Document and Entity Information
Document and Entity Information - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Feb. 28, 2017 | Jun. 30, 2016 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 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 | FY | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 0 | ||
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 | 24,591,597 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Cash and due from banks | $ 520,031 | $ 254,218 | |
Interest-bearing deposits | 278 | 197 | |
Securities purchased under agreements to resell | 5,999,000 | 6,700,000 | |
Federal funds sold | 2,700,000 | 2,120,000 | |
Investment securities: | |||
Trading securities | 612,622 | 230,134 | |
Available-for-sale securities - includes $7,968 and $22,822 pledged as collateral at December 31, 2016 and 2015, respectively that may be repledged | 6,588,664 | 6,314,285 | |
Held-to-maturity securities - includes $23,618 and $42,703 pledged as collateral at December 31, 2016 and 2015, respectively that may be repledged | [1],[2] | 2,130,767 | 2,654,565 |
Total investment securities | 9,332,053 | 9,198,984 | |
Advances | 39,099,339 | 36,076,167 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $650 and $1,025 at December 31, 2016 and 2015, respectively | 3,693,894 | 3,581,788 | |
Accrued interest receivable | 84,653 | 84,442 | |
Premises, software, and equipment, net | 5,211 | 3,360 | |
Derivative assets, net | 61,598 | 40,117 | |
Other assets | 49,529 | 43,396 | |
Total Assets | 61,545,586 | 58,102,669 | |
Deposits | |||
Interest-bearing | 444,897 | 458,513 | |
Non-interest-bearing | 37,266 | 24,089 | |
Total deposits | 482,163 | 482,602 | |
Consolidated obligations (COs): | |||
Bonds | 27,171,434 | 25,427,277 | |
Discount notes | 30,053,964 | 28,479,097 | |
Total consolidated obligations | 57,225,398 | 53,906,374 | |
Mandatorily redeemable capital stock | 32,687 | 41,989 | |
Accrued interest payable | 80,822 | 81,268 | |
Affordable Housing Program (AHP) payable | 81,627 | 82,081 | |
Derivative liabilities, net | 357,876 | 442,007 | |
Other liabilities | 40,235 | 43,435 | |
Total liabilities | 58,300,808 | 55,079,756 | |
Commitments and contingencies (Note 19) | |||
Capital | |||
Capital stock – Class B – putable ($100 par value), 24,113 shares and 23,367 shares issued and outstanding at December 31, 2016 and 2015, respectively | 2,411,306 | 2,336,662 | |
Retained earnings: | |||
Unrestricted | 987,711 | 934,214 | |
Restricted | 229,275 | 194,634 | |
Total retained earnings | 1,216,986 | 1,128,848 | |
Accumulated other comprehensive loss | (383,514) | (442,597) | |
Total capital | 3,244,778 | 3,022,913 | |
Total Liabilities and Capital | $ 61,545,586 | $ 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 $2,372,290 and $2,923,124 at December 31, 2016 and 2015, respectively. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 7,968 | $ 22,822 |
Held-to-maturity securities pledged as collateral that may be repledged (a) | 23,618 | 42,703 |
Allowance for credit losses | 650 | 1,025 |
Fair value of held-to-maturity securities | $ 2,372,290 | $ 2,923,124 |
Common Class B [Member] | ||
Common Stock, Class B, putable shares issued | 24,113 | 23,367 |
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Common Stock, Class B, putable shares outstanding | 24,113 | 23,367 |
Statements of Operations
Statements of Operations - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
INTEREST INCOME | |||
Advances | $ 337,150 | $ 239,365 | $ 227,308 |
Prepayment fees on advances, net | 3,753 | 7,637 | 9,060 |
Securities purchased under agreements to resell | 11,474 | 4,825 | 3,048 |
Federal funds sold | 22,562 | 6,481 | 3,560 |
Investment securities: | |||
Trading securities | 9,194 | 9,144 | 9,395 |
Available-for-sale securities | 115,854 | 97,557 | 66,516 |
Held-to-maturity securities | 87,250 | 96,475 | 112,636 |
Prepayment fees on investments | 479 | 661 | 1,485 |
Total investment securities | 212,777 | 203,837 | 190,032 |
Mortgage loans held for portfolio | 119,910 | 122,704 | 125,600 |
Other | 538 | 73 | 11 |
Total interest income | 708,164 | 584,922 | 558,619 |
Consolidated obligations: | |||
Bonds | 361,006 | 329,285 | 320,976 |
Discount notes | 93,362 | 28,221 | 15,461 |
Total consolidated obligations | 454,368 | 357,506 | 336,437 |
Deposits | 679 | 77 | 67 |
Mandatorily redeemable capital stock | 1,364 | 1,636 | 8,819 |
Other borrowings | 4 | 6 | 4 |
Total interest expense | 456,415 | 359,225 | 345,327 |
NET INTEREST INCOME | 251,749 | 225,697 | 213,292 |
(Reduction of) provision for credit losses | (277) | (330) | 61 |
NET INTEREST INCOME AFTER (REDUCTION OF) PROVISION FOR CREDIT LOSSES | 252,026 | 226,027 | 213,231 |
OTHER INCOME (LOSS) | |||
Total other-than-temporary impairment losses on investment securities | (1,974) | (1,284) | (1,771) |
Net amount of impairment losses reclassified (from) to accumulated other comprehensive loss | (1,336) | (2,775) | 192 |
Net other-than-temporary impairment losses on investment securities, credit portion | (3,310) | (4,059) | (1,579) |
Litigation settlements | 39,211 | 184,879 | 22,000 |
Loss on early extinguishment of debt | (1,484) | (354) | (3,068) |
Service fees | 7,701 | 8,050 | 7,159 |
Net unrealized (losses) gains on trading securities | (4,410) | (4,890) | 972 |
Net losses on derivatives and hedging activities | (8,591) | (11,260) | (4,685) |
Other | 207 | (365) | (964) |
Total other income | 29,324 | 172,001 | 19,835 |
OTHER EXPENSE | |||
Compensation and benefits | 47,089 | 46,089 | 36,729 |
Other operating expenses | 23,008 | 20,921 | 20,818 |
Federal Housing Finance Agency (the FHFA) | 3,643 | 3,791 | 2,980 |
Office of Finance | 3,011 | 3,006 | 2,760 |
Other | 11,995 | 2,575 | 2,368 |
Total other expense | 88,746 | 76,382 | 65,655 |
INCOME BEFORE ASSESSMENTS | 192,604 | 321,646 | 167,411 |
AHP | 19,397 | 32,328 | 17,623 |
NET INCOME | $ 173,207 | $ 289,318 | $ 149,788 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Statement of Comprehensive Income [Abstract] | |||
Net income | $ 173,207 | $ 289,318 | $ 149,788 |
Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, before Tax, Portion Attributable to Parent [Abstract] | |||
Net unrealized gains (losses) on available-for-sale securities | 909 | (64,095) | 28,142 |
Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | |||
Net amount of impairment losses reclassified to (from) non-interest income | 1,336 | 2,775 | (192) |
Accretion of noncredit portion | 36,070 | 43,382 | 49,178 |
Total net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | 37,406 | 46,157 | 48,986 |
Net unrealized gains (losses) relating to hedging activities | |||
Unrealized losses | (732) | (13,671) | (38,502) |
Reclassification adjustment for previously deferred hedging gains and losses included in net income | 23,782 | 23,862 | 8,668 |
Total net unrealized gains (losses) relating to hedging activities | 23,050 | 10,191 | (29,834) |
Pension and postretirement benefits | (2,282) | 2,136 | (2,764) |
Total other comprehensive income (loss) | 59,083 | (5,611) | 44,530 |
Comprehensive income | $ 232,290 | $ 283,707 | $ 194,318 |
Statements of Capital
Statements of Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | $ 3,022,913 | $ 2,877,786 | $ 2,837,745 |
Comprehensive income | 232,290 | 283,707 | 194,318 |
Proceeds from sale of capital stock | 455,451 | 269,076 | 203,882 |
Repurchase of capital stock | (380,767) | (345,474) | (266,347) |
Shares Reclassified to Mandatorily Redeemable Capital Stock | (40) | (54) | (54,892) |
Cash dividends on capital stock | (85,069) | (62,128) | (36,920) |
Period end | 3,244,778 | 3,022,913 | 2,877,786 |
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 934,214 | 764,888 | 681,978 |
Comprehensive income | 138,566 | 231,454 | 119,830 |
Cash dividends on capital stock | (85,069) | (62,128) | (36,920) |
Period end | 987,711 | 934,214 | 764,888 |
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 194,634 | 136,770 | 106,812 |
Comprehensive income | 34,641 | 57,864 | 29,958 |
Period end | 229,275 | 194,634 | 136,770 |
Retained Earnings, Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 1,128,848 | 901,658 | 788,790 |
Comprehensive income | 173,207 | 289,318 | 149,788 |
Cash dividends on capital stock | (85,069) | (62,128) | (36,920) |
Period end | 1,216,986 | 1,128,848 | 901,658 |
Accumulated Other Comprehensive Loss | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | (442,597) | (436,986) | (481,516) |
Comprehensive income | 59,083 | (5,611) | 44,530 |
Period end | $ (383,514) | $ (442,597) | $ (436,986) |
Common Class B [Member] | Capital Stock Class B - Putable | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period, shares | 23,367 | 24,131 | 25,305 |
Beginning of period | $ 2,336,662 | $ 2,413,114 | $ 2,530,471 |
Proceeds from sale of capital stock, shares | 4,554 | 2,691 | 2,039 |
Proceeds from sale of capital stock | $ 455,451 | $ 269,076 | $ 203,882 |
Repurchase of capital stock, shares | (3,808) | (3,454) | (2,664) |
Repurchase of capital stock | $ (380,767) | $ (345,474) | $ (266,347) |
Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | 0 | (1) | (549) |
Shares Reclassified to Mandatorily Redeemable Capital Stock | $ (40) | $ (54) | $ (54,892) |
Period end, shares | 24,113 | 23,367 | 24,131 |
Period end | $ 2,411,306 | $ 2,336,662 | $ 2,413,114 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
OPERATING ACTIVITIES | |||
Net income | $ 173,207 | $ 289,318 | $ 149,788 |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Depreciation and amortization | (40,332) | (58,337) | (69,567) |
(Reduction of) provision for credit losses | (277) | (330) | 61 |
Change in net fair-value adjustments on derivatives and hedging activities | 25,341 | 26,565 | (41,025) |
Net other-than-temporary impairment losses on investment securities, credit portion | 3,310 | 4,059 | 1,579 |
Loss on early extinguishment of debt | 1,484 | 354 | 3,068 |
Other adjustments | 8,008 | (587) | 194 |
Net change in: | |||
Market value of trading securities | 4,410 | 4,890 | (972) |
Accrued interest receivable | (218) | (7,031) | 6,044 |
Other assets | (1,444) | (2,022) | 3,615 |
Accrued interest payable | (446) | (9,956) | 7,839 |
Other liabilities | (7,334) | 30,179 | 4,354 |
Total adjustments | (7,498) | (12,216) | (84,810) |
Net cash provided by operating activities | 165,709 | 277,102 | 64,978 |
INVESTING ACTIVITIES | |||
Interest-bearing deposits | (16,949) | (47,431) | (43,191) |
Securities purchased under agreements to resell | 701,000 | (1,450,000) | (1,500,000) |
Federal funds sold | (580,000) | 430,000 | (1,700,000) |
Premises, software, and equipment | (3,381) | (1,155) | (1,756) |
Trading securities: | |||
Proceeds from long-term | 12,692 | 9,944 | 3,177 |
Purchases of long-term | (399,155) | 0 | 0 |
Available-for-sale securities: | |||
Proceeds from long-term | 1,299,593 | 963,719 | 1,298,755 |
Purchases of long-term | (1,618,180) | (1,884,234) | (2,676,090) |
Held-to-maturity securities: | |||
Proceeds from long-term | 589,470 | 774,687 | 863,763 |
Advances to members: | |||
Proceeds | 345,626,842 | 343,453,372 | 287,664,979 |
Disbursements | (348,770,289) | (346,147,412) | (293,721,805) |
Mortgage loans held for portfolio: | |||
Proceeds | 587,203 | 560,553 | 425,114 |
Purchases | (715,274) | (677,879) | (555,520) |
Proceeds from sale of foreclosed assets | 5,075 | 7,631 | 8,146 |
Net cash used in investing activities | (3,281,353) | (4,008,205) | (9,934,428) |
FINANCING ACTIVITIES | |||
Net change in deposits | (339) | 113,731 | (146,802) |
Net payments on derivatives with a financing element | (13,268) | (17,787) | (17,653) |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 163,426,877 | 142,833,896 | 127,396,166 |
Bonds | 18,313,281 | 11,782,583 | 11,962,889 |
Bonds transferred from other Federal Home Loan Banks | 0 | 87,783 | 0 |
Payments for maturing and retiring consolidated obligations: | |||
Discount notes | (161,858,661) | (139,669,947) | (118,148,757) |
Bonds | (16,466,706) | (11,874,284) | (9,859,853) |
Proceeds from issuance of capital stock | 455,451 | 269,076 | 203,882 |
Payments for redemption of mandatorily redeemable capital stock | (9,342) | (256,664) | (733,641) |
Payments for repurchase of capital stock | (380,767) | (345,474) | (266,347) |
Cash dividends paid | (85,069) | (62,128) | (36,931) |
Net cash provided by financing activities | 3,381,457 | 2,860,785 | 10,352,953 |
Net increase (decrease) in cash and due from banks | 265,813 | (870,318) | 483,503 |
Cash and due from banks at beginning of the year | 254,218 | 1,124,536 | 641,033 |
Cash and due from banks at end of the year | 520,031 | 254,218 | 1,124,536 |
Supplemental disclosures: | |||
Interest paid | 505,267 | 430,381 | 414,950 |
AHP payments | 18,575 | 16,716 | 12,012 |
Noncash transfers of mortgage loans held for portfolio to other assets | $ 3,112 | $ 6,950 | $ 8,455 |
Background Information
Background Information | 12 Months Ended |
Dec. 31, 2016 | |
Background Information [Abstract] | |
Nature of Operations [Text Block] | Background Information We are a federally chartered corporation and one of 11 district Federal Home Loan Banks (the FHLBanks or the FHLBank System). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by enhancing the availability of credit for residential mortgages, targeted community development and economic growth. Each FHLBank operates in a specifically defined geographic territory, or district. We provide a readily available, competitively priced source of funds to our members and certain nonmember institutions located within the six New England states, which are Connecticut, Maine, Massachusetts, New Hampshire, Rhode Island, and Vermont. Certain regulated financial institutions, including community development financial institutions (CDFIs) and insurance companies with their principal places of business in New England and engaged in residential housing finance, may apply for membership. Additionally, certain nonmember institutions (referred to as housing associates) that meet applicable legal criteria may also borrow from us. While eligible to borrow, housing associates are not our members and, therefore, are not allowed to hold capital stock. As we are a cooperative, current and former members own all of our outstanding capital stock and may receive dividends on their investment. We do not have any wholly or partially owned subsidiaries, and we do not have an equity position in any partnerships, corporations, or off-balance-sheet special-purpose entities. All members must purchase our stock as a condition of membership, as well as a condition of engaging in certain business activities with us. The FHFA, our primary regulator, is the independent federal regulator of the FHLBanks, Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae). A purpose of the FHFA is to ensure that the FHLBanks operate in a safe and sound manner, including maintenance of adequate capital and internal controls. In addition, the FHFA is responsible for ensuring that 1) the operations and activities of each FHLBank foster liquid, efficient, competitive, and resilient national housing finance markets, 2) each FHLBank complies with the title and the rules, regulations, guidelines, and orders issued under the Housing and Economic Recovery Act (HERA) and the authorizing statutes, 3) each FHLBank carries out its statutory mission through only activities that are authorized under and consistent with HERA and the authorizing statutes, and 4) the activities of each FHLBank and the manner in which such FHLBank is operated is consistent with the public interest. Each FHLBank is a separate legal entity with its own management, employees, and board of directors. The Office of Finance is the FHLBanks' fiscal agent and is a joint office of the FHLBanks established to facilitate the issuance and servicing of the FHLBanks' COs and to prepare the combined quarterly and annual financial reports of all the FHLBanks. As provided by the Federal Home Loan Bank Act of 1932, as amended (the FHLBank Act), and applicable regulations, COs are backed only by the financial resources of all the FHLBanks and are our primary source of funds. Deposits, other borrowings, and the issuance of capital stock, which is principally held by our current and former members, provide other funds. We primarily use these funds to provide loans, called advances, to invest in single-family mortgage loans under the Mortgage Partnership Finance ® (MPF ® ) program, and also to fund other investments. In addition, we offer correspondent services, such as wire-transfer, investment-securities-safekeeping, and settlement services. "Mortgage Partnership Finance", "MPF" and MPF Xtra are registered trademarks of the FHLBank of Chicago. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Use of Estimates These financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. The most significant of these estimates include but are not limited to, fair-value estimates, other-than-temporary impairment analysis, the allowance for loan losses, and deferred premium/discounts associated with prepayable assets. Actual results could differ from these estimates. Fair Value We determine the fair-value amounts recorded on the statement of condition and in the note disclosures for the periods presented by using available market and other pertinent information, and reflect our best judgment of appropriate valuation methods. Although we use our best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. See Note 18 — Fair Values for more information. Financial Instruments Meeting Netting Requirements We present certain financial instruments on a net basis when they are subject to a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, we have elected to offset our asset and liability positions, as well as cash collateral received or pledged, when we have met the netting requirements. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the requirements for netting, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 — Derivatives and Hedging Activities for additional information regarding these agreements. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. At December 31, 2016 and 2015 , we had $6.0 billion and $6.7 billion in securities purchased under agreements to resell. There were no offsetting amounts related to these securities at December 31, 2016 and 2015 . Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold These investments provide short-term liquidity and are carried at cost. Federal funds sold consist of short-term, unsecured loans transacted with counterparties that we consider to be of investment quality. Securities purchased under agreements to resell are treated as short-term collateralized loans that are classified as assets in the statement of condition. These securities purchased under agreements to resell are held in safekeeping in our name by third-party custodians, which we have approved. If the fair value of the underlying securities decreases below the fair value required as collateral, the counterparty has the option to provide additional securities in safekeeping in our name in an amount equal to the decrease or remit cash in such amount. If the counterparty defaults on this obligation, we will decrease the dollar value of the resale agreement accordingly. We have not sold or repledged the collateral received on securities purchased under agreements to resell. Securities purchased under agreements to resell averaged $3.4 billion during 2016 and $4.8 billion during 2015 , and the maximum amount outstanding at any month-end during 2016 and 2015 was $7.0 billion and $8.1 billion , respectively. Investment Securities We classify investments as trading, available-for-sale, or held-to-maturity at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these investments through other income as net unrealized (losses) gains on trading securities. FHFA regulations prohibit trading in or the speculative use of these instruments and limit the credit risks we have from these instruments. Available-for-sale. We classify certain investments that are not classified as held-to-maturity or trading as available-for-sale and carry them at fair value. Changes in fair value of available-for-sale securities not being hedged by derivatives, or in an economic hedging relationship, are recorded in other comprehensive income (loss) as net unrealized gains (losses) on available-for-sale securities. For available-for-sale securities that have been hedged under fair-value hedge designations, we record the portion of the change in fair value related to the risk being hedged in other income as net losses on derivatives and hedging activities together with the related change in the fair value of the derivative. The remainder of the change in the fair value of the investment is recorded in other comprehensive income (loss) as net unrealized gains (losses) on available-for-sale securities. Held-to-Maturity. Certain investments for which we have both the ability and intent to hold to maturity are classified as held-to-maturity and are carried at cost, adjusted for periodic principal repayments, amortization of premiums and accretion of discounts using the level-yield method, previous other-than-temporary impairment, and accretion of the noncredit portion of other-than-temporary impairment recognized in other comprehensive income (loss). Changes in circumstances may cause us to change our intent to hold certain securities to maturity without calling into question our intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of a held-to-maturity security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for us that could not have been reasonably anticipated may cause us to sell or transfer a held-to-maturity security without necessarily calling into question our intent to hold other debt securities to maturity. In addition, sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: • the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security's fair value; or • the sale of a security occurs after we have already collected a substantial portion (at least 85 percent) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. Premiums and Discounts. We amortize premiums and accrete discounts on mortgage-backed securities (MBS) using the level-yield method over the estimated lives of the securities. This method requires a retrospective adjustment of the effective yield each time we change the estimated life, based on actual prepayments received and changes in expected prepayments, as if the new estimate had been known since the original acquisition date of the securities. We estimate prepayment speeds on each individual security using the most recent three months of historical constant prepayment rates, as available, or may subscribe to third-party data services that provide estimates of future cash flows, from which we determine expected asset lives. We amortize premiums and accrete discounts on other investments using the level-yield method to the contractual maturity of the securities. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income (loss). Investment Securities – Other-than-Temporary Impairment We evaluate our individual available-for-sale and held-to-maturity securities in an unrealized loss position for other-than-temporary impairment each quarter. An investment is considered impaired when its fair value is less than its amortized cost. We consider other-than-temporary impairment to have occurred if we: • have an intent to sell the investment; • believe it is more likely than not that we will be required to sell the investment before the recovery of its amortized cost based on available evidence; or • do not expect to recover the entire amortized cost of the debt security. Recognition of Other-than-Temporary Impairment. If either of the first two conditions above is met, we recognize an other-than-temporary impairment charge in earnings equal to the entire difference between the security's amortized cost and its fair value as of the statement of condition date. For securities in an unrealized loss position that meet neither of the first two conditions (excluding agency MBS) and for each of our private-label MBS, we perform an analysis to determine if we will recover the entire amortized cost of each of these securities. The present value of the cash flows expected to be collected is compared with the amortized cost of the debt security to determine whether a credit loss exists. If the present value of the cash flows expected to be collected is less than the amortized cost of the debt security, the security is deemed to be other-than-temporarily impaired and the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost and fair value in earnings, only the amount of the impairment representing the credit loss (that is, the credit component) is recognized in earnings, while the amount related to all other factors (that is, the noncredit component) is recognized in other comprehensive income (loss). For a security that is determined to be other-than-temporarily impaired, in the event that the present value of the cash flows expected to be collected is less than the fair value of the security, the credit loss on the security is limited to the amount of that security's unrealized losses. In performing a detailed cash-flow analysis, we estimate the cash flows expected to be collected. If this estimate results in a present value of expected cash flows (discounted at the security's effective yield) that is less than the amortized cost basis of a security (that is, a credit loss exists), other-than-temporary impairment is considered to have occurred. For determining the present value of variable-rate and hybrid private-label residential MBS, we use the effective interest rate derived from a variable-rate index, such as one-month London Interbank Offered Rate (LIBOR), plus the contractual spread, plus or minus a fixed-spread adjustment when there is an existing discount or premium on the security. Because the implied forward yield curve of a selected variable-rate index changes over time, the effective interest rates derived from that index will also change over time and would therefore impact the present value of the subject security. The total other-than-temporary impairment is presented in the statement of operations with an offset for the amount of the noncredit portion of other-than-temporary impairment that is recognized in other comprehensive income (loss). The remaining amount in the statement of operations represents the credit loss for the period. Accounting for Other-than-Temporary Impairment Recognized in Other Comprehensive Income. For subsequent accounting of other-than-temporarily impaired securities, we record an additional other-than-temporary impairment if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional other-than-temporary impairment (both credit and non-credit, if any) is determined as the difference between the security's amortized cost less the amount of other-than-temporary impairment recognized in other comprehensive income (loss) prior to the determination of this additional other-than-temporary impairment and its fair value. Any additional credit loss is limited to that security's unrealized losses, or the difference between the security's amortized cost and its fair value as of the statement of condition date. This additional credit loss, up to the amount in other comprehensive income (loss) related to the security, is reclassified out of other comprehensive income (loss) and recognized in earnings. Any credit loss in excess of the amount reclassified out of other comprehensive income (loss) is also recognized in earnings. Interest Income Recognition. Upon subsequent evaluation of a debt security when there is no additional other-than-temporary impairment, we adjust the accretable yield on a prospective basis if there is a significant increase in the security's expected future cash flows. This adjusted yield is used to calculate the amount to be recognized into income over the remaining life of the security so as to match the amount and timing of future cash flows expected to be collected. Subsequent changes in estimated cash flows that are deemed significant will change the accretable yield on a prospective basis. For debt securities classified as held-to-maturity, the other-than-temporary impairment recognized in other comprehensive income (loss) is accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows (with no effect on earnings unless the security is subsequently sold or there are additional decreases in cash flows expected to be collected). The estimated cash flows and accretable yield are re-evaluated each quarter. Advances We report advances at amortized cost. Advances carried at amortized cost are reported net of premiums/discounts and any hedging adjustments, as discussed in Note 8 — Advances. We generally record our advances at par. However, we may record premiums or discounts on advances in the following cases: • Advances may be acquired from another FHLBank when one of our members acquires a member of another FHLBank. In these cases, we may purchase the advances from the other FHLBank at a price that results in a fair market yield for the acquired advance. • In the event that a hedge of an advance is discontinued, the cumulative hedging adjustment is recorded as a premium or discount and amortized over the remaining life of the advance. • When the prepayment of an advance is followed by disbursement of a new advance and the transactions effectively represent a modification of the previous advance the prepayment fee received is deferred, recorded as a discount to the modified advance, and accreted over the life of the new advance. • When an advance is modified under our advance restructuring program and our analysis of the restructuring concludes that the transaction is an extinguishment of the prior loan rather than a modification, the deferred prepayment fee is recognized into income immediately, recorded as premium on the new advance, and amortized over the life of the new advance. • When we make an AHP advance, the present value of the variation in the cash flow caused by the difference in the interest rate between the AHP advance rate and our related cost of funds for comparable maturity funding is charged against the AHP liability and recorded as a discount on the AHP advance. • Advances issued under our Jobs for New England (JNE) and Helping to House New England (HHNE) programs have an interest rate of zero percent. Due to the below market interest rate, we record a discount on the advance and an interest rate subsidy expense at the time that we transact the advance. The subsidy expense is recorded in other expense in the statement of operations. We do not charge a prepayment fee for advances issued under the JNE and HHNE programs. We amortize the premiums and accrete the discounts on advances to interest income using the level-yield method. We record interest on advances to interest income as earned. Prepayment Fees. We charge borrowers a prepayment fee when they prepay certain advances before the original maturity. We record prepayment fees net of hedging fair-value adjustments included in the carrying value of the advance as prepayment fees on advances, net in the interest income section of the statement of operations. Advance Modifications. In cases in which we fund a new advance concurrently with or within a short period of time of the prepayment of an existing advance by the same member, we evaluate whether the new advance meets the accounting criteria to qualify as a modification of the existing advance or whether it constitutes a new advance. We compare the present value of cash flows on the new advance with the present value of cash flows remaining on the existing advance. If there is at least a 10 percent difference in the present value of cash flows or if we conclude the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance's original contractual terms, the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. If a new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized to interest income over the life of the modified advance using the level-yield method. This amortization is recorded in advance-interest income. If the modified advance is hedged, changes in fair value are recorded after the amortization of the basis adjustment. This amortization results in offsetting amounts being recorded in net interest income and net losses on derivatives and hedging activities in other income. For prepaid advances that were hedged and met the hedge-accounting requirements, we terminate the hedging relationship upon prepayment and record the prepayment fee net of the hedging fair-value adjustment in the basis of the advance as prepayment fees on advances, net in interest income. If we fund a new advance to a member concurrent with or within a short period of time after the prepayment of a previous advance to that member, we evaluate whether the new advance qualifies as a modification of the original hedged advance. If the new advance qualifies as a modification of the original hedged advance, the hedging fair-value adjustment and the prepayment fee are included in the carrying amount of the modified advance and are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedging criteria, the modified advance is marked to fair value after the modification, and subsequent fair-value changes are recorded in other income as net losses on derivatives and hedging activities. If a new advance does not qualify as a modification of an existing advance, prepayment of the existing advance is treated as an advance termination and any prepayment fee, net of hedging adjustments, is recorded to prepayment fees on advances, net in the interest income section of the statement of operations. Commitment Fees We record commitment fees for standby letters of credit to members as deferred fee income when received, and amortize these fees on a straight-line basis to service-fees income in other income over the term of the standby letter of credit. Based upon past experience, we believe the likelihood of standby letters of credit being drawn upon is remote. Mortgage Loans Held for Portfolio We participate in the MPF program through which we invest in conventional, residential, fixed-rate mortgage loans (conventional mortgage loans) and government-insured or -guaranteed residential fixed-rate mortgage loans (government mortgage loans) that are purchased from participating financial institutions (see Note 9 — Mortgage Loans Held for Portfolio). We classify our investments in mortgage loans for which we have the intent and ability to hold for the foreseeable future or until maturity or payoff as held for portfolio. As of December 31, 2016 , all our investments in mortgage loans are held for portfolio. Accordingly, these investments are reported at their principal amount outstanding net of unamortized premiums, discounts, unrealized gains and losses from investments initially classified as mortgage loan commitments, direct write-downs, and the allowance for credit losses on mortgage loans. Premiums and Discounts. We compute the amortization of mortgage-loan-origination fees (premiums and discounts) as interest income using the level-yield method over the contractual term to maturity of each individual loan, which results in income recognition in a manner that is effectively proportionate to the actual repayment behavior of the underlying assets and reflects the contractual terms of the assets without regard to changes in estimated prepayments based on assumptions about future borrower behavior. Credit-Enhancement Fees. For conventional mortgage loans, participating financial institutions retain a portion of the credit risk on the loans in which we invest by providing credit-enhancement protection either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide supplemental mortgage insurance. Participating financial institutions are paid a credit-enhancement fee for assuming credit risk and in some instances all or a portion of the credit-enhancement fee may be performance-based. Credit-enhancement fees are paid monthly and are determined based on the remaining unpaid principal balance of the pertinent MPF loans. The required credit-enhancement amount varies depending on the MPF product. Credit-enhancement fees are recorded as an offset to mortgage-loan-interest income. To the extent that losses in the current month exceed performance-based credit-enhancement fees accrued, the remaining losses may be recovered from future performance-based credit-enhancement fees payable to the participating financial institution. Other Fees. We record other nonorigination fees in connection with our MPF program activities in other income. Such fees include delivery-commitment-extension fees, pair-off fees, price-adjustment fees, and counterparty fees in connection with MPF products under which we facilitate third party investment in loans (non-investment MPF products) such as with the MPF Xtra ® product. Delivery-commitment-extension fees are charged when a participating financial institution requests to extend the period of the delivery commitment beyond the original stated expiration. Pair-off fees represent a make-whole provision; they are received when the amount funded under a delivery commitment is less than a certain threshold (under-delivery) of the delivery-commitment amount. Price-adjustment fees are received when the amount funded is greater than a certain threshold (over-delivery) of the delivery-commitment amount. To the extent that pair-off fees relate to under-deliveries of loans, they are recorded in service fee income. Fees related to over-deliveries represent purchase-price adjustments to the related loans acquired and are recorded as part of the carrying value of the loan. The FHLBank of Chicago pays us a counterparty fee for the costs and expenses of marketing activities for loans originated for sale under non-investment MPF products. Mortgage-Loan Participations. We may purchase and sell participations in MPF loans from other FHLBanks from time to time. References to our investments in mortgage loans throughout this report include any participation interests we own. 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. Portfolio Segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic methodology for determining its allowance for credit losses. We have established an allowance methodology for each of our portfolio segments. See Note 10 – Allowance for Credit Losses for additional information. Nonaccrual Loans. We place conventional mortgage loans on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a conventional mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income in the current period. We generally record cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless we consider the collection of the remaining principal amount due to be doubtful. If we consider the collection of the remaining principal amount to be doubtful, cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual status when the collection of the contractual principal and interest is less than 90 days past due. We do not place government mortgage loans on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due because of the U.S. government guarantee of the loan and the contractual obligations of each related servicer, as more fully discussed in Note 10 – Allowance for Credit Losses. Impairment Methodology. A loan is considered impaired when, based on current information and events, it is probable that we will be unable to collect all amounts due according to the contractual terms of the loan agreement. Loans that are on nonaccrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, there is no other available and reliable source of repayment. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as nonaccrual loans as discussed above. 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. Troubled Debt Restructurings We consider a troubled debt restructuring of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties. We place conventional mortgage loans that are deemed to be troubled debt restructurings as a result of our modification program on nonaccrual when payments are 60 days or more past due. Real Estate Owned Real-estate-owned property (REO) includes assets that have been received in satisfaction of debt or as a result of actual foreclosures. REO is recorded as other assets in the statement of condition and is carried at the lower of cost or fair value less estimated selling costs. At December 31, 2016 and 2015 , we had $2.2 million and $3.6 million , respectively, in assets classified as REO. Fair value is derived from third-party valuations of the property. If the fair value of the REO less estimated selling costs is less than the recorded investment in the MPF loan at the date of transfer, we recognize a charge-off to the allowance for credit losses. Subsequent realized gains and realized or unrealized losses are included in other income (loss) in the statement of operations. Derivatives All derivatives are recognized on the statement of condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to clearing members and/or counterparties. We offset fair-value amounts recognized for derivatives and fair-value amounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from derivatives recognized at fair value executed with the same clearing member and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Derivative assets and derivative liabilities reported on the statement of condition also include net accrued interest. Cash flows associated with derivatives are reflected as cash flows from operating activities in the statement of cash flows unless the derivative meets the criteria to be a financing derivative. Each derivative is designated as one of the following: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); • a qualifying hedge of a forecasted transaction or the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a cash-flow hedge); or • a nonqualifying hedge of an asset or liability (an economic hedge) for asset-liability-management purposes. Accounting for Fair-Value and Cash-Flow Hedges. If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective, they qualify for fair-value or cash-flow hedge accounting and the offsetting changes in fair value of the hedged items attributable to the hedged risk are recorded either in earnings in the case of fair-value hedges or other comprehensive income (loss) in the case of cash-flow hedges. Our approaches to hedge accounting are: • long-haul hedge accounting, which generally requires us to formally assess (both at the hedge's inception and at least quarterly) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value or cash flows of hedged items attributable to the hedged risk or forecasted transactions and whether those derivatives may be expected to remain effective in future periods; and • short-cut hedge accounting, which can be used for transactions for which the assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest-rate swap is considered to be effective at achieving offsetting changes in fair values or cash flows of the hedged asset or liability. Beginning in November 2014, to streamline certain operational processes, we discontinued the use of short-cut hedg |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 12 Months Ended |
