value | 887,230 | 822,673 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 142,021 | 159,232 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 56 | 181 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (1,550) | (2,771) | |
Available-for-sale securities Fair Value | 140,527 | 156,642 | |
U.S. government guaranteed - multifamily MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 685,781 | 747,205 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 2,290 | 430 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (575) | (2,873) | |
Available-for-sale securities Fair Value | 687,496 | 744,762 | |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1],[2] | 6,479,649 | 5,527,631 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 58,983 | 6,859 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,763) | (42,878) | |
Available-for-sale securities Fair Value | [2] | 6,535,869 | 5,491,612 |
GSEs - single-family [Member] | GSEs – MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 4,969,866 | 4,621,194 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 54,949 | 6,248 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (638) | (37,234) | |
Available-for-sale securities Fair Value | 5,024,177 | $ 4,590,208 | |
GSEs - multifamily [Member] | GSEs – MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 681,981 | |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 1,688 | ||
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | ||
Available-for-sale securities Fair Value | $ 683,669 | ||
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. | ||
[2] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. |
Available-for-Sale Securities S
Available-for-Sale Securities Securities with Unrealized Losses (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 521,625 | $ 3,650,116 |
Less than 12 Months, Unrealized Losses | (452) | (30,918) |
12 Months or More, Fair Value | 1,228,928 | 1,419,071 |
12 Months or More, Unrealized Losses | (116,478) | (113,659) |
Total Fair Value | 1,750,553 | 5,069,187 |
Total Unrealized Losses | (116,930) | (144,577) |
Supranational institutions [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 459,886 | 438,913 |
12 Months or More, Unrealized Losses | (34,114) | (28,364) |
Total Fair Value | 459,886 | 438,913 |
Total Unrealized Losses | (34,114) | (28,364) |
U.S. government-owned corporations [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 298,606 | 265,968 |
12 Months or More, Unrealized Losses | (61,826) | (57,436) |
Total Fair Value | 298,606 | 265,968 |
Total Unrealized Losses | (61,826) | (57,436) |
GSEs [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 128,738 | 117,792 |
12 Months or More, Unrealized Losses | (18,227) | (15,899) |
Total Fair Value | 128,738 | 117,792 |
Total Unrealized Losses | (18,227) | (15,899) |
Other Than Mortgage-backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 887,230 | 822,673 |
12 Months or More, Unrealized Losses | (114,167) | (101,699) |
Total Fair Value | 887,230 | 822,673 |
Total Unrealized Losses | (114,167) | (101,699) |
U.S. government-guaranteed - single-family MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 36,136 | 0 |
Less than 12 Months, Unrealized Losses | (12) | 0 |
12 Months or More, Fair Value | 101,810 | 113,626 |
12 Months or More, Unrealized Losses | (1,538) | (2,771) |
Total Fair Value | 137,946 | 113,626 |
Total Unrealized Losses | (1,550) | (2,771) |
U.S. government guaranteed - multifamily MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 102,494 | 537,059 |
Less than 12 Months, Unrealized Losses | (178) | (2,040) |
12 Months or More, Fair Value | 100,512 | 109,138 |
12 Months or More, Unrealized Losses | (397) | (833) |
Total Fair Value | 203,006 | 646,197 |
Total Unrealized Losses | (575) | (2,873) |
MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 521,625 | 3,650,116 |
Less than 12 Months, Unrealized Losses | (452) | (30,918) |
12 Months or More, Fair Value | 341,698 | 596,398 |
12 Months or More, Unrealized Losses | (2,311) | (11,960) |
Total Fair Value | 863,323 | 4,246,514 |
Total Unrealized Losses | (2,763) | (42,878) |
GSEs - single-family [Member] | GSEs – MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 382,995 | 3,113,057 |
Less than 12 Months, Unrealized Losses | (262) | (28,878) |
12 Months or More, Fair Value | 139,376 | 373,634 |
12 Months or More, Unrealized Losses | (376) | (8,356) |
Total Fair Value | 522,371 | 3,486,691 |
Total Unrealized Losses | $ (638) | $ (37,234) |
Available-for-Sale Securities R
Available-for-Sale Securities Redemption Terms (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 7,481,046 | $ 6,452,003 |
Fair Value | 7,423,099 | 6,314,285 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Due in one year or less, amortized cost | 0 | 0 | |
Due in one year or less, fair value | 0 | 0 | |
Due after one year through five years, amortized cost | 0 | 0 | |
Due after one year through five years, fair value | 0 | 0 | |
Due after five years through 10 years, amortized cost | 134,736 | 128,473 | |
Due after five years through 10 years, fair value | 126,731 | 121,722 | |
Due after 10 years, amortized cost | 866,661 | 795,899 | |
Due after 10 years, fair value | 760,499 | 700,951 | |
Amortized Cost | [1] | 1,001,397 | 924,372 |
Fair Value | 887,230 | 822,673 | |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1],[2] | 6,479,649 | 5,527,631 |
Fair Value | [2] | $ 6,535,869 | $ 5,491,612 |
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. | ||
[2] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities Maj
Held-to-Maturity Securities Major Security Types (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 2,597,629 | $ 2,884,350 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (210,169) | (229,785) | |
Carrying Value | [1],[2] | 2,387,460 | 2,654,565 |
Gross Unrecognized Holding Gains | 262,416 | 303,247 | |
Gross Unrecognized Holding Losses | (36,122) | (34,688) | |
Held-to-maturity securities Fair Value | 2,613,754 | 2,923,124 | |
U.S. agency obligations [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 2,825 | 3,605 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 2,825 | 3,605 | |
Gross Unrecognized Holding Gains | 109 | 180 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 2,934 | 3,785 | |
HFA securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 168,223 | 170,928 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 168,223 | 170,928 | |
Gross Unrecognized Holding Gains | 16 | 18 | |
Gross Unrecognized Holding Losses | (22,111) | (21,356) | |
Held-to-maturity securities Fair Value | 146,128 | 149,590 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 171,048 | 174,533 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | [1] | 171,048 | 174,533 |
Gross Unrecognized Holding Gains | 125 | 198 | |
Gross Unrecognized Holding Losses | (22,111) | (21,356) | |
Held-to-maturity securities Fair Value | 149,062 | 153,375 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 14,378 | 15,999 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 14,378 | 15,999 | |
Gross Unrecognized Holding Gains | 305 | 354 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 14,683 | 16,353 | |
U.S. government guaranteed - multifamily MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 7,411 | 17,794 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 7,411 | 17,794 | |
Gross Unrecognized Holding Gains | 11 | 21 | |
Gross Unrecognized Holding Losses | 0 | (7) | |
Held-to-maturity securities Fair Value | 7,422 | 17,808 | |
Asset-backed securities backed by home equity loans [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 14,484 | 15,604 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (621) | (668) | |
Carrying Value | 13,863 | 14,936 | |
Gross Unrecognized Holding Gains | 531 | 682 | |
Gross Unrecognized Holding Losses | (948) | (921) | |
Held-to-maturity securities Fair Value | 13,446 | 14,697 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [3] | 2,426,581 | 2,709,817 |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (210,169) | (229,785) | |
Carrying Value | [1],[3] | 2,216,412 | 2,480,032 |
Gross Unrecognized Holding Gains | 262,291 | 303,049 | |
Gross Unrecognized Holding Losses | (14,011) | (13,332) | |
Held-to-maturity securities Fair Value | [3] | 2,464,692 | 2,769,749 |
GSEs - single-family [Member] | GSEs – MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 955,485 | 1,093,124 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 955,485 | 1,093,124 | |
Gross Unrecognized Holding Gains | 25,398 | 26,562 | |
Gross Unrecognized Holding Losses | (168) | (142) | |
Held-to-maturity securities Fair Value | 980,715 | 1,119,544 | |
GSEs - multifamily [Member] | GSEs – MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 348,936 | 386,635 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 348,936 | 386,635 | |
Gross Unrecognized Holding Gains | 20,949 | 18,118 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 369,885 | 404,753 | |
Private-label - residential MBS [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 1,085,887 | 1,180,661 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (209,548) | (229,117) | |
Carrying Value | 876,339 | 951,544 | |
Gross Unrecognized Holding Gains | 215,097 | 257,312 | |
Gross Unrecognized Holding Losses | (12,895) | (12,262) | |
Held-to-maturity securities Fair Value | $ 1,078,541 | $ 1,196,594 | |
