Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Oct. 31, 2017 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2017 | |
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 | 2,017 | |
Document Fiscal Period Focus | Q3 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Common Class A [Member] | ||
Entity Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 0 | |
Common Class B [Member] | ||
Entity Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 22,785,171 |
Statements of Condition (unaudi
Statements of Condition (unaudited) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
ASSETS | |||
Cash and due from banks | $ 31,774 | $ 520,031 | |
Interest-bearing deposits | 225,012 | 278 | |
Securities purchased under agreements to resell | 2,999,000 | 5,999,000 | |
Federal funds sold | 6,250,000 | 2,700,000 | |
Investment securities: | |||
Trading securities | 509,463 | 612,622 | |
Available-for-sale securities - includes $1,630 and $7,968 pledged as collateral at September 30, 2017, and December 31, 2016, respectively that may be repledged | 7,559,111 | 6,588,664 | |
Held-to-maturity securities - includes $7,021 and $23,618 pledged as collateral at September 30, 2017, and December 31, 2016, respectively that may be repledged | [1],[2] | 1,798,011 | 2,130,767 |
Total investment securities | 9,866,585 | 9,332,053 | |
Advances | 37,467,404 | 39,099,339 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $500 and $650 at September 30, 2017, and December 31, 2016, respectively | 3,942,776 | 3,693,894 | |
Accrued interest receivable | 84,886 | 84,653 | |
Premises, software, and equipment, net | 5,999 | 5,211 | |
Derivative assets, net | 48,163 | 61,598 | |
Other assets | 53,856 | 49,529 | |
Total Assets | 60,975,455 | 61,545,586 | |
Deposits | |||
Interest-bearing | 465,776 | 444,897 | |
Non-interest-bearing | 26,855 | 37,266 | |
Total deposits | 492,631 | 482,163 | |
Consolidated obligations (COs): | |||
Bonds | 28,492,595 | 27,171,434 | |
Discount notes | 28,047,762 | 30,053,964 | |
Total consolidated obligations | 56,540,357 | 57,225,398 | |
Mandatorily redeemable capital stock | 36,042 | 32,687 | |
Accrued interest payable | 100,148 | 80,822 | |
Affordable Housing Program (AHP) payable | 77,329 | 81,627 | |
Derivative liabilities, net | 309,675 | 357,876 | |
Other liabilities | 191,657 | 40,235 | |
Total liabilities | 57,747,839 | 58,300,808 | |
Commitments and contingencies (Note 18) | |||
Capital | |||
Capital stock – Class B – putable ($100 par value), 22,726 shares and 24,113 shares issued and outstanding at September 30, 2017, and December 31, 2016, respectively | 2,272,648 | 2,411,306 | |
Retained earnings: | |||
Unrestricted | 1,011,532 | 987,711 | |
Restricted | 253,750 | 229,275 | |
Total retained earnings | 1,265,282 | 1,216,986 | |
Accumulated other comprehensive loss | (310,314) | (383,514) | |
Total capital | 3,227,616 | 3,244,778 | |
Total Liabilities and Capital | $ 60,975,455 | $ 61,545,586 | |
[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 $ 2,076,570 and $2,372,290 at September 30, 2017 , and December 31, 2016 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Statement of Financial Position [Abstract] | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 1,630 | $ 7,968 |
Held-to-maturity securities pledged as collateral that may be repledged (a) | 7,021 | 23,618 |
Allowance for credit losses | 500 | 650 |
Fair value of held-to-maturity securities | $ 2,076,570 | $ 2,372,290 |
Common Class B [Member] | ||
Common Stock, Class B, putable shares issued | 22,726 | 24,113 |
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Common Stock, Class B, putable shares outstanding | 22,726 | 24,113 |
Statements of Operations (unaud
Statements of Operations (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
INTEREST INCOME | ||||
Advances | $ 136,260 | $ 84,830 | $ 370,579 | $ 244,060 |
Prepayment fees on advances, net | 202 | (35) | 496 | 2,897 |