Dec. 31, 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 Restricted Cash . On November 17, 2016, the FASB issued amended guidance to require that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The guidance is effective on January 1, 2018, for the Bank, and early adoption is permitted. This guidance should be applied using a retrospective transition method to each period presented. The adoption of this new guidance is not expected to have a material impact on our financial condition, results of operations, and cash flows. Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify guidance on the classification of certain cash receipts and payments in the statement of cash flows. This guidance is intended to reduce existing diversity in practice in how certain cash receipts and cash payments are presented and classified on the statement of cash flows. This guidance is effective for us for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied using a retrospective transition method to each period presented. We performed an assessment of the amendments and concluded that adoption of this guidance will have no effect on our financial condition, results of operations and cash flows. Financial Instruments - Credit Losses. On June 16, 2016, the FASB issued amended guidance for the accounting of credit losses on financial instruments. The amendments require entities to measure expected credit losses based on relevant information about past events (including historical experience), current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate in its circumstances. The new guidance requires a financial asset, or a group of financial assets, measured at amortized cost to be presented at the net amount expected to be collected over the contractual term of the financial asset(s). The guidance also requires, among other things, the following: • The statement of income reflects the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period. • Entities determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination that are measured at amortized cost in a similar manner to other financial assets measured at amortized cost. The initial allowance for credit losses is required to be added to the purchase price. • Entities record credit losses relating to available-for-sale debt securities through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost. • Public entities further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination. This guidance is effective for us for interim and annual periods beginning on January 1, 2020. Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018. This guidance is required to be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, entities are required to use a prospective transition approach for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which an other-than-temporary impairment had been recognized before the effective date. We do not intend to adopt the new guidance early. While we are in the process of evaluating this guidance, we expect the adoption of the guidance will result in an increase in the allowance for credit losses given the requirement to assess losses for the entire estimated life of the financial asset. The effect on our financial condition, results of operations, and cash flows will depend upon the composition of our financial assets held at the adoption date as well as the economic conditions and forecasts at that time. 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. The adoption of this guidance had no 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. 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. Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following: • Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income. • Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. • Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (that is, securities or loans and receivables) on the statement of condition or the accompanying notes to the financial statements. • Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the statement of condition. This guidance becomes effective for us for the interim and annual periods beginning on January 1, 2018, and early adoption is only permitted for certain provisions. The amendments, in general, are required to be applied by means of a cumulative-effect adjustment on the statement of condition as of the beginning of the period of adoption. We are in the process of evaluating this guidance, and its effect on our financial condition, results of operations, and cash flows has not yet been determined. 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 is effective for interim and annual periods beginning on January 1, 2018. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016. We do not intend to adopt this new guidance early. Given that the majority of our financial instruments and other contractual rights that generate revenue are covered by other GAAP, the effect of this guidance on our financial condition, results of operations, and cash flows is not expected to be material. 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. |
Cash and Due From Banks
Cash and Due From Banks | 12 Months Ended |
Dec. 31, 2016 | |
Cash and Due from Banks [Abstract] | |
Cash and Cash Equivalents Disclosure [Text Block] | Cash and Due from Banks Cash and due from banks includes cash on hand, cash items in the process of collection, compensating balances, and amounts due from correspondent banks and the Federal Reserve Bank of Boston. Compensating Balances. We maintain collected cash balances with a commercial bank in return for certain services. The related agreement contains no legal restrictions on the withdrawal of funds. The average collected cash balance was $165.6 million and $192.2 million for the years ended December 31, 2016 and 2015 , respectively. |
Trading Securities
Trading Securities | 12 Months Ended |
Dec. 31, 2016 | |
Trading Securities [Abstract] | |
Trading Securities (and Certain Trading Assets) Disclosure [Text Block] | Trading Securities Major Security Types . Our trading securities as of December 31, 2016 and 2015 , were (dollars in thousands): December 31, 2016 December 31, 2015 U.S. Treasury obligations $ 399,521 $ — MBS U.S. government-guaranteed – single-family 8,494 10,296 GSEs – single-family 768 1,449 GSEs – multifamily 203,839 218,389 213,101 230,134 Total $ 612,622 $ 230,134 Net unrealized losses on trading securities for the years ended December 31, 2016 and 2015, amounted to $4.4 million and $4.9 million for securities held on December 31, 2016 and 2015 , respectively. Net unrealized gains on trading securities for the year ended December 31, 2014, amounted to $972,000 for securities held on December 31, 2014 . 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 | 12 Months Ended |
Dec. 31, 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 December 31, 2016 , were (dollars in thousands): Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value State or local housing-finance-agency obligations (HFA securities) $ 9,350 $ — $ (1,204 ) $ 8,146 Supranational institutions 452,021 — (29,401 ) 422,620 U.S. government-owned corporations 317,588 — (45,631 ) 271,957 GSEs 130,798 — (13,330 ) 117,468 909,757 — (89,566 ) 820,191 MBS U.S. government guaranteed – single-family 127,032 16 (2,321 ) 124,727 U.S. government guaranteed – multifamily 565,593 45 (2,277 ) 563,361 GSEs – single-family 4,447,803 1,765 (45,713 ) 4,403,855 GSEs – multifamily 675,288 1,242 — 676,530 5,815,716 3,068 (50,311 ) 5,768,473 Total $ 6,725,473 $ 3,068 $ (139,877 ) $ 6,588,664 _______________________ (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 December 31, 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 $ 8,146 $ (1,204 ) $ — $ — $ 8,146 $ (1,204 ) Supranational institutions — — 422,620 (29,401 ) 422,620 (29,401 ) U.S. government-owned corporations — — 271,957 (45,631 ) 271,957 (45,631 ) GSEs — — 117,468 (13,330 ) 117,468 (13,330 ) 8,146 (1,204 ) 812,045 (88,362 ) 820,191 (89,566 ) MBS U.S. government guaranteed – single-family 31,606 (4 ) 90,854 (2,317 ) 122,460 (2,321 ) U.S. government guaranteed – multifamily 326,126 (1,261 ) 165,246 (1,016 ) 491,372 (2,277 ) GSEs – single-family 3,517,094 (39,181 ) 351,331 (6,532 ) 3,868,425 (45,713 ) 3,874,826 (40,446 ) 607,431 (9,865 ) 4,482,257 (50,311 ) Total temporarily impaired $ 3,882,972 $ (41,650 ) $ 1,419,476 $ (98,227 ) $ 5,302,448 $ (139,877 ) 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 December 31, 2016 and 2015 , were (dollars in thousands): December 31, 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 9,350 8,146 — — Due after five years through 10 years 171,589 161,746 128,473 121,722 Due after 10 years 728,818 650,299 795,899 700,951 909,757 820,191 924,372 822,673 MBS (1) 5,815,716 5,768,473 5,527,631 5,491,612 Total $ 6,725,473 $ 6,588,664 $ 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 | 12 Months Ended |
Dec. 31, 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 December 31, 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 $ 2,159 $ — $ 2,159 $ 56 $ — $ 2,215 HFA securities 162,568 — 162,568 11 (19,291 ) 143,288 164,727 — 164,727 67 (19,291 ) 145,503 MBS U.S. government guaranteed – single-family 12,719 — 12,719 246 — 12,965 U.S. government guaranteed – multifamily 1,532 — 1,532 — — 1,532 GSEs – single-family 812,836 — 812,836 16,881 (519 ) 829,198 GSEs – multifamily 318,667 — 318,667 11,692 — 330,359 Private-label – residential 999,149 (191,804 ) 807,345 240,818 (8,373 ) 1,039,790 Asset-backed securities (ABS) backed by home equity loans 13,515 (574 ) 12,941 602 (600 ) 12,943 2,158,418 (192,378 ) 1,966,040 270,239 (9,492 ) 2,226,787 Total $ 2,323,145 $ (192,378 ) $ 2,130,767 $ 270,306 $ (28,783 ) $ 2,372,290 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 December 31, 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 $ — $ — $ 140,959 $ (19,291 ) $ 140,959 $ (19,291 ) MBS GSEs – single-family 83,291 (393 ) 13,405 (126 ) 96,696 (519 ) Private-label – residential 16,915 (128 ) 397,407 (28,781 ) 414,322 (28,909 ) ABS backed by home equity loans — — 11,898 (720 ) 11,898 (720 ) 100,206 (521 ) 422,710 (29,627 ) 522,916 (30,148 ) Total $ 100,206 $ (521 ) $ 563,669 $ (48,918 ) $ 663,875 $ (49,439 ) 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 December 31, 2016 and 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. December 31, 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 16,637 16,637 16,663 21,583 21,583 21,677 Due after five years through 10 years — — — — — — Due after 10 years 148,090 148,090 128,840 152,950 152,950 131,698 164,727 164,727 145,503 174,533 174,533 153,375 MBS (2) 2,158,418 1,966,040 2,226,787 2,709,817 2,480,032 2,769,749 Total $ 2,323,145 $ 2,130,767 $ 2,372,290 $ 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 | 12 Months Ended |
Dec. 31, 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 December 31, 2016 . At December 31, 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. Held-to-Maturity Securities HFA Securities and Agency MBS. We have reviewed our investments in HFA securities and agency MBS and have determined that all unrealized losses are temporary. 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 December 31, 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 certain private-label residential MBS and home equity loan investments where underlying collateral data is not available, we have used alternative procedures to assess these securities for other-than-temporary impairment. We are responsible for making our own determination of impairment and the reasonableness of assumptions, inputs, and methodologies used and for performing the required present value calculations using appropriate historical cost bases and yields. Our evaluation includes estimating the projected cash flows that we are likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions to determine whether we will recover the entire amortized cost basis of the security, such as: • the remaining payment terms for the security; • prepayment speeds; • default rates; • loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; • expected housing price changes, with projections ranging from a decrease of 3.0 percent to an increase of 10.0 percent over the 12- month period beginning October 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 long-term forecast for each relevant geographic area based on an internally developed framework derived from historical data; and • interest-rate assumptions. 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. For those securities for which a credit loss was recognized during the year ended December 31, 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) $ 171,531 8.9 % 28.8 % 38.0 % 5.4 % _______________________ (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 December 31, 2016 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance. December 31, 2016 Other-Than-Temporarily Impaired Investment (1) Par Value Amortized Cost Carrying Value Fair Value Private-label residential MBS – Prime $ 39,528 $ 34,020 $ 26,943 $ 35,020 Private-label residential MBS – Alt-A 1,105,498 818,430 633,703 866,427 ABS backed by home equity loans – Subprime 3,834 3,510 2,935 3,537 Total other-than-temporarily impaired securities $ 1,148,860 $ 855,960 $ 663,581 $ 904,984 _______________________ (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 Year Ended December 31, 2016 2015 2014 Balance at beginning of year $ 533,888 $ 568,653 $ 603,786 Additions: Credit losses for which other-than-temporary impairment was not previously recognized 15 — 74 Additional credit losses for which an other-than-temporary impairment charge was previously recognized (1) 3,295 4,059 1,505 Reductions: Securities matured during the year (2) (8,778 ) — (684 ) Increase in cash flows expected to be collected which are recognized over the remaining life of the security (3) (38,016 ) (38,824 ) (36,028 ) Balance at end of year $ 490,404 $ 533,888 $ 568,653 _______________________ (1) For the years ended December 31, 2016 , 2015 , and 2014 , 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 , 2015 , and 2014 . (2) Represents reductions related to securities having reached final maturity during the period and, therefore, are no longer held by us at the end of the period. (3) Represents amounts accreted as interest income during the current period. |
Advances
Advances | 12 Months Ended |
Dec. 31, 2016 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances General Terms. We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics, and optionality. Advances have maturities ranging from one day to 30 years or even longer with the approval of our credit committee. At both December 31, 2016 and 2015 , we had advances outstanding with interest rates ranging from zero percent to 7.72 percent as summarized below (dollars in thousands). December 31, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Rate Amount Weighted Average Rate Overdrawn demand-deposit accounts $ 3,780 0.92 % $ 7,546 0.65 % Due in one year or less 18,783,802 1.05 18,282,139 0.72 Due after one year through two years 10,966,780 1.15 8,970,109 1.31 Due after two years through three years 2,508,459 1.67 3,170,267 1.94 Due after three years through four years 2,177,432 1.64 1,495,494 1.89 Due after four years through five years 2,041,269 1.80 1,845,396 1.71 Thereafter 2,633,333 1.70 2,196,832 2.70 Total par value 39,114,855 1.23 % 35,967,783 1.20 % Premiums 22,633 24,183 Discounts (25,847 ) (17,437 ) Fair value of bifurcated derivatives (1) (153 ) 1,241 Hedging adjustments (12,149 ) 100,397 Total $ 39,099,339 $ 36,076,167 _________________________ (1) At December 31, 2016 and 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. We offer advances to members and eligible non-members that provide the borrower the right, based upon predetermined option exercise dates, to repay the advance prior to maturity without incurring prepayment or termination fees (callable advances). We also offer 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 December 31, 2016 and 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 $ 7.9 billion and $6.5 billion , respectively. Other advances may only be prepaid by paying a fee (prepayment fee) that makes us financially indifferent to the prepayment of the advance. The following table sets forth our advances outstanding by the year of contractual maturity or next call date for callable advances (dollars in thousands): Year of Contractual Maturity or Next Call Date (1) , Par Value December 31, 2016 December 31, 2015 Overdrawn demand-deposit accounts $ 3,780 $ 7,546 Due in one year or less 26,447,977 23,728,314 Due after one year through two years 3,693,780 3,983,109 Due after two years through three years 2,508,459 3,130,267 Due after three years through four years 2,002,232 1,455,494 Due after four years through five years 1,891,269 1,670,196 Thereafter 2,567,358 1,992,857 Total par value $ 39,114,855 $ 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. We offer putable advances that provide us with the right to require repayment prior to maturity of the advance (and thereby extinguish the advance) on predetermined exercise dates (put dates). Generally, we would exercise the put options when interest rates increase relative to contractual rates. At December 31, 2016 and 2015 , we had putable advances outstanding totaling $ 3.4 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 December 31, 2016 December 31, 2015 Overdrawn demand-deposit accounts $ 3,780 $ 7,546 Due in one year or less 20,788,552 19,924,939 Due after one year through two years 10,946,530 7,909,809 Due after two years through three years 2,455,709 2,870,517 Due after three years through four years 1,974,932 1,383,244 Due after four years through five years 1,736,769 1,783,896 Thereafter 1,208,583 2,087,832 Total par value $ 39,114,855 $ 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 December 31, 2016 December 31, 2015 Fixed-rate Due in one year or less $ 18,511,194 $ 17,170,139 Due after one year 12,014,998 12,087,223 Total fixed-rate 30,526,192 29,257,362 Variable-rate Due in one year or less 276,388 1,119,546 Due after one year 8,312,275 5,590,875 Total variable-rate 8,588,663 6,710,421 Total par value $ 39,114,855 $ 35,967,783 Credit-Risk Exposure and Security Terms . Our potential credit risk from advances is principally concentrated in commercial banks, insurance companies, savings institutions, and credit unions. At December 31, 2016 and 2015 , we had $16.2 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 and five borrowers, respectively, at December 31, 2016 and 2015 , representing 41.5 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 10 — Allowance for Credit Losses. Prepayment Fees. We record prepayment fees received from borrowers on certain prepaid advances net of any associated basis adjustments related to hedging activities on those advances and net of deferred prepayment fees on advance prepayments considered to be loan modifications. Additionally, for certain advances products, the prepayment-fee provisions of the advance agreement could result in either a payment from the borrower or to the borrower when such an advance is prepaid, based upon market conditions at the time of prepayment (referred to as a symmetrical prepayment fee). Advances with a symmetrical prepayment fee provision are hedged with derivatives containing offsetting terms, so that we are financially indifferent to the borrower's decision to prepay such advances. The net amount of prepayment fees is reflected as interest income in the statement of operations. We also offer an advance restructuring program under which the prepayment fee on prepaid advances may be satisfied by the borrower's agreement to pay an interest rate on a new advance sufficient to amortize the prepayment fee by the maturity date of the new advance, rather than paying the fee in immediately available funds to us. If we conclude an advance restructuring is an extinguishment of the prior loan rather than a modification, the deferred prepayment fee is recognized into income immediately. For the years ended December 31, 2016 , 2015 , and 2014 , net advance prepayment fees recognized in income are reflected in the following table (dollars in thousands): 2016 2015 2014 Prepayment fees received from borrowers $ 11,078 $ 22,325 $ 18,215 Less: hedging fair-value adjustments on prepaid advances (3,664 ) (15,620 ) (2,548 ) Less: net premiums associated with prepaid advances (2,238 ) (727 ) (3,948 ) Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications (3,100 ) (1,443 ) (2,659 ) Prepayment fees recognized in income on advance restructurings deemed to be extinguishments 1,677 3,102 — Net prepayment fees recognized in income $ 3,753 $ 7,637 $ 9,060 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 31, 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 MPF program. These mortgage 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 mortgage loans are typically originated and credit-enhanced by the related participating financial institution. The majority of these loans are serviced by the originating institution or an affiliate thereof. However, a portion of these loans are sold servicing-released by the participating financial institution and serviced by a third-party servicer. The following table presents certain characteristics of these investments (dollars in thousands): December 31, 2016 December 31, 2015 Real estate Fixed-rate 15-year single-family mortgages $ 528,486 $ 568,786 Fixed-rate 20- and 30-year single-family mortgages 3,098,476 2,949,589 Premiums 67,523 63,994 Discounts (1,696 ) (2,141 ) Deferred derivative gains, net 1,755 2,585 Total mortgage loans held for portfolio 3,694,544 3,582,813 Less: allowance for credit losses (650 ) (1,025 ) Total mortgage loans, net of allowance for credit losses $ 3,693,894 $ 3,581,788 The following table details the par value of mortgage loans held for portfolio (dollars in thousands): December 31, 2016 December 31, 2015 Conventional mortgage loans $ 3,235,835 $ 3,107,415 Government mortgage loans 391,127 410,960 Total par value $ 3,626,962 $ 3,518,375 See Note 10 — 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. |
Allowance for Credit Losses
Allowance for Credit Losses | 12 Months Ended |
Dec. 31, 2016 | |
Receivables [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. Portfolio Segments. We have established an allowance methodology for each of our portfolio segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. We have developed and documented a systematic methodology for determining an allowance for credit losses for our: • secured member credit products, such as our advances and letters of credit; • investments in government mortgage loans held for portfolio; • investments in conventional mortgage loans held for portfolio; • investments via term securities purchased under agreements to resell; and • investments via term federal funds sold. Classes of Financing Receivables. Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent that is needed to understand the exposure to credit risk arising from these financing receivables. We determined that no further disaggregation of portfolio segments identified above is needed as we assessed and measured the credit risk arising from these financing receivables at the portfolio segment level. 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. In addition, we lend to eligible borrowers in accordance with the FHLBank Act, FHFA regulations, and other applicable laws. The FHLBank Act requires us to obtain sufficient collateral to secure our credit products. The estimated value of the collateral pledged to secure each borrower's credit products is calculated by applying collateral discounts, or haircuts, to the market value or unpaid principal balance of the collateral, as applicable. We accept certain investment securities, residential mortgage loans, deposits, and other assets as collateral. We require all borrowers that pledge securities collateral to place physical possession of such securities collateral with our safekeeping agent, the borrower's approved designated agent, or the borrower's securities corporation, subject to a control agreement giving us appropriate control over such collateral. In addition, community financial institutions are eligible to use expanded statutory collateral provisions for small-business and agriculture loans. Members also pledge their Bank capital stock as collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition, performance, borrowing capacity, and our overall credit exposure to the borrower. We can call for additional or substitute collateral to further safeguard our security interest. We believe our policies appropriately manage our credit risks arising from our credit products. Depending on the financial condition of the borrower, we may allow the borrower to retain possession of loan collateral pledged to us while agreeing to hold such collateral for our benefit or require the borrower to specifically assign or place physical possession of such loan collateral with us or a third-party custodian that we approve. We are provided an additional safeguard for our security interests by Section 10(e) of the FHLBank Act, which generally affords any security interest granted by a borrower to the Bank priority over the claims and rights of any other party. The exceptions to this prioritization are limited to claims that would be entitled to priority under otherwise applicable law and are held by bona fide purchasers for value or by secured parties with higher priority perfected security interests. However, the priority granted to our security interests under Section 10(e) of the FHLBank Act may not apply when lending to insurance company members. This is due to the anti-preemption provision contained in the McCarran-Ferguson Act, which provides that federal law does not preempt state insurance law unless the federal law expressly regulates the business of insurance. Thus, if state law conflicts with Section 10(e) of the FHLBank Act, the protection afforded by this provision may not be available to us. However, we perfect our security interests in the collateral pledged by our members, including insurance company members, by filing UCC-1 financing statements, taking possession or control of such collateral, or taking other appropriate steps. Using a risk-based approach and taking into consideration each borrower's financial strength, we consider the types and level of collateral to be the primary indicator of credit quality on our credit products. At December 31, 2016 , and 2015 , we had rights to collateral, on a borrower-by-borrower basis, with an estimated value in excess of our outstanding extensions of credit. We continue to evaluate and make changes to our collateral guidelines based on market conditions. At December 31, 2016 , and 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 years ended December 31, 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 December 31, 2016 and 2015 . At December 31, 2016 and 2015 , no liability to reflect an allowance for credit losses for off-balance-sheet credit exposures was recorded. See Note 19 — Commitments and Contingencies for additional information on our off-balance-sheet credit exposure. Government Mortgage Loans Held for Portfolio We invest in government mortgage loans secured by one- to four-family residential properties. Government mortgage loans are mortgage loans insured or guaranteed by the Federal Housing Administration (the FHA), the U.S. Department of Veterans Affairs (the VA), the Rural Housing Service of the U.S. Department of Agriculture (RHS), or by the U.S. Department of Housing and Urban Development (HUD). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable insurance or guaranty with respect to defaulted government-guaranteed mortgage loans. Any losses incurred on these loans that are not recovered from the insurer or guarantor are absorbed by the related servicer. Therefore, we only have credit risk for these loans if the servicer fails to pay for losses not covered by insurance or guarantees. 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 December 31, 2016 and 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. Conventional Mortgage Loans Held for Portfolio Our methodology for determining our loan loss reserve consists of estimating loan loss severity using a third-party model incorporating delinquency to default transition performance of the loans, relevant market conditions affecting the performance of the loans, and portfolio level credit protection, particularly credit enhancements, as discussed below under — Credit Enhancements. Our inputs to the third-party model consist of loan-related characteristics, such as credit scores, occupancy statuses, loan-to-value ratios, property types, and locations. We update our view of the loan transition performance and market conditions quarterly and periodically adjust our methodology to reflect the changes in the loans’ performances and the market. 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 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 incurred loss of an individually evaluated mortgage loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral, less estimated selling costs, and may include expected proceeds from primary mortgage insurance and other applicable credit enhancements. 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. 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. Estimating a Margin of Imprecision. We also assess a factor for the margin of imprecision to the estimation of credit losses for the homogeneous population. The margin of imprecision is a factor in the allowance for credit losses that recognizes the imprecise nature of the measurement process and is included as part of the mortgage loan allowance for credit loss. This amount represents a subjective management judgment based on facts and circumstances that exist as of the reporting date that is unallocated to any specific measurable economic or credit event and is intended to cover other inherent losses that may not be captured in our methodology. The actual loss that may occur on homogeneous populations of mortgage loans may differ from the estimated loss. 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 December 31, 2016 and 2015 (dollars in thousands): December 31, 2016 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 26,757 $ 14,878 $ 41,635 Past due 60-89 days delinquent 5,508 3,846 9,354 Past due 90 days or more delinquent 16,379 5,807 22,186 Total past due 48,644 24,531 73,175 Total current loans 3,262,671 377,438 3,640,109 Total mortgage loans $ 3,311,315 $ 401,969 $ 3,713,284 Other delinquency statistics In process of foreclosure, included above (1) $ 7,495 $ 1,502 $ 8,997 Serious delinquency rate (2) 0.53 % 1.44 % 0.63 % Past due 90 days or more still accruing interest $ — $ 5,807 $ 5,807 Loans on nonaccrual status (3) $ 16,940 $ — $ 16,940 _______________________ (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 as well as loans modified within the previous six months under our temporary loan modification plan. 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 December 31, 2016 and 2015 , and the average recorded investment and interest income recognized on these loans during the years ended December 31, 2016 and 2015 (dollars in thousands). As of December 31, 2016 As of December 31, 2015 Recorded Investment Par Value Recorded Investment Par Value Individually evaluated impaired mortgage loans with no related allowance $ 22,945 $ 22,905 $ 26,668 $ 26,622 For the Year Ended December 31, 2016 2015 2014 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 24,193 $ 396 $ 30,834 $ 461 $ 5,058 $ 191 Individually evaluated impaired mortgage loans with a related allowance — — — — 2,913 16 Total individually evaluated impaired mortgage loans $ 24,193 $ 396 $ 30,834 $ 461 $ 7,971 $ 207 Credit Enhancements. Our allowance for credit losses factors in the credit enhancements associated with conventional mortgage loans under the MPF program. These credit enhancements apply after the homeowner's equity is exhausted and can include primary and/or supplemental mortgage insurance or other kinds of credit enhancement. The credit-enhancement amounts estimated to protect us against credit losses are determined through the use of a model. Any incurred losses that would be recovered from the credit enhancements are not reserved as part of our allowance for loan losses. In such cases, a receivable is generally established to reflect the expected recovery from credit-enhancement arrangements. Conventional mortgage loans are required to be credit enhanced so that the risk of loss is limited to the losses equivalent to an investor in a double-A rated MBS at the time of purchase. We share the risk of credit losses on our investments in mortgage loans with the related participating financial institution by structuring potential losses on these investments into layers with respect to each master commitment. We analyze the risk characteristics of our mortgage loans using a third-party model to determine the credit enhancement amount at the time of purchase. This credit-enhancement amount is broken into a first-loss account and a credit-enhancement obligation of each participating financial institution, which is calculated based on the risk analysis to equal the difference between the amounts needed for the master commitment to have a rating equivalent to a double-A rated MBS and our initial first-loss account exposure. The first-loss account represents the first layer or portion of credit losses that we absorb with respect to our investments in mortgage loans after considering the borrower's equity and primary mortgage insurance. The participating financial institution is required to cover the next layer of losses up to an agreed-upon credit-enhancement obligation amount, which may consist of a direct liability of the participating financial institution to pay credit losses up to a specified amount, a contractual obligation of a participating financial institution to provide supplemental mortgage insurance, or a combination of both. We absorb any remaining unallocated losses. The aggregate amount of the first-loss account is documented and tracked but is neither recorded nor reported as an allowance for loan losses in our financial statements. As credit and special hazard losses are realized that are not covered by the liquidation value of the real property or primary mortgage insurance, they are first charged to us, with a corresponding reduction of the first-loss account for that master commitment up to the amount in the first-loss account at that time. Over time, the first-loss account may cover the expected credit losses on a master commitment, although losses that are greater than expected or that occur early in the life of a master commitment could exceed the amount in the first-loss account. In that case, the excess losses would be charged to the participating financial institution's credit-enhancement amount, then to us after the participating financial institution's credit-enhancement amount has been exhausted. For loans in which we buy or sell participations from or to other FHLBanks that participate in the MPF program (MPF Banks), the amount of the first-loss account remaining to absorb losses for loans that we own is partly dependent on the percentage of our participation in such loans. Assuming losses occur on a proportional basis between loans that we own and loans owned by other MPF Banks, at December 31, 2016 and 2015 , the amount of first-loss account remaining for losses allocable to us was $19.4 million and $17.5 million , respectively. Participating financial institutions are paid a credit-enhancement fee for assuming credit risk and in some instances all or a portion of the credit-enhancement fee may be performance-based. For certain MPF products, our losses incurred under the first-loss account can be mitigated by withholding future performance-based credit-enhancement fees that would otherwise be payable to the participating financial institutions. We record credit-enhancement fees paid to participating financial institutions as a reduction to mortgage-loan-interest income. Withheld performance-based credit-enhancement fees can mitigate losses from our investments in mortgage loans and therefore we consider our expectations for each master commitment for such withheld fees in determining the allowance for loan losses. More specifically, we determine the amount of credit-enhancement fees available to mitigate losses as follows: accrued credit-enhancement fees to be paid to participating financial institutions; plus projected credit-enhancement fees to be paid to the participating financial institutions using the weighted average life of the loans within each relevant master commitment; minus any losses incurred or expected to be incurred. 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 years ended December 31, 2016 , 2015 , and 2014 , as well as the recorded investment in mortgage loans by impairment methodology at December 31, 2016 , 2015 , and 2014 (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. 2016 2015 2014 Allowance for credit losses Balance, beginning of year $ 1,025 $ 2,012 $ 2,221 Charge-offs, net of recoveries (98 ) (657 ) (270 ) (Reduction of ) provision for credit losses (277 ) (330 ) 61 Balance, end of year $ 650 $ 1,025 $ 2,012 Ending balance, individually evaluated for impairment $ — $ — $ 544 Ending balance, collectively evaluated for impairment $ 650 $ 1,025 $ 1,468 Recorded investment, end of year (1) Individually evaluated for impairment $ 22,945 $ 26,668 $ 9,776 Collectively evaluated for impairment $ 3,288,370 $ 3,152,102 $ 3,056,802 _________________________ (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. Troubled Debt Restructurings. We consider a troubled debt restructuring of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties. We have granted a concession when we do not expect to collect all amounts due to us under the original contract as a result of the restructuring. A mortgage loan considered to be a troubled debt restructuring is individually evaluated for impairment when determining its related allowance for credit losses. When a loan first becomes a troubled debt restructuring, we compare the carrying value of the loan at the time of modification with the present value of the revised cash flows discounted at the original effective yield on the loan. Credit loss is measured by factoring the loss severity rate incurred as of the reporting date as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable. As of December 31, 2016 and 2015 , the recorded investment of mortgage loans classified as troubled debt restructurings were $8.6 million and $7.7 million , respectively. Federal Funds Sold and Securities Purchased Under Agreements to Resell. These investments are all short term (less than three months), and they are generally transacted with counterparties that we consider to be of investment quality. We invest in federal funds sold and we evaluate these investments for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in federal funds sold as of December 31, 2016 and 2015 , were repaid according to their contractual terms. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans. The terms of these loans are structured such that if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must provide additional securities as collateral in an amount equal to the decrease or remit cash in such amount. If we determine that an agreement to resell is impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. Based upon the collateral held as security, we determined that no allowance for credit losses was needed for the securities purchased under agreements to resell at December 31, 2016 and 2015 . |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Nature of Business Activity We are exposed to interest-rate risk primarily from the effects of interest-rate changes on interest-earning assets and interest-bearing liabilities that finance these assets. The goal of our interest-rate risk-management strategy is to manage interest-rate risk within appropriate limits. As part of our effort to mitigate the risk of loss, we have established policies and procedures, which include guidelines on the amount of exposure to interest-rate changes we will accept. In addition, we monitor the risk to our interest income, net interest margin, and average maturity of interest-earning assets and interest-bearing liabilities. Consistent with FHFA regulations, we enter into derivatives to manage the interest-rate-risk exposures inherent in otherwise unhedged assets and liabilities and achieve our risk-management objectives. FHFA regulation prohibits us from the speculative use of these derivative instruments. The use of derivatives is an integral part of our financial and risk management strategy. We may enter into derivatives that do not necessarily qualify for hedge accounting. We reevaluate our hedging strategies from time to time and may change the hedging techniques we use or may adopt new strategies. The most common ways in which we use derivatives are to: • effectively change the coupon repricing characteristics of assets and liabilities from fixed-rate to floating-rate; • hedge the mark-to-market sensitivity of existing assets or liabilities; • offset or neutralize embedded options in assets and liabilities; and • hedge the potential yield variability of anticipated asset or liability transactions. Application of Derivatives We formally document at inception all relationships between derivatives designated as hedging instruments and hedged items, as well as our risk-management objectives and strategies for undertaking various hedge transactions and our method of assessing hedge effectiveness. This process includes linking all derivatives that are designated as fair-value or cash-flow hedges to specific assets or liabilities on the statement of condition; firm commitments; or forecasted transactions. We also formally assess (both at the hedge's inception and monthly on an ongoing basis) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value or cash flows of the hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective in future periods. We typically use regression analyses or other statistical or scenario-based analyses to assess the effectiveness of our hedges. We apply hedge accounting to hedges that we deem highly effective and that otherwise meet the hedge-accounting requirements. When we determine that a derivative has not been or is not expected to be effective as a hedge, we discontinue hedge accounting prospectively, as discussed below. We may use derivatives to adjust the effective maturity, repricing frequency, or option characteristics of our financial instruments, including our advances products, investments, and COs to achieve risk-management objectives. Derivative instruments are designated by us as: • a qualifying fair-value hedge of a non-derivative financial instrument or a cash-flow hedge of a forecasted transaction; and • a non-qualifying economic hedge in general asset-liability management where derivatives serve a documented risk-mitigation purpose but do not qualify for hedge accounting. These hedges are primarily used to manage certain mismatches between the coupon features of our assets and liabilities. We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute COs. Derivative transactions may be either over-the-counter with a counterparty (uncleared derivatives) or cleared through a futures commission merchant (clearing member) with a derivatives clearing organization (DCO) as the counterparty (cleared derivatives). Once a derivative transaction has been accepted for clearing by a DCO, the derivative transaction is novated and the executing counterparty is replaced with the DCO. We are not a derivatives dealer and do not trade derivatives for short-term profit. Types of Derivatives We primarily use the following derivatives instruments to reduce funding costs and/or to manage our interest-rate risks. • Interest-Rate Swaps. An interest-rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest-rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional amount at a predetermined fixed rate for a given period of time to the counterparty. In return for this promise, this party receives cash flows equivalent to the interest on the same notional amount at a variable-rate index for the same period of time from the counterparty. The variable-rate index we utilize in most of our derivative transactions is LIBOR. • Optional Termination Interest-Rate Swaps. In an optional termination interest-rate swap, one counterparty has the right, but not the obligation, to terminate the interest-rate swap prior to its stated maturity date. We use optional termination interest-rate swaps to hedge callable CO bonds and putable advances. In most cases, we own an option to terminate the hedged item, that is, redeem a callable bond or demand repayment of a putable advance on specified dates, and the counterparty to the optional termination interest-rate swap owns the option to terminate the interest-rate swap on those same dates. • Forward-Start Interest-Rate Swaps. A forward-start interest-rate swap is an interest-rate swap (as described above) with a deferred effective date. We designate forward-start interest-rate swaps as cash-flow hedges of expected debt issuances. • Swaptions. A swaption is an option on an interest-rate swap that gives the buyer the right to enter into a specified interest-rate swap at a certain time in the future. When used as a hedge, a swaption can protect us if we are planning to lend or borrow funds in the future against future interest-rate changes. We may enter into both payer swaptions and receiver swaptions. A payer swaption is the option to make pre-determined fixed interest payments at a later date and a receiver swaption is the option to receive pre-determined fixed interest payments at a later date. • Interest-Rate Cap and Floor Agreements. In an interest-rate cap agreement, a cash flow is generated if the price or rate of an underlying variable rises above a certain threshold or cap price. In an interest-rate floor agreement, a cash flow is generated if the price or rate of an underlying variable falls below a certain threshold or floor price. These agreements are intended to serve as protection against the interest rate on a variable-rate asset or liability falling below or rising above a certain level. Types of Assets and Liabilities Hedged Investments. We use derivatives to manage the interest rate and prepayment risk associated with certain investment securities that are classified either as available-for-sale or as trading securities. For available-for-sale securities to which a qualifying fair-value hedge relationship has been designated, we record the portion of the change in fair value related to the risk being hedged in other income as net losses on derivatives and hedging activities together with the related change in fair value of the derivative, and the remainder of the change in fair value is recorded in other comprehensive loss as net unrealized loss on available-for-sale securities. We may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading by entering into economic hedges that offset the changes in fair value or cash flows of the securities. These economic hedges are not specifically designated as hedges of individual assets, but rather are collectively managed to provide an offset to the changes in the fair values of the assets. The market-value changes of trading securities are included in net unrealized (losses) gains on trading securities in the statement of operations, while the changes in fair value of the associated derivatives are included in other income as net losses on derivatives and hedging activities. Advances. We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. We may use interest-rate swaps to manage the repricing and/or options characteristics of advances to more closely match the characteristics of our funding liabilities. Typically, we hedge the fair value of fixed-rate advances with interest-rate swaps where we pay a fixed-rate coupon and receive a variable-rate coupon, effectively converting the advance to a floating-rate advance. We also hedge the fair value of certain floating-rate advances that contain either an interest-rate cap or floor, or both a cap and a floor with a derivative containing an offsetting cap and/or floor. With each issuance of a putable advance, we effectively purchase from the borrower an embedded put option that enables us to terminate a fixed-rate advance on predetermined put dates, and offer, subject to certain conditions, replacement funding at then-current advances rates. We may hedge a putable advance by entering into a derivative that is cancelable by the derivative counterparty, where we pay a fixed-rate coupon and receive a variable-rate coupon. This type of hedge is treated as a fair-value hedge. The swap counterparty would normally exercise its option to cancel the derivative at par on any defined exercise date if interest rates had risen, and at that time, we could, at our option, require immediate repayment of the advance. Additionally, the borrower's ability to prepay an advance can create interest-rate risk. When a borrower prepays an advance, we could suffer lower future income if the principal portion of the prepaid advance were invested in lower-yielding assets that continue to be funded by higher-cost debt. To protect against this risk, we generally charge a prepayment fee that makes us financially indifferent to a borrower's decision to prepay an advance. If the advance is hedged with a derivative instrument, the prepayment fee will generally offset the cost of terminating the designated hedge. When we offer advances (other than short-term advances) that a borrower may prepay without a prepayment fee, we usually finance such advances with callable debt with an interest rate swap cancellable by us. COs. We may enter into derivatives to hedge (or partially hedge, depending on the risk strategy) the interest-rate risk associated with our specific debt issuances, including using derivatives to change the effective interest-rate sensitivity of debt to better match the characteristics of funded assets. We endeavor to manage the risk arising from changing market prices and volatility of a CO by matching the cash inflow on the derivative with the cash outflow on the CO. As an example of such a hedging strategy, when fixed-rate COs are issued, we simultaneously enter into a matching derivative in which we receive a fixed-interest cash flows designed to mirror in timing and amount the interest cash outflows we pay on the CO. At the same time, we may pay variable cash flows that closely match the interest payments we receive on short-term or variable-rate assets. In some cases, the hedged CO may have a nonstatic coupon that is subject to fair-value risk and that is matched by the receivable coupon on the hedging interest-rate swap. These transactions are treated as fair-value hedges. In a typical cash-flow hedge of anticipated CO issuance, we may enter into interest-rate swaps for the anticipated issuance of fixed-rate CO bonds to lock in a spread between an earning asset and the cost of funding. The interest-rate swap is terminated upon issuance of the fixed-rate CO bond. Changes in fair value of the hedging derivative, to the extent that the hedge is effective, will be recorded in accumulated other comprehensive loss and reclassified into earnings in the period or periods during which the cash flows of the fixed-rate CO bond affects earnings (beginning upon issuance and continuing over the life of the CO bond). Firm Commitments. Mortgage loan purchase commitments are considered derivatives. We may hedge these commitments by selling MBS TBA or other derivatives for forward settlement. These hedges do not qualify for hedge accounting treatment. The mortgage loan purchase commitment and the TBA used in the economic hedging strategy are treated as an economic hedge and are market-to-market through earnings. When the mortgage loan purchase commitment derivative settles, the current market value of the commitment is included with the basis of the mortgage loan. The basis adjustments on the resulting performing loans are then amortized into net interest income over the life of the loans. We may also hedge a firm commitment for a forward-starting advance through the use of an interest-rate swap. In this case, the interest-rate swap functions as the hedging instrument for both the firm commitment and the subsequent advance and is treated as a fair value hedge. The fair-value change associated with the firm commitment is recorded as a basis adjustment of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment is then amortized into interest income over the life of the advance. Financial Statement Impact and Additional Financial Information. The notional amount of derivatives is a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives reflects our involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor our overall exposure to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged. The following table presents the notional amount and fair value of derivatives, including the effect of netting adjustments and cash collateral as of December 31, 2016 and 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 18,215,809 $ 52,715 $ (413,026 ) $ 15,195,012 $ 26,874 $ (468,982 ) Forward-start interest-rate swaps 527,800 — (36,250 ) 527,800 — (35,547 ) Total derivatives designated as hedging instruments 18,743,609 52,715 (449,276 ) 15,722,812 26,874 (504,529 ) Derivatives not designated as hedging instruments Economic hedges: Interest-rate swaps 1,199,000 2,293 (10,840 ) 562,500 246 (16,623 ) Interest-rate caps or floors — — — 300,000 — — Mortgage-delivery commitments (1) 22,524 70 (171 ) 24,714 18 (25 ) Total derivatives not designated as hedging instruments 1,221,524 2,363 (11,011 ) 887,214 264 (16,648 ) Total notional amount of derivatives $ 19,965,133 $ 16,610,026 Total derivatives before netting and collateral adjustments 55,078 (460,287 ) 27,138 (521,177 ) Netting adjustments and cash collateral including related accrued interest (2) 6,520 102,411 12,979 79,170 Derivative assets and derivative liabilities $ 61,598 $ (357,876 ) $ 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 $109.8 million and $92.9 million at December 31, 2016 , and 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 $850,000 and $750,000 at December 31, 2016 and 2015 . Net (losses) gains on derivatives and hedging activities recorded in Other Income (Loss) for the years ended December 31, 2016 , 2015 , and 2014 were as follows (dollars in thousands): For the Year Ended December 31, 2016 2015 2014 Derivatives designated as hedging instruments Interest-rate swaps $ (6,998 ) $ (7,189 ) $ 534 Forward-start interest-rate swaps 29 (127 ) (442 ) Total net (losses) gains related to derivatives designated as hedging instruments (6,969 ) (7,316 ) 92 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps (1,352 ) (4,170 ) (6,244 ) Interest-rate caps or floors — — (43 ) Mortgage-delivery commitments (270 ) 226 1,510 Total net losses related to derivatives not designated as hedging instruments (1,622 ) (3,944 ) (4,777 ) Net losses on derivatives and hedging activities $ (8,591 ) $ (11,260 ) $ (4,685 ) 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 years ended December 31, 2016 , 2015 , and 2014 (dollars in thousands): For the Year Ended December 31, 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 $ 114,139 $ (112,547 ) $ 1,592 $ (96,079 ) Investments 25,784 (23,965 ) 1,819 (35,203 ) COs – bonds (65,653 ) 55,244 (10,409 ) 27,182 Total $ 74,270 $ (81,268 ) $ (6,998 ) $ (104,100 ) For the Year Ended December 31, 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 $ 90,766 $ (91,157 ) $ (391 ) $ (131,019 ) Investments 5,762 (4,252 ) 1,510 (37,657 ) COs – bonds (14,010 ) 5,702 (8,308 ) 63,390 Total $ 82,518 $ (89,707 ) $ (7,189 ) $ (105,286 ) For the Year Ended December 31, 2014 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 $ 84,157 $ (83,810 ) $ 347 $ (130,580 ) Investments (98,883 ) 100,006 1,123 (37,989 ) Deposits (1,143 ) 1,143 — 1,152 COs – bonds 9,677 (10,613 ) (936 ) 54,356 Total $ (6,192 ) $ 6,726 $ 534 $ (113,061 ) ______________ (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 losses recognized in accumulated other comprehensive loss, the losses reclassified from accumulated other comprehensive loss into income, and the effect of our hedging activities on our net losses 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 Recognized in Other Comprehensive Loss on Derivatives (Effective Portion) Location of Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) Gains (Losses) Recognized in Net Losses on Derivatives and Hedging Activities (Ineffective Portion) Interest-rate swaps - CO bonds For the Year Ended December 31, 2016 $ (732 ) Interest expense $ (23,767 ) $ 29 For the Year Ended December 31, 2015 (13,671 ) Interest expense (23,848 ) (127 ) For the Year Ended December 31, 2014 (38,502 ) Interest expense (8,652 ) (442 ) For the years ended December 31, 2016 , 2015 , and 2014 , 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 December 31, 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 December 31, 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 $10.6 million . Managing Credit Risk on Derivatives. We are subject to credit risk on our hedging activities due to the risk of nonperformance by nonmember counterparties (including DCOs and their clearing members acting as agent to the DCOs as well as uncleared counterparties) to the derivative agreements. We manage credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies, U.S. Commodity Futures Trading Commission (the CFTC) regulations, and FHFA regulations. Uncleared Derivatives. All counterparties must execute master-netting agreements prior to entering into any uncleared derivative with us. Our master-netting agreements for uncleared derivatives contain bilateral-collateral exchange agreements that require that credit exposure beyond a defined threshold amount (which may be zero) be secured by readily marketable, U.S. Treasury, U.S. Government Guaranteed, or GSE securities, or cash. The level of these collateral threshold amounts (when applicable) varies according to the counterparty's Standard & Poor's Rating Service (S&P) or Moody's Investors Services (Moody's) long-term credit ratings. Credit exposures are then measured daily and adjustments to collateral positions are made in accordance with the terms of the master-netting agreements. These master-netting agreements also contain bilateral ratings-tied termination events permitting us to terminate all outstanding derivatives transactions with a counterparty in the event of a specified rating downgrade by Moody's or S&P. Based on credit analyses and collateral requirements, we do not anticipate any credit losses on our derivative agreements. We execute uncleared derivatives with nonmember counterparties with long-term ratings of single-A (or equivalent) or better by the major NRSROs at the time of the transaction, although risk-reducing trades may be permitted for counterparties whose ratings have fallen below these ratings. Some of these counterparties or their affiliates buy, sell, and distribute COs. See Note 13 — Consolidated Obligations for additional information. Certain of our uncleared derivatives master-netting agreements contain provisions that require us to post additional collateral with our uncleared derivatives counterparties if our credit ratings are lowered. Under the terms that govern such agreements, if our credit rating is lowered by Moody's or 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 December 31, 2016 , was $393.6 million for which we had delivered collateral with a post-haircut value of $351.9 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 arrangements. 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 December 31, 2016 . Post Haircut Value of Incremental Collateral to be Delivered as of December 31, 2016 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 14,057 AA- A+, A or A- 16,492 A- below A- 20,813 _______________________ (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. Cleared Derivatives. For cleared derivatives, the DCO is our counterparty. The DCO notifies the clearing member of the required initial and variation margin and our agent (clearing member) in turn notifies us. We post initial margin and exchange variation margin through a clearing member who acts as our agent to the DCO and who guarantees our performance to the DCO, subject to the terms of relevant agreements. These arrangements expose us to institutional credit risk in the event that one of our clearing members or one of the DCOs fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because the DCO, which is fully secured at all times through margin received from its clearing members, is substituted for the credit risk exposure of individual counterparties in uncleared derivatives and collateral is posted at least once daily for changes in the fair value of cleared derivatives through a clearing member. We have analyzed the rights, rules, and regulations governing our cleared derivatives and determined that those rights, rules, and regulations should result in a net claim through each of our clearing members with the related DCO upon an event of default including a bankruptcy, insolvency or similar proceeding involving the DCO or one of our clearing members, or both. For this purpose, net claim generally means a single net amount reflecting the aggregation of all amounts indirectly owed by us to the relevant DCO and indirectly payable to us from the relevant DCO. Based on this analysis, we are presenting a net derivative receivable or payable for all of our transactions through a particular clearing member with a particular DCO. For cleared derivatives, the DCO determines initial margin requirements. We clear our trades via clearing members of the DCOs. These clearing members who act as our agent to the DCOs are 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 December 31, 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 December 31, 2016 and 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. December 31, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives meeting netting requirements Gross recognized amount Uncleared derivatives $ 12,594 $ (405,310 ) $ 8,342 $ (463,154 ) Cleared derivatives 42,414 (54,806 ) 18,778 (57,998 ) Total gross recognized amount 55,008 (460,116 ) 27,120 (521,152 ) Gross amounts of netting adjustments and cash collateral Uncleared derivatives (12,028 ) 47,605 (7,628 ) 21,172 Cleared derivatives 18,548 54,806 20,607 57,998 Total gross amounts of netting adjustments and cash collateral 6,520 102,411 12,979 79,170 Net amounts after netting adjustments and cash collateral Uncleared derivatives 566 (357,705 ) 714 (441,982 ) Cleared derivatives 60,962 — 39,385 — Total net amounts after netting adjustments and cash collateral 61,528 (357,705 ) 40,099 (441,982 ) Derivatives not meeting netting requirements Mortgage delivery commitments 70 (171 ) 18 (25 ) Total derivative assets and total derivative liabilities Uncleared derivatives 566 (357,705 ) 714 (441,982 ) Cleared derivatives 60,962 — 39,385 — Mortgage delivery commitments 70 (171 ) 18 (25 ) Total derivative assets and total derivative liabilities presented in the statement of condition 61,598 (357,876 ) 40,117 (442,007 ) Non-cash collateral received or pledged not offset (1) Can be sold or repledged Uncleared derivatives — 30,306 — 64,391 Cannot be sold or repledged Uncleared derivatives — 290,444 — 331,716 Total non-cash collateral received or pledged, not offset — 320,750 — 396,107 Net amount Uncleared derivatives 566 (36,955 ) 714 (45,875 ) Cleared derivatives 60,962 — 39,385 — Mortgage delivery commitments 70 (171 ) 18 (25 ) Total net amount $ 61,598 $ (37,126 ) $ 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 December 31, 2016 and 2015 , we had additional net credit exposure of $2.0 million and $3.1 million , respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Deposits
Deposits | 12 Months Ended |
Dec. 31, 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. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. The average interest rates paid on average deposits during 2016 and 2015 was 0.14 percent and 0.02 percent , respectively. The following table details interest- and noninterest-bearing deposits (dollars in thousands): December 31, 2016 December 31, 2015 Interest-bearing Demand and overnight $ 440,731 $ 454,087 Other 4,166 4,426 Noninterest-bearing Other 37,266 24,089 Total deposits $ 482,163 $ 482,602 |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations COs consist of CO bonds and CO discount notes. CO bonds may be issued to raise short-, intermediate-, and long-term funds and are not subject to any statutory or regulatory limits on maturity. CO discount notes are issued to raise short-term funds and have original maturities of up to one year. These notes sell at less than their face amount and are redeemed at par value when they mature. Although we are primarily liable for the portion of COs issued for which we received issuance proceeds, we are also jointly and severally liable with the other FHLBanks for the payment of principal and interest on all COs. The FHFA, at its discretion, may require any FHLBank to make principal or interest payments due on any CO whether or not the CO represents a primary liability of such FHLBank. Although an FHLBank has never paid the principal or interest payments due on a CO on behalf of another FHLBank, if that event should occur, FHFA regulations provide that the paying FHLBank is entitled to reimbursement from the noncomplying FHLBank for any payments made on its behalf and other associated costs, including interest to be determined by the FHFA. If, however, the FHFA determines that the noncomplying FHLBank is unable to satisfy its repayment obligations, the FHFA may allocate the outstanding liabilities of the noncomplying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank's participation in all COs outstanding or in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. See Note 19 – Commitments and Contingencies for additional information regarding the FHLBanks' joint and several liability. The par values of the FHLBanks' outstanding COs, including COs on which other FHLBanks are primarily liable, were approximately $989.3 billion and $905.2 billion at December 31, 2016 and 2015 , respectively. Regulations require each FHLBank to maintain unpledged qualifying assets equal to outstanding COs for which it is primarily liable. Such qualifying assets include cash; secured advances; obligations of or fully guaranteed by the U.S.; obligations, participations, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations, or other securities which are or ever have been sold by Freddie Mac under the FHLBank Act; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issues of COs are treated as if they were free from lien or pledge for purposes of compliance with these regulations. COs - Bonds. The following table sets forth the outstanding CO bonds for which we were primarily liable at December 31, 2016 and 2015 , by year of contractual maturity (dollars in thousands): December 31, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 8,734,955 1.43 % $ 8,990,295 1.00 % Due after one year through two years 7,752,420 1.19 6,101,990 1.70 Due after two years through three years 3,297,120 1.63 3,389,580 1.59 Due after three years through four years 1,637,335 1.87 2,056,215 1.97 Due after four years through five years 2,574,375 1.65 1,329,210 2.11 Thereafter 3,135,745 2.70 3,440,045 2.95 Total par value 27,131,950 1.58 % 25,307,335 1.65 % Premiums 118,145 148,903 Discounts (14,906 ) (20,451 ) Hedging adjustments (63,755 ) (8,510 ) $ 27,171,434 $ 25,427,277 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. COs outstanding were issued with either fixed-rate coupon-payment terms or variable-rate coupon-payment terms that may use a variety of indices for interest-rate resets, such as LIBOR. To meet the expected specific needs of certain investors in COs, both fixed-rate CO bonds and variable-rate CO bonds may contain features, which may result in complex coupon-payment terms and call options. When these COs are issued, we may enter into derivatives containing features that offset the terms and embedded options, if any, of the CO bonds. Our CO bonds outstanding at December 31, 2016 and 2015 , included (dollars in thousands): December 31, 2016 December 31, 2015 Par value of CO bonds Noncallable and nonputable $ 22,388,950 $ 21,714,335 Callable 4,743,000 3,593,000 Total par value $ 27,131,950 $ 25,307,335 The following is a summary of the CO bonds for which we were primarily liable at December 31, 2016 and 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 December 31, 2016 December 31, 2015 Due in one year or less $ 12,858,955 $ 11,937,295 Due after one year through two years 7,013,420 5,802,990 Due after two years through three years 2,904,120 2,729,580 Due after three years through four years 1,289,335 1,831,215 Due after four years through five years 1,242,375 991,210 Thereafter 1,823,745 2,015,045 Total par value $ 27,131,950 $ 25,307,335 CO bonds, beyond having fixed-rate or variable-rate interest-rate payment terms, may also have the following interest-rate payment terms: Step-Up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates. The following table sets forth the CO bonds for which we were primarily liable by interest-rate-payment type at December 31, 2016 and 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Par value of CO bonds Fixed-rate $ 20,289,950 $ 21,847,335 Simple variable-rate 5,300,000 3,145,000 Step-up 1,542,000 315,000 Total par value $ 27,131,950 $ 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) December 31, 2016 $ 30,053,964 $ 30,070,103 0.47 % 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 | 12 Months Ended |
Dec. 31, 2016 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program The FHLBank Act requires each FHLBank to establish and maintain an AHP to provide subsidies in the form of direct grants and below-market interest-rate advances (AHP advances). These funds are intended to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must set aside for the AHP the greater of $100 million or 10 percent of net income before interest expense associated with mandatorily redeemable capital stock and the assessment for AHP. We accrue this expense monthly based on our net earnings, and the accruals are accumulated into our AHP payable account. We reduce our AHP payable account as we disburse the funds either in the form of direct grants to member institutions or as a discount on below-market-rate AHP advances. We had outstanding principal in AHP advances of $ 102.2 million and $100.7 million at December 31, 2016 and 2015 , respectively. If we experience a net loss during a quarter, but still have net earnings for the year, our obligation to the AHP would be calculated based on our net earnings for that calendar year. In annual periods where our net earnings are zero or less, our AHP assessment is zero since our required annual contribution is limited to our annual net earnings. If the result of the aggregate 10 percent calculation described above were less than $100 million for all the FHLBanks, then each FHLBank would be required to contribute such prorated sums as may be required to assure that the aggregate contributions of the FHLBanks equals $100 million . The proration would be made on the basis of the income of the FHLBanks for the year, except that the required annual AHP contribution for an FHLBank cannot exceed its net earnings for the year pursuant to an FHFA regulation. Each FHLBank's required annual AHP contribution is limited to its annual net earnings. Our AHP expense for 2016 , 2015 , and 2014 was $19.4 million , $32.3 million , and $17.6 million , respectively. There was no shortfall, as described above, in 2016 , 2015 , or 2014 . If an FHLBank is experiencing financial instability and finds that its required AHP contributions are contributing to the financial instability, the FHLBank may apply to the FHFA for a temporary suspension of its contributions. We did not make such an application in 2016 , 2015 , or 2014 . The following table presents a roll-forward of the AHP liability for the years ended December 31, 2016 and 2015 (dollars in thousands): 2016 2015 Balance at beginning of year $ 82,081 $ 66,993 AHP expense for the period 19,397 32,328 AHP direct grant disbursements (18,575 ) (16,716 ) AHP subsidy for AHP advance disbursements (1,378 ) (1,255 ) Return of previously disbursed grants and subsidies 102 731 Balance at end of year $ 81,627 $ 82,081 |
Capital
Capital | 12 Months Ended |
Dec. 31, 2016 | |
Capital [Abstract] | |
Capital [Text Block] | Capital We are subject to capital requirements under our capital plan, 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 December 31, 2016 and 2015 (dollars in thousands): Risk-Based Capital Requirements December 31, December 31, Permanent capital Class B capital stock $ 2,411,306 $ 2,336,662 Mandatorily redeemable capital stock 32,687 41,989 Retained earnings 1,216,986 1,128,848 Total permanent capital $ 3,660,979 $ 3,507,499 Risk-based capital requirement Credit-risk capital $ 355,182 $ 381,176 Market-risk capital 118,765 83,875 Operations-risk capital 142,184 139,515 Total risk-based capital requirement $ 616,131 $ 604,566 Permanent capital in excess of risk-based capital requirement $ 3,044,848 $ 2,902,933 December 31, 2016 December 31, 2015 Required Actual Required Actual Capital Ratio Risk-based capital $ 616,131 $ 3,660,979 $ 604,566 $ 3,507,499 Total regulatory capital $ 2,461,823 $ 3,660,979 $ 2,324,107 $ 3,507,499 Total capital-to-asset ratio 4.0 % 5.9 % 4.0 % 6.0 % Leverage Ratio Leverage capital $ 3,077,279 $ 5,491,469 $ 2,905,133 $ 5,261,249 Leverage capital-to-assets ratio 5.0 % 8.9 % 5.0 % 9.1 % We are a cooperative whose members and former members own all of our capital stock. Shares of capital stock cannot be purchased or sold except between us and our members at $100 per share par value. We have only issued Class B stock and each member is required to purchase Class B stock equal to the sum of 0.35 percent of certain member assets eligible to secure advances under the FHLBank Act, 3.00 percent for overnight advances, 4.00 percent for advances with an original maturity greater than overnight and up to three months, and 4.50 percent for all other advances and other specified assets related to activity between us and the member. Members may redeem Class B stock after no sooner than five years' notice provided in accordance with our capital plan (the redemption-notice period). The effective date of termination of membership for any member that voluntarily withdraws from membership is the end of the redemption-notice period, at which time any stock that is held as a condition of membership shall be divested, subject to any other applicable restrictions at that time. At that time, any stock held pursuant to activity-based stock investment requirements shall remain outstanding until such requirements are eliminated by disposition of the related business activity. Any member that withdraws from membership may not be readmitted to membership in any FHLBank until five years from the divestiture date for all capital stock that is held as a condition of membership. This restriction does not apply if the member is transferring its membership from one FHLBank to another on an uninterrupted basis. The redemption-notice period can also be triggered by the involuntary termination of membership of a member by our board of directors or by the FHFA, the merger or acquisition of a member into a nonmember institution, or the relocation of a member to a principal location outside our district. At the end of the redemption-notice period, if the former member's activity-based stock investment requirement is greater than zero, we may require the associated remaining obligations to us to be satisfied in full prior to allowing the member to redeem the remaining shares. Because our Class B stock is subject to redemption in certain instances, we can experience a reduction in our capital, particularly due to membership terminations due to merger and acquisition activity. However, there are several mitigants to this risk, including, but not limited to, the following: • the activity-based portion of the stock-investment requirement allows us to retain stock beyond the redemption-notice period if the associated member-related activity is still outstanding, until the obligations are paid in full; • the redemption notice period allows for a significant period in which we can restructure our balance sheet to accommodate a reduction in capital; • our board of directors may modify the membership stock-investment requirement (MSIR) or the activity-based stock-investment requirement (ABSIR), or both, to address expected shortfalls in capitalization due to membership termination; • our board of directors or the FHFA may suspend redemptions in the event that such redemptions would cause us not to meet our minimum regulatory capital requirements; and • the growth in our retained earnings, which are included in our equity capital, helps offset the risk that our capital will be reduced by redemptions. Our board of directors may declare and pay dividends in either cash or capital stock, subject to limitations in applicable law and our capital plan. Restricted Retained Earnings. Pursuant to the Joint Capital Agreement, and our capital plan, we, together with the other FHLBanks, are required to contribute 20 percent of our quarterly net income to a restricted retained earnings account until the balance of that account equals at least one percent of the FHLBank's average balance of outstanding COs (excluding fair-value adjustments) for the calendar quarter. At December 31, 2016 , our total contribution requirement totaled $551.3 million . As of December 31, 2016 and 2015 , restricted retained earnings totaled $229.3 million and $194.6 million , respectively. These restricted retained earnings are not available to pay dividends. Mandatorily Redeemable Capital Stock. We will reclassify capital stock subject to redemption from equity to liability once a member exercises a written notice of redemption, gives notice of intent to withdraw from membership, or attains nonmember status by merger or acquisition, charter termination, or involuntary termination from membership. Dividends related to capital stock classified as a liability are accrued at the expected dividend rate and reported as interest expense in the statement of operations. If a member cancels its written notice of redemption or notice of withdrawal, we will reclassify mandatorily redeemable capital stock from a liability to equity. After the reclassification, dividends on the capital stock would no longer be classified as interest expense. At December 31, 2016 and 2015 , we had $32.7 million and $42.0 million , respectively, in capital stock subject to mandatory redemption. Redemption of capital stock is subject to the redemption-notice period and our satisfaction of applicable minimum capital requirements. For the years ended December 31, 2016 , 2015 , and 2014 , dividends on mandatorily redeemable capital stock of $1.4 million , $1.6 million , and $8.8 million , respectively, were recorded as interest expense. The following table is a roll-forward of our capital stock that is subject to mandatory redemption during the years ended December 31, 2016 , 2015 , and 2014 (dollars in thousands). 2016 2015 2014 Balance at beginning of year $ 41,989 $ 298,599 $ 977,348 Capital stock subject to mandatory redemption reclassified from capital 40 54 54,892 Redemption/repurchase of mandatorily redeemable capital stock (9,342 ) (256,664 ) (733,641 ) Balance at end of year $ 32,687 $ 41,989 $ 298,599 The number of stockholders holding mandatorily redeemable capital stock was nine , five , and seven at December 31, 2016 , 2015 , and 2014 , respectively. Consistent with our capital plan, we are not required to redeem membership stock until the expiration of the redemption-notice period. Furthermore, we are not required to redeem activity-based stock until the later of the expiration of the redemption-notice period or the activity to which the capital stock relates no longer remains outstanding. If activity-based stock becomes excess stock as a result of an activity-based asset no longer outstanding, we may repurchase such shares, in our sole discretion, subject to the statutory and regulatory restrictions on excess capital-stock redemption discussed below. The year of redemption in the following table represents the end of the redemption-notice period. However, as discussed above, if activity to which the capital stock relates remains outstanding beyond the redemption-notice period, the activity-based stock associated with this activity will remain outstanding until the activity no longer remains outstanding. The following table sets forth the amount of mandatorily redeemable capital stock by year of expiry of the redemption-notice period at December 31, 2016 and 2015 (dollars in thousands). Expiry of Redemption-Notice Period December 31, 2016 December 31, 2015 Past redemption date (1) $ 528 $ 629 Due in one year or less — — Due after one year through two years 4,687 — Due after two years through three years 27,378 4,856 Due after three years through four years 54 36,450 Due after four years through five years — 54 Thereafter (2) 40 — Total $ 32,687 $ 41,989 _______________________ (1) Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption-notice period but the member-related activity remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding. (2) Amount represents reclassifications to mandatorily redeemable capital stock resulting from an FHFA rule effective February 19, 2016, that makes captive insurance companies ineligible for membership. Captive insurance company members that were admitted as members prior to September 12, 2014, will have their memberships terminated no later than February 19, 2021. Captive insurance company members that were admitted as members on or after September 12, 2014, had their memberships terminated prior to February 19, 2017. A member may cancel or revoke its written notice of redemption or its notice of withdrawal from membership prior to the end of the redemption-notice period. Our capital plan provides that we will charge the member a cancellation fee in the amount of 2.0 percent of the par amount of the shares of Class B stock that is the subject of the redemption notice. We will assess a redemption-cancellation fee unless the board of directors decides that it has a bona fide business purpose for waiving the imposition of the fee, and such a waiver is consistent with the FHLBank Act. Excess Capital Stock. Our capital plan provides us with the discretion to repurchase capital stock from a member at par value if that stock is not required by the member to meet its total stock investment requirement (excess capital stock) subject to all applicable limitations. In conducting any repurchases, we repurchase any shares that are the subject of an outstanding redemption notice from the member from whom we are repurchasing prior to repurchasing any other shares that are in excess of the member's total stock-investment requirement (TSIR). We may also allow the member to sell the excess capital stock at par value to another one of our members. At December 31, 2016 and 2015 , members and nonmembers with capital stock outstanding held excess capital stock totaling $78.3 million and $158.9 million , respectively, representing approximately 3.2 percent and 6.7 percent , respectively, of total capital stock outstanding. FHFA rules limit our ability to create member excess capital stock under certain circumstances. We may not pay dividends in the form of capital stock or issue new excess capital stock to members if our excess capital stock exceeds one percent of our total assets or if the issuance of excess capital stock would cause our excess capital stock to exceed one percent of our total assets. At December 31, 2016 , we had excess capital stock outstanding totaling 0.1 percent of our total assets. For the year ended December 31, 2016 , we complied with the FHFA's excess capital stock rule. Capital Classification Determination. We are subject to the FHFA's regulation on FHLBank capital classification and critical capital levels (the Capital Rule). The Capital Rule, among other things, defines criteria for four capital classifications and corrective action requirements for FHLBanks that are classified in any classification other than adequately capitalized. An adequately capitalized FHLBank is one that has sufficient permanent and total capital to satisfy its risk-based and minimum capital requirements. We satisfied these requirements at December 31, 2016 . However, pursuant to the Capital Rule, the FHFA has discretion to reclassify an FHLBank and modify or add to corrective action requirements for a particular capital classification. If we become classified into a capital classification other than adequately capitalized, we will be subject to the corrective action requirements for that capital classification in addition to being subject to prohibitions on declaring dividends and redeeming or repurchasing capital stock. By letter dated March 15, 2017, the Director of the FHFA notified us that, based on December 31, 2016, financial information, we met the definition of adequately capitalized under the Capital Rule. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Loss | 12 Months Ended |
Dec. 31, 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 years ended December 31, 2016 , 2015 , and 2014 (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, December 31, 2013 $ (101,765 ) $ (324,928 ) $ (51,594 ) $ (3,229 ) $ (481,516 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 28,142 — (38,502 ) — (10,360 ) Noncredit other-than-temporary impairment losses — (1,259 ) — — (1,259 ) Accretion of noncredit loss — 49,178 — — 49,178 Net actuarial loss — — — (3,240 ) (3,240 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,067 — — 1,067 Amortization - hedging activities (2) — — 8,668 — 8,668 Amortization - pension and postretirement benefits (3) — — — 476 476 Other comprehensive income (loss) 28,142 48,986 (29,834 ) (2,764 ) 44,530 Balance, December 31, 2014 (73,623 ) (275,942 ) (81,428 ) (5,993 ) (436,986 ) Other comprehensive income (loss) before reclassifications: Net unrealized losses (64,095 ) — (13,671 ) — (77,766 ) Noncredit other-than-temporary impairment losses — (172 ) — — (172 ) Accretion of noncredit loss — 43,382 — — 43,382 Net actuarial gain — — — 1,475 1,475 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 2,947 — — 2,947 Amortization - hedging activities (4) — — 23,862 — 23,862 Amortization - pension and postretirement benefits (3) — — — 661 661 Other comprehensive (loss) income (64,095 ) 46,157 10,191 2,136 (5,611 ) Balance, December 31, 2015 (137,718 ) (229,785 ) (71,237 ) (3,857 ) (442,597 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 909 — (732 ) — 177 Noncredit other-than-temporary impairment losses — (1,142 ) — — (1,142 ) Accretion of noncredit loss — 36,070 — — 36,070 Net actuarial loss — — — (3,242 ) (3,242 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 2,478 — — 2,478 Amortization - hedging activities (5) — — 23,782 — 23,782 Amortization - pension and postretirement benefits (3) — — — 960 960 Other comprehensive income (loss) 909 37,406 23,050 (2,282 ) 59,083 Balance, December 31, 2016 $ (136,809 ) $ (192,379 ) $ (48,187 ) $ (6,139 ) $ (383,514 ) _______________________ (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 $8.7 million recorded in CO bond interest expense and $16,000 recorded in net losses 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 $23.8 million recorded in CO bond interest expense and $14,000 recorded in net losses on derivatives and hedging activities in the statement of operations. (5) Amortization of hedging activities includes $23.8 million recorded in CO bond interest expense and $14,000 recorded in net losses on derivatives and hedging activities in the statement of operations. |
Employee Retirement Plans
Employee Retirement Plans | 12 Months Ended |