[1] | Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss. | ||
[2] | Fair values of held-to-maturity securities were $2,613,754 and $2,923,124 at June 30, 2016, and December 31, 2015, respectively. | ||
[3] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. |
Held-to-Maturity Securities Fai
Held-to-Maturity Securities Fair Value and Unrealized Losses (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 128,543 | $ 133,626 |
Less than 12 Months, Unrealized Losses | (3,798) | (1,758) |
12 Months or More, Fair Value | 631,348 | 669,587 |
12 Months or More, Unrealized Losses | (74,705) | (67,607) |
Total Fair Value | 759,891 | 803,213 |
Total Unrealized Losses | (78,503) | (69,365) |
HFA securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 143,134 | 146,594 |
12 Months or More, Unrealized Losses | (22,111) | (21,356) |
Total Fair Value | 143,134 | 146,594 |
Total Unrealized Losses | (22,111) | (21,356) |
U.S. government guaranteed - multifamily MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 5,842 | |
Less than 12 Months, Unrealized Losses | (7) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Fair Value | 5,842 | |
Total Unrealized Losses | (7) | |
Asset-backed securities backed by home equity loans [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 204 | 205 |
Less than 12 Months, Unrealized Losses | (14) | (16) |
12 Months or More, Fair Value | 12,176 | 13,348 |
12 Months or More, Unrealized Losses | (1,153) | (1,064) |
Total Fair Value | 12,380 | 13,553 |
Total Unrealized Losses | (1,167) | (1,080) |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 128,543 | 133,626 |
Less than 12 Months, Unrealized Losses | (3,798) | (1,758) |
12 Months or More, Fair Value | 488,214 | 522,993 |
12 Months or More, Unrealized Losses | (52,594) | (46,251) |
Total Fair Value | 616,757 | 656,619 |
Total Unrealized Losses | (56,392) | (48,009) |
GSEs - single-family [Member] | GSEs – MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 12,423 | 22,261 |
Less than 12 Months, Unrealized Losses | (10) | (6) |
12 Months or More, Fair Value | 15,134 | 16,417 |
12 Months or More, Unrealized Losses | (158) | (136) |
Total Fair Value | 27,557 | 38,678 |
Total Unrealized Losses | (168) | (142) |
Private-label - residential MBS [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 115,916 | 105,318 |
Less than 12 Months, Unrealized Losses | (3,774) | (1,729) |
12 Months or More, Fair Value | 460,904 | 493,228 |
12 Months or More, Unrealized Losses | (51,283) | (45,051) |
Total Fair Value | 576,820 | 598,546 |
Total Unrealized Losses | $ (55,057) | $ (46,780) |
Held-to-Maturity Securities Red
Held-to-Maturity Securities Redemption Terms (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 2,597,629 | $ 2,884,350 | |
Carrying Value | [1],[2] | 2,387,460 | 2,654,565 |
Fair Value | 2,613,754 | 2,923,124 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Due in one year or less, Amortized Cost | 0 | 0 | |
Due in one year or less, Carrying Value | [1] | 0 | 0 |
Due in one year or less, Fair Value | 0 | 0 | |
Due after one year through five years, Amortized Cost | 20,803 | 21,583 | |
Due after one year through five years, Carrying Value | [1] | 20,803 | 21,583 |
Due after one year through five years, Fair Value | 20,849 | 21,677 | |
Due after five years through 10 years, Amortized Cost | 0 | 0 | |
Due after five years through 10 years, Carrying Value | [1] | 0 | 0 |
Due after five years through 10 years, Fair Value | 0 | 0 | |
Due after 10 years, Amortized Cost | 150,245 | 152,950 | |
Due after 10 years, Carrying Value | [1] | 150,245 | 152,950 |
Due after 10 years, Fair Value | 128,213 | 131,698 | |
Amortized Cost | 171,048 | 174,533 | |
Carrying Value | [1] | 171,048 | 174,533 |
Fair Value | 149,062 | 153,375 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [3] | 2,426,581 | 2,709,817 |
Carrying Value | [1],[3] | 2,216,412 | 2,480,032 |
Fair Value | [3] | $ 2,464,692 | $ 2,769,749 |
[1] | Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss. | ||
[2] | Fair values of held-to-maturity securities were $2,613,754 and $2,923,124 at June 30, 2016, and December 31, 2015, respectively. | ||
[3] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. |
Other-Than-Temporary Impairme55
Other-Than-Temporary Impairment Projected Home Prices Recoveries (Details) | Jun. 30, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | |
OTTI Governance Committee projected housing price decline rate over 12-month period | 2.00% |
OTTI Governance Committee projected housing price increase rate over 12-month period | 10.00% |
Minimum [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Projected short-term house price change - increase rate for majority of markets | 2.00% |
Maximum [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Projected short-term house price change - increase rate for majority of markets | 6.00% |
Other-Than-Temporary Impairme56
Other-Than-Temporary Impairment Significant Inputs (Details) - Mortgage-backed Securities, Issued by Private Enterprises [Member] - Alt-A [Member] - Residential Mortgage Backed Securities [Member] $ in Thousands | 3 Months Ended | |
Jun. 30, 2016USD ($) | [1] | |
Other than Temporary Impairment, Disclosure [Line Items] | ||
Par Value | $ 115,845 | |
Project Prepayment Rates - Weighted Average Percent | 9.10% | |
Projected Default Rates, Weighted Average Percent | 28.40% | |
Projected Loss Severities, Weighted Average Percent | 39.30% | |
Current Credit Enhancement, Weighted Average Percent | 6.10% | |
[1] | Securities are classified based upon the current performance characteristics of the underlying loan pool and therefore the manner in which the loan pool backing the security has been modeled (as prime, Alt-A, or subprime), rather than their classification of the security at the time of issuance. |
Other-Than-Temporary Impairme57
Other-Than-Temporary Impairment OTTI Credit Losses Recognized During Life of Security (Details) - Held-to-maturity Securities [Member] $ in Thousands | Jun. 30, 2016USD ($) | [1] |
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | $ 1,238,420 | |
Amortized Cost | 922,198 | |
Carrying Value | 712,030 | |
Fair Value | 927,547 | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | Prime [Member] | ||
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | 43,629 | |
Amortized Cost | 37,789 | |
Carrying Value | 29,895 | |
Fair Value | 38,071 | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | Alt-A [Member] | ||
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | 1,190,864 | |
Amortized Cost | 880,834 | |
Carrying Value | 679,181 | |
Fair Value | 885,991 | |
Asset Backed Securities Backed by Home Equity Loans [Member] | Subprime [Member] | ||
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | 3,927 | |
Amortized Cost | 3,575 | |
Carrying Value | 2,954 | |
Fair Value | $ 3,485 | |
[1] | We have instituted litigation related to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate. |
Other-Than-Temporary Impairme58
Other-Than-Temporary Impairment Roll-forward of Amounts Related to Credit Losses Recognized in Earnings (Details) - Held-to-maturity Securities [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Balance at beginning of period | $ 525,809 | $ 559,725 | $ 533,888 | $ 568,652 | |
Additional credit losses for which an other-than-temporary impairment charge was previously recognized | [1] | 1,003 | 1,429 | 2,350 | 1,775 |
Increase in cash flows expected to be collected which are recognized over the remaining life of the security | [2] | (9,890) | (9,813) | (19,316) | (19,086) |
Balance at end of period | $ 516,922 | $ 551,341 | $ 516,922 | $ 551,341 | |
[1] | For the three months ended June 30, 2016 and 2015, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to April 1, 2016 and 2015. For the six months ended June 30, 2016 and 2015, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to January 1, 2016 and 2015 | ||||
[2] | Represents amounts accreted as interest income during the current period. |
Advances - Year of Contractual
Advances - Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | [1] | $ 10,245 | $ 7,546 |
Due in one year or less | 19,407,150 | 18,282,139 | |
Due after one year through two years | 9,108,416 | 8,970,109 | |
Due after two years through three years | 2,697,227 | 3,170,267 | |
Due after three years through four years | 2,020,420 | 1,495,494 | |
Due after four years through five years | 1,909,821 | 1,845,396 | |
Thereafter | 2,883,735 | 2,196,832 | |
Total par value | [1] | $ 38,037,014 | $ 35,967,783 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand-deposit accounts, Weighted average rate | 0.68% | 0.65% | |
Due in one year or less, Weighted average rate | 0.80% | 0.72% | |
Due after one year through two years, Weighted average rate | 1.18% | 1.31% | |
Due after two years through three years, Weighted average rate | 1.80% | 1.94% | |
Due after three years through four years, Weighted average rate | 1.71% | 1.89% | |
Due after four years through five years, Weighted average rate | 1.51% | 1.71% | |
Thereafter, Weighted average rate | 2.13% | 2.70% | |
Total Weighted average rate | 1.15% | 1.20% | |
Premiums | $ 21,392 | $ 24,183 | |
Discounts | (18,839) | (17,437) | |
Market value of bifurcated derivatives | [2] | 9,068 | 1,241 |
Hedging adjustments | 193,285 | 100,397 | |
Total Advances | $ 38,241,920 | $ 36,076,167 | |