Securities purchased under agreements to resell | 8,074 | 2,697 | 18,822 | 8,603 |
Federal funds sold | 16,622 | 5,200 | 39,614 | 15,992 |
Investment securities: | ||||
Trading securities | 2,767 | 2,182 | 8,077 | 6,623 |
Available-for-sale securities | 30,625 | 28,452 | 78,161 | 76,767 |
Held-to-maturity securities | 19,754 | 21,423 | 60,129 | 65,811 |
Prepayment fees on investments | 42 | 85 | 123 | 416 |
Total investment securities | 53,188 | 52,142 | 146,490 | 149,617 |
Mortgage loans held for portfolio | 31,656 | 29,874 | 92,592 | 90,856 |
Other | 822 | 171 | 1,549 | 414 |
Total interest income | 246,824 | 174,879 | 670,142 | 512,439 |
Consolidated obligations: | ||||
Bonds | 109,052 | 86,574 | 311,395 | 267,214 |
Discount notes | 65,120 | 23,011 | 157,767 | 68,287 |
Total consolidated obligations | 174,172 | 109,585 | 469,162 | 335,501 |
Deposits | 1,144 | 180 | 2,434 | 441 |
Mandatorily redeemable capital stock | 399 | 334 | 1,105 | 1,032 |
Other borrowings | 0 | 1 | 8 | 3 |
Total interest expense | 175,715 | 110,100 | 472,709 | 336,977 |
NET INTEREST INCOME | 71,109 | 64,779 | 197,433 | 175,462 |
Provision (reduction of provision) for credit losses | 28 | (94) | (148) | (194) |
NET INTEREST INCOME AFTER PROVISION (REDUCTION OF PROVISION) FOR CREDIT LOSSES | 71,081 | 64,873 | 197,581 | 175,656 |
OTHER INCOME (LOSS) | ||||
Total other-than-temporary impairment losses on investment securities | (12) | (568) | (102) | (1,653) |
Net amount of impairment losses reclassified (from) to accumulated other comprehensive loss | (420) | 197 | (1,316) | (1,068) |
Net other-than-temporary impairment losses on investment securities, credit portion | (432) | (371) | (1,418) | (2,721) |
Litigation settlements | 0 | 0 | 0 | 19,584 |
Loss on early extinguishment of debt | 0 | (184) | 0 | (1,484) |
Service fees | 2,228 | 1,948 | 6,362 | 5,850 |
Net unrealized losses on trading securities | (1,591) | (2,849) | (3,857) | (892) |
Net losses on derivatives and hedging activities | (6) | (1,922) | (388) | (11,120) |
Other | 397 | (65) | 358 | (203) |
Total other income (loss) | 596 | (3,443) | 1,057 | 9,014 |
OTHER EXPENSE | ||||
Compensation and benefits | 11,463 | 10,396 | 32,120 | 30,746 |
Other operating expenses | 5,749 | 5,792 | 17,704 | 16,939 |
Federal Housing Finance Agency (the FHFA) | 934 | 819 | 2,870 | 2,640 |
Office of Finance | 734 | 732 | 2,321 | 2,274 |
Other | 2,092 | 3,034 | 7,528 | 5,796 |
Total other expense | 20,972 | 20,773 | 62,543 | 58,395 |
INCOME BEFORE ASSESSMENTS | 50,705 | 40,657 | 136,095 | 126,275 |
AHP | 5,110 | 4,099 | 13,720 | 12,731 |
NET INCOME | $ 45,595 | $ 36,558 | $ 122,375 | $ 113,544 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 45,595 | $ 36,558 | $ 122,375 | $ 113,544 |
Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, before Tax, Portion Attributable to Parent [Abstract] | ||||
Net unrealized (losses) gains on available-for-sale securities | (61) | (17,325) | 42,439 | 62,446 |
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 | 420 | (196) | 1,316 | 1,068 |
Accretion of noncredit portion | 8,178 | 8,586 | 24,593 | 26,938 |
Total net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | 8,598 | 8,390 | 25,909 | 28,006 |
Net unrealized (losses) gains relating to hedging activities | ||||
Unrealized (losses) gains | (856) | 1,082 | (5,937) | (25,688) |
Reclassification adjustment for previously deferred hedging gains and losses included in net income | 2,161 | 5,341 | 9,875 | 19,445 |
Total net unrealized gains (losses) relating to hedging activities | 1,305 | 6,423 | 3,938 | (6,243) |
Pension and postretirement benefits | 305 | 210 | 914 | (2,256) |
Total other comprehensive income (loss) | 10,147 | (2,302) | 73,200 | 81,953 |
Comprehensive income | $ 55,742 | $ 34,256 | $ 195,575 | $ 195,497 |
Statements of Capital (unaudite
Statements of Capital (unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | $ 3,244,778 | $ 3,022,913 | ||