Dec. 31, 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. Under the Pentegra Defined Benefit Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers since assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The plan covers substantially all of our employees. For the years ended December 31, 2016 , 2015 and 2014 , in addition to our required contribution, we made voluntary contributions of $5.0 million , $7.0 million and $1.1 million , respectively, to the Pentegra Defined Benefit Plan. We were not required to nor did we pay a funding improvement surcharge to the plan for the years ended December 31, 2016 , 2015 , and 2014 . The Pentegra Defined Benefit Plan operates on a fiscal year from July 1 through June 30. The Pentegra Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 and the three-digit plan number is 333 . We do not have any collective bargaining agreements in place. The Pentegra Defined Benefit Plan's annual valuation process includes calculating the plan's funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of assets divided by the funding target ( 100 percent of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Pentegra Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. Accordingly, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30. The most recent Form 5500 available for the Pentegra Defined Benefit Plan is for the plan year ended June 30, 2015. For the Pentegra Defined Benefit Plan plan years ended June 30, 2015 and 2014, our contributions did not represent more than five percent of the total contributions to the Pentegra Defined Benefit Plan. The following table sets forth our net pension costs and funded status under the Pentegra Defined Benefit Plan (dollars in thousands): For the Year Ended December 31, 2016 2015 2014 Net pension cost $ 5,526 $ 7,465 $ 2,851 Pentegra Defined Benefit Plan funded status as of July 1 (1) 104.1 % (2) 107.0 % (3) 111.4 % Our funded status as of July 1 (1) 108.6 % 117.1 % 113.3 % ______________________ (1) The funded status is calculated in accordance with a provision contained in the Highway and Transportation Funding Act of 2014 (HATFA), which was signed into law by President Obama on August 8, 2014, and which modifies the interest rates that had been set by the Moving Ahead for Progress in the 21st Century Act (MAP-21). MAP-21, signed into law by President Obama in 2012, changed the calculation of the discount rate used in measuring the pension plan liability. MAP-21 allows plan sponsors to measure the pension plan liability using a 25-year average of interest rates plus or minus a corridor. Prior to MAP-21, the discount rate used in measuring the pension plan liability was based on the 24-month average of interest rates. HATFA amended MAP-21 by extending the time period and reducing the rate at which the 25-year corridors widen. Over time, the pension funding stabilization effect of MAP-21 will decline because the 24-month smoothed segment rates and the amended 25-year corridors are likely to converge. (2) The funded status as of July 1, 2016, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2016, through March 15, 2017. Contributions made on or before March 15, 2017, and designated for the plan year ended June 30, 2016, will be included in the final valuation as of July 1, 2016. The final funded status as of July 1, 2016, will not be available until the Form 5500 for the plan year July 1, 2016, through June 30, 2017 is filed. This Form 5500 is due to be filed no later than April 2018. (3) The funded status as of July 1, 2015, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2015, through March 15, 2016. Contributions made on or before March 15, 2016, and designated for the plan year ended June 30, 2015, will be included in the final valuation as of July 1, 2015. The final funded status as of July 1, 2015, will not be available until the Form 5500 for the plan year July 1, 2015, through June 30, 2016 is filed. This Form 5500 is due to be filed no later than April 2017. 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. Our obligation from this plan was $ 7.6 million and $6.3 million at December 31, 2016 and 2015 , respectively, which is recorded in other liabilities on the statement of condition. We maintain a rabbi trust, which is recorded in other assets on the statement of condition, intended to satisfy future benefit obligations. The following table sets forth expenses relating to our defined contribution plans (dollars in thousands): For the Year Ended December 31, 2016 2015 2014 Qualified Defined Contribution Plan - Pentegra Defined Contribution Plan $ 1,115 $ 1,032 $ 974 Nonqualified Defined Contribution Plan - Thrift Benefit Equalization Plan 215 159 154 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 which is recorded in other assets on the statement of condition, intended to satisfy 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. In connection with the nonqualified supplemental defined benefit retirement plan and postretirement benefits, we recorded the following amounts as of December 31, 2016 and 2015 (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015 Change in benefit obligation (1) Benefit obligation at beginning of year $ 12,321 $ 12,608 $ 765 $ 739 Service cost 1,053 686 34 37 Interest cost 655 483 34 31 Actuarial loss (gain) 2,682 (1,453 ) 68 (22 ) Benefits paid (4 ) (3 ) (23 ) (20 ) Plan amendments 492 — — — Settlements (67 ) — — — Benefit obligation at end of year 17,132 12,321 878 765 Change in plan assets Fair value of plan assets at beginning of year — — — — Employer contribution 71 3 23 20 Benefits paid (4 ) (3 ) (23 ) (20 ) Settlements (67 ) — — — Fair value of plan assets at end of year — — — — Funded status at end of year $ (17,132 ) $ (12,321 ) $ (878 ) $ (765 ) ______________________ (1) Represents the projected benefit obligation for the nonqualified supplemental defined benefit retirement plan and the accumulated postretirement benefit obligation for postretirement benefits. Amounts recognized in other liabilities on the statement of condition for our nonqualified supplemental defined benefit retirement plan and postretirement benefits at December 31, 2016 and 2015 , were $18.0 million and $13.1 million , respectively. Amounts recognized in other comprehensive income for our nonqualified supplemental defined benefit retirement plan and postretirement benefits as of December 31, 2016 and 2015 , were (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2016 2015 2016 2015 Net actuarial loss $ 5,553 $ 3,741 $ 180 $ 116 Prior service cost 406 — — — Total $ 5,959 $ 3,741 $ 180 $ 116 The accumulated benefit obligation for the nonqualified supplemental defined benefit retirement plan was $12.6 million and $10.0 million at December 31, 2016 and 2015 , respectively. The following table presents the components of net periodic benefit cost and other amounts recognized in accumulated other comprehensive loss for our nonqualified supplemental defined benefit retirement plan and postretirement benefits for the years ended December 31, 2016 , 2015 , and 2014 (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2016 2015 2014 2016 2015 2014 Net Periodic Benefit Cost Service cost $ 1,053 $ 686 $ 551 $ 34 $ 37 $ 24 Interest cost 655 483 463 34 31 32 Amortization of prior service cost 86 — — — — — Amortization of net actuarial loss 870 653 474 4 8 2 Net periodic benefit cost 2,664 1,822 1,488 72 76 58 Other Changes in Benefit Obligations Recognized in Accumulated Other Comprehensive Loss Amortization of prior service cost (86 ) — — — — — Amortization of net actuarial loss (870 ) (653 ) (474 ) (4 ) (8 ) (2 ) Prior service cost 492 — — — — — Net actuarial loss (gain) 2,682 (1,453 ) 3,169 68 (22 ) 71 Total recognized in accumulated other comprehensive loss 2,218 (2,106 ) 2,695 64 (30 ) 69 Total recognized in net periodic benefit cost and accumulated other comprehensive loss $ 4,882 $ (284 ) $ 4,183 $ 136 $ 46 $ 127 The estimated net actuarial loss and prior service cost that will be amortized from accumulated other comprehensive loss into net periodic benefit cost during 2017 is $768,000 for our nonqualified supplemental defined benefit retirement plan and $9,000 for our postretirement benefits. Key assumptions used for the actuarial calculations to determine benefit obligations and net periodic benefit cost for our nonqualified supplemental defined benefit retirement plan and postretirement benefits at December 31, 2016 and 2015 , were: Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2016 2015 2016 2015 Benefit obligation Discount rate 3.98 % 4.17 % 4.22 % 4.44 % Salary increases 5.50 % 5.50 % — — Net periodic benefit cost Discount rate 4.17 % 3.84 % 4.44 % 4.03 % Salary increases 5.50 % 5.50 % — — The discount rate for the nonqualified supplemental defined benefit retirement plan as of December 31, 2016 , was determined by using a discounted cash-flow approach, which incorporates the timing of each expected future benefit payment. The estimate of the future benefit payments is based on the plan's census data, benefit formula and provisions, and valuation assumptions reflecting the probability of decrement and survival. The present value of the future benefit payments is then determined by using duration-based interest-rate yields from the Citigroup Pension Discount Curve as of December 31, 2016 , and solving for the single discount rate that produces the same present value. Our nonqualified supplemental defined benefit retirement plan and postretirement benefits are not funded; therefore, no contributions will be made in 2017 other than the payment of benefits. Estimated future benefit payments for our nonqualified supplemental defined benefit retirement plan and postretirement benefits, reflecting expected future services, for the years ending December 31 are (dollars in thousands): Estimated Future Payments Years Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2017 $ 241 $ 19 2018 335 18 2019 584 18 2020 671 20 2021 774 20 2022-2026 5,811 126 |
Fair Values
Fair Values | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value [Text Block] | Fair Values The carrying values, fair values, and fair-value hierarchy of our financial instruments at December 31, 2016 and 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. December 31, 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 $ 520,031 $ 520,031 $ 520,031 $ — $ — $ — Interest-bearing deposits 278 278 278 — — — Securities purchased under agreements to resell 5,999,000 5,998,799 — 5,998,799 — — Federal funds sold 2,700,000 2,699,949 — 2,699,949 — — Trading securities (1) 612,622 612,622 — 612,622 — — Available-for-sale securities (1) 6,588,664 6,588,664 — 6,580,518 8,146 — Held-to-maturity securities 2,130,767 2,372,290 — 1,176,269 1,196,021 — Advances 39,099,339 39,273,044 — 39,273,044 — — Mortgage loans, net 3,693,894 3,736,548 — 3,708,123 28,425 — Accrued interest receivable 84,653 84,653 — 84,653 — — Derivative assets (1) 61,598 61,598 — 55,078 — 6,520 Other assets (1) 17,779 17,779 8,394 9,385 — — Liabilities: Deposits (482,163 ) (482,158 ) — (482,158 ) — — COs: Bonds (27,171,434 ) (27,298,499 ) — (27,298,499 ) — — Discount notes (30,053,964 ) (30,054,085 ) — (30,054,085 ) — — Mandatorily redeemable capital stock (32,687 ) (32,687 ) (32,687 ) — — — Accrued interest payable (80,822 ) (80,822 ) — (80,822 ) — — Derivative liabilities (1) (357,876 ) (357,876 ) — (460,287 ) — 102,411 Other: Commitments to extend credit for advances — (4,412 ) — (4,412 ) — — Standby letters of credit (1,064 ) (1,064 ) — (1,064 ) — — _______________________ (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 Methodologies and Techniques We have determined the fair-value amounts above using available market and other pertinent information and our best judgment of appropriate valuation methods. Although we use our best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of our financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. Therefore, these fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect our judgment of how a market participant would estimate the fair values. Fair-Value Hierarchy. Fair value is the price in an orderly transaction between market participants to sell an asset or transfer a liability in the principal (or advantageous) market for the asset or liability at the measurement date (an exit price). We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis, and on occasion certain private-label MBS, certain mortgage loans, and certain other assets on a non-recurring basis. U.S. GAAP establishes a fair-value hierarchy and requires an entity to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the fair-value measurement is determined. This overall level is an indication of market observability of the fair-value measurement for the asset or liability. An entity must disclose the level within the fair value hierarchy in which the measurements are classified. The fair-value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. Level 2 Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified or contractual term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, volatilities, and prepayment speeds); and (4) inputs that are derived principally from or corroborated by observable market data (e.g., implied spreads). Level 3 Unobservable inputs for the asset or liability. We review the fair-value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during the years ended December 31, 2016 and 2015 . Summary of Valuation Methodologies and Primary Inputs Cash and Due from Banks. The fair value approximates the recorded carrying value. Interest-Bearing Deposits. The fair value approximates the recorded carrying value. Securities Purchased under Agreements to Resell. The fair value is determined by calculating the present value of expected future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Federal Funds Sold. The fair value is determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for federal funds with similar terms. Investment Securities. We determine the fair values of our investment securities, other than HFA floating-rate securities, based on prices obtained for each of these securities that we request from four designated third-party pricing vendors. The fair value of each such security is the average of such vendor prices that are within a cluster pricing tolerance range. A cluster is defined as a group of available vendor prices for a given security that is within a defined price tolerance range of the median vendor price depending on the security type. An outlier is any vendor price that is outside of the defined cluster and is evaluated for reasonableness. The use of the average of available vendor prices within a cluster and the evaluation of reasonableness of outlier prices does not discard available information. In addition, the fair values produced by this method are reviewed for reasonableness. We request prices on each of our securities subject to this fair-value method from four third-party vendors, when available. These pricing vendors use methods that generally employ, but are not limited to, benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. We establish a median price for each security using a formula that is based on the number of prices received: • if four prices are received, the average of the two middle prices is used; • if three prices are received, the middle price is used; • if two prices are received, the average of the two prices is used; and • if one price is received, it is used subject to validation of outliers as described below. Vendor prices that are outside of a defined cluster are identified as outliers and are subject to additional review including, but not limited to, comparison to prices provided by an additional third-party valuation vendor, prices for similar securities, and/or nonbinding dealer estimates, or the use of internal model prices, which we believe reflect the facts and circumstances that a market participant would consider. We also perform this analysis in those limited instances where no third-party vendor price or only one third-party vendor price is available to determine fair value. If the analysis indicates that an outlier (or outliers) is (are) not representative of fair value and that the average of the vendor prices within the tolerance threshold of the median price is the best estimate, then we use the average of the vendor prices within the tolerance threshold of the median price as the final price. If, on the other hand, we determine that an outlier (or some other price identified in the analysis) is a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price. In all cases, the final price is used to determine the fair value of the security. As of December 31, 2016 , four vendor prices were received for substantially all of our investment securities and the final prices for substantially all of those securities were computed by averaging the four prices. The relative proximity of the prices received supports our conclusion that the final computed prices are reasonable estimates of fair value. Based on the current low level of market activity for private-label residential MBS, the nonrecurring fair-value measurements for such securities as of December 31, 2016 and 2015 , fell within Level 3 of the fair-value hierarchy. Our fixed-rate HFA securities fall within Level 3 of the fair-value hierarchy due to the current lack of market activities for these bonds. Investment Securities – HFA Floating Rate Securities. The fair value is determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Our floating rate HFA securities also fall within Level 3 of the fair-value hierarchy due to the current lack of market activity for these bonds. Advances. We determine the fair value of advances by calculating the present value of expected future cash flows from the advances and excluding the amount of accrued interest receivable. The discount rates used in these calculations are the current replacement rates for advances with similar terms. We calculate our replacement advance rates at a spread to our cost of funds. Our cost of funds approximates the CO curve. See — COs within this note for a discussion of the CO curve. We use market-based expectations of future interest-rate volatility implied from current market prices for similar options to estimate the fair values of advances with optionality. In accordance with the FHFA's advances regulations, advances with a maturity or repricing period greater than six months require a prepayment fee sufficient to make us financially indifferent to the borrower's decision to prepay the advances. Therefore, we do not assume prepayment risk when we determine the fair value of advances. Additionally, we believe that credit risk is negligible as a component of value in determining the fair value of our advances due to the strong credit protections that mitigate the credit risk associated with advances. Collateral requirements for advances provide surety for the repayment such that the probability of credit losses on advances is very low. We have the ability to establish a blanket lien on all financial assets of most members, and in the case of federally insured depository institutions, our lien has a statutory priority over all other creditors with respect to collateral that has not been perfected by other parties. All of these factors serve to mitigate credit risk on advances. Mortgage Loans. The fair values for mortgage loans are determined based on quoted market prices of similar mortgage loans adjusted for credit and liquidity risk. The fair value of impaired conventional mortgage loans is based on the lower of the carrying value of the loans or fair value of the collateral less estimated costs to sell. The fair value of impaired government mortgage loans is equal to the unpaid principal balance. REO. Fair value is derived from third-party valuations of the property, which fall within Level 3 of the fair-value hierarchy. Accrued Interest Receivable and Payable. The fair value approximates the recorded carrying value. Derivative Assets/Liabilities - Interest-Rate-Exchange Agreements . We base the fair values of interest-rate-exchange agreements on available market prices of derivatives having similar terms, including accrued interest receivable and payable. The fair-value methodology uses standard valuation techniques for derivatives such as discounted cash-flow analysis and comparisons with similar instruments. The fair values of all interest-rate-exchange agreements are netted by clearing member and/or by counterparty, including cash collateral received from or delivered to the counterparty. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. We generally use a midmarket pricing convention based on the bid-ask spread as a practical expedient for fair-value measurements. Because these estimates are made at a specific point in time, they are susceptible to material near-term changes. We have evaluated the potential for the fair value of the instruments to be affected by counterparty risk and our own credit risk and have determined that no adjustments were significant to the overall fair-value measurements. The discounted cash-flow model uses market-observable inputs (inputs that are actively quoted and can be validated to external sources), including the following: • Discount rate assumption . At December 31, 2016 and 2015 , we used either the overnight-index swap (OIS) curve or the LIBOR swap curve depending on the terms of the ISDA agreement we have with each derivative counterparty. • Forward interest-rate assumption . LIBOR swap curve. • Volatility assumption . Market-based expectations of future interest-rate volatility implied from current market prices for similar options. Derivative Assets/Liabilities – Commitments to Invest in Mortgage Loans . Commitments to invest in mortgage loans are recorded as derivatives in the statement of condition. The fair values of such commitments are based on the end-of-day delivery commitment prices provided by the FHLBank of Chicago and a spread, derived from MBS TBA delivery commitment prices with adjustment for the contractual features of the MPF program, such as servicing and credit-enhancement features. Deposits. We determine the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing this amount by any accrued interest payable. The discount rates used in these calculations are the rates of currently issued deposits with similar terms. COs. We estimate fair values based on the cost of issuing comparable term debt, excluding non-interest selling costs. Fair values of COs without embedded options are determined based on internal valuation models that use market-based yield curve inputs obtained from the Office of Finance. The Office of Finance constructs an internal yield curve, referred to as the CO curve, using the U.S. Treasury curve as a base yield curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE debt trades, and secondary market activity. Prior to 2016, fair values of CO bonds with embedded options were determined by internal valuation models with market-based inputs obtained from the Office of Finance and derivative dealers. Additionally, to estimate the fair values of CO bonds with optionality, we used market-based expectations of future interest-rate volatility implied from current market prices for similar options. Beginning in 2016, we determined the estimated fair value of callable CO bonds by using prices received from designated third-party pricing vendors. The pricing vendors we used apply various proprietary models to price CO bonds. The inputs to those models are derived from various sources including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers, and other market-related data. Since many CO bonds do not trade on a daily basis, the pricing vendors use available information, as applicable, such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual CO bonds. Each pricing vendor has an established challenge process in place for all valuations, which facilitates resolution of potentially erroneous prices identified by us. When pricing vendors are used, we use the same valuation technique as described above for Investment Securities. Four vendor prices were received for substantially all of our callable CO bonds and the final prices for those bonds were computed by averaging the prices received. Based on our review of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices, we believe our final prices result in reasonable estimates of fair value and that the fair value measurements are classified appropriately in the fair value hierarchy. We have conducted reviews of our pricing vendors to confirm and further augment our understanding of the vendors' pricing processes, methodologies and control procedures for callable CO bonds. Adjustments may be necessary to reflect the 11 FHLBanks' credit quality when valuing COs measured at fair value. Due to the joint and several liability for COs, we monitors our own creditworthiness and the creditworthiness of the other FHLBanks to determine whether any credit adjustments are necessary in our fair value measurement of COs. No adjustments were considered necessary at December 31, 2016 or 2015 . Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par as indicated by contemporaneous member purchases and sales at par value. Capital stock can only be acquired by our members at par value and redeemed at par value. Our capital stock is not traded and no market mechanism exists for the exchange of capital stock outside of our cooperative structure. Commitments. For fixed-rate advance commitments, fair value considers the difference between current levels of interest rates and the committed rates. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methodologies described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest-rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair-value estimates. Since these estimates are made as of a specific point in time, they are susceptible to material near-term changes. 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 December 31, 2016 and 2015 , by fair-value hierarchy level (dollars in thousands): December 31, 2016 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. Treasury obligations $ — $ 399,521 $ — $ — $ 399,521 U.S. government-guaranteed – single-family MBS — 8,494 — — 8,494 GSEs – single-family MBS — 768 — — 768 GSEs – multifamily MBS — 203,839 — — 203,839 Total trading securities — 612,622 — — 612,622 Available-for-sale securities: State or local HFA securities — — 8,146 — 8,146 Supranational institutions — 422,620 — — 422,620 U.S. government-owned corporations — 271,957 — — 271,957 GSEs — 117,468 — — 117,468 U.S. government guaranteed – single-family MBS — 124,727 — — 124,727 U.S. government guaranteed – multifamily MBS — 563,361 — — 563,361 GSEs – single-family MBS — 4,403,855 — — 4,403,855 GSEs-multifamily — 676,530 — — 676,530 Total available-for-sale securities — 6,580,518 8,146 — 6,588,664 Derivative assets: Interest-rate-exchange agreements — 55,008 — 6,520 61,528 Mortgage delivery commitments — 70 — — 70 Total derivative assets — 55,078 — 6,520 61,598 Other assets 8,394 9,385 — — 17,779 Total assets at fair value $ 8,394 $ 7,257,603 $ 8,146 $ 6,520 $ 7,280,663 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (460,116 ) $ — $ 102,411 $ (357,705 ) Mortgage delivery commitments — (171 ) — — (171 ) Total liabilities at fair value $ — $ (460,287 ) $ — $ 102,411 $ (357,876 ) _______________________ (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. The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the year ended December 31, 2016 . There were no Level 3 available-for-sale securities during the years ended December 31, 2015 and 2014 . For the Year Ended December 31, 2016 Balance at beginning of year $ — Purchases 9,350 Unrealized losses included in other comprehensive income (1,204 ) Balance at end of year $ 8,146 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. The fair values presented are as of the date the fair value adjustment was recorded. December 31, 2016 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 8,498 $ 8,498 Mortgage loans held for portfolio — — 5,618 5,618 REO — — 786 786 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 14,902 $ 14,902 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 | 12 Months Ended |
Dec. 31, 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 December 31, 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 the FHLBank Act and 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, the FHLBanks' 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 December 31, 2016 and 2015 . The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $ 932.1 billion and $851.4 billion at December 31, 2016 and 2015 , respectively. See Note 13 — Consolidated Obligations for additional information. Off-Balance-Sheet Commitments The following table sets forth our off-balance-sheet commitments as of December 31, 2016 and 2015 (dollars in thousands): December 31, 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) $ 4,050,447 $ 179,632 $ 4,230,079 $ 3,998,609 $ 77,477 $ 4,076,086 Commitments for unused lines of credit - advances (2) 1,255,140 — 1,255,140 1,263,182 — 1,263,182 Commitments to make additional advances 44,865 65,972 110,837 650,890 54,308 705,198 Commitments to invest in mortgage loans 22,524 — 22,524 24,714 — 24,714 Unsettled CO bonds, at par — — — 25,000 — 25,000 Unsettled CO discount notes, at par — — — 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 December 31, 2016 and 2015 , these amounts totaled $ 2.7 million and $27.3 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $285,000 and $4.0 million at December 31, 2016 and 2015 , respectively. (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. 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 2026 . Our unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled $1.1 million and $831,000 at December 31, 2016 and 2015 , respectively. We monitor the creditworthiness of our members and housing associates that have standby letter of credit agreements outstanding based on our evaluations of the financial condition of the member or housing associate. We review available financial data, which can include regulatory call reports filed by depository institution members, regulatory financial statements filed with the appropriate state insurance department by insurance company members, audited financial statements of housing associates, SEC filings, and rating-agency reports to ensure that potentially troubled members are identified as soon as possible. In addition, we have access to most members' regulatory examination reports. We analyze this information on a regular basis. Standby letters of credit are fully collateralized at the time of issuance. Based on our credit analyses and collateral requirements, we have not deemed it necessary to record any additional liability on these commitments. 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 11 — Derivatives and Hedging Activities for additional information about our pledged collateral and other credit-risk-related contingent features. Lease Commitments. We charged to operating expense net rental costs of approximately $2.9 million , $2.9 million , and $2.8 million for the years ended December 31, 2016 , 2015 , and 2014 , respectively. Future minimum rentals at December 31, 2016 , were as follows (dollars in thousands): Equipment Premises Capital Leases Operating Leases 2017 $ 41 $ 2,504 2018 41 2,567 2019 41 2,537 2020 22 2,537 2021 — 2,537 Thereafter — 5,073 Total minimum lease payments $ 145 $ 17,755 Lease agreements for our premises generally provide for increases in the basic rentals resulting from increases in property taxes and maintenance expenses. We do not expect any such increases to have a material effect on us. 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. Other commitments and contingencies are discussed in Note 8 — Advances, Note 11 — Derivatives and Hedging Activities, Note 13 — Consolidated Obligations, Note 14 — Affordable Housing Program, Note 15 — Capital, and Note 17 — Employee Retirement Plans. |
Transactions with Shareholders
Transactions with Shareholders | 12 Months Ended |
Dec. 31, 2016 | |
Transactions with Shareholders [Abstract] | |
Transactions with Shareholders [Text Block] | Transactions with Shareholders We are a cooperative whose members own our capital stock and may receive dividends on their investment in our capital stock. In addition, certain former members and nonmembers that still have outstanding transactions with us are also required to maintain their investment in our capital stock until the transactions mature or are paid off. All advances are issued to members or housing associates, and mortgage loans held for portfolio are generally acquired from our members or housing associates. We also maintain demand-deposit accounts for members and housing associates primarily to facilitate settlement activities that are directly related to advances, mortgage-loan purchases, and other transactions between us and the member or housing associate. In instances where the member has an officer or director who serves as a director of the Bank, those transactions are subject to the same eligibility and credit criteria, as well as the same terms and conditions, as transactions with all other members. 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 December 31, 2016 and 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 December 31, 2016 and 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 December 31, 2016 Citizens Bank, N.A. $ 357,508 14.6 % $ 7,260,446 18.6 % $ 2,625 7.3 % 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 years ended December 31, 2016 , 2015 , and 2014 as follows (dollars in thousands): For the Year Ended December 31, Citizens Bank, N.A. 2016 2015 2014 Interest income on advances $ 34,276 $ 14,745 $ 12,800 Fees on letters of credit 3,059 3,768 3,753 During 2016 , we received prepayment fees of $368,000 from Citizens Bank, N.A. and the corresponding principal amount prepaid to us was $2.0 million . We did not receive any prepayment fees from Citizens Bank, N.A. during 2015 and 2014 . 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 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 December 31, 2016 $ 91,374 3.7 % $ 1,554,753 4.0 % $ 1,631 4.5 % As of December 31, 2015 72,251 3.0 1,064,489 3.0 1,297 3.7 |
Transactions with Other FHLBank
Transactions with Other FHLBanks | 12 Months Ended |
Dec. 31, 2016 | |
Transactions with Other FHLBanks [Abstract] | |
Transactions with Other FHLBanks [Text Block] | Transactions with Other FHLBanks We may occasionally enter into transactions with other FHLBanks. These transactions are summarized below. Overnight Funds . We may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included within other interest income and interest expense from other borrowings in the statement of operations. MPF Mortgage Loans. We pay a transaction-services fee to the FHLBank of Chicago for our participation in the MPF program. This fee is assessed monthly, and is based upon the amount of mortgage loans which we invested in after January 1, 2004, and which remain outstanding on our statement of condition. For the years ended December 31, 2016 , 2015 , and 2014 , we recorded $2.0 million , $1.8 million , and $1.6 million , respectively in MPF transaction-services fee expense to the FHLBank of Chicago which has been recorded in the statement of operations as other expense. COs. From time to time, one FHLBank may transfer to another FHLBank the COs for which the transferring FHLBank was originally the primary obligor but upon transfer the assuming FHLBank becomes the primary obligor. During the year ended December 31, 2015 , we assumed debt obligations with a par amount of $80.0 million and a fair value of approximately $87.8 million on the day they were assumed, which had been the obligations of another FHLBank. During the years ended December 31, 2016 and 2014 , there were no transfers of COs between us and other FHLBanks. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events On February 16, 2017 , the board of directors declared a cash dividend at an annualized rate of 3.94 percent based on capital stock balances outstanding during the fourth quarter of 2016. The dividend, including dividends on mandatorily redeemable capital stock, amounted to $24.0 million and was paid on March 2, 2017 . On February 24, 2017 , we conducted a partial repurchase of excess capital stock under the Excess Stock Management Program in the amount of $134.6 million . |
Summary of Significant Accoun31
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Use of Estimates, Policy | These financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. The most significant of these estimates include but are not limited to, fair-value estimates, other-than-temporary impairment analysis, the allowance for loan losses, and deferred premium/discounts associated with prepayable assets. Actual results could differ from these estimates. |
Fair Value Measurement, Policy | We determine the fair-value amounts recorded on the statement of condition and in the note disclosures for the periods presented by using available market and other pertinent information, and reflect our best judgment of appropriate valuation methods. Although we use our best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. |
Derivatives, Offsetting Fair Value Amounts, Policy | We present certain financial instruments on a net basis when they are subject to a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, we have elected to offset our asset and liability positions, as well as cash collateral received or pledged, when we have met the netting requirements. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the requirements for netting, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 — Derivatives and Hedging Activities for additional information regarding these agreements. |
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Policy | These investments provide short-term liquidity and are carried at cost. Federal funds sold consist of short-term, unsecured loans transacted with counterparties that we consider to be of investment quality. Securities purchased under agreements to resell are treated as short-term collateralized loans that are classified as assets in the statement of condition. These securities purchased under agreements to resell are held in safekeeping in our name by third-party custodians, which we have approved. If the fair value of the underlying securities decreases below the fair value required as collateral, the counterparty has the option to provide additional securities in safekeeping in our name in an amount equal to the decrease or remit cash in such amount. If the counterparty defaults on this obligation, we will decrease the dollar value of the resale agreement accordingly. |
Investment, Policy | Premiums and Discounts. We amortize premiums and accrete discounts on mortgage-backed securities (MBS) using the level-yield method over the estimated lives of the securities. This method requires a retrospective adjustment of the effective yield each time we change the estimated life, based on actual prepayments received and changes in expected prepayments, as if the new estimate had been known since the original acquisition date of the securities. We estimate prepayment speeds on each individual security using the most recent three months of historical constant prepayment rates, as available, or may subscribe to third-party data services that provide estimates of future cash flows, from which we determine expected asset lives. We amortize premiums and accrete discounts on other investments using the level-yield method to the contractual maturity of the securities. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income (loss). We classify investments as trading, available-for-sale, or held-to-maturity at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. We evaluate our individual available-for-sale and held-to-maturity securities for other-than-temporary impairment each quarter. |
Marketable Securities, Trading Securities, Policy | Securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these investments through other income as net unrealized (losses) gains on trading securities. FHFA regulations prohibit trading in or the speculative use of these instruments and limit the credit risks we have from these instruments. |
Marketable Securities, Available-for-sale Securities, Policy | We classify certain investments that are not classified as held-to-maturity or trading as available-for-sale and carry them at fair value. Changes in fair value of available-for-sale securities not being hedged by derivatives, or in an economic hedging relationship, are recorded in other comprehensive income (loss) as net unrealized gains (losses) on available-for-sale securities. For available-for-sale securities that have been hedged under fair-value hedge designations, we record the portion of the change in fair value related to the risk being hedged in other income as net losses on derivatives and hedging activities together with the related change in the fair value of the derivative. The remainder of the change in the fair value of the investment is recorded in other comprehensive income (loss) as net unrealized gains (losses) on available-for-sale securities. |
Marketable Securities, Held-to-maturity Securities, Policy | Certain investments for which we have both the ability and intent to hold to maturity are classified as held-to-maturity and are carried at cost, adjusted for periodic principal repayments, amortization of premiums and accretion of discounts using the level-yield method, previous other-than-temporary impairment, and accretion of the noncredit portion of other-than-temporary impairment recognized in other comprehensive income (loss). Changes in circumstances may cause us to change our intent to hold certain securities to maturity without calling into question our intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of a held-to-maturity security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for us that could not have been reasonably anticipated may cause us to sell or transfer a held-to-maturity security without necessarily calling into question our intent to hold other debt securities to maturity. In addition, sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: • the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security's fair value; or • the sale of a security occurs after we have already collected a substantial portion (at least 85 percent) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. |