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. | ||
[2] | At June 30, 2016, and December 31, 2015, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives. |
Advances Advances - Year of Con
Advances Advances - Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | [1] | $ 10,245 | $ 7,546 |
Due in one year or less | [1] | 25,076,325 | 23,728,314 |
Due after one year through two years | [1] | 3,871,416 | 3,983,109 |
Due after two years through three years | [1] | 2,666,227 | 3,130,267 |
Due after three years through four years | [1] | 2,010,420 | 1,455,494 |
Due after four years through five years | [1] | 1,734,621 | 1,670,196 |
Thereafter | [1] | 2,667,760 | 1,992,857 |
Total par value | [1] | $ 38,037,014 | $ 35,967,783 |
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. |
Advances - Outstanding by the E
Advances - Outstanding by the Earlier of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | [1] | $ 10,245 | $ 7,546 |
Due in one year or less | 21,424,950 | 19,924,939 | |
Due after one year through two years | 8,524,366 | 7,909,809 | |
Due after two years through three years | 2,634,477 | 2,870,517 | |
Due after three years through four years | 1,787,420 | 1,383,244 | |
Due after four years through five years | 1,615,821 | 1,783,896 | |
Thereafter | 2,039,735 | 2,087,832 | |
Total par value | [1] | $ 38,037,014 | $ 35,967,783 |
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. |
Advances - Interest-Rate-Paymen
Advances - Interest-Rate-Payment Terms (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | |||
Fixed-rate | $ 30,363,970 | $ 29,257,362 | |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | |||
Variable-rate | 7,673,044 | 6,710,421 | |
Total par value | [1] | $ 38,037,014 | $ 35,967,783 |
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. |
Advances - Narratives (Details)
Advances - Narratives (Details) $ in Thousands | Jun. 30, 2016USD ($)Borrowers | Dec. 31, 2015USD ($)Borrowers | |
Federal Home Loan Bank, Advances [Line Items] | |||
Federal Home Loan Bank, Advances, Par Value | [1] | $ 38,037,014 | $ 35,967,783 |
Credit Risk Exposure and Security Terms [Abstract] | |||
Total outstanding advances greater than $1.0 billion per borrower, amount | 15,500,000 | $ 14,200,000 | |
Minimum amount of advances outstanding per borrower | $ 1,000,000 | ||
Federal Home Loan Bank Advances [Member] | |||
Credit Risk Exposure and Security Terms [Abstract] | |||
Number of financial institutions with more than $1.0 billion advances borrowing | Borrowers | 6 | 5 | |
Total outstanding advances greater than $1.0 billion per borrower as a percentage of advances outstanding | 40.60% | 39.40% | |
Minimum [Member] | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Interest rates of advances outstanding | 0.00% | 0.00% | |
Maximum [Member] | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Interest rates of advances outstanding | 7.72% | 7.72% | |
Federal Home Loan Bank, Advances, Callable Option [Member] | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Federal Home Loan Bank, Advances, Par Value | $ 7,000,000 | $ 6,500,000 | |
Federal Home Loan Bank, Advances, Putable Option [Member] | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Federal Home Loan Bank, Advances, Par Value | $ 3,100,000 | $ 2,200,000 | |
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. |
Advances Advances - Prepayment
Advances Advances - Prepayment Fees (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Federal Home Loan Bank Advances Prepayment Fees [Abstract] | ||||
Prepayment fees received from borrowers | $ 2,808 | $ 279 | $ 6,664 | $ 3,896 |
Less: hedging fair-value adjustments on prepaid advances | (1,037) | 0 | (2,226) | (2,731) |
Less: net premiums associated with prepaid advances | (18) | 0 | (1,774) | 0 |
Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications | (890) | 0 | (1,408) | (246) |
Prepayment fees recognized in income on advance restructurings deemed to be extinguishments | 0 | 0 | 1,676 | 3,102 |
Net prepayment fees recognized in income | $ 863 | $ 279 | $ 2,932 | $ 4,021 |
Mortgage Loans Held for Portf65
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | $ 3,562,318 | $ 3,518,375 |
Premiums | 65,639 | 63,994 |
Discounts | (1,883) | (2,141) |
Deferred derivative gains, net | 3,290 | 2,585 |
Total mortgage loans held for portfolio | 3,629,364 | 3,582,813 |
Allowance for credit losses | (900) | (1,025) |
Total mortgage loans, net of allowance for credit losses | $ 3,628,464 | 3,581,788 |
Fixed-rate 15-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Original contractual terms | 15 years | |
Conventional Mortgage Loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | $ 3,159,409 | 3,107,415 |
Minimum [Member] | Fixed-rate 20- and 30-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Original contractual terms | 20 years | |
Maximum [Member] | Fixed-rate 20- and 30-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Original contractual terms | 30 years | |
Government mortgage Loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | $ 402,909 | 410,960 |
Single Family [Member] | Fixed-rate 15-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | 550,970 | 568,786 |
Single Family [Member] | Fixed-rate 20- and 30-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | $ 3,011,348 | $ 2,949,589 |
Allowance for credit losses - C
Allowance for credit losses - Credit Quality Indicators (Details) - USD ($) $ in Thousands | 6 Months Ended | ||||
Jun. 30, 2016 | Dec. 31, 2015 | ||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | $ 69,272 | $ 77,785 | |||
Total current loans | 3,578,327 | 3,523,331 | |||
Total mortgage loans | 3,647,599 | 3,601,116 | |||
In process of foreclosure, included above | [1] | $ 11,497 | $ 13,153 | ||
Serious delinquency rate | [2] | 0.71% | 0.80% | ||
Past due 90 days or more still accruing interest | $ 4,887 | $ 5,665 | |||
Loans on nonaccrual status | $ 20,466 | [3] | 22,408 | [4] | |
Number of days past due, loans at serious delinquent status | 90 days | ||||
Recorded Investment in Government Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | $ 21,954 | 24,679 | |||
Total current loans | 392,073 | 397,667 | |||
Total mortgage loans | 414,027 | 422,346 | |||
In process of foreclosure, included above | [1] | $ 1,837 | $ 2,341 | ||
Serious delinquency rate | [2] | 1.18% | 1.34% | ||
Past due 90 days or more still accruing interest | $ 4,887 | $ 5,665 | |||
Loans on nonaccrual status | 0 | [3] | 0 | [4] | |
Recorded Investment in Conventional Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 47,318 | 53,106 | |||
Total current loans | 3,186,254 | 3,125,664 | |||
Total mortgage loans | 3,233,572 | 3,178,770 | |||
In process of foreclosure, included above | [1] | $ 9,660 | $ 10,812 | ||
Serious delinquency rate | [2] | 0.65% | 0.73% | ||
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |||
Loans on nonaccrual status | 20,466 | [3] | 22,408 | [4] | |
Past due 30-59 days delinquent [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 35,200 | 36,054 | |||
Past due 30-59 days delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 13,958 | 13,784 | |||
Past due 30-59 days delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 21,242 | 22,270 | |||
Past due 60-89 days delinquent [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 8,976 | 13,658 | |||
Past due 60-89 days delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 3,109 | 5,230 | |||
Past due 60-89 days delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 5,867 | 8,428 | |||
Past due 90 days or more delinquent [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 25,096 | 28,073 | |||
Past due 90 days or more delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | 4,887 | 5,665 | |||
Past due 90 days or more delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
Total past due | $ 20,209 | $ 22,408 | |||
[1] | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. | ||||
[2] | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class. | ||||
[3] | Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest as well as loans modified within the previous six months under our temporary loan modification plan. | ||||
[4] | Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |
Allowance for credit losses - I
Allowance for credit losses - Individually Evaluated Impaired Loans (Details) - Conventional Mortgage Loans [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Financing Receivable, Impaired [Line Items] | |||||
Individually evaluated impaired mortgage loans with no related allowance - Recorded Investment | $ 24,583 | $ 24,583 | $ 26,668 | ||
Individually evaluated impaired mortgage loans with no related allowance - Par Value | 24,546 | 24,546 | $ 26,622 | ||
Individually evaluated impaired mortgage loans with no related allowance - Average Recorded Investment | 24,770 | $ 31,759 | 25,217 | $ 32,557 | |
Individually evaluated impaired mortgage loans with no related allowance - Interest Income recognized | $ 102 | $ 129 | $ 182 | $ 249 |
Allowance for credit losses - N
Allowance for credit losses - Narratives (Details) - USD ($) | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Allowance for Credit Losses [Abstract] | |||
REO | $ 2,600,000 | $ 3,600,000 | |
Carrying amount of REO sold | 2,100,000 | $ 3,600,000 | |
Net gains on sale of REO assets | $ 334,000 | $ 321,000 |
Allowance for credit losses - A