Impairment Of Investments, Policy | We evaluate our individual available-for-sale and held-to-maturity securities in an unrealized loss position for other-than-temporary impairment each quarter. An investment is considered impaired when its fair value is less than its amortized cost. We consider other-than-temporary impairment to have occurred if we: • have an intent to sell the investment; • believe it is more likely than not that we will be required to sell the investment before the recovery of its amortized cost based on available evidence; or • do not expect to recover the entire amortized cost of the debt security. Recognition of Other-than-Temporary Impairment. If either of the first two conditions above is met, we recognize an other-than-temporary impairment charge in earnings equal to the entire difference between the security's amortized cost and its fair value as of the statement of condition date. For securities in an unrealized loss position that meet neither of the first two conditions (excluding agency MBS) and for each of our private-label MBS, we perform an analysis to determine if we will recover the entire amortized cost of each of these securities. The present value of the cash flows expected to be collected is compared with the amortized cost of the debt security to determine whether a credit loss exists. If the present value of the cash flows expected to be collected is less than the amortized cost of the debt security, the security is deemed to be other-than-temporarily impaired and the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost and fair value in earnings, only the amount of the impairment representing the credit loss (that is, the credit component) is recognized in earnings, while the amount related to all other factors (that is, the noncredit component) is recognized in other comprehensive income (loss). For a security that is determined to be other-than-temporarily impaired, in the event that the present value of the cash flows expected to be collected is less than the fair value of the security, the credit loss on the security is limited to the amount of that security's unrealized losses. In performing a detailed cash-flow analysis, we estimate the cash flows expected to be collected. If this estimate results in a present value of expected cash flows (discounted at the security's effective yield) that is less than the amortized cost basis of a security (that is, a credit loss exists), other-than-temporary impairment is considered to have occurred. For determining the present value of variable-rate and hybrid private-label residential MBS, we use the effective interest rate derived from a variable-rate index, such as one-month London Interbank Offered Rate (LIBOR), plus the contractual spread, plus or minus a fixed-spread adjustment when there is an existing discount or premium on the security. Because the implied forward yield curve of a selected variable-rate index changes over time, the effective interest rates derived from that index will also change over time and would therefore impact the present value of the subject security. The total other-than-temporary impairment is presented in the statement of operations with an offset for the amount of the noncredit portion of other-than-temporary impairment that is recognized in other comprehensive income (loss). The remaining amount in the statement of operations represents the credit loss for the period. Accounting for Other-than-Temporary Impairment Recognized in Other Comprehensive Income. For subsequent accounting of other-than-temporarily impaired securities, we record an additional other-than-temporary impairment if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional other-than-temporary impairment (both credit and non-credit, if any) is determined as the difference between the security's amortized cost less the amount of other-than-temporary impairment recognized in other comprehensive income (loss) prior to the determination of this additional other-than-temporary impairment and its fair value. Any additional credit loss is limited to that security's unrealized losses, or the difference between the security's amortized cost and its fair value as of the statement of condition date. This additional credit loss, up to the amount in other comprehensive income (loss) related to the security, is reclassified out of other comprehensive income (loss) and recognized in earnings. Any credit loss in excess of the amount reclassified out of other comprehensive income (loss) is also recognized in earnings. Interest Income Recognition. Upon subsequent evaluation of a debt security when there is no additional other-than-temporary impairment, we adjust the accretable yield on a prospective basis if there is a significant increase in the security's expected future cash flows. This adjusted yield is used to calculate the amount to be recognized into income over the remaining life of the security so as to match the amount and timing of future cash flows expected to be collected. Subsequent changes in estimated cash flows that are deemed significant will change the accretable yield on a prospective basis. For debt securities classified as held-to-maturity, the other-than-temporary impairment recognized in other comprehensive income (loss) is accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows (with no effect on earnings unless the security is subsequently sold or there are additional decreases in cash flows expected to be collected). The estimated cash flows and accretable yield are re-evaluated each quarter. |
Federal Home Loan Bank Advances , Policy | We report advances at amortized cost. Advances carried at amortized cost are reported net of premiums/discounts and any hedging adjustments, as discussed in Note 8 — Advances. We generally record our advances at par. However, we may record premiums or discounts on advances in the following cases: • Advances may be acquired from another FHLBank when one of our members acquires a member of another FHLBank. In these cases, we may purchase the advances from the other FHLBank at a price that results in a fair market yield for the acquired advance. • In the event that a hedge of an advance is discontinued, the cumulative hedging adjustment is recorded as a premium or discount and amortized over the remaining life of the advance. • When the prepayment of an advance is followed by disbursement of a new advance and the transactions effectively represent a modification of the previous advance the prepayment fee received is deferred, recorded as a discount to the modified advance, and accreted over the life of the new advance. • When an advance is modified under our advance restructuring program and our analysis of the restructuring concludes that the transaction is an extinguishment of the prior loan rather than a modification, the deferred prepayment fee is recognized into income immediately, recorded as premium on the new advance, and amortized over the life of the new advance. • When we make an AHP advance, the present value of the variation in the cash flow caused by the difference in the interest rate between the AHP advance rate and our related cost of funds for comparable maturity funding is charged against the AHP liability and recorded as a discount on the AHP advance. • Advances issued under our Jobs for New England (JNE) and Helping to House New England (HHNE) programs have an interest rate of zero percent. Due to the below market interest rate, we record a discount on the advance and an interest rate subsidy expense at the time that we transact the advance. The subsidy expense is recorded in other expense in the statement of operations. We do not charge a prepayment fee for advances issued under the JNE and HHNE programs. We amortize the premiums and accrete the discounts on advances to interest income using the level-yield method. We record interest on advances to interest income as earned. Prepayment Fees. We charge borrowers a prepayment fee when they prepay certain advances before the original maturity. We record prepayment fees net of hedging fair-value adjustments included in the carrying value of the advance as prepayment fees on advances, net in the interest income section of the statement of operations. Advance Modifications. In cases in which we fund a new advance concurrently with or within a short period of time of the prepayment of an existing advance by the same member, we evaluate whether the new advance meets the accounting criteria to qualify as a modification of the existing advance or whether it constitutes a new advance. We compare the present value of cash flows on the new advance with the present value of cash flows remaining on the existing advance. If there is at least a 10 percent difference in the present value of cash flows or if we conclude the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance's original contractual terms, the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. If a new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized to interest income over the life of the modified advance using the level-yield method. This amortization is recorded in advance-interest income. If the modified advance is hedged, changes in fair value are recorded after the amortization of the basis adjustment. This amortization results in offsetting amounts being recorded in net interest income and net losses on derivatives and hedging activities in other income. For prepaid advances that were hedged and met the hedge-accounting requirements, we terminate the hedging relationship upon prepayment and record the prepayment fee net of the hedging fair-value adjustment in the basis of the advance as prepayment fees on advances, net in interest income. If we fund a new advance to a member concurrent with or within a short period of time after the prepayment of a previous advance to that member, we evaluate whether the new advance qualifies as a modification of the original hedged advance. If the new advance qualifies as a modification of the original hedged advance, the hedging fair-value adjustment and the prepayment fee are included in the carrying amount of the modified advance and are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedging criteria, the modified advance is marked to fair value after the modification, and subsequent fair-value changes are recorded in other income as net losses on derivatives and hedging activities. If a new advance does not qualify as a modification of an existing advance, prepayment of the existing advance is treated as an advance termination and any prepayment fee, net of hedging adjustments, is recorded to prepayment fees on advances, net in the interest income section of the statement of operations. |
Commitment Fees, Policy | We record commitment fees for standby letters of credit to members as deferred fee income when received, and amortize these fees on a straight-line basis to service-fees income in other income over the term of the standby letter of credit. Based upon past experience, we believe the likelihood of standby letters of credit being drawn upon is remote. |
Loans and Leases Receivable, Held-for-investment, Policy | Accordingly, these investments are reported at their principal amount outstanding net of unamortized premiums, discounts, unrealized gains and losses from investments initially classified as mortgage loan commitments, direct write-downs, and the allowance for credit losses on mortgage loans. We classify our investments in mortgage loans for which we have the intent and ability to hold for the foreseeable future or until maturity or payoff as held for portfolio. |
Loans and Leases Receivable, Origination Fees, Discounts or Premiums, and Direct Costs to Acquire Loans, Policy | Credit-enhancement fees are recorded as an offset to mortgage-loan-interest income. We compute the amortization of mortgage-loan-origination fees (premiums and discounts) as interest income using the level-yield method over the contractual term to maturity of each individual loan, which results in income recognition in a manner that is effectively proportionate to the actual repayment behavior of the underlying assets and reflects the contractual terms of the assets without regard to changes in estimated prepayments based on assumptions about future borrower behavior. We record other nonorigination fees in connection with our MPF program activities in other income. Such fees include delivery-commitment-extension fees, pair-off fees, price-adjustment fees, and counterparty fees in connection with MPF products under which we facilitate third party investment in loans (non-investment MPF products) such as with the MPF Xtra ® product. Delivery-commitment-extension fees are charged when a participating financial institution requests to extend the period of the delivery commitment beyond the original stated expiration. Pair-off fees represent a make-whole provision; they are received when the amount funded under a delivery commitment is less than a certain threshold (under-delivery) of the delivery-commitment amount. Price-adjustment fees are received when the amount funded is greater than a certain threshold (over-delivery) of the delivery-commitment amount. To the extent that pair-off fees relate to under-deliveries of loans, they are recorded in service fee income. Fees related to over-deliveries represent purchase-price adjustments to the related loans acquired and are recorded as part of the carrying value of the loan. |
Loans and Leases Receivable, Nonaccrual Loan and Lease Status, Policy | We place conventional mortgage loans on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a conventional mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income in the current period. We generally record cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless we consider the collection of the remaining principal amount due to be doubtful. If we consider the collection of the remaining principal amount to be doubtful, cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual status when the collection of the contractual principal and interest is less than 90 days past due. We do not place government mortgage loans on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due because of the U.S. government guarantee of the loan and the contractual obligations of each related servicer, |
Loans and Leases Receivable, Nonperforming Loan and Lease, Policy | A loan is considered impaired when, based on current information and events, it is probable that we will be unable to collect all amounts due according to the contractual terms of the loan agreement. Loans that are on nonaccrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, there is no other available and reliable source of repayment. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as nonaccrual loans as discussed above. |
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. |
Loans and Leases Receivable, Troubled Debt Restructuring, Policy | We consider a troubled debt restructuring of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties. We place conventional mortgage loans that are deemed to be troubled debt restructurings as a result of our modification program on nonaccrual when payments are 60 days or more past due. We consider a troubled debt restructuring of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties. We have granted a concession when we do not expect to collect all amounts due to us under the original contract as a result of the restructuring. |
Loans and Leases Receivable, Real Estate Acquired Through Foreclosure, Policy | REO is recorded as other assets in the statement of condition and is carried at the lower of cost or fair value less estimated selling costs. At December 31, 2016 and 2015 , we had $2.2 million and $3.6 million , respectively, in assets classified as REO. Fair value is derived from third-party valuations of the property. If the fair value of the REO less estimated selling costs is less than the recorded investment in the MPF loan at the date of transfer, we recognize a charge-off to the allowance for credit losses. Subsequent realized gains and realized or unrealized losses are included in other income (loss) in the statement of operations. |
Derivatives, Policy | All derivatives are recognized on the statement of condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to clearing members and/or counterparties. We offset fair-value amounts recognized for derivatives and fair-value amounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from derivatives recognized at fair value executed with the same clearing member and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Derivative assets and derivative liabilities reported on the statement of condition also include net accrued interest. Cash flows associated with derivatives are reflected as cash flows from operating activities in the statement of cash flows unless the derivative meets the criteria to be a financing derivative. Each derivative is designated as one of the following: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); • a qualifying hedge of a forecasted transaction or the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a cash-flow hedge); or • a nonqualifying hedge of an asset or liability (an economic hedge) for asset-liability-management purposes. Accounting for Fair-Value and Cash-Flow Hedges. If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective, they qualify for fair-value or cash-flow hedge accounting and the offsetting changes in fair value of the hedged items attributable to the hedged risk are recorded either in earnings in the case of fair-value hedges or other comprehensive income (loss) in the case of cash-flow hedges. Our approaches to hedge accounting are: • long-haul hedge accounting, which generally requires us to formally assess (both at the hedge's inception and at least quarterly) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value or cash flows of hedged items attributable to the hedged risk or forecasted transactions and whether those derivatives may be expected to remain effective in future periods; and • short-cut hedge accounting, which can be used for transactions for which the assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest-rate swap is considered to be effective at achieving offsetting changes in fair values or cash flows of the hedged asset or liability. Beginning in November 2014, to streamline certain operational processes, we discontinued the use of short-cut hedge accounting for new hedge relationships entered into after that date; short-cut hedge relationships entered into prior to that date will continue as short-cut hedge relationships until they mature or are terminated. Derivatives that are used in fair-value hedges are typically executed at the same time as the hedged items, and we designate the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships that use the short-cut method, we may designate the hedging relationship upon our commitment to disburse an advance or trade a CO that settles within the shortest period of time possible for the type of instrument based on market-settlement conventions. In such circumstances, although the advance or CO will not be recognized in the financial statements until settlement date, the hedge meets the criteria for applying the short-cut method, provided all other short-cut criteria are also met. We then record the changes in fair value of the derivative and the hedged item beginning on the trade date. Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect losses or gains on firm commitments), are recorded in other income (loss) as net losses on derivatives and hedging activities. Changes in the fair value of a derivative that is designated and qualifies as a cash-flow hedge, to the extent that the hedge is effective, are recorded in other comprehensive income (loss), a component of capital, until earnings are affected by the variability of the cash flows of the hedged transaction. For both fair-value and cash-flow hedges, any hedge ineffectiveness (which represents the amount by which the changes in the fair value of the derivative differ from the change in the fair value of the hedged item attributable to the hedged risk or the variability in the cash flows of the forecasted transaction) is recorded in other income (loss) as net losses on derivatives and hedging activities. Accounting for Economic Hedges. An economic hedge is defined as a derivative hedging specific or nonspecific assets, liabilities, or firm commitments that does not qualify or was not designated for fair-value or cash-flow hedge accounting, but is an acceptable hedging strategy under our risk-management policy. These economic hedging strategies also comply with FHFA regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in income but not offset by corresponding changes in the fair value of the economically hedged assets, liabilities, or firm commitments. As a result, we recognize only the net interest and the change in fair value of these derivatives in other income (loss) as net losses on derivatives and hedging activities with no offsetting fair-value adjustments for the economically hedged assets, liabilities, or firm commitments. Accrued Interest Receivable and Payable. The differential between accrual of interest receivable and payable on derivatives designated as a fair-value hedge or as a cash-flow hedge is recognized through adjustments to the interest income or interest expense of the designated hedged investment securities, advances, COs, deposits, or other financial instruments. The differential between accrual of interest receivable and payable on economic hedges is recognized in other income (loss), along with changes in fair value of these derivatives, as net losses on derivatives and hedging activities. Managing Credit Risk on Derivatives. We are subject to credit risk on our hedging activities due to the risk of nonperformance by nonmember counterparties (including DCOs and their clearing members acting as agent to the DCOs as well as uncleared counterparties) to the derivative agreements. We manage credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies, U.S. Commodity Futures Trading Commission (the CFTC) regulations, and FHFA regulations. Uncleared Derivatives. All counterparties must execute master-netting agreements prior to entering into any uncleared derivative with us. Our master-netting agreements for uncleared derivatives contain bilateral-collateral exchange agreements that require that credit exposure beyond a defined threshold amount (which may be zero) be secured by readily marketable, U.S. Treasury, U.S. Government Guaranteed, or GSE securities, or cash. The level of these collateral threshold amounts (when applicable) varies according to the counterparty's Standard & Poor's Rating Service (S&P) or Moody's Investors Services (Moody's) long-term credit ratings. Credit exposures are then measured daily and adjustments to collateral positions are made in accordance with the terms of the master-netting agreements. These master-netting agreements also contain bilateral ratings-tied termination events permitting us to terminate all outstanding derivatives transactions with a counterparty in the event of a specified rating downgrade by Moody's or S&P. Based on credit analyses and collateral requirements, we do not anticipate any credit losses on our derivative agreements. |
Derivatives, Hedge Discontinuances, Policy | We may discontinue hedge accounting prospectively when: • we determine that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item attributable to the hedged risk (including hedged items such as firm commitments or forecasted transactions); • the derivative and/or the hedged item expires or is sold, terminated, or exercised; • it is no longer probable that the forecasted transaction will occur in the originally expected period; • a hedged firm commitment no longer meets the definition of a firm commitment; or • we determine that designating the derivative as a hedging instrument is no longer appropriate. When hedge accounting is discontinued because we determine that the derivative no longer qualifies as an effective fair-value hedge of an existing hedged item, we either terminate the derivative or continue to carry the derivative on the statement of condition at its fair value and cease to adjust the hedged asset or liability for changes in fair value, and begin to amortize the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using the level-yield method. When hedge accounting is discontinued because we determine that the derivative no longer qualifies as an effective cash-flow hedge of an existing hedged item, we continue to carry the derivative on the statement of condition at its fair value and amortize the cumulative other comprehensive loss adjustment to earnings when earnings are affected by the existing hedged item. If it is no longer probable that a forecasted transaction will occur by the end of the originally expected period or within two months thereafter, we immediately recognize the gain or loss that was in accumulated other comprehensive loss in earnings. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, we continue to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. |
Derivatives, Embedded Derivatives, Policy | We may issue debt, make advances, or purchase financial instruments in which a derivative is embedded. Upon execution of these transactions, we assess whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance, debt, deposit, or other financial instrument (the host contract) and whether a separate, nonembedded instrument with the same terms as the embedded instrument would meet the definition of a derivative. When we determine that (1) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument. If the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current earnings (for example, an investment security classified as trading, as well as hybrid financial instruments) or if we cannot reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract is carried on the statement of condition at fair value and no portion of the contract is designated as a hedging instrument. |
Property, Plant and Equipment, Policy | We record premises, software, and equipment at cost less accumulated depreciation and amortization and compute depreciation on a straight-line basis over estimated useful lives ranging from three to 10 years . We amortize leasehold improvements on a straight-line basis over the shorter of the estimated useful life of the improvement or the remaining term of the lease. We capitalize improvements and major renewals but expense ordinary maintenance and repairs when incurred. We include gains and losses on disposal of premises, software, and equipment in other income (loss) on the statement of operations. |
Internal Use Software, Policy | The cost of purchased software and certain costs incurred in developing computer software for internal use are capitalized and amortized over future periods. |
Debt, Policy | We record COs at amortized cost. Discounts and Premiums. We accrete discounts and amortize premiums on COs to interest expense using the level-yield method over the contractual term to maturity of the CO. Concessions on COs. We pay concessions to dealers in connection with the issuance of certain COs. The Office of Finance prorates the amounts paid to dealers based upon the percentage of debt issued that we assumed. We record concessions paid on COs as a direct reduction from their carrying amounts, consistent with the presentation of discounts on COs. These dealer concessions are amortized using the level-yield method over the contractual term to maturity of the COs. The amortization of those concessions is included in CO interest expense on the statement of operations. |
Shares Subject to Mandatory Redemption, Changes in Redemption Value, Policy | We reclassify stock subject to redemption from equity to a liability after a member exercises a written redemption request, gives notice of intent to withdraw from membership, or attains nonmember status by merger or acquisition, charter termination, or other involuntary termination from membership, since the shares meet the definition of a mandatorily redeemable financial instrument upon such instances. Member shares meeting this definition are reclassified to a liability at fair value. Dividends declared on mandatorily redeemable capital stock are accrued at the expected dividend rate for Class B stock and reflected as interest expense on the statement of operations. The repayment of these mandatorily redeemable financial instruments is reflected as cash outflows in the financing activities section of the statement of cash flows once settled. We do not take into consideration our members' right to cancel a redemption request in determining when shares of capital stock should be classified as a liability because such cancellation would be subject to a cancellation fee equal to two percent of the par amount of the shares of Class B stock that is the subject of the redemption notice. If a member cancels its written notice of redemption or notice of withdrawal, we will reclassify mandatorily redeemable capital stock from a liability to equity. After the reclassification, dividends on the capital stock will no longer be classified as interest expense. |
Gains On Litigation Settlements, Policy | Litigation settlement gains, net of related legal expenses, are recorded in other income (loss). A litigation settlement gain is considered realized and recorded when we receive cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when we enter into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, we consider potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the statement of operations. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain. |
Federal Home Loan Bank Assessments, Policy | The FHLBank Act requires us to establish and fund an AHP based on positive annual net earnings, providing grants to members to assist in the purchase, construction, or rehabilitation of housing for very low- to moderate-income households. We charge the required funding for the AHP to earnings and establish a liability, except when annual net earnings are zero or negative, in which case there is no requirement to fund an AHP. We also issue AHP advances at interest rates below the customary interest rate for nonsubsidized advances. A discount on the AHP advance and charge against the AHP liability is recorded for the present value of the variation in the cash flow caused by the difference in the interest rate between the AHP advance rate and our related cost of funds for comparable maturity funding. The discount on AHP advances is accreted to interest income on advances using the level-yield method over the life of the advance. |
Cash and Cash Equivalents, Policy | In the statement of cash flows, we consider noninterest bearing cash and due from banks as cash and cash equivalents. Federal funds sold and interest-bearing deposits are not treated as cash equivalents for purposes of the statement of cash flows, but are instead treated as short-term investments and are reflected in the investing activities section of the statement of cash flows. |
Reclassification, Policy | Certain amounts in the 2015 and 2014 financial statements have been reclassified to conform to the financial statement presentation for the year ended December 31, 2016 . |
Federal Home Loan Bank Advances, Prepayment Fees, Policy | We record prepayment fees received from borrowers on certain prepaid advances net of any associated basis adjustments related to hedging activities on those advances and net of deferred prepayment fees on advance prepayments considered to be loan modifications. Additionally, for certain advances products, the prepayment-fee provisions of the advance agreement could result in either a payment from the borrower or to the borrower when such an advance is prepaid, based upon market conditions at the time of prepayment (referred to as a symmetrical prepayment fee). Advances with a symmetrical prepayment fee provision are hedged with derivatives containing offsetting terms, so that we are financially indifferent to the borrower's decision to prepay such advances. The net amount of prepayment fees is reflected as interest income in the statement of operations. |
Loans and Leases Receivable, Allowance for Loan Losses Policy | We have established an allowance methodology for each of our portfolio segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. We have developed and documented a systematic methodology for determining an allowance for credit losses for our: • secured member credit products, such as our advances and letters of credit; • investments in government mortgage loans held for portfolio; • investments in conventional mortgage loans held for portfolio; • investments via term securities purchased under agreements to resell; and • investments via term federal funds sold. Our methodology for determining our loan loss reserve consists of estimating loan loss severity using a third-party model incorporating delinquency to default transition performance of the loans, relevant market conditions affecting the performance of the loans, and portfolio level credit protection, particularly credit enhancements, as discussed below under — Credit Enhancements. Our inputs to the third-party model consist of loan-related characteristics, such as credit scores, occupancy statuses, loan-to-value ratios, property types, and locations. We update our view of the loan transition performance and market conditions quarterly and periodically adjust our methodology to reflect the changes in the loans’ performances and the market. Estimating a Margin of Imprecision. We also assess a factor for the margin of imprecision to the estimation of credit losses for the homogeneous population. The margin of imprecision is a factor in the allowance for credit losses that recognizes the imprecise nature of the measurement process and is included as part of the mortgage loan allowance for credit loss. This amount represents a subjective management judgment based on facts and circumstances that exist as of the reporting date that is unallocated to any specific measurable economic or credit event and is intended to cover other inherent losses that may not be captured in our methodology. The actual loss that may occur on homogeneous populations of mortgage loans may differ from the estimated loss. |
Loans and Leases Receivable, Valuation, Policy | 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 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 incurred loss of an individually evaluated mortgage loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral, less estimated selling costs, and may include expected proceeds from primary mortgage insurance and other applicable credit enhancements. 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. 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. |
Fair Value of Financial Instruments, Policy | We have determined the fair-value amounts above using available market and other pertinent information and our best judgment of appropriate valuation methods. Although we use our best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of our financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. Therefore, these fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect our judgment of how a market participant would estimate the fair values. Fair-Value Hierarchy. Fair value is the price in an orderly transaction between market participants to sell an asset or transfer a liability in the principal (or advantageous) market for the asset or liability at the measurement date (an exit price). We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis, and on occasion certain private-label MBS, certain mortgage loans, and certain other assets on a non-recurring basis. U.S. GAAP establishes a fair-value hierarchy and requires an entity to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the fair-value measurement is determined. This overall level is an indication of market observability of the fair-value measurement for the asset or liability. An entity must disclose the level within the fair value hierarchy in which the measurements are classified. The fair-value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. Level 2 Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified or contractual term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, volatilities, and prepayment speeds); and (4) inputs that are derived principally from or corroborated by observable market data (e.g., implied spreads). Level 3 Unobservable inputs for the asset or liability. We review the fair-value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during the years ended December 31, 2016 and 2015 . Summary of Valuation Methodologies and Primary Inputs Cash and Due from Banks. The fair value approximates the recorded carrying value. Interest-Bearing Deposits. The fair value approximates the recorded carrying value. Securities Purchased under Agreements to Resell. The fair value is determined by calculating the present value of expected future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Federal Funds Sold. The fair value is determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for federal funds with similar terms. Investment Securities. We determine the fair values of our investment securities, other than HFA floating-rate securities, based on prices obtained for each of these securities that we request from four designated third-party pricing vendors. The fair value of each such security is the average of such vendor prices that are within a cluster pricing tolerance range. A cluster is defined as a group of available vendor prices for a given security that is within a defined price tolerance range of the median vendor price depending on the security type. An outlier is any vendor price that is outside of the defined cluster and is evaluated for reasonableness. The use of the average of available vendor prices within a cluster and the evaluation of reasonableness of outlier prices does not discard available information. In addition, the fair values produced by this method are reviewed for reasonableness. We request prices on each of our securities subject to this fair-value method from four third-party vendors, when available. These pricing vendors use methods that generally employ, but are not limited to, benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. We establish a median price for each security using a formula that is based on the number of prices received: • if four prices are received, the average of the two middle prices is used; • if three prices are received, the middle price is used; • if two prices are received, the average of the two prices is used; and • if one price is received, it is used subject to validation of outliers as described below. Vendor prices that are outside of a defined cluster are identified as outliers and are subject to additional review including, but not limited to, comparison to prices provided by an additional third-party valuation vendor, prices for similar securities, and/or nonbinding dealer estimates, or the use of internal model prices, which we believe reflect the facts and circumstances that a market participant would consider. We also perform this analysis in those limited instances where no third-party vendor price or only one third-party vendor price is available to determine fair value. If the analysis indicates that an outlier (or outliers) is (are) not representative of fair value and that the average of the vendor prices within the tolerance threshold of the median price is the best estimate, then we use the average of the vendor prices within the tolerance threshold of the median price as the final price. If, on the other hand, we determine that an outlier (or some other price identified in the analysis) is a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price. In all cases, the final price is used to determine the fair value of the security. As of December 31, 2016 , four vendor prices were received for substantially all of our investment securities and the final prices for substantially all of those securities were computed by averaging the four prices. The relative proximity of the prices received supports our conclusion that the final computed prices are reasonable estimates of fair value. Based on the current low level of market activity for private-label residential MBS, the nonrecurring fair-value measurements for such securities as of December 31, 2016 and 2015 , fell within Level 3 of the fair-value hierarchy. Our fixed-rate HFA securities fall within Level 3 of the fair-value hierarchy due to the current lack of market activities for these bonds. Investment Securities – HFA Floating Rate Securities. The fair value is determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Our floating rate HFA securities also fall within Level 3 of the fair-value hierarchy due to the current lack of market activity for these bonds. Advances. We determine the fair value of advances by calculating the present value of expected future cash flows from the advances and excluding the amount of accrued interest receivable. The discount rates used in these calculations are the current replacement rates for advances with similar terms. We calculate our replacement advance rates at a spread to our cost of funds. Our cost of funds approximates the CO curve. See — COs within this note for a discussion of the CO curve. We use market-based expectations of future interest-rate volatility implied from current market prices for similar options to estimate the fair values of advances with optionality. In accordance with the FHFA's advances regulations, advances with a maturity or repricing period greater than six months require a prepayment fee sufficient to make us financially indifferent to the borrower's decision to prepay the advances. Therefore, we do not assume prepayment risk when we determine the fair value of advances. Additionally, we believe that credit risk is negligible as a component of value in determining the fair value of our advances due to the strong credit protections that mitigate the credit risk associated with advances. Collateral requirements for advances provide surety for the repayment such that the probability of credit losses on advances is very low. We have the ability to establish a blanket lien on all financial assets of most members, and in the case of federally insured depository institutions, our lien has a statutory priority over all other creditors with respect to collateral that has not been perfected by other parties. All of these factors serve to mitigate credit risk on advances. Mortgage Loans. The fair values for mortgage loans are determined based on quoted market prices of similar mortgage loans adjusted for credit and liquidity risk. The fair value of impaired conventional mortgage loans is based on the lower of the carrying value of the loans or fair value of the collateral less estimated costs to sell. The fair value of impaired government mortgage loans is equal to the unpaid principal balance. REO. Fair value is derived from third-party valuations of the property, which fall within Level 3 of the fair-value hierarchy. Accrued Interest Receivable and Payable. The fair value approximates the recorded carrying value. Derivative Assets/Liabilities - Interest-Rate-Exchange Agreements . We base the fair values of interest-rate-exchange agreements on available market prices of derivatives having similar terms, including accrued interest receivable and payable. The fair-value methodology uses standard valuation techniques for derivatives such as discounted cash-flow analysis and comparisons with similar instruments. The fair values of all interest-rate-exchange agreements are netted by clearing member and/or by counterparty, including cash collateral received from or delivered to the counterparty. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. We generally use a midmarket pricing convention based on the bid-ask spread as a practical expedient for fair-value measurements. Because these estimates are made at a specific point in time, they are susceptible to material near-term changes. We have evaluated the potential for the fair value of the instruments to be affected by counterparty risk and our own credit risk and have determined that no adjustments were significant to the overall fair-value measurements. The discounted cash-flow model uses market-observable inputs (inputs that are actively quoted and can be validated to external sources), including the following: • Discount rate assumption . At December 31, 2016 and 2015 , we used either the overnight-index swap (OIS) curve or the LIBOR swap curve depending on the terms of the ISDA agreement we have with each derivative counterparty. • Forward interest-rate assumption . LIBOR swap curve. • Volatility assumption . Market-based expectations of future interest-rate volatility implied from current market prices for similar options. Derivative Assets/Liabilities – Commitments to Invest in Mortgage Loans . Commitments to invest in mortgage loans are recorded as derivatives in the statement of condition. The fair values of such commitments are based on the end-of-day delivery commitment prices provided by the FHLBank of Chicago and a spread, derived from MBS TBA delivery commitment prices with adjustment for the contractual features of the MPF program, such as servicing and credit-enhancement features. Deposits. We determine the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing this amount by any accrued interest payable. The discount rates used in these calculations are the rates of currently issued deposits with similar terms. COs. We estimate fair values based on the cost of issuing comparable term debt, excluding non-interest selling costs. Fair values of COs without embedded options are determined based on internal valuation models that use market-based yield curve inputs obtained from the Office of Finance. The Office of Finance constructs an internal yield curve, referred to as the CO curve, using the U.S. Treasury curve as a base yield curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE debt trades, and secondary market activity. Prior to 2016, fair values of CO bonds with embedded options were determined by internal valuation models with market-based inputs obtained from the Office of Finance and derivative dealers. Additionally, to estimate the fair values of CO bonds with optionality, we used market-based expectations of future interest-rate volatility implied from current market prices for similar options. Beginning in 2016, we determined the estimated fair value of callable CO bonds by using prices received from designated third-party pricing vendors. The pricing vendors we used apply various proprietary models to price CO bonds. The inputs to those models are derived from various sources including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers, and other market-related data. Since many CO bonds do not trade on a daily basis, the pricing vendors use available information, as applicable, such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual CO bonds. Each pricing vendor has an established challenge process in place for all valuations, which facilitates resolution of potentially erroneous prices identified by us. When pricing vendors are used, we use the same valuation technique as described above for Investment Securities. Four vendor prices were received for substantially all of our callable CO bonds and the final prices for those bonds were computed by averaging the prices received. Based on our review of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices, we believe our final prices result in reasonable estimates of fair value and that the fair value measurements are classified appropriately in the fair value hierarchy. We have conducted reviews of our pricing vendors to confirm and further augment our understanding of the vendors' pricing processes, methodologies and control procedures for callable CO bonds. Adjustments may be necessary to reflect the 11 FHLBanks' credit quality when valuing COs measured at fair value. Due to the joint and several liability for COs, we monitors our own creditworthiness and the creditworthiness of the other FHLBanks to determine whether any credit adjustments are necessary in our fair value measurement of COs. No adjustments were considered necessary at December 31, 2016 or 2015 . Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par as indicated by contemporaneous member purchases and sales at par value. Capital stock can only be acquired by our members at par value and redeemed at par value. Our capital stock is not traded and no market mechanism exists for the exchange of capital stock outside of our cooperative structure. Commitments. For fixed-rate advance commitments, fair value considers the difference between current levels of interest rates and the committed rates. 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. |
Trading Securities (Tables)
Trading Securities (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Trading Securities [Abstract] | |
Trading Securities by Major Security Type [Table Text Block] | Our trading securities as of December 31, 2016 and 2015 , were (dollars in thousands): December 31, 2016 December 31, 2015 U.S. Treasury obligations $ 399,521 $ — MBS U.S. government-guaranteed – single-family 8,494 10,296 GSEs – single-family 768 1,449 GSEs – multifamily 203,839 218,389 213,101 230,134 Total $ 612,622 $ 230,134 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2016 , were (dollars in thousands): Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value State or local housing-finance-agency obligations (HFA securities) $ 9,350 $ — $ (1,204 ) $ 8,146 Supranational institutions 452,021 — (29,401 ) 422,620 U.S. government-owned corporations 317,588 — (45,631 ) 271,957 GSEs 130,798 — (13,330 ) 117,468 909,757 — (89,566 ) 820,191 MBS U.S. government guaranteed – single-family 127,032 16 (2,321 ) 124,727 U.S. government guaranteed – multifamily 565,593 45 (2,277 ) 563,361 GSEs – single-family 4,447,803 1,765 (45,713 ) 4,403,855 GSEs – multifamily 675,288 1,242 — 676,530 5,815,716 3,068 (50,311 ) 5,768,473 Total $ 6,725,473 $ 3,068 $ (139,877 ) $ 6,588,664 _______________________ (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 December 31, 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 $ 8,146 $ (1,204 ) $ — $ — $ 8,146 $ (1,204 ) Supranational institutions — — 422,620 (29,401 ) 422,620 (29,401 ) U.S. government-owned corporations — — 271,957 (45,631 ) 271,957 (45,631 ) GSEs — — 117,468 (13,330 ) 117,468 (13,330 ) 8,146 (1,204 ) 812,045 (88,362 ) 820,191 (89,566 ) MBS U.S. government guaranteed – single-family 31,606 (4 ) 90,854 (2,317 ) 122,460 (2,321 ) U.S. government guaranteed – multifamily 326,126 (1,261 ) 165,246 (1,016 ) 491,372 (2,277 ) GSEs – single-family 3,517,094 (39,181 ) 351,331 (6,532 ) 3,868,425 (45,713 ) 3,874,826 (40,446 ) 607,431 (9,865 ) 4,482,257 (50,311 ) Total temporarily impaired $ 3,882,972 $ (41,650 ) $ 1,419,476 $ (98,227 ) $ 5,302,448 $ (139,877 ) 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 December 31, 2016 and 2015 , were (dollars in thousands): December 31, 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 9,350 8,146 — — Due after five years through 10 years 171,589 161,746 128,473 121,722 Due after 10 years 728,818 650,299 795,899 700,951 909,757 820,191 924,372 822,673 MBS (1) 5,815,716 5,768,473 5,527,631 5,491,612 Total $ 6,725,473 $ 6,588,664 $ 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) | 12 Months Ended |
Dec. 31, 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 December 31, 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 $ 2,159 $ — $ 2,159 $ 56 $ — $ 2,215 HFA securities 162,568 — 162,568 11 (19,291 ) 143,288 164,727 — 164,727 67 (19,291 ) 145,503 MBS U.S. government guaranteed – single-family 12,719 — 12,719 246 — 12,965 U.S. government guaranteed – multifamily 1,532 — 1,532 — — 1,532 GSEs – single-family 812,836 — 812,836 16,881 (519 ) 829,198 GSEs – multifamily 318,667 — 318,667 11,692 — 330,359 Private-label – residential 999,149 (191,804 ) 807,345 240,818 (8,373 ) 1,039,790 Asset-backed securities (ABS) backed by home equity loans 13,515 (574 ) 12,941 602 (600 ) 12,943 2,158,418 (192,378 ) 1,966,040 270,239 (9,492 ) 2,226,787 Total $ 2,323,145 $ (192,378 ) $ 2,130,767 $ 270,306 $ (28,783 ) $ 2,372,290 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 December 31, 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 $ — $ — $ 140,959 $ (19,291 ) $ 140,959 $ (19,291 ) MBS GSEs – single-family 83,291 (393 ) 13,405 (126 ) 96,696 (519 ) Private-label – residential 16,915 (128 ) 397,407 (28,781 ) 414,322 (28,909 ) ABS backed by home equity loans — — 11,898 (720 ) 11,898 (720 ) 100,206 (521 ) 422,710 (29,627 ) 522,916 (30,148 ) Total $ 100,206 $ (521 ) $ 563,669 $ (48,918 ) $ 663,875 $ (49,439 ) 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 December 31, 2016 and 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. December 31, 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 16,637 16,637 16,663 21,583 21,583 21,677 Due after five years through 10 years — — — — — — Due after 10 years 148,090 148,090 128,840 152,950 152,950 131,698 164,727 164,727 145,503 174,533 174,533 153,375 MBS (2) 2,158,418 1,966,040 2,226,787 2,709,817 2,480,032 2,769,749 Total $ 2,323,145 $ 2,130,767 $ 2,372,290 $ 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 Impairme35
Other-Than-Temporary Impairment (Tables) | 12 Months Ended |
Dec. 31, 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 year ended December 31, 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) $ 171,531 8.9 % 28.8 % 38.0 % 5.4 % _______________________ (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 December 31, 2016 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance. December 31, 2016 Other-Than-Temporarily Impaired Investment (1) Par Value Amortized Cost Carrying Value Fair Value Private-label residential MBS – Prime $ 39,528 $ 34,020 $ 26,943 $ 35,020 Private-label residential MBS – Alt-A 1,105,498 818,430 633,703 866,427 ABS backed by home equity loans – Subprime 3,834 3,510 2,935 3,537 Total other-than-temporarily impaired securities $ 1,148,860 $ 855,960 $ 663,581 $ 904,984 _______________________ (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 Year Ended December 31, 2016 2015 2014 Balance at beginning of year $ 533,888 $ 568,653 $ 603,786 Additions: Credit losses for which other-than-temporary impairment was not previously recognized 15 — 74 Additional credit losses for which an other-than-temporary impairment charge was previously recognized (1) 3,295 4,059 1,505 Reductions: Securities matured during the year (2) (8,778 ) — (684 ) Increase in cash flows expected to be collected which are recognized over the remaining life of the security (3) (38,016 ) (38,824 ) (36,028 ) Balance at end of year $ 490,404 $ 533,888 $ 568,653 _______________________ (1) For the years ended December 31, 2016 , 2015 , and 2014 , 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 , 2015 , and 2014 . (2) Represents reductions related to securities having reached final maturity during the period and, therefore, are no longer held by us at the end of the period. (3) Represents amounts accreted as interest income during the current period. |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Advances [Abstract] | |
Advances [Table Text Block] | The following table details interest-rate-payment types for our outstanding advances (dollars in thousands): Par value of advances December 31, 2016 December 31, 2015 Fixed-rate Due in one year or less $ 18,511,194 $ 17,170,139 Due after one year 12,014,998 12,087,223 Total fixed-rate 30,526,192 29,257,362 Variable-rate Due in one year or less 276,388 1,119,546 Due after one year 8,312,275 5,590,875 Total variable-rate 8,588,663 6,710,421 Total par value $ 39,114,855 $ 35,967,783 At both December 31, 2016 and 2015 , we had advances outstanding with interest rates ranging from zero percent to 7.72 percent as summarized below (dollars in thousands). December 31, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Rate Amount Weighted Average Rate Overdrawn demand-deposit accounts $ 3,780 0.92 % $ 7,546 0.65 % Due in one year or less 18,783,802 1.05 18,282,139 0.72 Due after one year through two years 10,966,780 1.15 8,970,109 1.31 Due after two years through three years 2,508,459 1.67 3,170,267 1.94 Due after three years through four years 2,177,432 1.64 1,495,494 1.89 Due after four years through five years 2,041,269 1.80 1,845,396 1.71 Thereafter 2,633,333 1.70 2,196,832 2.70 Total par value 39,114,855 1.23 % 35,967,783 1.20 % Premiums 22,633 24,183 Discounts (25,847 ) (17,437 ) Fair value of bifurcated derivatives (1) (153 ) 1,241 Hedging adjustments (12,149 ) 100,397 Total $ 39,099,339 $ 36,076,167 _________________________ (1) At December 31, 2016 and 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 December 31, 2016 December 31, 2015 Overdrawn demand-deposit accounts $ 3,780 $ 7,546 Due in one year or less 20,788,552 19,924,939 Due after one year through two years 10,946,530 7,909,809 Due after two years through three years 2,455,709 2,870,517 Due after three years through four years 1,974,932 1,383,244 Due after four years through five years 1,736,769 1,783,896 Thereafter 1,208,583 2,087,832 Total par value $ 39,114,855 $ 35,967,783 For the years ended December 31, 2016 , 2015 , and 2014 , net advance prepayment fees recognized in income are reflected in the following table (dollars in thousands): 2016 2015 2014 Prepayment fees received from borrowers $ 11,078 $ 22,325 $ 18,215 Less: hedging fair-value adjustments on prepaid advances (3,664 ) (15,620 ) (2,548 ) Less: net premiums associated with prepaid advances (2,238 ) (727 ) (3,948 ) Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications (3,100 ) (1,443 ) (2,659 ) Prepayment fees recognized in income on advance restructurings deemed to be extinguishments 1,677 3,102 — Net prepayment fees recognized in income $ 3,753 $ 7,637 $ 9,060 The following table sets forth our advances outstanding by the year of contractual maturity or next call date for callable advances (dollars in thousands): Year of Contractual Maturity or Next Call Date (1) , Par Value December 31, 2016 December 31, 2015 Overdrawn demand-deposit accounts $ 3,780 $ 7,546 Due in one year or less 26,447,977 23,728,314 Due after one year through two years 3,693,780 3,983,109 Due after two years through three years 2,508,459 3,130,267 Due after three years through four years 2,002,232 1,455,494 Due after four years through five years 1,891,269 1,670,196 Thereafter 2,567,358 1,992,857 Total par value $ 39,114,855 $ 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 |
Mortgage Loans Held for Portf37
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | The following table details the par value of mortgage loans held for portfolio (dollars in thousands): December 31, 2016 December 31, 2015 Conventional mortgage loans $ 3,235,835 $ 3,107,415 Government mortgage loans 391,127 410,960 Total par value $ 3,626,962 $ 3,518,375 The following table presents certain characteristics of these investments (dollars in thousands): December 31, 2016 December 31, 2015 Real estate Fixed-rate 15-year single-family mortgages $ 528,486 $ 568,786 Fixed-rate 20- and 30-year single-family mortgages 3,098,476 2,949,589 Premiums 67,523 63,994 Discounts (1,696 ) (2,141 ) Deferred derivative gains, net 1,755 2,585 Total mortgage loans held for portfolio 3,694,544 3,582,813 Less: allowance for credit losses (650 ) (1,025 ) Total mortgage loans, net of allowance for credit losses $ 3,693,894 $ 3,581,788 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Receivables [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 December 31, 2016 and 2015 (dollars in thousands): December 31, 2016 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 26,757 $ 14,878 $ 41,635 Past due 60-89 days delinquent 5,508 3,846 9,354 Past due 90 days or more delinquent 16,379 5,807 22,186 Total past due 48,644 24,531 73,175 Total current loans 3,262,671 377,438 3,640,109 Total mortgage loans $ 3,311,315 $ 401,969 $ 3,713,284 Other delinquency statistics In process of foreclosure, included above (1) $ 7,495 $ 1,502 $ 8,997 Serious delinquency rate (2) 0.53 % 1.44 % 0.63 % Past due 90 days or more still accruing interest $ — $ 5,807 $ 5,807 Loans on nonaccrual status (3) $ 16,940 $ — $ 16,940 _______________________ (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 as well as loans modified within the previous six months under our temporary loan modification plan. |
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 December 31, 2016 and 2015 , and the average recorded investment and interest income recognized on these loans during the years ended December 31, 2016 and 2015 (dollars in thousands). As of December 31, 2016 As of December 31, 2015 Recorded Investment Par Value Recorded Investment Par Value Individually evaluated impaired mortgage loans with no related allowance $ 22,945 $ 22,905 $ 26,668 $ 26,622 |
Individually Evaluated Impaired Loans, Average Recorded Investment and Interest Income Recognized [Table Text Block] | For the Year Ended December 31, 2016 2015 2014 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 24,193 $ 396 $ 30,834 $ 461 $ 5,058 $ 191 Individually evaluated impaired mortgage loans with a related allowance — — — — 2,913 16 Total individually evaluated impaired mortgage loans $ 24,193 $ 396 $ 30,834 $ 461 $ 7,971 $ 207 |
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 years ended December 31, 2016 , 2015 , and 2014 , as well as the recorded investment in mortgage loans by impairment methodology at December 31, 2016 , 2015 , and 2014 (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. 2016 2015 2014 Allowance for credit losses Balance, beginning of year $ 1,025 $ 2,012 $ 2,221 Charge-offs, net of recoveries (98 ) (657 ) (270 ) (Reduction of ) provision for credit losses (277 ) (330 ) 61 Balance, end of year $ 650 $ 1,025 $ 2,012 Ending balance, individually evaluated for impairment $ — $ — $ 544 Ending balance, collectively evaluated for impairment $ 650 $ 1,025 $ 1,468 Recorded investment, end of year (1) Individually evaluated for impairment $ 22,945 $ 26,668 $ 9,776 Collectively evaluated for impairment $ 3,288,370 $ 3,152,102 $ 3,056,802 _________________________ (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 Activ39
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments [Table Text Block] | The following table presents the notional amount and fair value of derivatives, including the effect of netting adjustments and cash collateral as of December 31, 2016 and 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 18,215,809 $ 52,715 $ (413,026 ) $ 15,195,012 $ 26,874 $ (468,982 ) Forward-start interest-rate swaps 527,800 — (36,250 ) 527,800 — (35,547 ) Total derivatives designated as hedging instruments 18,743,609 52,715 (449,276 ) 15,722,812 26,874 (504,529 ) Derivatives not designated as hedging instruments Economic hedges: Interest-rate swaps 1,199,000 2,293 (10,840 ) 562,500 246 (16,623 ) Interest-rate caps or floors — — — 300,000 — — Mortgage-delivery commitments (1) 22,524 70 (171 ) 24,714 18 (25 ) Total derivatives not designated as hedging instruments 1,221,524 2,363 (11,011 ) 887,214 264 (16,648 ) Total notional amount of derivatives $ 19,965,133 $ 16,610,026 Total derivatives before netting and collateral adjustments 55,078 (460,287 ) 27,138 (521,177 ) Netting adjustments and cash collateral including related accrued interest (2) 6,520 102,411 12,979 79,170 Derivative assets and derivative liabilities $ 61,598 $ (357,876 ) $ 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 $109.8 million and $92.9 million at December 31, 2016 , and 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 $850,000 and $750,000 at December 31, 2016 and 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 years ended December 31, 2016 , 2015 , and 2014 were as follows (dollars in thousands): For the Year Ended December 31, 2016 2015 2014 Derivatives designated as hedging instruments Interest-rate swaps $ (6,998 ) $ (7,189 ) $ 534 Forward-start interest-rate swaps 29 (127 ) (442 ) Total net (losses) gains related to derivatives designated as hedging instruments (6,969 ) (7,316 ) 92 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps (1,352 ) (4,170 ) (6,244 ) Interest-rate caps or floors — — (43 ) Mortgage-delivery commitments (270 ) 226 1,510 Total net losses related to derivatives not designated as hedging instruments (1,622 ) (3,944 ) (4,777 ) Net losses on derivatives and hedging activities $ (8,591 ) $ (11,260 ) $ (4,685 ) |
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 years ended December 31, 2016 , 2015 , and 2014 (dollars in thousands): For the Year Ended December 31, 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 $ 114,139 $ (112,547 ) $ 1,592 $ (96,079 ) Investments 25,784 (23,965 ) 1,819 (35,203 ) COs – bonds (65,653 ) 55,244 (10,409 ) 27,182 Total $ 74,270 $ (81,268 ) $ (6,998 ) $ (104,100 ) For the Year Ended December 31, 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 $ 90,766 $ (91,157 ) $ (391 ) $ (131,019 ) Investments 5,762 (4,252 ) 1,510 (37,657 ) COs – bonds (14,010 ) 5,702 (8,308 ) 63,390 Total $ 82,518 $ (89,707 ) $ (7,189 ) $ (105,286 ) For the Year Ended December 31, 2014 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 $ 84,157 $ (83,810 ) $ 347 $ (130,580 ) Investments (98,883 ) 100,006 1,123 (37,989 ) Deposits (1,143 ) 1,143 — 1,152 COs – bonds 9,677 (10,613 ) (936 ) 54,356 Total $ (6,192 ) $ 6,726 $ 534 $ (113,061 ) ______________ (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 losses recognized in accumulated other comprehensive loss, the losses reclassified from accumulated other comprehensive loss into income, and the effect of our hedging activities on our net losses 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 Recognized in Other Comprehensive Loss on Derivatives (Effective Portion) Location of Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) Gains (Losses) Recognized in Net Losses on Derivatives and Hedging Activities (Ineffective Portion) Interest-rate swaps - CO bonds For the Year Ended December 31, 2016 $ (732 ) Interest expense $ (23,767 ) $ 29 For the Year Ended December 31, 2015 (13,671 ) Interest expense (23,848 ) (127 ) For the Year Ended December 31, 2014 (38,502 ) Interest expense (8,652 ) (442 ) |
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 December 31, 2016 . Post Haircut Value of Incremental Collateral to be Delivered as of December 31, 2016 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 14,057 AA- A+, A or A- 16,492 A- below A- 20,813 _______________________ (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 December 31, 2016 and 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. December 31, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives meeting netting requirements Gross recognized amount Uncleared derivatives $ 12,594 $ (405,310 ) $ 8,342 $ (463,154 ) Cleared derivatives 42,414 (54,806 ) 18,778 (57,998 ) Total gross recognized amount 55,008 (460,116 ) 27,120 (521,152 ) Gross amounts of netting adjustments and cash collateral Uncleared derivatives (12,028 ) 47,605 (7,628 ) 21,172 Cleared derivatives 18,548 54,806 20,607 57,998 Total gross amounts of netting adjustments and cash collateral 6,520 102,411 12,979 79,170 Net amounts after netting adjustments and cash collateral Uncleared derivatives 566 (357,705 ) 714 (441,982 ) Cleared derivatives 60,962 — 39,385 — Total net amounts after netting adjustments and cash collateral 61,528 (357,705 ) 40,099 (441,982 ) Derivatives not meeting netting requirements Mortgage delivery commitments 70 (171 ) 18 (25 ) Total derivative assets and total derivative liabilities Uncleared derivatives 566 (357,705 ) 714 (441,982 ) Cleared derivatives 60,962 — 39,385 — Mortgage delivery commitments 70 (171 ) 18 (25 ) Total derivative assets and total derivative liabilities presented in the statement of condition 61,598 (357,876 ) 40,117 (442,007 ) Non-cash collateral received or pledged not offset (1) Can be sold or repledged Uncleared derivatives — 30,306 — 64,391 Cannot be sold or repledged Uncleared derivatives — 290,444 — 331,716 Total non-cash collateral received or pledged, not offset — 320,750 — 396,107 Net amount Uncleared derivatives 566 (36,955 ) 714 (45,875 ) Cleared derivatives 60,962 — 39,385 — Mortgage delivery commitments 70 (171 ) 18 (25 ) Total net amount $ 61,598 $ (37,126 ) $ 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 December 31, 2016 and 2015 , we had additional net credit exposure of $2.0 million and $3.1 million , respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Offsetting Liabilities [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 December 31, 2016 and 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. December 31, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives meeting netting requirements Gross recognized amount Uncleared derivatives $ 12,594 $ (405,310 ) $ 8,342 $ (463,154 ) Cleared derivatives 42,414 (54,806 ) 18,778 (57,998 ) Total gross recognized amount 55,008 (460,116 ) 27,120 (521,152 ) Gross amounts of netting adjustments and cash collateral Uncleared derivatives (12,028 ) 47,605 (7,628 ) 21,172 Cleared derivatives 18,548 54,806 20,607 57,998 Total gross amounts of netting adjustments and cash collateral 6,520 102,411 12,979 79,170 Net amounts after netting adjustments and cash collateral Uncleared derivatives 566 (357,705 ) 714 (441,982 ) Cleared derivatives 60,962 — 39,385 — Total net amounts after netting adjustments and cash collateral 61,528 (357,705 ) 40,099 (441,982 ) Derivatives not meeting netting requirements Mortgage delivery commitments 70 (171 ) 18 (25 ) Total derivative assets and total derivative liabilities Uncleared derivatives 566 (357,705 ) 714 (441,982 ) Cleared derivatives 60,962 — 39,385 — Mortgage delivery commitments 70 (171 ) 18 (25 ) Total derivative assets and total derivative liabilities presented in the statement of condition 61,598 (357,876 ) 40,117 (442,007 ) Non-cash collateral received or pledged not offset (1) Can be sold or repledged Uncleared derivatives — 30,306 — 64,391 Cannot be sold or repledged Uncleared derivatives — 290,444 — 331,716 Total non-cash collateral received or pledged, not offset — 320,750 — 396,107 Net amount Uncleared derivatives 566 (36,955 ) 714 (45,875 ) Cleared derivatives 60,962 — 39,385 — Mortgage delivery commitments 70 (171 ) 18 (25 ) Total net amount $ 61,598 $ (37,126 ) $ 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 December 31, 2016 and 2015 , we had additional net credit exposure of $2.0 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) | 12 Months Ended |
Dec. 31, 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): December 31, 2016 December 31, 2015 Interest-bearing Demand and overnight $ 440,731 $ 454,087 Other 4,166 4,426 Noninterest-bearing Other 37,266 24,089 Total deposits $ 482,163 $ 482,602 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2016 and 2015 , by year of contractual maturity (dollars in thousands): December 31, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 8,734,955 1.43 % $ 8,990,295 1.00 % Due after one year through two years 7,752,420 1.19 6,101,990 1.70 Due after two years through three years 3,297,120 1.63 3,389,580 1.59 Due after three years through four years 1,637,335 1.87 2,056,215 1.97 Due after four years through five years 2,574,375 1.65 1,329,210 2.11 Thereafter 3,135,745 2.70 3,440,045 2.95 Total par value 27,131,950 1.58 % 25,307,335 1.65 % Premiums 118,145 148,903 Discounts (14,906 ) (20,451 ) Hedging adjustments (63,755 ) (8,510 ) $ 27,171,434 $ 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 December 31, 2016 and 2015 , included (dollars in thousands): December 31, 2016 December 31, 2015 Par value of CO bonds Noncallable and nonputable $ 22,388,950 $ 21,714,335 Callable 4,743,000 3,593,000 Total par value $ 27,131,950 $ 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 December 31, 2016 and 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 December 31, 2016 December 31, 2015 Due in one year or less $ 12,858,955 $ 11,937,295 Due after one year through two years 7,013,420 5,802,990 Due after two years through three years 2,904,120 2,729,580 Due after three years through four years 1,289,335 1,831,215 Due after four years through five years 1,242,375 991,210 Thereafter 1,823,745 2,015,045 Total par value $ 27,131,950 $ 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 December 31, 2016 and 2015 (dollars in thousands): December 31, 2016 December 31, 2015 Par value of CO bonds Fixed-rate $ 20,289,950 $ 21,847,335 Simple variable-rate 5,300,000 3,145,000 Step-up 1,542,000 315,000 Total par value $ 27,131,950 $ 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) December 31, 2016 $ 30,053,964 $ 30,070,103 0.47 % 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) | 12 Months Ended |
Dec. 31, 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 years ended December 31, 2016 and 2015 (dollars in thousands): 2016 2015 Balance at beginning of year $ 82,081 $ 66,993 AHP expense for the period 19,397 32,328 AHP direct grant disbursements (18,575 ) (16,716 ) AHP subsidy for AHP advance disbursements (1,378 ) (1,255 ) Return of previously disbursed grants and subsidies 102 731 Balance at end of year $ 81,627 $ 82,081 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Capital [Abstract] | |
Compliance with Regulatory Capital Requirements [Table Text Block] | The following tables demonstrate our compliance with our regulatory capital requirements at December 31, 2016 and 2015 (dollars in thousands): Risk-Based Capital Requirements December 31, December 31, Permanent capital Class B capital stock $ 2,411,306 $ 2,336,662 Mandatorily redeemable capital stock 32,687 41,989 Retained earnings 1,216,986 1,128,848 Total permanent capital $ 3,660,979 $ 3,507,499 Risk-based capital requirement Credit-risk capital $ 355,182 $ 381,176 Market-risk capital 118,765 83,875 Operations-risk capital 142,184 139,515 Total risk-based capital requirement $ 616,131 $ 604,566 Permanent capital in excess of risk-based capital requirement $ 3,044,848 $ 2,902,933 December 31, 2016 December 31, 2015 Required Actual Required Actual Capital Ratio Risk-based capital $ 616,131 $ 3,660,979 $ 604,566 $ 3,507,499 Total regulatory capital $ 2,461,823 $ 3,660,979 $ 2,324,107 $ 3,507,499 Total capital-to-asset ratio 4.0 % 5.9 % 4.0 % 6.0 % Leverage Ratio Leverage capital $ 3,077,279 $ 5,491,469 $ 2,905,133 $ 5,261,249 Leverage capital-to-assets ratio 5.0 % 8.9 % 5.0 % 9.1 % |
Schedule of mandatorily redeemable capital stock [Table Text Block] | The following table is a roll-forward of our capital stock that is subject to mandatory redemption during the years ended December 31, 2016 , 2015 , and 2014 (dollars in thousands). 2016 2015 2014 Balance at beginning of year $ 41,989 $ 298,599 $ 977,348 Capital stock subject to mandatory redemption reclassified from capital 40 54 54,892 Redemption/repurchase of mandatorily redeemable capital stock (9,342 ) (256,664 ) (733,641 ) Balance at end of year $ 32,687 $ 41,989 $ 298,599 |
Mandatorily redeemable capital stock [Table Text Block] | The following table sets forth the amount of mandatorily redeemable capital stock by year of expiry of the redemption-notice period at December 31, 2016 and 2015 (dollars in thousands). Expiry of Redemption-Notice Period December 31, 2016 December 31, 2015 Past redemption date (1) $ 528 $ 629 Due in one year or less — — Due after one year through two years 4,687 — Due after two years through three years 27,378 4,856 Due after three years through four years 54 36,450 Due after four years through five years — 54 Thereafter (2) 40 — Total $ 32,687 $ 41,989 _______________________ (1) Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption-notice period but the member-related activity remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding. (2) Amount represents reclassifications to mandatorily redeemable capital stock resulting from an FHFA rule effective February 19, 2016, that makes captive insurance companies ineligible for membership. Captive insurance company members that were admitted as members prior to September 12, 2014, will have their memberships terminated no later than February 19, 2021. Captive insurance company members that were admitted as members on or after September 12, 2014, had their memberships terminated prior to February 19, 2017. |
Accumulated Other Comprehensi44
Accumulated Other Comprehensive Loss (Tables) | 12 Months Ended |
Dec. 31, 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 years ended December 31, 2016 , 2015 , and 2014 (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, December 31, 2013 $ (101,765 ) $ (324,928 ) $ (51,594 ) $ (3,229 ) $ (481,516 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 28,142 — (38,502 ) — (10,360 ) Noncredit other-than-temporary impairment losses — (1,259 ) — — (1,259 ) Accretion of noncredit loss — 49,178 — — 49,178 Net actuarial loss — — — (3,240 ) (3,240 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,067 — — 1,067 Amortization - hedging activities (2) — — 8,668 — 8,668 Amortization - pension and postretirement benefits (3) — — — 476 476 Other comprehensive income (loss) 28,142 48,986 (29,834 ) (2,764 ) 44,530 Balance, December 31, 2014 (73,623 ) (275,942 ) (81,428 ) (5,993 ) (436,986 ) Other comprehensive income (loss) before reclassifications: Net unrealized losses (64,095 ) — (13,671 ) — (77,766 ) Noncredit other-than-temporary impairment losses — (172 ) — — (172 ) Accretion of noncredit loss — 43,382 — — 43,382 Net actuarial gain — — — 1,475 1,475 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 2,947 — — 2,947 Amortization - hedging activities (4) — — 23,862 — 23,862 Amortization - pension and postretirement benefits (3) — — — 661 661 Other comprehensive (loss) income (64,095 ) 46,157 10,191 2,136 (5,611 ) Balance, December 31, 2015 (137,718 ) (229,785 ) (71,237 ) (3,857 ) (442,597 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 909 — (732 ) — 177 Noncredit other-than-temporary impairment losses — (1,142 ) — — (1,142 ) Accretion of noncredit loss — 36,070 — — 36,070 Net actuarial loss — — — (3,242 ) (3,242 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 2,478 — — 2,478 Amortization - hedging activities (5) — — 23,782 — 23,782 Amortization - pension and postretirement benefits (3) — — — 960 960 Other comprehensive income (loss) 909 37,406 23,050 (2,282 ) 59,083 Balance, December 31, 2016 $ (136,809 ) $ (192,379 ) $ (48,187 ) $ (6,139 ) $ (383,514 ) _______________________ (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 $8.7 million recorded in CO bond interest expense and $16,000 recorded in net losses 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 $23.8 million recorded in CO bond interest expense and $14,000 recorded in net losses on derivatives and hedging activities in the statement of operations. (5) Amortization of hedging activities includes $23.8 million recorded in CO bond interest expense and $14,000 recorded in net losses on derivatives and hedging activities in the statement of operations. |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Employee Retirement Plans [Line Items] | |
Schedule of Net Funded Status [Table Text Block] | The following table sets forth our net pension costs and funded status under the Pentegra Defined Benefit Plan (dollars in thousands): For the Year Ended December 31, 2016 2015 2014 Net pension cost $ 5,526 $ 7,465 $ 2,851 Pentegra Defined Benefit Plan funded status as of July 1 (1) 104.1 % (2) 107.0 % (3) 111.4 % Our funded status as of July 1 (1) 108.6 % 117.1 % 113.3 % ______________________ (1) The funded status is calculated in accordance with a provision contained in the Highway and Transportation Funding Act of 2014 (HATFA), which was signed into law by President Obama on August 8, 2014, and which modifies the interest rates that had been set by the Moving Ahead for Progress in the 21st Century Act (MAP-21). MAP-21, signed into law by President Obama in 2012, changed the calculation of the discount rate used in measuring the pension plan liability. MAP-21 allows plan sponsors to measure the pension plan liability using a 25-year average of interest rates plus or minus a corridor. Prior to MAP-21, the discount rate used in measuring the pension plan liability was based on the 24-month average of interest rates. HATFA amended MAP-21 by extending the time period and reducing the rate at which the 25-year corridors widen. Over time, the pension funding stabilization effect of MAP-21 will decline because the 24-month smoothed segment rates and the amended 25-year corridors are likely to converge. (2) The funded status as of July 1, 2016, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2016, through March 15, 2017. Contributions made on or before March 15, 2017, and designated for the plan year ended June 30, 2016, will be included in the final valuation as of July 1, 2016. The final funded status as of July 1, 2016, will not be available until the Form 5500 for the plan year July 1, 2016, through June 30, 2017 is filed. This Form 5500 is due to be filed no later than April 2018. (3) The funded status as of July 1, 2015, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2015, through March 15, 2016. Contributions made on or before March 15, 2016, and designated for the plan year ended June 30, 2015, will be included in the final valuation as of July 1, 2015. The final funded status as of July 1, 2015, will not be available until the Form 5500 for the plan year July 1, 2015, through June 30, 2016 is filed. This Form 5500 is due to be filed no later than April 2017. |
Change in Benefit Obligation [Table Text Block] | In connection with the nonqualified supplemental defined benefit retirement plan and postretirement benefits, we recorded the following amounts as of December 31, 2016 and 2015 (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015 Change in benefit obligation (1) Benefit obligation at beginning of year $ 12,321 $ 12,608 $ 765 $ 739 Service cost 1,053 686 34 37 Interest cost 655 483 34 31 Actuarial loss (gain) 2,682 (1,453 ) 68 (22 ) Benefits paid (4 ) (3 ) (23 ) (20 ) Plan amendments 492 — — — Settlements (67 ) — — — Benefit obligation at end of year 17,132 12,321 878 765 Change in plan assets Fair value of plan assets at beginning of year — — — — Employer contribution 71 3 23 20 Benefits paid (4 ) (3 ) (23 ) (20 ) Settlements (67 ) — — — Fair value of plan assets at end of year — — — — Funded status at end of year $ (17,132 ) $ (12,321 ) $ (878 ) $ (765 ) ______________________ (1) Represents the projected benefit obligation for the nonqualified supplemental defined benefit retirement plan and the accumulated postretirement benefit obligation for postretirement benefits. |
Schedule of Net Periodic Benefit Cost Not yet Recognized [Table Text Block] | Amounts recognized in other comprehensive income for our nonqualified supplemental defined benefit retirement plan and postretirement benefits as of December 31, 2016 and 2015 , were (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2016 2015 2016 2015 Net actuarial loss $ 5,553 $ 3,741 $ 180 $ 116 Prior service cost 406 — — — Total $ 5,959 $ 3,741 $ 180 $ 116 |
Net Periodic Benefit Cost [Table Text Block] | The following table presents the components of net periodic benefit cost and other amounts recognized in accumulated other comprehensive loss for our nonqualified supplemental defined benefit retirement plan and postretirement benefits for the years ended December 31, 2016 , 2015 , and 2014 (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2016 2015 2014 2016 2015 2014 Net Periodic Benefit Cost Service cost $ 1,053 $ 686 $ 551 $ 34 $ 37 $ 24 Interest cost 655 483 463 34 31 32 Amortization of prior service cost 86 — — — — — Amortization of net actuarial loss 870 653 474 4 8 2 Net periodic benefit cost 2,664 1,822 1,488 72 76 58 Other Changes in Benefit Obligations Recognized in Accumulated Other Comprehensive Loss Amortization of prior service cost (86 ) — — — — — Amortization of net actuarial loss (870 ) (653 ) (474 ) (4 ) (8 ) (2 ) Prior service cost 492 — — — — — Net actuarial loss (gain) 2,682 (1,453 ) 3,169 68 (22 ) 71 Total recognized in accumulated other comprehensive loss 2,218 (2,106 ) 2,695 64 (30 ) 69 Total recognized in net periodic benefit cost and accumulated other comprehensive loss $ 4,882 $ (284 ) $ 4,183 $ 136 $ 46 $ 127 |
Schedule of Amounts Recognized in Other Comprehensive Income (Loss) [Table Text Block] | The following table presents the components of net periodic benefit cost and other amounts recognized in accumulated other comprehensive loss for our nonqualified supplemental defined benefit retirement plan and postretirement benefits for the years ended December 31, 2016 , 2015 , and 2014 (dollars in thousands): Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2016 2015 2014 2016 2015 2014 Net Periodic Benefit Cost Service cost $ 1,053 $ 686 $ 551 $ 34 $ 37 $ 24 Interest cost 655 483 463 34 31 32 Amortization of prior service cost 86 — — — — — Amortization of net actuarial loss 870 653 474 4 8 2 Net periodic benefit cost 2,664 1,822 1,488 72 76 58 Other Changes in Benefit Obligations Recognized in Accumulated Other Comprehensive Loss Amortization of prior service cost (86 ) — — — — — Amortization of net actuarial loss (870 ) (653 ) (474 ) (4 ) (8 ) (2 ) Prior service cost 492 — — — — — Net actuarial loss (gain) 2,682 (1,453 ) 3,169 68 (22 ) 71 Total recognized in accumulated other comprehensive loss 2,218 (2,106 ) 2,695 64 (30 ) 69 Total recognized in net periodic benefit cost and accumulated other comprehensive loss $ 4,882 $ (284 ) $ 4,183 $ 136 $ 46 $ 127 |
Schedule of Assumptions Used [Table Text Block] | Key assumptions used for the actuarial calculations to determine benefit obligations and net periodic benefit cost for our nonqualified supplemental defined benefit retirement plan and postretirement benefits at December 31, 2016 and 2015 , were: Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2016 2015 2016 2015 Benefit obligation Discount rate 3.98 % 4.17 % 4.22 % 4.44 % Salary increases 5.50 % 5.50 % — — Net periodic benefit cost Discount rate 4.17 % 3.84 % 4.44 % 4.03 % Salary increases 5.50 % 5.50 % — — |
Schedule of Expected Benefit Payments [Table Text Block] | Estimated future benefit payments for our nonqualified supplemental defined benefit retirement plan and postretirement benefits, reflecting expected future services, for the years ending December 31 are (dollars in thousands): Estimated Future Payments Years Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2017 $ 241 $ 19 2018 335 18 2019 584 18 2020 671 20 2021 774 20 2022-2026 5,811 126 |
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 expenses relating to our defined contribution plans (dollars in thousands): For the Year Ended December 31, 2016 2015 2014 Qualified Defined Contribution Plan - Pentegra Defined Contribution Plan $ 1,115 $ 1,032 $ 974 Nonqualified Defined Contribution Plan - Thrift Benefit Equalization Plan 215 159 154 |
Fair Values (Tables)
Fair Values (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2016 and 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. December 31, 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 $ 520,031 $ 520,031 $ 520,031 $ — $ — $ — Interest-bearing deposits 278 278 278 — — — Securities purchased under agreements to resell 5,999,000 5,998,799 — 5,998,799 — — Federal funds sold 2,700,000 2,699,949 — 2,699,949 — — Trading securities (1) 612,622 612,622 — 612,622 — — Available-for-sale securities (1) 6,588,664 6,588,664 — 6,580,518 8,146 — Held-to-maturity securities 2,130,767 2,372,290 — 1,176,269 1,196,021 — Advances 39,099,339 39,273,044 — 39,273,044 — — Mortgage loans, net 3,693,894 3,736,548 — 3,708,123 28,425 — Accrued interest receivable 84,653 84,653 — 84,653 — — Derivative assets (1) 61,598 61,598 — 55,078 — 6,520 Other assets (1) 17,779 17,779 8,394 9,385 — — Liabilities: Deposits (482,163 ) (482,158 ) — (482,158 ) — — COs: Bonds (27,171,434 ) (27,298,499 ) — (27,298,499 ) — — Discount notes (30,053,964 ) (30,054,085 ) — (30,054,085 ) — — Mandatorily redeemable capital stock (32,687 ) (32,687 ) (32,687 ) — — — Accrued interest payable (80,822 ) (80,822 ) — (80,822 ) — — Derivative liabilities (1) (357,876 ) (357,876 ) — (460,287 ) — 102,411 Other: Commitments to extend credit for advances — (4,412 ) — (4,412 ) — — Standby letters of credit (1,064 ) (1,064 ) — (1,064 ) — — _______________________ (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 December 31, 2016 and 2015 , by fair-value hierarchy level (dollars in thousands): December 31, 2016 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. Treasury obligations $ — $ 399,521 $ — $ — $ 399,521 U.S. government-guaranteed – single-family MBS — 8,494 — — 8,494 GSEs – single-family MBS — 768 — — 768 GSEs – multifamily MBS — 203,839 — — 203,839 Total trading securities — 612,622 — — 612,622 Available-for-sale securities: State or local HFA securities — — 8,146 — 8,146 Supranational institutions — 422,620 — — 422,620 U.S. government-owned corporations — 271,957 — — 271,957 GSEs — 117,468 — — 117,468 U.S. government guaranteed – single-family MBS — 124,727 — — 124,727 U.S. government guaranteed – multifamily MBS — 563,361 — — 563,361 GSEs – single-family MBS — 4,403,855 — — 4,403,855 GSEs-multifamily — 676,530 — — 676,530 Total available-for-sale securities — 6,580,518 8,146 — 6,588,664 Derivative assets: Interest-rate-exchange agreements — 55,008 — 6,520 61,528 Mortgage delivery commitments — 70 — — 70 Total derivative assets — 55,078 — 6,520 61,598 Other assets 8,394 9,385 — — 17,779 Total assets at fair value $ 8,394 $ 7,257,603 $ 8,146 $ 6,520 $ 7,280,663 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (460,116 ) $ — $ 102,411 $ (357,705 ) Mortgage delivery commitments — (171 ) — — (171 ) Total liabilities at fair value $ — $ (460,287 ) $ — $ 102,411 $ (357,876 ) _______________________ (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. The fair values presented are as of the date the fair value adjustment was recorded. December 31, 2016 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 8,498 $ 8,498 Mortgage loans held for portfolio — — 5,618 5,618 REO — — 786 786 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 14,902 $ 14,902 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 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the year ended December 31, 2016 . There were no Level 3 available-for-sale securities during the years ended December 31, 2015 and 2014 . For the Year Ended December 31, 2016 Balance at beginning of year $ — Purchases 9,350 Unrealized losses included in other comprehensive income (1,204 ) Balance at end of year $ 8,146 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2016 and 2015 (dollars in thousands): December 31, 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) $ 4,050,447 $ 179,632 $ 4,230,079 $ 3,998,609 $ 77,477 $ 4,076,086 Commitments for unused lines of credit - advances (2) 1,255,140 — 1,255,140 1,263,182 — 1,263,182 Commitments to make additional advances 44,865 65,972 110,837 650,890 54,308 705,198 Commitments to invest in mortgage loans 22,524 — 22,524 24,714 — 24,714 Unsettled CO bonds, at par — — — 25,000 — 25,000 Unsettled CO discount notes, at par — — — 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 December 31, 2016 and 2015 , these amounts totaled $ 2.7 million and $27.3 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $285,000 and $4.0 million at December 31, 2016 and 2015 , respectively. (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. |