Allowance for credit losses - Allowance Rollforward (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||||
Balance, beginning of period | $ 1,025 | ||||
Reduction of provision for credit losses | $ (111) | $ (223) | (100) | $ (283) | |
Balance, end of period | 900 | 900 | |||
Conventional Mortgage Loans [Member] | |||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||||
Balance, beginning of period | 1,025 | 1,350 | 1,025 | 2,012 | |
Charge-offs, net of recoveries | (14) | (27) | (25) | (629) | |
Reduction of provision for credit losses | (111) | (223) | (100) | (283) | |
Balance, end of period | 900 | 1,100 | 900 | 1,100 | |
Ending balance, individually evaluated for impairment | 0 | 0 | 0 | 0 | |
Ending balance, collectively evaluated for impairment | 900 | 1,100 | 900 | 1,100 | |
Recorded Investment Individually evaluated for impairment | [1] | 24,583 | 31,153 | 24,583 | 31,153 |
Recorded Investment Collectively evaluated for impairment | [1] | $ 3,208,989 | $ 3,131,698 | $ 3,208,989 | $ 3,131,698 |
[1] | These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed above under — Government Mortgage Loans Held for Portfolio. |
Derivatives and Hedging Activ70
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 19,426,829,000 | $ 16,610,026,000 | |
Derivative Assets, before netting and collateral adjustments | 26,990,000 | 27,138,000 | |
Derivative Liabilities, before netting and collateral adjustments | (711,853,000) | (521,177,000) | |
Derivative Asset, netting adjustments and cash collateral including related accrued interest | [1],[2] | 34,412,000 | 12,979,000 |
Derivative Liability, netting adjustments and cash collateral including related accrued interest | [1],[2] | 208,989,000 | 79,170,000 |
Derivative Assets | 61,402,000 | 40,117,000 | |
Derivative Liabilities | (502,864,000) | (442,007,000) | |
Cash collateral and related accrued interest posted | 243,400,000 | 92,900,000 | |
Cash collateral and related accrued interest received | 750,000 | ||
Designated as hedging instruments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 18,371,229,000 | 15,722,812,000 | |
Derivative Assets, before netting and collateral adjustments | 26,652,000 | 26,874,000 | |
Derivative Liabilities, before netting and collateral adjustments | (687,173,000) | (504,529,000) | |
Designated as hedging instruments [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 17,843,429,000 | 15,195,012,000 | |
Derivative Assets, before netting and collateral adjustments | 26,652,000 | 26,874,000 | |
Derivative Liabilities, before netting and collateral adjustments | (624,319,000) | (468,982,000) | |
Designated as hedging instruments [Member] | Forward-start interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 527,800,000 | 527,800,000 | |
Derivative Assets, before netting and collateral adjustments | 0 | 0 | |
Derivative Liabilities, before netting and collateral adjustments | (62,854,000) | (35,547,000) | |
Not designated as hedging instruments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,055,600,000 | 887,214,000 | |
Derivative Assets, before netting and collateral adjustments | 338,000 | 264,000 | |
Derivative Liabilities, before netting and collateral adjustments | (24,680,000) | (16,648,000) | |
Not designated as hedging instruments [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,009,500,000 | 562,500,000 | |
Derivative Assets, before netting and collateral adjustments | 29,000 | 246,000 | |
Derivative Liabilities, before netting and collateral adjustments | (24,680,000) | (16,623,000) | |
Not designated as hedging instruments [Member] | Interest-rate caps or floors [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 0 | 300,000,000 | |
Derivative Assets, before netting and collateral adjustments | 0 | 0 | |
Derivative Liabilities, before netting and collateral adjustments | 0 | 0 | |
Mortgages [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Assets | 309,000 | 18,000 | |
Derivative Liabilities | 0 | (25,000) | |
Mortgages [Member] | Not designated as hedging instruments [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | [3] | 46,100,000 | 24,714,000 |
Derivative Assets, before netting and collateral adjustments | [3] | 309,000 | 18,000 |
Derivative Liabilities, before netting and collateral adjustments | [3] | $ 0 | $ (25,000) |
[1] | Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $243.4 million and $92.9 million at June 30, 2016, and December 31, 2015, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $750,000 at December 31, 2015. | ||
[2] | Carried at fair value on a recurring basis. | ||
[3] | Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. |
Derivatives and Hedging Activ71
Derivatives and Hedging Activities Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives and hedged items in fair-value hedging relationships | $ (2,218) | $ (1,087) | $ (5,251) | $ (1,715) |
Total net losses related to derivatives designated as hedging instruments | (2,408) | (903) | (5,787) | (1,611) |
Total net losses related to derivatives not designated as hedging instruments | (555) | (239) | (3,411) | (2,890) |
Net losses on derivatives and hedging activities | (2,963) | (1,142) | (9,198) | (4,501) |
Interest-rate swaps [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives and hedged items in fair-value hedging relationships | (2,218) | (1,087) | (5,251) | (1,715) |
Total net losses related to derivatives not designated as hedging instruments | (1,245) | 403 | (4,717) | (2,675) |
Forward-start interest-rate swaps [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Cash flow hedge ineffectiveness | (190) | 184 | (536) | 104 |
Mortgages [Member] | Mortgage-delivery commitments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net losses related to derivatives not designated as hedging instruments | $ 690 | $ (642) | $ 1,306 | $ (215) |
Derivatives and Hedging Activ72
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain/(Loss) on Derivative | $ (51,887) | $ 82,282 | $ (159,531) | $ 64,825 | |
Gain/(Loss) on Hedged Item | 49,669 | (83,369) | 154,280 | (66,540) | |
Net Fair-Value Hedge Ineffectiveness | (2,218) | (1,087) | (5,251) | (1,715) | |
Effect of Derivatives on Net Interest Income | [1] | (27,853) | (26,785) | (58,916) | (52,468) |
Advances [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain/(Loss) on Derivative | (25,621) | 39,168 | (94,077) | 33,311 | |
Gain/(Loss) on Hedged Item | 24,655 | (38,764) | 92,888 | (32,878) | |
Net Fair-Value Hedge Ineffectiveness | (966) | 404 | (1,189) | 433 | |
Effect of Derivatives on Net Interest Income | [1] | (26,128) | (32,611) | (56,252) | (64,510) |
Available-for-sale Securities [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain/(Loss) on Derivative | (26,830) | 54,244 | (76,285) | 27,245 | |
Gain/(Loss) on Hedged Item | 27,186 | (53,694) | 77,025 | (26,368) | |
Net Fair-Value Hedge Ineffectiveness | 356 | 550 | 740 | 877 | |
Effect of Derivatives on Net Interest Income | [1] | (8,883) | (9,439) | (17,894) | (18,921) |
COs - bonds [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain/(Loss) on Derivative | 564 | (11,130) | 10,831 | 4,269 | |
Gain/(Loss) on Hedged Item | (2,172) | 9,089 | (15,633) | (7,294) | |
Net Fair-Value Hedge Ineffectiveness | (1,608) | (2,041) | (4,802) | (3,025) | |
Effect of Derivatives on Net Interest Income | [1] | $ 7,158 | $ 15,265 | $ 15,230 | $ 30,963 |
[1] | The net interest on derivatives in fair-value hedge relationships is presented in the statement of operations as interest income or interest expense of the respective hedged item. |
Derivatives and Hedging Activ73
Derivatives and Hedging Activities Cash Flow Hedge Activity (Details) - COs - bonds [Member] - Interest-rate swaps [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative [Line Items] | ||||
(Losses) Gains Recognized in Other Comprehensive Loss on Derivatives (Effective Portion) | $ (9,731) | $ 12,773 | $ (26,770) | $ 630 |
Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) | (6,889) | (5,628) | (14,097) | (10,520) |
(Losses) Gains Recognized in Net (Losses) Gains on Derivatives and Hedging Activities (Ineffective Portion) | $ (190) | $ 184 | $ (536) | $ 104 |
Derivatives and Hedging Activ74
Derivatives and Hedging Activities Narratives (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016USD ($) | ||
Derivative [Line Items] | ||
Maximum length of time which we are hedging our exposure to the variability in future cash flows for forecasted transactions | 8 years | |
Deferred net losses on derivative accumulated in other comprehensive loss expected to be reclassified to earnings during the next 12 months | $ 17,400 | |
Aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position | 532,400 | |
Post-haircut value of collateral already posted | 471,100 | |
Rating Downgrade from AA+ to AA or AA - [Member] | ||
Derivative [Line Items] | ||
Additional collateral | 24,789 | [1] |
Rating Downgrade From AA- to A+, A or A -[Member] | ||
Derivative [Line Items] | ||
Additional collateral | 19,256 | [1] |
Rating Downgrade From A- to below A- [Member] | ||
Derivative [Line Items] | ||
Additional collateral | $ 33,026 | [1] |
[1] | Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. |
Derivatives and Hedging Activ75
Derivatives and Hedging Activities Fair Value of Derivative Instruments With or Without Legal Rights of Offset (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | $ 26,681 | $ 27,120 | |