Schedule of Future Minimum Rental Payments [Table Text Block] | Future minimum rentals at December 31, 2016 , were as follows (dollars in thousands): Equipment Premises Capital Leases Operating Leases 2017 $ 41 $ 2,504 2018 41 2,567 2019 41 2,537 2020 22 2,537 2021 — 2,537 Thereafter — 5,073 Total minimum lease payments $ 145 $ 17,755 |
Transactions with Shareholders
Transactions with Shareholders (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2016 and 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 December 31, 2016 Citizens Bank, N.A. $ 357,508 14.6 % $ 7,260,446 18.6 % $ 2,625 7.3 % 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 years ended December 31, 2016 , 2015 , and 2014 as follows (dollars in thousands): For the Year Ended December 31, Citizens Bank, N.A. 2016 2015 2014 Interest income on advances $ 34,276 $ 14,745 $ 12,800 Fees on letters of credit 3,059 3,768 3,753 |
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 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 December 31, 2016 $ 91,374 3.7 % $ 1,554,753 4.0 % $ 1,631 4.5 % As of December 31, 2015 72,251 3.0 1,064,489 3.0 1,297 3.7 |
Background Information Narrativ
Background Information Narratives (Details) | Dec. 31, 2016 |
Background Information [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Number of states we conduct business | 6 |
Summary of Significant Accoun50
Summary of Significant Accounting Policies Narratives (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Accounting Policies [Line Items] | |||
Real Estate Acquired Through Foreclosure | $ 2,200,000 | $ 3,600,000 | |
Securities purchased under agreements to resell | 5,999,000,000 | 6,700,000,000 | |
Securities purchased under agreements to resell, average balance | 3,400,000,000 | 4,800,000,000 | |
Securties purchased under agreements to resell, maximum amount outstanding at any month-end | 7,000,000,000 | 8,100,000,000 | |
Unamortized computer software costs | 1,800,000 | 1,300,000 | |
Accumulated depreciation and amortization related to premises, software, and equipment | 15,800,000 | 14,500,000 | |
Depreciation and amortization expense for premises, software, and equipment | 1,500,000 | 1,700,000 | $ 1,900,000 |
Amortization of computer software costs | $ 640,000 | 820,000 | $ 857,000 |
Loss on disposal of premises, software, and equipment | 65,000 | ||
Quarterly percentage of net income contributed to restricted retained earnings per the Joint Capital Enhancement Agreement | 20.00% | ||
Percent of average balance of outstanding consolidated obligations prescribed per the Joint Capital Enhancement Agreement for each previous quarter | 1.00% | ||
Unamortized debt issuance costs | 6,100,000 | ||
Minimum [Member] | |||
Accounting Policies [Line Items] | |||
Premises, software, and equipment, useful life | 3 years | ||
Definition of related party, minimum percent | 10.00% | ||
Maximum [Member] | |||
Accounting Policies [Line Items] | |||
Premises, software, and equipment, useful life | 10 years | ||
Assets [Member] | Accounting Standards Update 2015-03 [Member] | |||
Accounting Policies [Line Items] | |||
Unamortized debt issuance costs | (6,100,000) | ||
Liabilities, Total [Member] | Accounting Standards Update 2015-03 [Member] | |||
Accounting Policies [Line Items] | |||
Unamortized debt issuance costs | $ (6,100,000) |
Cash and Due From Bank - Narrat
Cash and Due From Bank - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Cash and Due from Banks [Abstract] | ||
Average collected cash balances with commercial banks | $ 165.6 | $ 192.2 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 612,622 | $ 230,134 |
U.S. Treasury obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 399,521 | 0 |
U.S. government-guaranteed - single-family MBS [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 8,494 | 10,296 |
MBS [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 213,101 | 230,134 |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 768 | 1,449 |
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 203,839 | $ 218,389 |
Trading Securities Trading Secu
Trading Securities Trading Securities - Net Unrealized (Losses) Gains (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Trading Securities [Abstract] | |||
Net unrealized (losses) gains on trading securities | $ (4,410) | $ (4,890) | $ 972 |
Available-for-Sale Securities M
Available-for-Sale Securities Major Security Types (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,725,473 | $ 6,452,003 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 3,068 | 6,859 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (139,877) | (144,577) | |
Available-for-sale securities Fair Value | 6,588,664 | 6,314,285 | |
States or local housing-finance-agency obligations (HFA securities) [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 9,350 | |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | ||
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (1,204) | ||
Available-for-sale securities Fair Value | 8,146 | ||
Supranational institutions [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 452,021 | 467,277 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (29,401) | (28,364) | |
Available-for-sale securities Fair Value | 422,620 | 438,913 | |
U.S. government-owned corporations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 317,588 | 323,404 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (45,631) | (57,436) | |
Available-for-sale securities Fair Value | 271,957 | 265,968 | |
GSEs [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 130,798 | 133,691 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (13,330) | (15,899) | |
Available-for-sale securities Fair Value | 117,468 | 117,792 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 909,757 | 924,372 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (89,566) | (101,699) | |
Available-for-sale securities Fair Value | 820,191 | 822,673 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 127,032 | 159,232 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 16 | 181 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,321) | (2,771) | |
Available-for-sale securities Fair Value | 124,727 | 156,642 | |
U.S. government guaranteed - multifamily MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 565,593 | 747,205 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 45 | 430 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,277) | (2,873) | |
Available-for-sale securities Fair Value | 563,361 | 744,762 | |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1],[2] | 5,815,716 | 5,527,631 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 3,068 | 6,859 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (50,311) | (42,878) | |
Available-for-sale securities Fair Value | [2] | 5,768,473 | 5,491,612 |
Single Family [Member] | GSEs – MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 4,447,803 | 4,621,194 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 1,765 | 6,248 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (45,713) | (37,234) | |
Available-for-sale securities Fair Value | 4,403,855 | $ 4,590,208 | |
Multifamily [Member] | GSEs – MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 675,288 | |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 1,242 | ||
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | ||
Available-for-sale securities Fair Value | $ 676,530 | ||
[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 | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 3,882,972 | $ 3,650,116 |
Less than 12 Months, Unrealized Losses | (41,650) | (30,918) |
12 Months or More, Fair Value | 1,419,476 | 1,419,071 |
12 Months or More, Unrealized Losses | (98,227) | (113,659) |
Total Fair Value | 5,302,448 | 5,069,187 |
Total Unrealized Losses | (139,877) | (144,577) |
HFA securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 8,146 | |
Less than 12 Months, Unrealized Losses | (1,204) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Fair Value | 8,146 | |
Total Unrealized Losses | (1,204) | |
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 | 422,620 | 438,913 |
12 Months or More, Unrealized Losses | (29,401) | (28,364) |
Total Fair Value | 422,620 | 438,913 |
Total Unrealized Losses | (29,401) | (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 | 271,957 | 265,968 |
12 Months or More, Unrealized Losses | (45,631) | (57,436) |
Total Fair Value | 271,957 | 265,968 |
Total Unrealized Losses | (45,631) | (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 | 117,468 | 117,792 |
12 Months or More, Unrealized Losses | (13,330) | (15,899) |
Total Fair Value | 117,468 | 117,792 |
Total Unrealized Losses | (13,330) | (15,899) |
Other Than Mortgage-backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 8,146 | 0 |
Less than 12 Months, Unrealized Losses | (1,204) | 0 |
12 Months or More, Fair Value | 812,045 | 822,673 |
12 Months or More, Unrealized Losses | (88,362) | (101,699) |
Total Fair Value | 820,191 | 822,673 |
Total Unrealized Losses | (89,566) | (101,699) |
U.S. government-guaranteed - single-family MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 31,606 | 0 |
Less than 12 Months, Unrealized Losses | (4) | 0 |
12 Months or More, Fair Value | 90,854 | 113,626 |
12 Months or More, Unrealized Losses | (2,317) | (2,771) |
Total Fair Value | 122,460 | 113,626 |
Total Unrealized Losses | (2,321) | (2,771) |
U.S. government guaranteed - multifamily MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 326,126 | 537,059 |
Less than 12 Months, Unrealized Losses | (1,261) | (2,040) |
12 Months or More, Fair Value | 165,246 | 109,138 |
12 Months or More, Unrealized Losses | (1,016) | (833) |
Total Fair Value | 491,372 | 646,197 |
Total Unrealized Losses | (2,277) | (2,873) |
MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 3,874,826 | 3,650,116 |
Less than 12 Months, Unrealized Losses | (40,446) | (30,918) |
12 Months or More, Fair Value | 607,431 | 596,398 |
12 Months or More, Unrealized Losses | (9,865) | (11,960) |
Total Fair Value | 4,482,257 | 4,246,514 |
Total Unrealized Losses | (50,311) | (42,878) |
GSEs - single-family [Member] | GSEs – MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 3,517,094 | 3,113,057 |
Less than 12 Months, Unrealized Losses | (39,181) | (28,878) |
12 Months or More, Fair Value | 351,331 | 373,634 |
12 Months or More, Unrealized Losses | (6,532) | (8,356) |
Total Fair Value | 3,868,425 | 3,486,691 |
Total Unrealized Losses | $ (45,713) | $ (37,234) |
Available-for-Sale Securities R
Available-for-Sale Securities Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,725,473 | $ 6,452,003 |
Fair Value | 6,588,664 | 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 | 9,350 | 0 | |
Due after one year through five years, fair value | 8,146 | 0 | |
Due after five years through 10 years, amortized cost | 171,589 | 128,473 | |
Due after five years through 10 years, fair value | 161,746 | 121,722 | |
Due after 10 years, amortized cost | 728,818 | 795,899 | |
Due after 10 years, fair value | 650,299 | 700,951 | |
Amortized Cost | [1] | 909,757 | 924,372 |
Fair Value | 820,191 | 822,673 | |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1],[2] | 5,815,716 | 5,527,631 |
Fair Value | [2] | $ 5,768,473 | $ 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 | Dec. 31, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 2,323,145 | $ 2,884,350 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (192,378) | (229,785) | |
Carrying Value | [1],[2] | 2,130,767 | 2,654,565 |
Gross Unrecognized Holding Gains | 270,306 | 303,247 | |
Gross Unrecognized Holding Losses | (28,783) | (34,688) | |
Held-to-maturity securities Fair Value | 2,372,290 | 2,923,124 | |
U.S. agency obligations [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 2,159 | 3,605 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 2,159 | 3,605 | |
Gross Unrecognized Holding Gains | 56 | 180 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 2,215 | 3,785 | |
HFA securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 162,568 | 170,928 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 162,568 | 170,928 | |
Gross Unrecognized Holding Gains | 11 | 18 | |
Gross Unrecognized Holding Losses | (19,291) | (21,356) | |
Held-to-maturity securities Fair Value | 143,288 | 149,590 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 164,727 | 174,533 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | [1] | 164,727 | 174,533 |
Gross Unrecognized Holding Gains | 67 | 198 | |
Gross Unrecognized Holding Losses | (19,291) | (21,356) | |
Held-to-maturity securities Fair Value | 145,503 | 153,375 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 12,719 | 15,999 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 12,719 | 15,999 | |
Gross Unrecognized Holding Gains | 246 | 354 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 12,965 | 16,353 | |
U.S. government guaranteed - multifamily MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 1,532 | 17,794 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 1,532 | 17,794 | |
Gross Unrecognized Holding Gains | 0 | 21 | |
Gross Unrecognized Holding Losses | 0 | (7) | |
Held-to-maturity securities Fair Value | 1,532 | 17,808 | |
Asset Backed Securities Backed by Home Equity Loans [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 13,515 | 15,604 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (574) | (668) | |
Carrying Value | 12,941 | 14,936 | |
Gross Unrecognized Holding Gains | 602 | 682 | |
Gross Unrecognized Holding Losses | (600) | (921) | |
Held-to-maturity securities Fair Value | 12,943 | 14,697 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [3] | 2,158,418 | 2,709,817 |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (192,378) | (229,785) | |
Carrying Value | [1],[3] | 1,966,040 | 2,480,032 |
Gross Unrecognized Holding Gains | 270,239 | 303,049 | |
Gross Unrecognized Holding Losses | (9,492) | (13,332) | |
Held-to-maturity securities Fair Value | [3] | 2,226,787 | 2,769,749 |
GSEs - single-family [Member] | GSEs – MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 812,836 | 1,093,124 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 812,836 | 1,093,124 | |
Gross Unrecognized Holding Gains | 16,881 | 26,562 | |
Gross Unrecognized Holding Losses | (519) | (142) | |
Held-to-maturity securities Fair Value | 829,198 | 1,119,544 | |
GSEs - multifamily [Member] | GSEs – MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 318,667 | 386,635 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 318,667 | 386,635 | |
Gross Unrecognized Holding Gains | 11,692 | 18,118 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 330,359 | 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 | 999,149 | 1,180,661 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (191,804) | (229,117) | |
Carrying Value | 807,345 | 951,544 | |
Gross Unrecognized Holding Gains | 240,818 | 257,312 | |
Gross Unrecognized Holding Losses | (8,373) | (12,262) | |
Held-to-maturity securities Fair Value | $ 1,039,790 | $ 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 $2,372,290 and $2,923,124 at December 31, 2016 and 2015, respectively. | ||
[3] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. |
Held-to-Maturity Securities Fai
Held-to-Maturity Securities Fair Value and Unrealized Losses (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 100,206 | $ 133,626 |
Less than 12 Months, Unrealized Losses | (521) | (1,758) |
12 Months or More, Fair Value | 563,669 | 669,587 |
12 Months or More, Unrealized Losses | (48,918) | (67,607) |
Total Fair Value | 663,875 | 803,213 |
Total Unrealized Losses | (49,439) | (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 | 140,959 | 146,594 |
12 Months or More, Unrealized Losses | (19,291) | (21,356) |
Total Fair Value | 140,959 | 146,594 |
Total Unrealized Losses | (19,291) | (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 | 0 | 205 |
Less than 12 Months, Unrealized Losses | 0 | (16) |
12 Months or More, Fair Value | 11,898 | 13,348 |
12 Months or More, Unrealized Losses | (720) | (1,064) |
Total Fair Value | 11,898 | 13,553 |
Total Unrealized Losses | (720) | (1,080) |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 100,206 | 133,626 |
Less than 12 Months, Unrealized Losses | (521) | (1,758) |
12 Months or More, Fair Value | 422,710 | 522,993 |
12 Months or More, Unrealized Losses | (29,627) | (46,251) |
Total Fair Value | 522,916 | 656,619 |
Total Unrealized Losses | (30,148) | (48,009) |
Single Family [Member] | GSEs – MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 83,291 | 22,261 |
Less than 12 Months, Unrealized Losses | (393) | (6) |
12 Months or More, Fair Value | 13,405 | 16,417 |
12 Months or More, Unrealized Losses | (126) | (136) |
Total Fair Value | 96,696 | 38,678 |
Total Unrealized Losses | (519) | (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 | 16,915 | 105,318 |
Less than 12 Months, Unrealized Losses | (128) | (1,729) |
12 Months or More, Fair Value | 397,407 | 493,228 |
12 Months or More, Unrealized Losses | (28,781) | (45,051) |
Total Fair Value | 414,322 | 598,546 |
Total Unrealized Losses | $ (28,909) | $ (46,780) |
Held-to-Maturity Securities Red
Held-to-Maturity Securities Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 2,323,145 | $ 2,884,350 | |
Carrying Value | [1],[2] | 2,130,767 | 2,654,565 |
Fair Value | 2,372,290 | 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 | 16,637 | 21,583 | |
Due after one year through five years, Carrying Value | [1] | 16,637 | 21,583 |
Due after one year through five years, Fair Value | 16,663 | 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 | 148,090 | 152,950 | |
Due after 10 years, Carrying Value | [1] | 148,090 | 152,950 |
Due after 10 years, Fair Value | 128,840 | 131,698 | |
Amortized Cost | 164,727 | 174,533 | |
Carrying Value | [1] | 164,727 | 174,533 |
Fair Value | 145,503 | 153,375 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [3] | 2,158,418 | 2,709,817 |
Carrying Value | [1],[3] | 1,966,040 | 2,480,032 |
Fair Value | [3] | $ 2,226,787 | $ 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 $2,372,290 and $2,923,124 at December 31, 2016 and 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 Impairme60
Other-Than-Temporary Impairment Projected Home Prices Recoveries (Details) | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | |
OTTI Governance Committee projected housing price decline rate over 12-month period | 3.00% |
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 Impairme61
Other-Than-Temporary Impairment Significant Inputs (Details) - Alt-A [Member] - Mortgage-backed Securities, Issued by Private Enterprises [Member] - Residential Mortgage Backed Securities [Member] $ in Thousands | 12 Months Ended | |
Dec. 31, 2016USD ($) | [1] | |
Other than Temporary Impairment, Disclosure [Line Items] | ||
Par Value | $ 171,531 | |
Project Prepayment Rates - Weighted Average Percent | 8.90% | |
Projected Default Rates, Weighted Average Percent | 28.80% | |
Projected Loss Severities, Weighted Average Percent | 38.00% | |
Current Credit Enhancement, Weighted Average Percent | 5.40% | |
[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 Impairme62
Other-Than-Temporary Impairment OTTI Credit Losses Recognized During Life of Security (Details) - Held-to-maturity Securities [Member] $ in Thousands | Dec. 31, 2016USD ($) | [1] |
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | $ 1,148,860 | |
Amortized Cost | 855,960 | |
Carrying Value | 663,581 | |
Fair Value | 904,984 | |
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 | 39,528 | |
Amortized Cost | 34,020 | |
Carrying Value | 26,943 | |
Fair Value | 35,020 | |
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 | 1,105,498 | |
Amortized Cost | 818,430 | |
Carrying Value | 633,703 | |
Fair Value | 866,427 | |
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 | 3,834 | |
Amortized Cost | 3,510 | |
Carrying Value | 2,935 | |
Fair Value | $ 3,537 | |
[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 Impairme63
Other-Than-Temporary Impairment Roll-forward of Amounts Related to Credit Losses Recognized in Earnings (Details) - Held-to-maturity Securities [Member] - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Balance at beginning of year | $ 533,888 | $ 568,653 | $ 603,786 | |
Credit losses for which other-than-temporary impairment was not previously recognized | 15 | 0 | 74 | |
Additional credit losses for which an other-than-temporary impairment charge was previously recognized | [1] | 3,295 | 4,059 | 1,505 |
Securities matured during the year | [2] | (8,778) | 0 | (684) |
Increase in cash flows expected to be collected which are recognized over the remaining life of the security | [3] | (38,016) | (38,824) | (36,028) |
Balance at end of year | $ 490,404 | $ 533,888 | $ 568,653 | |
[1] | For the years ended December 31, 2016, 2015, and 2014, 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, 2015, and 2014. | |||
[2] | Represents reductions related to securities having reached final maturity during the period and, therefore, are no longer held by us at the end of the period. | |||
[3] | Represents amounts accreted as interest income during the current period. |
Advances - Year of Contractual
Advances - Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | $ 3,780 | $ 7,546 | |
Due in one year or less | 18,783,802 | 18,282,139 | |
Due after one year through two years | 10,966,780 | 8,970,109 | |
Due after two years through three years | 2,508,459 | 3,170,267 | |
Due after three years through four years | 2,177,432 | 1,495,494 | |
Due after four years through five years | 2,041,269 | 1,845,396 | |
Thereafter | 2,633,333 | 2,196,832 | |
Total par value | $ 39,114,855 | $ 35,967,783 | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand-deposit accounts, Weighted average rate | 0.92% | 0.65% | |
Due in one year or less, Weighted average rate | 1.05% | 0.72% | |
Due after one year through two years, Weighted average rate | 1.15% | 1.31% | |
Due after two years through three years, Weighted average rate | 1.67% | 1.94% | |
Due after three years through four years, Weighted average rate | 1.64% | 1.89% | |
Due after four years through five years, Weighted average rate | 1.80% | 1.71% | |
Thereafter, Weighted average rate | 1.70% | 2.70% | |
Total Weighted average rate | 1.23% | 1.20% | |
Premiums | $ 22,633 | $ 24,183 | |
Discounts | (25,847) | (17,437) | |
Fair value of bifurcated derivatives | [1] | (153) | 1,241 |
Hedging adjustments | (12,149) | 100,397 | |
Total Advances | $ 39,099,339 | $ 36,076,167 | |
[1] | At December 31, 2016 and 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 | Dec. 31, 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 | $ 3,780 | $ 7,546 | |
Due in one year or less | [1] | 26,447,977 | 23,728,314 |
Due after one year through two years | [1] | 3,693,780 | 3,983,109 |
Due after two years through three years | [1] | 2,508,459 | 3,130,267 |
Due after three years through four years | [1] | 2,002,232 | 1,455,494 |
Due after four years through five years | [1] | 1,891,269 | 1,670,196 |
Thereafter | [1] | 2,567,358 | 1,992,857 |
Total par value | $ 39,114,855 | $ 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 | Dec. 31, 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 | $ 3,780 | $ 7,546 |
Due in one year or less | 20,788,552 | 19,924,939 |
Due after one year through two years | 10,946,530 | 7,909,809 |
Due after two years through three years | 2,455,709 | 2,870,517 |
Due after three years through four years | 1,974,932 | 1,383,244 |
Due after four years through five years | 1,736,769 | 1,783,896 |
Thereafter | 1,208,583 | 2,087,832 |
Total par value | $ 39,114,855 | $ 35,967,783 |
Advances - Interest-Rate-Paymen
Advances - Interest-Rate-Payment Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Due in one year or less - fixed rate | $ 18,511,194 | $ 17,170,139 |
Due after one year - fixed rate | 12,014,998 | 12,087,223 |
Total fixed-rate | 30,526,192 | 29,257,362 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Due in one year or less - variable rate | 276,388 | 1,119,546 |
Due after one year - variable rate | 8,312,275 | 5,590,875 |
Total variable-rate | 8,588,663 | 6,710,421 |
Total par value | $ 39,114,855 | $ 35,967,783 |
Advances - Narratives (Details)
Advances - Narratives (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016USD ($)Borrowers | Dec. 31, 2015USD ($)Borrowers | |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 39,114,855 | $ 35,967,783 |
Credit Risk Exposure and Security Terms [Abstract] | ||
Total outstanding advances greater than $1.0 billion per borrower, amount | 16,200,000 | $ 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 | 41.50% | 39.40% |
Minimum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank Advances Maturities | 1 day | |
Interest rates of advances outstanding | 0.00% | 0.00% |
Maximum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank Advances Maturities | 30 years | |
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 | $ 7,900,000 | $ 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 | $ 3,400,000 | $ 2,200,000 |
Advances Advances - Prepayment
Advances Advances - Prepayment Fees (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Federal Home Loan Bank Advances Prepayment Fees [Abstract] | |||
Prepayment fees received from borrowers | $ 11,078 | $ 22,325 | $ 18,215 |
Less: hedging fair-value adjustments on prepaid advances | (3,664) | (15,620) | (2,548) |
Less: net premiums associated with prepaid advances | (2,238) | (727) | (3,948) |
Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications | (3,100) | (1,443) | (2,659) |
Prepayment fees recognized in income on advance restructurings deemed to be extinguishments | 1,677 | 3,102 | 0 |
Net prepayment fees recognized in income | $ 3,753 | $ 7,637 | $ 9,060 |
Mortgage Loans Held for Portf70
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | $ 3,626,962 | $ 3,518,375 |
Premiums | 67,523 | 63,994 |
Discounts | (1,696) | (2,141) |
Deferred derivative gains, net | 1,755 | 2,585 |
Total mortgage loans held for portfolio | 3,694,544 | 3,582,813 |
Allowance for credit losses | (650) | (1,025) |
Total mortgage loans, net of allowance for credit losses | $ 3,693,894 | 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 | $ 3,235,835 | 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 | $ 391,127 | 410,960 |
Single Family [Member] | Fixed-rate 15-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | 528,486 | 568,786 |
Single Family [Member] | Fixed-rate 20- and 30-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | $ 3,098,476 | $ 2,949,589 |
Allowance for credit losses - C
Allowance for credit losses - Credit Quality Indicators (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | ||
Mortgage Loans Past Due [Line Items] | |||
Total past due | $ 73,175 | $ 77,785 | |
Total current loans | 3,640,109 | 3,523,331 | |
Total mortgage loans | 3,713,284 | 3,601,116 | |
In process of foreclosure, included above | [1] | $ 8,997 | $ 13,153 |
Serious delinquency rate | [2] | 0.63% | 0.80% |
Past due 90 days or more still accruing interest | $ 5,807 | $ 5,665 | |
Loans on nonaccrual status | [3] | $ 16,940 | 22,408 |
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 | $ 24,531 | 24,679 | |
Total current loans | 377,438 | 397,667 | |
Total mortgage loans | 401,969 | 422,346 | |
In process of foreclosure, included above | [1] | $ 1,502 | $ 2,341 |
Serious delinquency rate | [2] | 1.44% | 1.34% |
Past due 90 days or more still accruing interest | $ 5,807 | $ 5,665 | |
Loans on nonaccrual status | [3] | 0 | 0 |
Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 48,644 | 53,106 | |
Total current loans | 3,262,671 | 3,125,664 | |
Total mortgage loans | 3,311,315 | 3,178,770 | |
In process of foreclosure, included above | [1] | $ 7,495 | $ 10,812 |
Serious delinquency rate | [2] | 0.53% | 0.73% |
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |
Loans on nonaccrual status | [3] | 16,940 | 22,408 |
Past due 30-59 days delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 41,635 | 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 | 14,878 | 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 | 26,757 | 22,270 | |
Past due 60-89 days delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 9,354 | 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 | 3,846 | 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 | 5,508 | 8,428 | |
Past due 90 days or more delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 22,186 | 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 | 5,807 | 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 | $ 16,379 | $ 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. |
Allowance for credit losses - I
Allowance for credit losses - Individually Evaluated Impaired Loans (Details) - Conventional Mortgage Loans [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Financing Receivable, Impaired [Line Items] | |||
Individually evaluated impaired mortgage loans with no related allowance - Recorded Investment | $ 22,945 | $ 26,668 | |
Individually evaluated impaired mortgage loans with no related allowance - Par Value | 22,905 | 26,622 | |
Individually evaluated impaired mortgage loans with no related allowance - Average Recorded Investment | 24,193 | 30,834 | $ 5,058 |
Individually evaluated impaired mortgage loans with no related allowance - Interest Income recognized | 396 | 461 | 191 |
Individually evaluated impaired mortgage loans with a related allowance, Average Recorded Investment | 0 | 0 | 2,913 |
Individually evaluated impaired mortgage loans with a related allowance, Interest Income recognized | 0 | 0 | 16 |
Total individually evaluated impaired mortgage loans - Average Recorded Investment | 24,193 | 30,834 | 7,971 |
Total individually evaluated impaired mortgage loans - Interest Income recognized | $ 396 | $ 461 | $ 207 |
Allowance for credit losses - N
Allowance for credit losses - Narratives (Details) - USD ($) $ in Millions | Dec. 31, 2016 | Dec. 31, 2015 |
Receivables [Abstract] | ||
Maximum Exposure Under First Loss Account | $ 19.4 | $ 17.5 |
Recorded investment of trouble debt restructuring | $ 8.6 | $ 7.7 |
Allowance for credit losses - A
Allowance for credit losses - Allowance Rollforward (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance, beginning of year | $ 1,025 | |||
(Reduction of) provision for credit losses | (277) | $ (330) | $ 61 | |
Balance, end of year | 650 | 1,025 | ||
Conventional Mortgage Loans [Member] | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance, beginning of year | 1,025 | 2,012 | 2,221 | |
Charge-offs, net of recoveries | (98) | (657) | (270) | |
(Reduction of) provision for credit losses | (277) | (330) | 61 | |
Balance, end of year | 650 | 1,025 | 2,012 | |
Ending balance, individually evaluated for impairment | 0 | 0 | 544 | |
Ending balance, collectively evaluated for impairment | 650 | 1,025 | 1,468 | |
Recorded Investment Individually evaluated for impairment | [1] | 22,945 | 26,668 | 9,776 |
Recorded Investment Collectively evaluated for impairment | [1] | $ 3,288,370 | $ 3,152,102 | $ 3,056,802 |
[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 Activ75
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 19,965,133,000 | $ 16,610,026,000 | |
Derivative Assets, before netting and collateral adjustments | 55,078,000 | 27,138,000 | |
Derivative Liabilities, before netting and collateral adjustments | (460,287,000) | (521,177,000) | |
Derivative Asset, netting adjustments and cash collateral including related accrued interest | [1],[2] | 6,520,000 | 12,979,000 |
Derivative Liability, netting adjustments and cash collateral including related accrued interest | [1],[2] | 102,411,000 | 79,170,000 |
Derivative Assets | 61,598,000 | 40,117,000 | |
Derivative Liabilities | (357,876,000) | (442,007,000) | |
Cash collateral and related accrued interest posted | 109,800,000 | 92,900,000 | |
Cash collateral and related accrued interest received | 850,000 | 750,000 | |
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 18,743,609,000 | 15,722,812,000 | |
Derivative Assets, before netting and collateral adjustments | 52,715,000 | 26,874,000 | |
Derivative Liabilities, before netting and collateral adjustments | (449,276,000) | (504,529,000) | |
Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 18,215,809,000 | 15,195,012,000 | |
Derivative Assets, before netting and collateral adjustments | 52,715,000 | 26,874,000 | |
Derivative Liabilities, before netting and collateral adjustments | (413,026,000) | (468,982,000) | |
Designated as Hedging Instrument [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 | (36,250,000) | (35,547,000) | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,221,524,000 | 887,214,000 | |
Derivative Assets, before netting and collateral adjustments | 2,363,000 | 264,000 | |
Derivative Liabilities, before netting and collateral adjustments | (11,011,000) | (16,648,000) | |
Not Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,199,000,000 | 562,500,000 | |
Derivative Assets, before netting and collateral adjustments | 2,293,000 | 246,000 | |
Derivative Liabilities, before netting and collateral adjustments | (10,840,000) | (16,623,000) | |
Not Designated as Hedging Instrument [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 | 70,000 | 18,000 | |
Derivative Liabilities | (171,000) | (25,000) | |
Mortgages [Member] | Not Designated as Hedging Instrument [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | [3] | 22,524,000 | 24,714,000 |
Derivative Assets, before netting and collateral adjustments | [3] | 70,000 | 18,000 |
Derivative Liabilities, before netting and collateral adjustments | [3] | $ (171,000) | $ (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 $109.8 million and $92.9 million at December 31, 2016, and 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 $850,000 and $750,000 at December 31, 2016 and 2015. | ||
[2] | Carried at fair value on a recurring basis. | ||
[3] | Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. |
Derivatives and Hedging Activ76
Derivatives and Hedging Activities Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivatives and hedged items in fair-value hedging relationships | $ (6,998) | $ (7,189) | $ 534 |
Total net (losses) gains related to derivatives designated as hedging instruments | (6,969) | (7,316) | 92 |
Total net losses related to derivatives not designated as hedging instruments | (1,622) | (3,944) | (4,777) |
Net losses on derivatives and hedging activities | (8,591) | (11,260) | (4,685) |
Interest-rate swaps [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivatives and hedged items in fair-value hedging relationships | (6,998) | (7,189) | 534 |
Total net losses related to derivatives not designated as hedging instruments | (1,352) | (4,170) | (6,244) |
Forward-start interest-rate swaps [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Cash flow hedge ineffectiveness | 29 | (127) | (442) |
Interest-rate caps or floors [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net losses related to derivatives not designated as hedging instruments | 0 | 0 | (43) |
Mortgages [Member] | Mortgage-delivery commitments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net losses related to derivatives not designated as hedging instruments | $ (270) | $ 226 | $ 1,510 |
Derivatives and Hedging Activ77
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(Loss) on Derivative | $ 74,270 | $ 82,518 | $ (6,192) | |
Gain/(Loss) on Hedged Item | (81,268) | (89,707) | 6,726 | |
Net Fair-Value Hedge Ineffectiveness | (6,998) | (7,189) | 534 | |
Effect of Derivatives on Net Interest Income | [1] | (104,100) | (105,286) | (113,061) |
Advances [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(Loss) on Derivative | 114,139 | 90,766 | 84,157 | |
Gain/(Loss) on Hedged Item | (112,547) | (91,157) | (83,810) | |
Net Fair-Value Hedge Ineffectiveness | 1,592 | (391) | 347 | |
Effect of Derivatives on Net Interest Income | [1] | (96,079) | (131,019) | (130,580) |
Available-for-sale Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(Loss) on Derivative | 25,784 | 5,762 | (98,883) | |
Gain/(Loss) on Hedged Item | (23,965) | (4,252) | 100,006 | |
Net Fair-Value Hedge Ineffectiveness | 1,819 | 1,510 | 1,123 | |
Effect of Derivatives on Net Interest Income | [1] | (35,203) | (37,657) | (37,989) |
Deposits [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(Loss) on Derivative | (1,143) | |||
Gain/(Loss) on Hedged Item | 1,143 | |||
Net Fair-Value Hedge Ineffectiveness | 0 | |||
Effect of Derivatives on Net Interest Income | [1] | 1,152 | ||
COs - bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(Loss) on Derivative | (65,653) | (14,010) | 9,677 | |
Gain/(Loss) on Hedged Item | 55,244 | 5,702 | (10,613) | |
Net Fair-Value Hedge Ineffectiveness | (10,409) | (8,308) | (936) | |
Effect of Derivatives on Net Interest Income | [1] | $ 27,182 | $ 63,390 | $ 54,356 |
[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 Activ78
Derivatives and Hedging Activities Cash Flow Hedge Activity (Details) - COs - bonds [Member] - Interest-rate swaps [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Losses Recognized in Other Comprehensive Loss on Derivatives (Effective Portion) | $ (732) | $ (13,671) | $ (38,502) |
Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) | (23,767) | (23,848) | (8,652) |
Gains (Losses) Recognized in Net Losses on Derivatives and Hedging Activities (Ineffective Portion) | $ 29 | $ (127) | $ (442) |
Derivatives and Hedging Activ79
Derivatives and Hedging Activities Narratives (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 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 | $ 10,600 | |
Aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position | 393,600 | |
Post-haircut value of collateral already posted | 351,900 | |
Rating Downgrade from AAPlus to AA or AAMinus [Member] | ||
Derivative [Line Items] | ||
Incremental collateral | 14,057 | [1] |
Rating Downgrade From AAMinus to APlus, A or AMinus [Member] | ||
Derivative [Line Items] | ||
Incremental collateral | 16,492 | [1] |
Rating Downgrade From AMinus to below AMinus [Member] | ||
Derivative [Line Items] | ||
Incremental collateral | $ 20,813 | [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 Activ80
Derivatives and Hedging Activities Fair Value of Derivative Instruments With or Without Legal Rights of Offset (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | $ 55,008 | $ 27,120 | |
Derivative Liability, total gross recognized amount | (460,116) | (521,152) | |
Derivative Assets, Netting Adjustments | [1],[2] | 6,520 | 12,979 |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 102,411 | 79,170 |
Derivative Asset, total net amounts after netting adjustments and cash collateral | 61,528 | 40,099 | |
Derivative Liability, total net amounts after netting adjustments and cash collateral | (357,705) | (441,982) | |
Derivative assets | 61,598 | 40,117 | |
Derivative liabilities | (357,876) | (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] | 320,750 | 396,107 |
Derivative Asset, Fair value, amount offset against collateral | 61,598 | 40,117 | |
Derivative Liability, Fair value, amount offset against collateral | (37,126) | (45,900) | |
Derivative Liabilities, additional net exposure, collateral pledged to counterparties in excess of net liabilities | 2,000 | 3,100 | |
Mortgages [Member] | Mortgage-delivery commitments [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Mortgage delivery commitments | 70 | 18 | |
Derivative Liabilities, Mortgage delivery commitments | (171) | (25) | |
Derivative assets | 70 | 18 | |
Derivative liabilities | (171) | (25) | |
Derivative Asset, Fair value, amount offset against collateral | 70 | 18 | |
Derivative Liability, Fair value, amount offset against collateral | (171) | (25) | |
Uncleared derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | 12,594 | 8,342 | |
Derivative Liability, total gross recognized amount | (405,310) | (463,154) | |
Derivative Assets, Netting Adjustments | (12,028) | (7,628) | |
Derivative liability, Netting Adjustments and Cash Collateral | 47,605 | 21,172 | |
Derivative Asset, total net amounts after netting adjustments and cash collateral | 566 | 714 | |
Derivative Liability, total net amounts after netting adjustments and cash collateral | (357,705) | (441,982) | |
Derivative assets | 566 | 714 | |
Derivative liabilities | (357,705) | (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] | 30,306 | 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] | 290,444 | 331,716 |
Derivative Asset, Fair value, amount offset against collateral | 566 | 714 | |
Derivative Liability, Fair value, amount offset against collateral | (36,955) | (45,875) | |
Cleared derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | 42,414 | 18,778 | |
Derivative Liability, total gross recognized amount | (54,806) | (57,998) | |
Derivative Assets, Netting Adjustments | 18,548 | 20,607 | |
Derivative liability, Netting Adjustments and Cash Collateral | 54,806 | 57,998 | |
Derivative Asset, total net amounts after netting adjustments and cash collateral | 60,962 | 39,385 | |
Derivative Liability, total net amounts after netting adjustments and cash collateral | 0 | 0 | |
Derivative assets | 60,962 | 39,385 | |
Derivative liabilities | 0 | 0 | |
Derivative Asset, Fair value, amount offset against collateral | 60,962 | 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 $109.8 million and $92.9 million at December 31, 2016, and 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 $850,000 and $750,000 at December 31, 2016 and 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 December 31, 2016 and 2015, we had additional net credit exposure of $2.0 million and $3.1 million, respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Deposits Narratives (Details)
Deposits Narratives (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Deposits [Abstract] | ||
Average interest rates paid on average deposits | 0.14% | 0.02% |
Interest-bearing deposit demand and overnight | $ 440,731 | $ 454,087 |
Interest-bearing deposit other | 4,166 | 4,426 |
Non-interest bearing deposits other | 37,266 | 24,089 |