Derivative Liability, total gross recognized amount | (711,853) | (521,152) | |
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | 34,412 | 12,979 |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 208,989 | 79,170 |
Derivative Asset, total net amounts after netting adjustments and cash collateral | 61,093 | 40,099 | |
Derivative Liability, total net amounts after netting adjustments and cash collateral | (502,864) | (441,982) | |
Derivative assets | 61,402 | 40,117 | |
Derivative liabilities | (502,864) | (442,007) | |
Derivative Assets, Total non-cash collateral received or pledged, not offset | 0 | 0 | |
Derivative Liabilities, Total non-cash collateral received or pledged, not offset | [3] | 458,573 | 396,107 |
Derivative Asset, Fair value, amount offset against collateral | 61,402 | 40,117 | |
Derivative Liability, Fair value, amount offset against collateral | (44,291) | (45,900) | |
Derivative Liabilities, additional net exposure, collateral pledged to counterparties in excess of net liabilities | 6,100 | 3,100 | |
Mortgages [Member] | Mortgage-delivery commitments [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Mortgage delivery commitments | 309 | 18 | |
Derivative Liabilities, Mortgage delivery commitments | 0 | (25) | |
Derivative assets | 309 | 18 | |
Derivative liabilities | 0 | (25) | |
Derivative Asset, Fair value, amount offset against collateral | 309 | 18 | |
Derivative Liability, Fair value, amount offset against collateral | 0 | (25) | |
Uncleared derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | 8,978 | 8,342 | |
Derivative Liability, total gross recognized amount | (541,387) | (463,154) | |
Derivative Assets, Netting Adjustments and Cash Collateral | (8,978) | (7,628) | |
Derivative liability, Netting Adjustments and Cash Collateral | 38,523 | 21,172 | |
Derivative Asset, total net amounts after netting adjustments and cash collateral | 0 | 714 | |
Derivative Liability, total net amounts after netting adjustments and cash collateral | (502,864) | (441,982) | |
Derivative assets | 0 | 714 | |
Derivative liabilities | (502,864) | (441,982) | |
Derivative Assets, fair value of securities pledged as collateral than can be sold or repledged | 0 | 0 | |
Derivative Liabilities, fair value of securities pledged as collateral that can be sold or repledged | [3] | 49,911 | 64,391 |
Derivative Assets, fair value of securities pledged as collateral that cannot be sold or repledged | 0 | 0 | |
Derivative Liabilities, fair value of securities pledged as collateral that cannot be sold or repledged | [3] | 408,662 | 331,716 |
Derivative Asset, Fair value, amount offset against collateral | 0 | 714 | |
Derivative Liability, Fair value, amount offset against collateral | (44,291) | (45,875) | |
Cleared derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | 17,703 | 18,778 | |
Derivative Liability, total gross recognized amount | (170,466) | (57,998) | |
Derivative Assets, Netting Adjustments and Cash Collateral | 43,390 | 20,607 | |
Derivative liability, Netting Adjustments and Cash Collateral | 170,466 | 57,998 | |
Derivative Asset, total net amounts after netting adjustments and cash collateral | 61,093 | 39,385 | |
Derivative Liability, total net amounts after netting adjustments and cash collateral | 0 | 0 | |
Derivative assets | 61,093 | 39,385 | |
Derivative liabilities | 0 | 0 | |
Derivative Asset, Fair value, amount offset against collateral | 61,093 | 39,385 | |
Derivative Liability, Fair value, amount offset against collateral | $ 0 | $ 0 | |
[1] | Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $243.4 million and $92.9 million at June 30, 2016, and December 31, 2015, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $750,000 at December 31, 2015. | ||
[2] | Carried at fair value on a recurring basis. | ||
[3] | Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At June 30, 2016, and December 31, 2015, we had additional net credit exposure of $6.1 million and $3.1 million, respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Deposits (Details)
Deposits (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Deposits [Abstract] | ||
Interest-bearing deposit demand and overnight | $ 599,561 | $ 454,087 |
Interest-bearing deposit other | 4,865 | 4,426 |
Noninterest bearing deposits other | 30,569 | 24,089 |
Total deposits | $ 634,995 | $ 482,602 |
Consolidated Obligations Bonds
Consolidated Obligations Bonds - Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less | $ 10,932,920 | $ 8,990,295 | |
Due after one year through two years | 6,946,535 | 6,101,990 | |
Due after two years through three years | 2,767,045 | 3,389,580 | |
Due after three years through four years | 2,056,115 | 2,056,215 | |
Due after four years through five years | 1,696,720 | 1,329,210 | |
Thereafter | 2,614,460 | 3,440,045 | |
Total par value | $ 27,013,795 | $ 25,307,335 | |
Due in one year or less, Weighted average rate | [1] | 0.94% | 1.00% |
Due after one year through two years, Weighted average rate | [1] | 1.50% | 1.70% |
Due after two years through three years, Weighted average rate | [1] | 1.55% | 1.59% |
Due after three years through four years, Weighted average rate | [1] | 2.08% | 1.97% |
Due after four years through five years, Weighted average rate | [1] | 1.79% | 2.11% |
Thereafter, Weighted average rate | [1] | 2.94% | 2.95% |
Total, Weighted average rate | [1] | 1.48% | 1.65% |
Hedging adjustments | $ 7,122 | $ (8,510) | |
Total | 27,139,771 | 25,427,277 | |
COs - bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Premiums | 134,595 | 148,903 | |
Discounts | $ (15,741) | $ (20,451) | |
[1] | The CO bonds' weighted-average rate excludes concession fees. |
Consolidated Obligations CO bon
Consolidated Obligations CO bonds outstanding by call features (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 27,013,795 | $ 25,307,335 |
Non Callable and Non Putable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | 23,786,795 | 21,714,335 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 3,227,000 | $ 3,593,000 |
Consolidated Obligations Bond79
Consolidated Obligations Bonds - Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Debt Disclosure [Abstract] | ||
Due in one year or less | $ 13,413,920 | $ 11,937,295 |
Due after one year through two years | 6,048,535 | 5,802,990 |
Due after two years through three years | 2,467,045 | 2,729,580 |
Due after three years through four years | 1,926,115 | 1,831,215 |
Due after four years through five years | 1,083,720 | 991,210 |
Thereafter | 2,074,460 | 2,015,045 |
Total par value | $ 27,013,795 | $ 25,307,335 |
Consolidated Obligations Bond80
Consolidated Obligations Bonds - Interest-rate type (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Debt Disclosure [Abstract] | ||
Fixed-rate | $ 21,283,795 | $ 21,847,335 |
Simple variable-rate | 5,055,000 | 3,145,000 |
Step-up | 675,000 | 315,000 |
Total par value | $ 27,013,795 | $ 25,307,335 |
Consolidated Obligations Discou
Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Debt Disclosure [Abstract] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 30,483,963 | $ 28,479,097 | |
Par value | $ 30,495,259 | $ 28,487,577 | |
Weighted Average Rate | [1] | 0.34% | 0.24% |
[1] | The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program Narr
Affordable Housing Program Narratives (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Affordable Housing Program [Roll Forward] | |||||
Balance at beginning of year | $ 82,081 | $ 66,993 | $ 66,993 | ||
AHP expense for the period | $ 5,312 | $ 16,678 | 8,632 | 20,445 | 32,328 |
AHP direct grant disbursements | (7,025) | $ (9,233) | (16,716) | ||
AHP subsidy for AHP advance disbursements | (725) | (1,255) | |||
Return of previously disbursed grants and subsidies | 16 | 731 | |||
Balance at end of period | $ 82,979 | $ 82,979 | $ 82,081 |
Capital Requirements (Details)
Capital Requirements (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Capital [Abstract] | ||
Capital-to-asset ratio, Required | 4.00% | 4.00% |
Leverage capital-to-assets ratio, Required | 5.00% | 5.00% |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
Class B capital stock | $ 2,353,698 | $ 2,336,662 |
Mandatorily redeemable capital stock | 35,076 | 41,989 |
Retained earnings | 1,165,157 | 1,128,848 |
Total permanent capital | 3,553,931 | 3,507,499 |
Credit-risk capital | 376,729 | 381,176 |
Market-risk capital | 101,049 | 83,875 |
Operations-risk capital | 143,333 | 139,515 |
Total risk-based capital requirement | 621,111 | 604,566 |
Excess of risk-based capital requirement | 2,932,820 | 2,902,933 |
Risk-based capital, Required | 621,111 | 604,566 |
Regulatory capital, Required | 2,486,406 | 2,324,107 |
Leverage capital, Required | 3,108,008 | 2,905,133 |
Risk-based capital, Actual | 3,553,931 | 3,507,499 |
Regulatory capital, Actual | $ 3,553,931 | $ 3,507,499 |
Capital-to-asset ratio, Actual | 5.70% | 6.00% |
Leverage capital, Actual | $ 5,330,897 | $ 5,261,249 |
Leverage capital-to-assets ratio, Actual | 8.60% | 9.10% |
Accumulated Other Comprehensi84
Accumulated Other Comprehensive Loss (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | $ (442,597,000) | ||||||||
Accretion of noncredit loss | $ 9,211,000 | $ 11,990,000 | 18,352,000 | $ 23,453,000 | |||||
Amortization - hedging activities | 6,893,000 | 5,631,000 | 14,104,000 | 10,527,000 | |||||
Amortization - pension and postretirement benefits | (2,585,000) | 92,000 | (2,466,000) | 322,000 | |||||
Total other comprehensive income | 32,088,000 | 16,766,000 | 84,255,000 | 41,923,000 | |||||
Ending balance | (358,342,000) | (358,342,000) | |||||||
Amortization of hedging activities recorded in interest expense CO Bonds | 6,900,000 | 5,600,000 | 14,100,000 | 10,500,000 | |||||
Amortization of hedging activities recorded in net (losses) gains on derivatives and hedging activities | 4,000 | 4,000 | 7,000 | 7,000 | |||||
Net Unrealized Loss Relating to Hedging Activities [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (81,065,000) | (88,675,000) | (71,237,000) | (81,428,000) | |||||
Net unrealized gains (losses) | (9,731,000) | 12,773,000 | (26,770,000) | 630,000 | |||||
Amortization - hedging activities | 6,893,000 | [1] | 5,631,000 | [2] | 14,104,000 | [3] | 10,527,000 | [4] | |
Total other comprehensive income | (2,838,000) | 18,404,000 | (12,666,000) | 11,157,000 | |||||
Ending balance | (83,903,000) | (70,271,000) | (83,903,000) | (70,271,000) | |||||
Pension and Postretirement Benefits [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (3,738,000) | (5,763,000) | (3,857,000) | (5,993,000) | |||||
Net actuarial loss | (2,918,000) | (8,000) | (2,917,000) | (8,000) | |||||
Amortization - pension and postretirement benefits | [5] | 333,000 | 100,000 | 451,000 | 330,000 | ||||
Total other comprehensive income | (2,585,000) | 92,000 | (2,466,000) | 322,000 | |||||
Ending balance | (6,323,000) | (5,671,000) | (6,323,000) | (5,671,000) | |||||
Total Accumulated Other Comprehensive Loss [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (390,430,000) | (411,829,000) | (442,597,000) | (436,986,000) | |||||
Net unrealized gains (losses) | 18,210,000 | (2,020,000) | 53,001,000 | 6,426,000 | |||||
Noncredit other-than-temporary impairment losses | (420,000) | (656,000) | |||||||
Accretion of noncredit loss | 9,211,000 | 11,990,000 | 18,352,000 | 23,453,000 | |||||
Net actuarial loss | (2,918,000) | (8,000) | (2,917,000) | (8,000) | |||||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [6] | 779,000 | 1,073,000 | 1,920,000 | 1,195,000 | ||||
Amortization - hedging activities | 6,893,000 | [1] | 5,631,000 | [2] | 14,104,000 | [3] | 10,527,000 | [4] | |
Amortization - pension and postretirement benefits | [5] | 333,000 | 100,000 | 451,000 | 330,000 | ||||
Total other comprehensive income | 32,088,000 | 16,766,000 | 84,255,000 | 41,923,000 | |||||
Ending balance | (358,342,000) | (395,063,000) | (358,342,000) | (395,063,000) | |||||
Available-for-sale Securities [Member] | Net Unrealized Loss on Available-for-Sale Securities [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (85,888,000) | (53,034,000) | (137,718,000) | (73,623,000) | |||||
Net unrealized gains (losses) | 27,941,000 | (14,793,000) | 79,771,000 | 5,796,000 | |||||
Total other comprehensive income | 27,941,000 | (14,793,000) | 79,771,000 | 5,796,000 | |||||
Ending balance | (57,947,000) | (67,827,000) | (57,947,000) | (67,827,000) | |||||
Held-to-maturity Securities [Member] | Noncredit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (219,739,000) | (264,357,000) | (229,785,000) | (275,942,000) | |||||
Noncredit other-than-temporary impairment losses | (420,000) | (656,000) | |||||||
Accretion of noncredit loss | 9,211,000 | 11,990,000 | 18,352,000 | 23,453,000 | |||||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [6] | 779,000 | 1,073,000 | 1,920,000 | 1,195,000 | ||||
Total other comprehensive income | 9,570,000 | 13,063,000 | 19,616,000 | 24,648,000 | |||||
Ending balance | $ (210,169,000) | $ (251,294,000) | $ (210,169,000) | $ (251,294,000) | |||||
[1] | Amortization of hedging activities includes $6.9 million recorded in CO bond interest expense and $4,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations | ||||||||
[2] | Amortization of hedging activities includes $5.6 million recorded in CO bond interest expense and $4,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. | ||||||||
[3] | Amortization of hedging activities includes $14.1 million recorded in CO bond interest expense and $7,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. | ||||||||
[4] | Amortization of hedging activities includes $10.5 million recorded in CO bond interest expense and $7,000 recorded in net (losses) gains on derivatives and hedging activities in the statement of operations. | ||||||||
[5] | Recorded in other operating expenses in the statement of operations. | ||||||||
[6] | Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. |
Employee Retirement Plans - Cos
Employee Retirement Plans - Costs of Retirement Plans (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Pentegra Defined Contribution Plan [Member] | ||||
Employee Retirement Plans [Line Items] | ||||
Pension Expense | $ 303 | $ 280 | $ 570 | $ 528 |
Thrift Benefit Equalization Plan [Member] | ||||
Employee Retirement Plans [Line Items] | ||||
Pension Expense | 8 | 9 | 174 | 119 |
Pentegra Defined Benefit Plan [Member] | ||||
Employee Retirement Plans [Line Items] | ||||
Net Pension Cost | $ 106 | $ 5,102 | $ 214 | $ 5,205 |
Employee Retirement Plans Emplo
Employee Retirement Plans Employees Retirement Plans - Components of net periodic benefit cost and other amounts recognized in AOCL (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Supplemental Employee Retirement Plan, Defined Benefit [Member] | ||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||
Service Cost | $ 342 | $ 172 | $ 513 | $ 343 |
Interest Cost | 186 | 121 | 319 | 242 |
Amortization of net actuarial loss | 331 | 97 | 448 | 326 |
Net periodic benefit cost | 859 | 390 | 1,280 | 911 |
Other Postretirement Benefit Plan, Defined Benefit [Member] | ||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||
Service Cost | 7 | 12 | 16 | 19 |
Interest Cost | 9 | 9 | 17 | 16 |
Amortization of net actuarial loss | 2 | 3 | 3 | 4 |
Net periodic benefit cost | $ 18 | $ 24 | $ 36 | $ 39 |
Fair Values Carrying Value and
Fair Values Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | $ 413,908 | $ 254,218 | |
Trading securities | 226,630 | 230,134 | |
Available-for-sale securities Fair Value | 7,423,099 | 6,314,285 | |
Held-to-maturity securities | [1],[2] | 2,387,460 | 2,654,565 |
Held-to-maturity securities Fair Value | 2,613,754 | 2,923,124 | |
Accrued interest receivable | 82,995 | 84,442 | |
Derivative assets | 61,402 | 40,117 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [3],[4] | 34,412 | 12,979 |
Mandatorily redeemable capital stock | (35,076) | (41,989) | |
Accrued interest payable | (76,098) | (81,268) | |
Derivative liabilities | (502,864) | (442,007) | |
Derivative liability, Netting Adjustments and Cash Collateral | [3],[4] | 208,989 | 79,170 |
Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 413,908 | 254,218 | |
Interest-bearing deposits | 298 | 197 | |
Securities purchased under agreements to resell | 0 | 0 | |
Federal funds sold | 0 | 0 | |
Trading securities | [4] | 0 | 0 |
Available-for-sale securities Fair Value | [4] | 0 | 0 |
Held-to-maturity securities Fair Value | 0 | 0 | |
Advances | 0 | 0 | |
Mortgage loans, net | 0 | 0 | |
Accrued interest receivable | 0 | 0 | |
Derivative assets | [4] | 0 | 0 |
Other assets | [4] | 7,222 | 6,373 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | (35,076) | (41,989) | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | [4] | 0 | 0 |
Level 1 [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 1 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 1 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | 0 | 0 | |
Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 0 | 0 | |
Interest-bearing deposits | 0 | 0 | |
Securities purchased under agreements to resell | 5,798,911 | 6,699,852 | |
Federal funds sold | 3,839,982 | 2,119,962 | |
Trading securities | [4] | 226,630 | 230,134 |
Available-for-sale securities Fair Value | [4] | 7,423,099 | 6,314,285 |
Held-to-maturity securities Fair Value | 1,375,639 | 1,562,243 | |
Advances | 38,503,180 | 36,209,343 | |
Mortgage loans, net | 3,746,992 | 3,635,073 | |
Accrued interest receivable | 82,995 | 84,442 | |
Derivative assets | [4] | 26,990 | 27,138 |
Other assets | [4] | 10,195 | 8,919 |
Deposits | (634,993) | (482,595) | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | (76,098) | (81,268) | |
Derivative liabilities | [4] | (711,853) | (521,177) |
Level 2 [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,235) | (689) | |
Level 2 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (699) | (831) | |
Level 2 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (30,485,960) | (28,479,076) | |
Level 3 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 0 | 0 | |
Interest-bearing deposits | 0 | 0 | |
Securities purchased under agreements to resell | 0 | 0 | |
Federal funds sold | 0 | 0 | |
Trading securities | [4] | 0 | 0 |
Available-for-sale securities Fair Value | [4] | 0 | 0 |
Held-to-maturity securities Fair Value | 1,238,115 | 1,360,881 | |
Advances | 0 | 0 | |
Mortgage loans, net | 28,957 | 31,073 | |
Accrued interest receivable | 0 | 0 | |
Derivative assets | [4] | 0 | 0 |
Other assets | [4] | 0 | 0 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | [4] | 0 | 0 |
Level 3 [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 3 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 3 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | 0 | 0 | |
Carrying Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 413,908 | 254,218 | |