Total deposits | $ 482,163 | $ 482,602 |
Consolidated Obligations CO Bon
Consolidated Obligations CO Bonds - Narratives (Details) - USD ($) $ in Billions | Dec. 31, 2016 | Dec. 31, 2015 |
FHLBanks [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 989.3 | $ 905.2 |
Consolidated Obligations CO B83
Consolidated Obligations CO Bonds - Year of Contractual Maturiry (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less | $ 8,734,955 | $ 8,990,295 | |
Due in one year or less, weighted average rate | [1] | 1.43% | 1.00% |
Due after one year through two years | $ 7,752,420 | $ 6,101,990 | |
Due after one year through two years, weighted average rate | [1] | 1.19% | 1.70% |
Due after two years through three years | $ 3,297,120 | $ 3,389,580 | |
Due after two years through three years, weighted average rate | [1] | 1.63% | 1.59% |
Due after three years through four years | $ 1,637,335 | $ 2,056,215 | |
Due after three years through four years, weighted average rate | [1] | 1.87% | 1.97% |
Due after four years through five years | $ 2,574,375 | $ 1,329,210 | |
Due after four years through five years, weighted average rate | [1] | 1.65% | 2.11% |
Thereafter | $ 3,135,745 | $ 3,440,045 | |
Thereafter, weighted average rate | [1] | 2.70% | 2.95% |
Total par value | $ 27,131,950 | $ 25,307,335 | |
Total par value, weighted average rate | [1] | 1.58% | 1.65% |
Hedging adjustments | $ (63,755) | $ (8,510) | |
Total | 27,171,434 | 25,427,277 | |
COs - bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Premiums | 118,145 | 148,903 | |
Discounts | $ (14,906) | $ (20,451) | |
[1] | The CO bonds' weighted-average rate excludes concession fees. |
Consolidated Obligations CO B84
Consolidated Obligations CO Bonds - Outstanding By Call Features (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 27,131,950 | $ 25,307,335 |
Noncallable and nonputable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | 22,388,950 | 21,714,335 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 4,743,000 | $ 3,593,000 |
Consolidated Obligations CO B85
Consolidated Obligations CO Bonds - Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Debt Disclosure [Abstract] | ||
Due in one year or less | $ 12,858,955 | $ 11,937,295 |
Due after one year through two years | 7,013,420 | 5,802,990 |
Due after two years through three years | 2,904,120 | 2,729,580 |
Due after three years through four years | 1,289,335 | 1,831,215 |
Due after four years through five years | 1,242,375 | 991,210 |
Thereafter | 1,823,745 | 2,015,045 |
Total par value | $ 27,131,950 | $ 25,307,335 |
Consolidated Obligations CO B86
Consolidated Obligations CO Bonds - Interest-Rate-Payment Type (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Debt Disclosure [Abstract] | ||
Fixed-rate | $ 20,289,950 | $ 21,847,335 |
Simple variable-rate | 5,300,000 | 3,145,000 |
Step-up | 1,542,000 | 315,000 |
Total par value | $ 27,131,950 | $ 25,307,335 |
Consolidated Obligations CO - D
Consolidated Obligations CO - Discount Notes (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Debt Disclosure [Abstract] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 30,053,964 | $ 28,479,097 | |
Par value | $ 30,070,103 | $ 28,487,577 | |
Weighted Average Rate | [1] | 0.47% | 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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Affordable Housing Program [Line Items] | |||
Principal outstanding in AHP advances | $ 102,200 | $ 100,700 | |
Affordable Housing Program [Roll Forward] | |||
Balance at beginning of year | 82,081 | 66,993 | |
AHP expense for the period | 19,397 | 32,328 | $ 17,623 |
AHP direct grant disbursements | (18,575) | (16,716) | (12,012) |
AHP subsidy for AHP advance disbursements | (1,378) | (1,255) | |
Return of previously disbursed grants and subsidies | 102 | 731 | |
Balance at end of year | 81,627 | $ 82,081 | $ 66,993 |
FHLBanks [Member] | |||
Affordable Housing Program [Line Items] | |||
Affordable Housing Program Contribution Requirement, Amount | $ 100,000 | ||
Affordable Housing Program Contribution Requirement, Percent | 10.00% |
Capital Requirements (Details)
Capital Requirements (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
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 | $ 2,411,306 | $ 2,336,662 | ||
Mandatorily redeemable capital stock | 32,687 | 41,989 | $ 298,599 | $ 977,348 |
Retained earnings | 1,216,986 | 1,128,848 | ||
Total permanent capital | 3,660,979 | 3,507,499 | ||
Credit-risk capital | 355,182 | 381,176 | ||
Market-risk capital | 118,765 | 83,875 | ||
Operations-risk capital | 142,184 | 139,515 | ||
Total risk-based capital requirement | 616,131 | 604,566 | ||
Permanent capital in excess of risk-based capital requirement | 3,044,848 | 2,902,933 | ||
Regulatory capital, Required | 2,461,823 | 2,324,107 | ||
Leverage capital, Required | 3,077,279 | 2,905,133 | ||
Risk-based capital, Actual | 3,660,979 | 3,507,499 | ||
Regulatory capital, Actual | $ 3,660,979 | $ 3,507,499 | ||
Capital-to-asset ratio, Actual | 5.90% | 6.00% | ||
Leverage capital, Actual | $ 5,491,469 | $ 5,261,249 | ||
Leverage capital-to-assets ratio, Actual | 8.90% | 9.10% | ||
Quarterly percentage of net income contributed to restricted retained earnings per the Joint Capital Enhancement Agreement | 20.00% | |||
Percent of average balance of outstanding consolidated obligations prescribed per the Joint Capital Enhancement Agreement for each previous quarter | 1.00% | |||
Contribution requirement - Restricted Retained Earnings | $ 551,300 | |||
Restricted retained earnings | $ 229,275 | $ 194,634 |
Capital Narratives (Details)
Capital Narratives (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Excess capital stock | $ 78,300 | $ 158,900 | |
Dividends on mandatorily redeemable capital stock | $ 1,364 | $ 1,636 | $ 8,819 |
Excess capital stock to total capital stock outstanding, percent | 3.20% | 6.70% | |
Excess capital stock to total assets, percent | 0.10% | ||
Certain member assets eligible to secure advances [Member] | |||
Class B stock purchase requirement | 0.35% | ||
Overnight advances [Member] | |||
Class B stock purchase requirement | 3.00% | ||
Advances with original maturity greater than overnight and up to three months [Member] | |||
Class B stock purchase requirement | 4.00% | ||
All other advances and other specified assets [Member] | |||
Class B stock purchase requirement | 4.50% | ||
Common Class B [Member] | |||
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Capital Mandatorily Redeemable
Capital Mandatorily Redeemable Capital Stock (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | |
Mandatorily Redeemable Capital Stock [Roll Forward] | |||
Balance at beginning of year | $ 41,989 | $ 298,599 | $ 977,348 |
Capital stock subject to mandatory redemption reclassified from capital | 40 | 54 | 54,892 |
Redemption/repurchase of mandatorily redeemable capital stock | (9,342) | (256,664) | (733,641) |
Balance at end of year | $ 32,687 | $ 41,989 | $ 298,599 |
Number of stockholders holding mandatorily redeemable capital stock | 9 | 5 | 7 |
Capital Mandatorily Redeemabl92
Capital Mandatorily Redeemable Capital Stock by Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Capital [Abstract] | |||||
Past redemption date | [1] | $ 528 | $ 629 | ||
Due in one year or less | 0 | 0 | |||
Due after one year through two years | 4,687 | 0 | |||
Due after two years through three years | 27,378 | 4,856 | |||
Due after three years through four years | 54 | 36,450 | |||
Due after four years through five years | 0 | 54 | |||
Thereafter | [2] | 40 | 0 | ||
Total | $ 32,687 | $ 41,989 | $ 298,599 | $ 977,348 | |
Member withdrawal cancellation fee | 2.00% | ||||
[1] | Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption-notice period but the member-related activity remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding. | ||||
[2] | Amount represents reclassifications to mandatorily redeemable capital stock resulting from an FHFA rule effective February 19, 2016, that makes captive insurance companies ineligible for membership. Captive insurance company members that were admitted as members prior to September 12, 2014, will have their memberships terminated no later than February 19, 2021. Captive insurance company members that were admitted as members on or after September 12, 2014, had their memberships terminated prior to February 19, 2017. |
Accumulated Other Comprehensi93
Accumulated Other Comprehensive Loss (Details) - USD ($) | 12 Months Ended | ||||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||||||
Amortization of hedging activities recorded in interest expense CO bonds | $ 361,006,000 | $ 329,285,000 | $ 320,976,000 | ||||
Amortization of hedging activities recorded in (loss) gain on derivatives and hedging activities | (8,591,000) | (11,260,000) | (4,685,000) | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Beginning balance | (442,597,000) | ||||||
Accretion of noncredit loss | (36,070,000) | (43,382,000) | (49,178,000) | ||||
Amortization - hedging activities | 23,782,000 | 23,862,000 | 8,668,000 | ||||
Amortization - pension and postretirement benefits | 2,282,000 | (2,136,000) | 2,764,000 | ||||
Other comprehensive income (loss) | 59,083,000 | (5,611,000) | 44,530,000 | ||||
Ending balance | (383,514,000) | (442,597,000) | |||||
Net Unrealized Loss Relating to Hedging Activities [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Beginning balance | (71,237,000) | (81,428,000) | (51,594,000) | ||||
Net Unrealized gains (losses) | (732,000) | (13,671,000) | (38,502,000) | ||||
Amortization - hedging activities | 23,782,000 | [1] | 23,862,000 | [2] | 8,668,000 | [3] | |
Other comprehensive income (loss) | 23,050,000 | 10,191,000 | (29,834,000) | ||||
Ending balance | (48,187,000) | (71,237,000) | (81,428,000) | ||||
Pension and Postretirement Benefits [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Beginning balance | (3,857,000) | (5,993,000) | (3,229,000) | ||||
Net actuarial (loss) gain | (3,242,000) | 1,475,000 | (3,240,000) | ||||
Amortization - pension and postretirement benefits | [4] | 960,000 | 661,000 | 476,000 | |||
Other comprehensive income (loss) | (2,282,000) | 2,136,000 | (2,764,000) | ||||
Ending balance | (6,139,000) | (3,857,000) | (5,993,000) | ||||
Total Accumulated Other Comprehensive Loss [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Beginning balance | (442,597,000) | (436,986,000) | (481,516,000) | ||||
Net Unrealized gains (losses) | 177,000 | (77,766,000) | (10,360,000) | ||||
Noncredit other-than-temporary impairment losses | (1,142,000) | (172,000) | (1,259,000) | ||||
Accretion of noncredit loss | (36,070,000) | (43,382,000) | (49,178,000) | ||||
Net actuarial (loss) gain | (3,242,000) | 1,475,000 | (3,240,000) | ||||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [5] | 2,478,000 | 2,947,000 | 1,067,000 | |||
Amortization - hedging activities | 23,782,000 | [1] | 23,862,000 | [2] | 8,668,000 | [3] | |
Amortization - pension and postretirement benefits | [4] | 960,000 | 661,000 | 476,000 | |||
Other comprehensive income (loss) | 59,083,000 | (5,611,000) | 44,530,000 | ||||
Ending balance | (383,514,000) | (442,597,000) | (436,986,000) | ||||
Available-for-sale Securities [Member] | Net Unrealized Loss on Available-for-Sale Securities [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Beginning balance | (137,718,000) | (73,623,000) | (101,765,000) | ||||
Net Unrealized gains (losses) | 909,000 | (64,095,000) | 28,142,000 | ||||
Other comprehensive income (loss) | 909,000 | (64,095,000) | 28,142,000 | ||||
Ending balance | (136,809,000) | (137,718,000) | (73,623,000) | ||||
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 | (229,785,000) | (275,942,000) | (324,928,000) | ||||
Noncredit other-than-temporary impairment losses | (1,142,000) | (172,000) | (1,259,000) | ||||
Accretion of noncredit loss | (36,070,000) | (43,382,000) | (49,178,000) | ||||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [5] | 2,478,000 | 2,947,000 | 1,067,000 | |||
Other comprehensive income (loss) | 37,406,000 | 46,157,000 | 48,986,000 | ||||
Ending balance | (192,379,000) | (229,785,000) | (275,942,000) | ||||
Reclassification out of Accumulated Other Comprehensive Income [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||||||
Amortization of hedging activities recorded in interest expense CO bonds | 23,800,000 | 23,800,000 | 8,700,000 | ||||
Amortization of hedging activities recorded in (loss) gain on derivatives and hedging activities | $ 14,000 | $ 14,000 | $ 16,000 | ||||
[1] | Amortization of hedging activities includes $23.8 million recorded in CO bond interest expense and $14,000 recorded in net losses on derivatives and hedging activities in the statement of operations. | ||||||
[2] | Amortization of hedging activities includes $23.8 million recorded in CO bond interest expense and $14,000 recorded in net losses on derivatives and hedging activities in the statement of operations. | ||||||
[3] | Amortization of hedging activities includes $8.7 million recorded in CO bond interest expense and $16,000 recorded in net losses on derivatives and hedging activities in the statement of operations. | ||||||
[4] | Recorded in other operating expenses in the statement of operations. | ||||||
[5] | Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. |
Employee Retirement Plans - Net
Employee Retirement Plans - Net Pension Costs (Details) - Pentegra Defined Benefit Plan [Member] - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||||
Net pension cost | $ 5,526 | $ 7,465 | $ 2,851 | |||
Pentegra Defined Benefit Plan funded status as of July 1 | [2] | 104.10% | [1] | 107.00% | [3] | 111.40% |
Our funded status as of July 1 | [2] | 108.60% | 117.10% | 113.30% | ||
[1] | The funded status as of July 1, 2016, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2016, through March 15, 2017. Contributions made on or before March 15, 2017, and designated for the plan year ended June 30, 2016, will be included in the final valuation as of July 1, 2016. The final funded status as of July 1, 2016, will not be available until the Form 5500 for the plan year July 1, 2016, through June 30, 2017 is filed. This Form 5500 is due to be filed no later than April 2018. | |||||
[2] | The funded status is calculated in accordance with a provision contained in the Highway and Transportation Funding Act of 2014 (HATFA), which was signed into law by President Obama on August 8, 2014, and which modifies the interest rates that had been set by the Moving Ahead for Progress in the 21st Century Act (MAP-21). MAP-21, signed into law by President Obama in 2012, changed the calculation of the discount rate used in measuring the pension plan liability. MAP-21 allows plan sponsors to measure the pension plan liability using a 25-year average of interest rates plus or minus a corridor. Prior to MAP-21, the discount rate used in measuring the pension plan liability was based on the 24-month average of interest rates. HATFA amended MAP-21 by extending the time period and reducing the rate at which the 25-year corridors widen. Over time, the pension funding stabilization effect of MAP-21 will decline because the 24-month smoothed segment rates and the amended 25-year corridors are likely to converge. | |||||
[3] | The funded status as of July 1, 2015, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2015, through March 15, 2016. Contributions made on or before March 15, 2016, and designated for the plan year ended June 30, 2015, will be included in the final valuation as of July 1, 2015. The final funded status as of July 1, 2015, will not be available until the Form 5500 for the plan year July 1, 2015, through June 30, 2016 is filed. This Form 5500 is due to be filed no later than April 2017. |
Employee Retirement Plans - Cos
Employee Retirement Plans - Costs of Retirement Plans (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Pentegra Defined Contribution Plan [Member] | |||
Employee Retirement Plans [Line Items] | |||
Defined contribution plan, cost recognized | $ 1,115 | $ 1,032 | $ 974 |
Thrift Benefit Equalization Plan [Member] | |||
Employee Retirement Plans [Line Items] | |||
Nonqualified defined contribution plan obligation | 7,600 | 6,300 | |
Defined contribution plan, cost recognized | $ 215 | $ 159 | $ 154 |
Employee Retirement Plans - Non
Employee Retirement Plans - Nonqualified Supplemental Defined Benefit and Postretirement Benefits (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||||
Supplemental Employee Retirement Plan, Defined Benefit [Member] | ||||||
Change in benefit obligation [Roll Forward] | ||||||
Benefit obligation at beginning of year | [1] | $ 12,321 | $ 12,608 | |||
Service Cost | 1,053 | [1] | 686 | [1] | $ 551 | |
Interest Cost | 655 | [1] | 483 | [1] | 463 | |
Actuarial loss (gain) | [1] | 2,682 | (1,453) | |||
Benefits paid | [1] | (4) | (3) | |||
Plan amendments | [1] | 492 | 0 | |||
Settlements | [1] | (67) | 0 | |||
Benefit obligation at end of year | [1] | 17,132 | 12,321 | 12,608 | ||
Change in plan assets [Roll Forward] | ||||||
Fair value of plan assets at beginning of year | 0 | 0 | ||||
Employer contribution | 71 | 3 | ||||
Benefits paid | [1] | (4) | (3) | |||
Settlements | (67) | 0 | ||||
Fair value of plan assets at end of year | 0 | 0 | 0 | |||
Funded status at end of year | (17,132) | (12,321) | ||||
Other Postretirement Benefit Plan, Defined Benefit [Member] | ||||||
Change in benefit obligation [Roll Forward] | ||||||
Benefit obligation at beginning of year | [1] | 765 | 739 | |||
Service Cost | 34 | [1] | 37 | [1] | 24 | |
Interest Cost | 34 | [1] | 31 | [1] | 32 | |
Actuarial loss (gain) | [1] | 68 | (22) | |||
Benefits paid | [1] | (23) | (20) | |||
Plan amendments | [1] | 0 | 0 | |||
Settlements | [1] | 0 | 0 | |||
Benefit obligation at end of year | [1] | 878 | 765 | 739 | ||
Change in plan assets [Roll Forward] | ||||||
Fair value of plan assets at beginning of year | 0 | 0 | ||||
Employer contribution | 23 | 20 | ||||
Benefits paid | [1] | (23) | (20) | |||
Settlements | 0 | 0 | ||||
Fair value of plan assets at end of year | 0 | 0 | $ 0 | |||
Funded status at end of year | $ (878) | $ (765) | ||||
[1] | Represents the projected benefit obligation for the nonqualified supplemental defined benefit retirement plan and the accumulated postretirement benefit obligation for postretirement benefits. |
Employee Retirement Plans - Amo
Employee Retirement Plans - Amounts Recognized in Accumulated Other Comprehensive Loss (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Supplemental Employee Retirement Plan, Defined Benefit [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net actuarial loss | $ 5,553 | $ 3,741 |
Prior service cost | 406 | 0 |
Total | 5,959 | 3,741 |
Other Postretirement Benefit Plan, Defined Benefit [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net actuarial loss | 180 | 116 |
Prior service cost | 0 | 0 |
Total | $ 180 | $ 116 |
Employees Retirement Plans - Co
Employees Retirement Plans - Components of net periodic benefit cost and other amounts recognized in AOCL (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||
Total recognized in accumulated other comprehensive loss | $ 2,282 | $ (2,136) | $ 2,764 | ||
Supplemental Employee Retirement Plan, Defined Benefit [Member] | |||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||
Service Cost | 1,053 | [1] | 686 | [1] | 551 |
Interest Cost | 655 | [1] | 483 | [1] | 463 |
Amortization of prior service cost | (86) | 0 | 0 | ||
Amortization of prior service cost | 86 | 0 | 0 | ||
Amortization of net actuarial loss | (870) | (653) | (474) | ||
Amortization of net actuarial loss | 870 | 653 | 474 | ||
Net periodic benefit cost | 2,664 | 1,822 | 1,488 | ||
Prior service cost | 492 | 0 | 0 | ||
Net actuarial loss (gain) | 2,682 | (1,453) | 3,169 | ||
Total recognized in accumulated other comprehensive loss | 2,218 | (2,106) | 2,695 | ||
Total recognized in net periodic benefit cost and accumulated other comprehensive loss | 4,882 | (284) | 4,183 | ||
Other Postretirement Benefit Plan, Defined Benefit [Member] | |||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||
Service Cost | 34 | [1] | 37 | [1] | 24 |
Interest Cost | 34 | [1] | 31 | [1] | 32 |
Amortization of prior service cost | 0 | 0 | 0 | ||
Amortization of prior service cost | 0 | 0 | 0 | ||
Amortization of net actuarial loss | (4) | (8) | (2) | ||
Amortization of net actuarial loss | 4 | 8 | 2 | ||
Net periodic benefit cost | 72 | 76 | 58 | ||
Prior service cost | 0 | 0 | 0 | ||
Net actuarial loss (gain) | 68 | (22) | 71 | ||
Total recognized in accumulated other comprehensive loss | 64 | (30) | 69 | ||
Total recognized in net periodic benefit cost and accumulated other comprehensive loss | $ 136 | $ 46 | $ 127 | ||
[1] | Represents the projected benefit obligation for the nonqualified supplemental defined benefit retirement plan and the accumulated postretirement benefit obligation for postretirement benefits. |
Employee Retirement Plans - Nar
Employee Retirement Plans - Narratives (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Defined Benefit Plan Disclosure [Line Items] | |||
Multiemployer Plan Number | 333 | ||
Pension and Other Postretirement Defined Benefit Plans, Liabilities | $ 18,000,000 | $ 13,100,000 | |
Defined Benefit Plan, Accumulated Benefit Obligation | 12,600,000 | 10,000,000 | |
Supplemental Employee Retirement Plan, Defined Benefit [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Amount to be Amortized from Accumulated Other Comprehensive Income (Loss) Next Fiscal Year | 768,000 | ||
Other Postretirement Benefit Plan, Defined Benefit [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Amount to be Amortized from Accumulated Other Comprehensive Income (Loss) Next Fiscal Year | $ 9,000 | ||
Multiemployer Plans, Pension [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Employer Identification Number | 135,645,888 | ||
Pentegra Defined Benefit Plan, Voluntary Contribution [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Multiemployer Plan, Voluntary Contributions | $ 5,000,000 | $ 7,000,000 | $ 1,100,000 |
Employee Retirement Plans - Key
Employee Retirement Plans - Key Assumptions used for actuarial calculations (Details) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Supplemental Employee Retirement Plan, Defined Benefit [Member] | ||
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Benefit Obligation [Abstract] | ||
Discount rate | 3.98% | 4.17% |
Salary increases | 5.50% | 5.50% |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Net Periodic Benefit Cost [Abstract] | ||
Discount rate | 4.17% | 3.84% |
Salary increases | 5.50% | 5.50% |
Other Postretirement Benefit Plan, Defined Benefit [Member] | ||
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Benefit Obligation [Abstract] | ||
Discount rate | 4.22% | 4.44% |
Salary increases | 0.00% | 0.00% |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Net Periodic Benefit Cost [Abstract] | ||
Discount rate | 4.44% | 4.03% |
Salary increases | 0.00% | 0.00% |
Employee Retirement Plans - Exp
Employee Retirement Plans - Expected future benefit payments (Details) $ in Thousands | Dec. 31, 2016USD ($) |
Supplemental Employee Retirement Plan, Defined Benefit [Member] | |
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |
2,017 | $ 241 |
2,018 | 335 |
2,019 | 584 |
2,020 | 671 |
2,021 | 774 |
2022-2026 | 5,811 |
Other Postretirement Benefit Plan, Defined Benefit [Member] | |
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |
2,017 | 19 |
2,018 | 18 |
2,019 | 18 |
2,020 | 20 |
2,021 | 20 |
2022-2026 | $ 126 |
Fair Values Carrying Value and
Fair Values Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | $ 520,031 | $ 254,218 | |||
Trading securities | 612,622 | 230,134 | |||
Available-for-sale securities Fair Value | 6,588,664 | 6,314,285 | |||
Held-to-maturity securities | [1],[2] | 2,130,767 | 2,654,565 | ||
Held-to-maturity securities Fair Value | 2,372,290 | 2,923,124 | |||
Accrued interest receivable | 84,653 | 84,442 | |||
Derivative assets | 61,598 | 40,117 | |||
Derivative Assets, Netting Adjustments | [3],[4] | 6,520 | 12,979 | ||
Mandatorily redeemable capital stock | (32,687) | (41,989) | $ (298,599) | $ (977,348) | |
Accrued interest payable | (80,822) | (81,268) | |||
Derivative liabilities | (357,876) | (442,007) | |||
Derivative liability, Netting Adjustments and Cash Collateral | [3],[4] | 102,411 | 79,170 | ||
Level 1 [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | 520,031 | 254,218 | |||
Interest-bearing deposits | 278 | 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] | 8,394 | 6,373 | ||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock | (32,687) | (41,989) | |||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | [4] | 0 | 0 | ||
Level 1 [Member] | Commitments to make additional 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 | 5,998,799 | 6,699,852 | |||
Federal funds sold | 2,699,949 | 2,119,962 | |||
Trading securities | [4] | 612,622 | 230,134 | ||
Available-for-sale securities Fair Value | [4] | 6,580,518 | 6,314,285 | ||
Held-to-maturity securities Fair Value | 1,176,269 | 1,562,243 | |||
Advances | 39,273,044 | 36,209,343 | |||
Mortgage loans, net | 3,708,123 | 3,635,073 | |||
Accrued interest receivable | 84,653 | 84,442 | |||
Derivative assets | [4] | 55,078 | 27,138 | ||
Other assets | [4] | 9,385 | 8,919 | ||
Deposits | (482,158) | (482,595) | |||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued interest payable | (80,822) | (81,268) | |||
Derivative liabilities | [4] | (460,287) | (521,177) | ||
Level 2 [Member] | Commitments to make additional advances [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Other | (4,412) | (689) | |||
Level 2 [Member] | Standby Letters of Credit [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Other | (1,064) | (831) | |||
Level 2 [Member] | COs - Discount notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
CO Discount notes | (30,054,085) | (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] | 8,146 | 0 | ||
Held-to-maturity securities Fair Value | 1,196,021 | 1,360,881 | |||
Advances | 0 | 0 | |||
Mortgage loans, net | 28,425 | 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 make additional 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 | 520,031 | 254,218 | |||
Interest-bearing deposits | 278 | 197 | |||
Securities purchased under agreements to resell | 5,999,000 | 6,700,000 | |||
Federal funds sold | 2,700,000 | 2,120,000 | |||
Trading securities | [4] | 612,622 | 230,134 | ||
Available-for-sale securities Fair Value | [4] | 6,588,664 | 6,314,285 | ||
Held-to-maturity securities | 2,130,767 | 2,654,565 | |||
Advances | 39,099,339 | 36,076,167 | |||
Mortgage loans, net | 3,693,894 | 3,581,788 | |||
Accrued interest receivable | 84,653 | 84,442 | |||
Derivative assets | [4] | 61,598 | 40,117 | ||
Other assets | [4] | 17,779 | 15,292 | ||
Deposits | (482,163) | (482,602) | |||
Mandatorily redeemable capital stock | (32,687) | (41,989) | |||
Accrued interest payable | (80,822) | (81,268) | |||
Derivative liabilities | [4] | (357,876) | (442,007) | ||
Carrying Value [Member] | Commitments to make additional 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 | (1,064) | (831) | |||
Carrying Value [Member] | COs - Discount notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
CO Discount notes | (30,053,964) | (28,479,097) | |||
Total Fair Value [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | 520,031 | 254,218 | |||
Interest-bearing deposits | 278 | 197 | |||
Securities purchased under agreements to resell | 5,998,799 | 6,699,852 | |||
Federal funds sold | 2,699,949 | 2,119,962 | |||
Trading securities | [4] | 612,622 | 230,134 | ||
Available-for-sale securities Fair Value | [4] | 6,588,664 | 6,314,285 | ||
Held-to-maturity securities Fair Value | 2,372,290 | 2,923,124 | |||
Advances | 39,273,044 | 36,209,343 | |||
Mortgage loans, net | 3,736,548 | 3,666,146 | |||
Accrued interest receivable | 84,653 | 84,442 | |||
Derivative assets | [4] | 61,598 | 40,117 | ||
Other assets | [4] | 17,779 | 15,292 | ||
Deposits | (482,158) | (482,595) | |||
Mandatorily redeemable capital stock | (32,687) | (41,989) | |||
Accrued interest payable | (80,822) | (81,268) | |||
Derivative liabilities | [4] | (357,876) | (442,007) | ||
Total Fair Value [Member] | Commitments to make additional advances [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Other | (4,412) | (689) | |||
Total Fair Value [Member] | Standby Letters of Credit [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Other | (1,064) | (831) | |||
Total Fair Value [Member] | COs - Discount notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
CO Discount notes | (30,054,085) | (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 | (27,298,499) | (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 | (27,171,434) | (25,427,277) | |||
COs - bonds [Member] | Total Fair Value [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
CO Bonds | $ (27,298,499) | $ (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 $2,372,290 and $2,923,124 at December 31, 2016 and 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 $109.8 million and $92.9 million at December 31, 2016, and 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 $850,000 and $750,000 at December 31, 2016 and 2015. | ||||
[4] | Carried at fair value on a recurring basis. |
Fair Values Valuation Technique
Fair Values Valuation Techniques - Narratives (Details) | Dec. 31, 2016vendor_prices |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements, Valuation Techniques, Number of Designated Third Party Pricing Vendors | 4 |
Fair Values Fair Value Measured
Fair Values Fair Value Measured on Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | $ 612,622 | $ 230,134 | |
Available-for-sale securities Fair Value | 6,588,664 | 6,314,285 | |
Derivative assets | 61,598 | 40,117 | |
Derivative Assets, Netting Adjustments | [1],[2] | 6,520 | 12,979 |
Derivative liabilities | (357,876) | (442,007) | |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 102,411 | 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] | 8,394 | 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] | 612,622 | 230,134 |
Available-for-sale securities Fair Value | [2] | 6,580,518 | 6,314,285 |
Derivative assets | [2] | 55,078 | 27,138 |
Other assets | [2] | 9,385 | 8,919 |
Derivative liabilities | [2] | (460,287) | (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] | 8,146 | 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 | [3] | 6,520 | 12,979 |
Derivative liability, Netting Adjustments and Cash Collateral | [3] | 102,411 | 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 | [3] | 6,520 | 12,979 |
Derivative liability, Netting Adjustments and Cash Collateral | [3] | 102,411 | 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 | 8,394 | 6,373 | |
Total assets at fair value | 8,394 | 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 | 612,622 | 230,134 | |
Available-for-sale securities Fair Value | 6,580,518 | 6,314,285 | |
Derivative assets | 55,078 | 27,138 | |
Other assets | 9,385 | 8,919 | |
Total assets at fair value | 7,257,603 | 6,580,476 | |
Total liabilities at fair value | (460,287) | (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 | 55,008 | 27,120 | |
Derivative liabilities | (460,116) | (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 | 8,146 | 0 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets at fair value | 8,146 | 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] | 612,622 | 230,134 |
Available-for-sale securities Fair Value | [2] | 6,588,664 | 6,314,285 |
Derivative assets | [2] | 61,598 | 40,117 |
Other assets | [2] | 17,779 | 15,292 |
Derivative liabilities | [2] | (357,876) | (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 | 612,622 | 230,134 | |
Available-for-sale securities Fair Value | 6,588,664 | 6,314,285 | |
Derivative assets | 61,598 | 40,117 | |
Other assets | 17,779 | 15,292 | |
Total assets at fair value | 7,280,663 | 6,599,828 | |
Total liabilities at fair value | (357,876) | (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 | 61,528 | 40,099 | |
Derivative liabilities | (357,705) | (441,982) | |
U.S. Treasury obligations [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 399,521 | 0 | |
U.S. Treasury obligations [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | ||
U.S. Treasury obligations [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 399,521 | ||
U.S. Treasury obligations [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | ||
U.S. Treasury obligations [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 399,521 | ||
U.S. government-guaranteed - single-family MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 8,494 | 10,296 | |
Available-for-sale securities Fair Value | 124,727 | 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 | 8,494 | 10,296 | |
Available-for-sale securities Fair Value | 124,727 | 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 | 8,494 | 10,296 | |
Available-for-sale securities Fair Value | 124,727 | 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 | 563,361 | 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 | 563,361 | 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 | 563,361 | 744,762 | |
HFA securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 8,146 | ||
HFA securities [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 | ||
HFA securities [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 | 0 | ||
HFA securities [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 | 8,146 | ||
HFA securities [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 | 8,146 | ||
Supranational institutions [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 422,620 | 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 | 422,620 | 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 | 422,620 | 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 | 271,957 | 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 | 271,957 | 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 | 271,957 | 265,968 | |
GSEs [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 117,468 | 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 | 117,468 | 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 | 117,468 | 117,792 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 768 | 1,449 | |
Available-for-sale securities Fair Value | 4,403,855 | 4,590,208 | |
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 | |
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 | 768 | 1,449 | |
Available-for-sale securities Fair Value | 4,403,855 | 4,590,208 | |
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 | |
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 | 768 | 1,449 | |
Available-for-sale securities Fair Value | 4,403,855 | 4,590,208 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 203,839 | 218,389 | |
Available-for-sale securities Fair Value | 676,530 | ||
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 | ||
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 | 203,839 | 218,389 | |
Available-for-sale securities Fair Value | 676,530 | ||
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 | ||
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 | 203,839 | 218,389 | |
Available-for-sale securities Fair Value | 676,530 | ||
Mortgages [Member] | Forward Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 70 | 18 | |
Derivative liabilities | (171) | (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 | 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 | 70 | 18 | |
Derivative liabilities | (171) | (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 | 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 | 70 | 18 | |
Derivative liabilities | $ (171) | $ (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 $109.8 million and $92.9 million at December 31, 2016, and 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 $850,000 and $750,000 at December 31, 2016 and 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. |
Estimated Fair Value Level 3 Re
Estimated Fair Value Level 3 Reconciliation - Roll Forward (Details) - Level 3 [Member] - Recurring [Member] - Available-for-sale Securities [Member] $ in Thousands | 12 Months Ended |
Dec. 31, 2016USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance at beginning of year | $ 0 |
Purchases | 9,350 |
Unrealized losses included in other comprehensive income | (1,204) |
Balance at end of year | $ 8,146 |
Fair Values Fair Value Measu106
Fair Values Fair Value Measured on Nonrecurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | $ 2,372,290 | $ 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 | 1,176,269 | 1,562,243 |
Mortgage loans held for portfolio | 3,708,123 | 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 | 1,196,021 | 1,360,881 |
Mortgage loans held for portfolio | 28,425 | 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 | 5,618 | 5,376 |
REO | 786 | 2,284 |
Total assets recorded at fair value on a nonrecurring basis | 14,902 | 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 | 2,372,290 | 2,923,124 |
Mortgage loans held for portfolio | 3,736,548 | 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 | 5,618 | 5,376 |
REO | 786 | 2,284 |
Total assets recorded at fair value on a nonrecurring basis | 14,902 | 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 | 1,039,790 | 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 | 8,498 | 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 | $ 8,498 | $ 16,653 |
Commitments and Contingencie107
Commitments and Contingencies (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Loss Contingencies [Line Items] | ||||
Final expiration date of standby letters of credit | 2,026 | |||
Value of the guarantees related to standby letters of credit | $ 40,235,000 | $ 43,435,000 | ||
Maximum term of commitments to invest in mortgage loans | 45 days | |||
Net rental cost | $ 2,900,000 | 2,900,000 | $ 2,800,000 | |
Capital Leases - 2017 | 41,000 | |||
Operating Leases - 2017 | 2,504,000 | |||
Capital Leases - 2018 | 41,000 | |||
Operating Leases - 2018 | 2,567,000 | |||
Capital Leases - 2019 | 41,000 | |||
Operating Leases - 2019 | 2,537,000 | |||
Capital Leases - 2020 | 22,000 | |||
Operating Leases - 2020 | 2,537,000 | |||
Capital Leases - 2021 | 0 | |||
Operating Leases - 2021 | 2,537,000 | |||
Capital Leases - thereafter | 0 | |||
Operating Leases - thereafter | 5,073,000 | |||
Capital Leases - total minimum lease payments | 145,000 | |||
Operating Leases - total minimum lease payments | 17,755,000 | |||
Other FHLBanks [Member] | ||||
Loss Contingencies [Line Items] | ||||
Par value of other FHLBanks' outstanding COs for which we are jointly and severally liable | 932,100,000,000 | 851,400,000,000 | ||
Standby Letters of Credit Issuance Commitments [Member] | ||||
Loss Contingencies [Line Items] | ||||
Off-balance-sheet Commitments Expiring Within One Year | 2,700,000 | 27,300,000 | ||
Off-balance-sheet Commitments Expiring After One Year | $ 285,000 | 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] | $ 4,050,447,000 | 3,998,609,000 | |
Off-balance-sheet Commitments Expiring After One Year | [1] | 179,632,000 | 77,477,000 | |
Total Off-balance Sheet Commitments | [1] | 4,230,079,000 | 4,076,086,000 | |
Value of the guarantees related to standby letters of credit | 1,100,000 | 831,000 | ||
Commitments of unused lines of credit - advances [Member] | ||||
Loss Contingencies [Line Items] | ||||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 1,255,140,000 | 1,263,182,000 | |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 | |
Total Off-balance Sheet Commitments | [2] | $ 1,255,140,000 | 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 | $ 44,865,000 | 650,890,000 | ||
Off-balance-sheet Commitments Expiring After One Year | 65,972,000 | 54,308,000 | ||
Total Off-balance Sheet Commitments | 110,837,000 | 705,198,000 | ||
Commitments to Invest in Mortgage Loans [Member] | ||||
Loss Contingencies [Line Items] | ||||
Off-balance-sheet Commitments Expiring Within One Year | 22,524,000 | 24,714,000 | ||
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | ||
Total Off-balance Sheet Commitments | 22,524,000 | 24,714,000 | ||
Unsettled CO bonds, at par [Member] | ||||
Loss Contingencies [Line Items] | ||||
Off-balance-sheet Commitments Expiring Within One Year | 0 | 25,000,000 | ||
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | ||
Total Off-balance Sheet Commitments | 0 | 25,000,000 | ||
Unsettled CO discount notes, at par [Member] | ||||
Loss Contingencies [Line Items] | ||||
Off-balance-sheet Commitments Expiring Within One Year | 0 | 700,000,000 | ||
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | ||
Total Off-balance Sheet Commitments | $ 0 | $ 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 December 31, 2016 and 2015, these amounts totaled $2.7 million and $27.3 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $285,000 and $4.0 million at December 31, 2016 and 2015, respectively. | |||
[2] | Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. |
Transactions with Shareholde108
Transactions with Shareholders (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Transactions with Shareholders [Line Items] | |||
Capital Stock Outstanding | $ 2,411,306,000 | $ 2,336,662,000 | |
Par Value of Advances | 39,114,855,000 | 35,967,783,000 | |
Total Accrued Interest Receivable | 84,653,000 | 84,442,000 | |
Interest income on advances | 337,150,000 | 239,365,000 | $ 227,308,000 |
Fees on letters of credit | 7,701,000 | 8,050,000 | 7,159,000 |
Prepayment fees on advances, net | 3,753,000 | 7,637,000 | 9,060,000 |
Citizens Bank, N.A. [Member] | |||
Transactions with Shareholders [Line Items] | |||
Capital Stock Outstanding | $ 357,508,000 | $ 308,280,000 | |
Percent of Total Capital Stock Outstanding | 14.60% | 13.00% | |
Par Value of Advances | $ 7,260,446,000 | $ 6,015,163,000 | |
Percentage of Total Par Value of Advances | 18.60% | 16.70% | |
Total Accrued Interest Receivable | $ 2,625,000 | $ 1,583,000 | |
Percent of Total Accrued Interest Receivable on Advances | 7.30% | 4.50% | |
Interest income on advances | $ 34,276,000 | $ 14,745,000 | 12,800,000 |
Fees on letters of credit | 3,059,000 | 3,768,000 | $ 3,753,000 |
Prepayment fees on advances, net | 368,000 | ||
Federal Home Loan Bank, advances, prepaid | 2,000,000 | ||
Directors' Financial Institutions [Member] | |||
Transactions with Shareholders [Line Items] | |||
Capital Stock Outstanding | $ 91,374,000 | $ 72,251,000 | |
Percent of Total Capital Stock Outstanding | 3.70% | 3.00% | |
Par Value of Advances | $ 1,554,753,000 | $ 1,064,489,000 | |
Percentage of Total Par Value of Advances | 4.00% | 3.00% | |
Total Accrued Interest Receivable | $ 1,631,000 | $ 1,297,000 | |
Percent of Total Accrued Interest Receivable on Advances | 4.50% | 3.70% | |
Minimum [Member] | |||
Transactions with Shareholders [Line Items] | |||
Definition of related party, minimum percent | 10.00% | ||
Definition of shareholder concentration, minimum percent | 10.00% |
Transactions with Other FHLB109
Transactions with Other FHLBanks (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Transactions with Other FHLBanks [Line Items] | |||
Debt obligations transferred from other Federal Home Loan Banks, par amount | $ 80,000 | ||
Debt obligations transferred from other Federal Home Loan Banks, fair value | $ 0 | 87,783 | $ 0 |
FHLBank of Chicago [Member] | |||
Transactions with Other FHLBanks [Line Items] | |||
MPF transaction-services fee expense | $ 2,000 | $ 1,800 | $ 1,600 |
Subsequent Events Subsequent Ev
Subsequent Events Subsequent Events (Details) - USD ($) $ in Thousands | Mar. 02, 2017 | Feb. 24, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Feb. 16, 2017 |
Subsequent Event [Line Items] | ||||||
Excess capital stock repurchased | $ 380,767 | $ 345,474 | $ 266,347 | |||
Common Class B [Member] | Subsequent Event [Member] | ||||||
Subsequent Event [Line Items] | ||||||
Annualized rate of cash dividend | 3.94% | |||||
Dividend, including dividends on mandatorily redeemable capital stock | $ 24,000 | |||||
Excess capital stock repurchased | $ 134,600 |