Interest-bearing deposits | 298 | 197 | |
Securities purchased under agreements to resell | 5,799,000 | 6,700,000 | |
Federal funds sold | 3,840,000 | 2,120,000 | |
Trading securities | [4] | 226,630 | 230,134 |
Available-for-sale securities Fair Value | [4] | 7,423,099 | 6,314,285 |
Held-to-maturity securities | 2,387,460 | 2,654,565 | |
Advances | 38,241,920 | 36,076,167 | |
Mortgage loans, net | 3,628,464 | 3,581,788 | |
Accrued interest receivable | 82,995 | 84,442 | |
Derivative assets | [4] | 61,402 | 40,117 |
Other assets | [4] | 17,417 | 15,292 |
Deposits | (634,995) | (482,602) | |
Mandatorily redeemable capital stock | (35,076) | (41,989) | |
Accrued interest payable | (76,098) | (81,268) | |
Derivative liabilities | [4] | (502,864) | (442,007) |
Carrying Value [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Carrying Value [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (699) | (831) | |
Carrying Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (30,483,963) | (28,479,097) | |
Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 413,908 | 254,218 | |
Interest-bearing deposits | 298 | 197 | |
Securities purchased under agreements to resell | 5,798,911 | 6,699,852 | |
Federal funds sold | 3,839,982 | 2,119,962 | |
Trading securities | [4] | 226,630 | 230,134 |
Available-for-sale securities Fair Value | [4] | 7,423,099 | 6,314,285 |
Held-to-maturity securities Fair Value | 2,613,754 | 2,923,124 | |
Advances | 38,503,180 | 36,209,343 | |
Mortgage loans, net | 3,775,949 | 3,666,146 | |
Accrued interest receivable | 82,995 | 84,442 | |
Derivative assets | [4] | 61,402 | 40,117 |
Other assets | [4] | 17,417 | 15,292 |
Deposits | (634,993) | (482,595) | |
Mandatorily redeemable capital stock | (35,076) | (41,989) | |
Accrued interest payable | (76,098) | (81,268) | |
Derivative liabilities | [4] | (502,864) | (442,007) |
Total Fair Value [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,235) | (689) | |
Total Fair Value [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (699) | (831) | |
Total Fair Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (30,485,960) | (28,479,076) | |
COs - bonds [Member] | Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | 0 | 0 | |
COs - bonds [Member] | Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | (27,608,287) | (25,578,547) | |
COs - bonds [Member] | Level 3 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | 0 | 0 | |
COs - bonds [Member] | Carrying Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | (27,139,771) | (25,427,277) | |
COs - bonds [Member] | Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | $ (27,608,287) | $ (25,578,547) | |
[1] | Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss. | ||
[2] | Fair values of held-to-maturity securities were $2,613,754 and $2,923,124 at June 30, 2016, and December 31, 2015, respectively. | ||
[3] | Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $243.4 million and $92.9 million at June 30, 2016, and December 31, 2015, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $750,000 at December 31, 2015. | ||
[4] | Carried at fair value on a recurring basis. |
Fair Values Fair Value Measured
Fair Values Fair Value Measured on Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | $ 226,630 | $ 230,134 | |
Available-for-sale securities Fair Value | 7,423,099 | 6,314,285 | |
Derivative assets | 61,402 | 40,117 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | 34,412 | 12,979 |
Derivative liabilities | (502,864) | (442,007) | |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 208,989 | 79,170 |
Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [2] | 0 | 0 |
Available-for-sale securities Fair Value | [2] | 0 | 0 |
Derivative assets | [2] | 0 | 0 |
Other assets | [2] | 7,222 | 6,373 |
Derivative liabilities | [2] | 0 | 0 |
Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [2] | 226,630 | 230,134 |
Available-for-sale securities Fair Value | [2] | 7,423,099 | 6,314,285 |
Derivative assets | [2] | 26,990 | 27,138 |
Other assets | [2] | 10,195 | 8,919 |
Derivative liabilities | [2] | (711,853) | (521,177) |
Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [2] | 0 | 0 |
Available-for-sale securities Fair Value | [2] | 0 | 0 |
Derivative assets | [2] | 0 | 0 |
Other assets | [2] | 0 | 0 |
Derivative liabilities | [2] | 0 | 0 |
Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [3] | 34,412 | 12,979 |
Derivative liability, Netting Adjustments and Cash Collateral | [3] | 208,989 | 79,170 |
Recurring [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [3] | 34,412 | 12,979 |
Derivative liability, Netting Adjustments and Cash Collateral | [3] | 208,989 | 79,170 |
Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities Fair Value | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other assets | 7,222 | 6,373 | |
Total assets at fair value | 7,222 | 6,373 | |
Total liabilities at fair value | 0 | 0 | |
Recurring [Member] | Level 1 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 226,630 | 230,134 | |
Available-for-sale securities Fair Value | 7,423,099 | 6,314,285 | |
Derivative assets | 26,990 | 27,138 | |
Other assets | 10,195 | 8,919 | |
Total assets at fair value | 7,686,914 | 6,580,476 | |
Total liabilities at fair value | (711,853) | (521,177) | |
Recurring [Member] | Level 2 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 26,681 | 27,120 | |
Derivative liabilities | (711,853) | (521,152) | |
Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities Fair Value | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets at fair value | 0 | 0 | |
Total liabilities at fair value | 0 | 0 | |
Recurring [Member] | Level 3 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [2] | 226,630 | 230,134 |
Available-for-sale securities Fair Value | [2] | 7,423,099 | 6,314,285 |
Derivative assets | [2] | 61,402 | 40,117 |
Other assets | [2] | 17,417 | 15,292 |
Derivative liabilities | [2] | (502,864) | (442,007) |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 226,630 | 230,134 | |
Available-for-sale securities Fair Value | 7,423,099 | 6,314,285 | |
Derivative assets | 61,402 | 40,117 | |
Other assets | 17,417 | 15,292 | |
Total assets at fair value | 7,728,548 | 6,599,828 | |
Total liabilities at fair value | (502,864) | (442,007) | |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 61,093 | 40,099 | |
Derivative liabilities | (502,864) | (441,982) | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 9,416 | 10,296 | |
Available-for-sale securities Fair Value | 140,527 | 156,642 | |
U.S. government-guaranteed - single-family MBS [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government-guaranteed - single-family MBS [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 9,416 | 10,296 | |
Available-for-sale securities Fair Value | 140,527 | 156,642 | |
U.S. government-guaranteed - single-family MBS [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government-guaranteed - single-family MBS [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 9,416 | 10,296 | |
Available-for-sale securities Fair Value | 140,527 | 156,642 | |
U.S. government guaranteed - multifamily MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 687,496 | 744,762 | |
U.S. government guaranteed - multifamily MBS [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government guaranteed - multifamily MBS [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 687,496 | 744,762 | |
U.S. government guaranteed - multifamily MBS [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government guaranteed - multifamily MBS [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 687,496 | 744,762 | |
Supranational institutions [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 459,886 | 438,913 | |
Supranational institutions [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Supranational institutions [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 459,886 | 438,913 | |
Supranational institutions [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Supranational institutions [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 459,886 | 438,913 | |
U.S. government-owned corporations [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 298,606 | 265,968 | |
U.S. government-owned corporations [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government-owned corporations [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 298,606 | 265,968 | |
U.S. government-owned corporations [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government-owned corporations [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 298,606 | 265,968 | |
GSEs [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 128,738 | 117,792 | |
GSEs [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
GSEs [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 128,738 | 117,792 | |
GSEs [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
GSEs [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 128,738 | 117,792 | |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 1,056 | 1,449 | |
Available-for-sale securities Fair Value | 5,024,177 | 4,590,208 | |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities Fair Value | 0 | 0 | |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 1,056 | 1,449 | |
Available-for-sale securities Fair Value | 5,024,177 | 4,590,208 | |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities Fair Value | 0 | 0 | |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 1,056 | 1,449 | |
Available-for-sale securities Fair Value | 5,024,177 | 4,590,208 | |
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 216,158 | 218,389 | |
Available-for-sale securities Fair Value | 683,669 | ||
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities Fair Value | 0 | ||
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 216,158 | 218,389 | |
Available-for-sale securities Fair Value | 683,669 | ||
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Available-for-sale securities Fair Value | 0 | ||
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 216,158 | 218,389 | |
Available-for-sale securities Fair Value | 683,669 | ||
Mortgages [Member] | Forward Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 309 | 18 | |
Derivative liabilities | 0 | (25) | |
Mortgages [Member] | Recurring [Member] | Level 1 [Member] | Forward Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Mortgages [Member] | Recurring [Member] | Level 2 [Member] | Forward Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 309 | 18 | |
Derivative liabilities | (25) | ||
Mortgages [Member] | Recurring [Member] | Level 3 [Member] | Forward Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Mortgages [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | Forward Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | $ 309 | 18 | |
Derivative liabilities | $ (25) | ||
[1] | Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral and related accrued interest posted was $243.4 million and $92.9 million at June 30, 2016, and December 31, 2015, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $750,000 at December 31, 2015. | ||
[2] | Carried at fair value on a recurring basis. | ||
[3] | These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Fair Values Fair Value Measur89
Fair Values Fair Value Measured on Nonrecurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | $ 2,613,754 | $ 2,923,124 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 0 | 0 |
Mortgage loans held for portfolio | 0 | 0 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 1,375,639 | 1,562,243 |
Mortgage loans held for portfolio | 3,746,992 | 3,635,073 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 1,238,115 | 1,360,881 |
Mortgage loans held for portfolio | 28,957 | 31,073 |
Fair Value, Measurements, Nonrecurring [Member] | Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio | 0 | 0 |
REO | 0 | 0 |
Total assets recorded at fair value on a nonrecurring basis | 0 | 0 |
Fair Value, Measurements, Nonrecurring [Member] | Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio | 0 | 0 |
REO | 0 | 0 |
Total assets recorded at fair value on a nonrecurring basis | 0 | 0 |
Fair Value, Measurements, Nonrecurring [Member] | Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio | 5,413 | 5,376 |
REO | 1,492 | 2,284 |
Total assets recorded at fair value on a nonrecurring basis | 16,291 | 24,313 |
Estimate of Fair Value Measurement [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 2,613,754 | 2,923,124 |
Mortgage loans held for portfolio | 3,775,949 | 3,666,146 |
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio | 5,413 | 5,376 |
REO | 1,492 | 2,284 |
Total assets recorded at fair value on a nonrecurring basis | 16,291 | 24,313 |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 1,078,541 | 1,196,594 |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Fair Value, Measurements, Nonrecurring [Member] | Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Fair Value, Measurements, Nonrecurring [Member] | Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Fair Value, Measurements, Nonrecurring [Member] | Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 9,386 | 16,653 |
Residential Mortgage Backed Securities [Member] | Estimate of Fair Value Measurement [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | $ 9,386 | $ 16,653 |
Commitments and Contingencies90
Commitments and Contingencies (Details) - USD ($) | 6 Months Ended | ||
Jun. 30, 2016 | Dec. 31, 2015 | ||
Loss Contingencies [Line Items] | |||
Value of the guarantees related to standby letters of credit | $ 43,895,000 | $ 43,435,000 | |
Maximum term of commitments to invest in mortgage loans | 45 days | ||
Other FHLBanks [Member] | |||
Loss Contingencies [Line Items] | |||
Par value of other FHLBanks' outstanding COs for which we are jointly and severally liable | $ 906,200,000,000 | 851,400,000,000 | |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | $ 14,000,000 | 27,300,000 | |
Off-balance-sheet Commitments Expiring After One Year | 4,000,000 | ||
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Term of standby letters of credit | 20 years | ||
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [1] | $ 3,922,777,000 | 3,998,609,000 |
Off-balance-sheet Commitments Expiring After One Year | [1] | 68,855,000 | 77,477,000 |
Total Off-balance Sheet Commitments | [1] | 3,991,632,000 | 4,076,086,000 |
Value of the guarantees related to standby letters of credit | 699,000 | 831,000 | |
Commitments of unused lines of credit - advances [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 1,254,875,000 | 1,263,182,000 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | $ 1,254,875,000 | 1,263,182,000 |
Commitments of unused lines of credit - advances [Member] | Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Period for commitments for unused line-of-credit advances | 12 months | ||
Commitments to make additional advances [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | $ 1,133,755,000 | 650,890,000 | |
Off-balance-sheet Commitments Expiring After One Year | 44,680,000 | 54,308,000 | |
Total Off-balance Sheet Commitments | 1,178,435,000 | 705,198,000 | |
Commitments to Invest in Mortgage Loans [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 46,100,000 | 24,714,000 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | 46,100,000 | 24,714,000 | |
Unsettled CO bonds, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [3] | 322,500,000 | 25,000,000 |
Off-balance-sheet Commitments Expiring After One Year | [3] | 0 | 0 |
Total Off-balance Sheet Commitments | [3] | 322,500,000 | 25,000,000 |
Unsettled CO bonds, at par [Member] | Interest-rate swaps [Member] | |||
Loss Contingencies [Line Items] | |||
Total Off-balance Sheet Commitments | 25,000,000 | ||
Unsettled CO discount notes, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 408,000,000 | 700,000,000 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | $ 408,000,000 | $ 700,000,000 | |
[1] | The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At June 30, 2016, and December 31, 2015, these amounts totaled $14.0 million and $27.3 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $4.0 million at December 31, 2015. | ||
[2] | Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. | ||
[3] | We had $25.0 million in unsettled CO bonds that were hedged with associated interest-rate swaps at December 31, 2015. |
Transactions with Shareholder91
Transactions with Shareholders (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | ||
Transactions with Shareholders [Line Items] | ||||||
Capital Stock Outstanding | $ 2,353,698 | $ 2,353,698 | $ 2,336,662 | |||
Par Value of Advances | [1] | 38,037,014 | 38,037,014 | 35,967,783 | ||
Total Accrued Interest Receivable | 82,995 | 82,995 | 84,442 | |||
Interest income on advances | 81,011 | $ 58,441 | 159,230 | $ 115,849 | ||
Fees on letters of credit | 1,934 | 2,089 | 3,902 | 4,008 | ||
Citizens Bank, N.A. [Member] | ||||||
Transactions with Shareholders [Line Items] | ||||||
Capital Stock Outstanding | $ 313,618 | $ 313,618 | $ 308,280 | |||
Percent of Total Capital Stock Outstanding | 13.10% | 13.10% | 13.00% | |||
Par Value of Advances | $ 6,260,716 | $ 6,260,716 | $ 6,015,163 | |||
Percentage of Total Par Value of Advances | 16.50% | 16.50% | 16.70% | |||
Total Accrued Interest Receivable | $ 789 | $ 789 | $ 1,583 | |||
Percent of Total Accrued Interest Receivable on Advances | 2.40% | 2.40% | 4.50% | |||
Interest income on advances | $ 8,082 | 3,447 | $ 16,286 | 7,163 | ||
Fees on letters of credit | 779 | $ 1,050 | 1,619 | $ 2,039 | ||
Directors' Financial Institutions [Member] | ||||||
Transactions with Shareholders [Line Items] | ||||||
Capital Stock Outstanding | $ 86,354 | $ 86,354 | $ 72,251 | |||
Percent of Total Capital Stock Outstanding | 3.60% | 3.60% | 3.00% | |||
Par Value of Advances | $ 1,454,518 | $ 1,454,518 | $ 1,064,489 | |||
Percentage of Total Par Value of Advances | 3.80% | 3.80% | 3.00% | |||
Total Accrued Interest Receivable | $ 1,388 | $ 1,388 | $ 1,297 | |||
Percent of Total Accrued Interest Receivable on Advances | 4.20% | 4.20% | 3.70% | |||
Minimum [Member] | ||||||
Transactions with Shareholders [Line Items] | ||||||
Definition of related party, minimum percent | 10.00% | 10.00% | ||||
Definition of shareholder concentration, minimum percent | 10.00% | 10.00% | ||||
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. |
Subsequent Events Subsequent Ev
Subsequent Events Subsequent Events (Details) - Common Class B [Member] - Subsequent Event [Member] - USD ($) $ in Millions | Aug. 02, 2016 | Jul. 29, 2016 |
Subsequent Event [Line Items] | ||
Annualized rate of cash dividend | 3.65% | |
Dividend, including dividends on mandatorily redeemable capital stock | $ 21.9 |