Comprehensive income | $ 55,742 | $ 34,256 | 195,575 | 195,497 |
Proceeds from sale of capital stock | 731,366 | 314,274 | ||
Repurchase of capital stock | (861,354) | (317,634) | ||
Shares reclassified to mandatorily redeemable capital stock | (8,670) | (40) | ||
Cash dividends on capital stock | (74,079) | (62,251) | ||
Period end | 3,227,616 | 3,152,759 | 3,227,616 | 3,152,759 |
Retained Earnings, Unrestricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | 987,711 | 934,214 | ||
Comprehensive income | 97,900 | 90,835 | ||
Cash dividends on capital stock | (74,079) | (62,251) | ||
Period end | 1,011,532 | 962,798 | 1,011,532 | 962,798 |
Retained Earnings, Restricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | 229,275 | 194,634 | ||
Comprehensive income | 24,475 | 22,709 | ||
Period end | 253,750 | 217,343 | 253,750 | 217,343 |
Retained Earnings, Total | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | 1,216,986 | 1,128,848 | ||
Comprehensive income | 122,375 | 113,544 | ||
Cash dividends on capital stock | (74,079) | (62,251) | ||
Period end | 1,265,282 | 1,180,141 | 1,265,282 | 1,180,141 |
Accumulated Other Comprehensive Loss | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period | (383,514) | (442,597) | ||
Comprehensive income | 73,200 | 81,953 | ||
Period end | $ (310,314) | $ (360,644) | $ (310,314) | $ (360,644) |
Common Class B [Member] | Capital Stock Class B - Putable | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning of period, shares | 24,113 | 23,367 | ||
Beginning of period | $ 2,411,306 | $ 2,336,662 | ||
Proceeds from sale of capital stock, shares | 7,314 | 3,143 | ||
Proceeds from sale of capital stock | $ 731,366 | $ 314,274 | ||
Repurchase of capital stock, shares | (8,614) | (3,176) | ||
Repurchase of capital stock | $ (861,354) | $ (317,634) | ||
Shares reclassified to mandatorily redeemable capital stock, shares | (87) | (1) | ||
Shares reclassified to mandatorily redeemable capital stock | $ (8,670) | $ (40) | ||
Period end, shares | 22,726 | 23,333 | 22,726 | 23,333 |
Period end | $ 2,272,648 | $ 2,333,262 | $ 2,272,648 | $ 2,333,262 |
Statements of Cash Flows (unaud
Statements of Cash Flows (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
OPERATING ACTIVITIES | |||||
Net income | $ 45,595 | $ 36,558 | $ 122,375 | $ 113,544 | |
Adjustments to reconcile net income to net cash provided by operating activities: | |||||
Depreciation and amortization | (5,690) | (23,463) | |||
Reduction of provision for credit losses | 28 | (94) | (148) | (194) | |
Change in net fair-value adjustments on derivatives and hedging activities | (10,293) | 17,856 | |||
Net other-than-temporary impairment losses on investment securities, credit portion | 432 | 371 | 1,418 | 2,721 | |
Loss on early extinguishment of debt | 0 | 184 | 0 | 1,484 | |
Other adjustments | 3,741 | 3,207 | |||
Net change in: | |||||
Market value of trading securities | 3,857 | 892 | |||
Accrued interest receivable | (238) | 7,390 | |||
Other assets | (1,522) | (304) | |||
Accrued interest payable | 19,326 | 11,849 | |||
Other liabilities | (1,343) | (11,614) | |||
Total adjustments | 9,108 | 9,824 | |||
Net cash provided by operating activities | 131,483 | 123,368 | |||
INVESTING ACTIVITIES | |||||
Interest-bearing deposits | (195,156) | (111,135) | |||
Securities purchased under agreements to resell | 3,000,000 | 2,951,000 | |||
Federal funds sold | (3,550,000) | (3,380,000) | |||
Premises, software, and equipment | (1,901) | (1,638) | |||
Trading securities: | |||||
Proceeds | 717,022 | 9,471 | |||
Purchases | (618,051) | (399,155) | |||
Available-for-sale securities: | |||||
Proceeds from long-term | 902,513 | 901,082 | |||
Purchases of long-term | (1,710,033) | (1,608,830) | |||
Held-to-maturity securities: | |||||
Proceeds from long-term | 376,797 | 425,936 | |||
Advances to members: | |||||
Proceeds | 361,435,261 | 255,534,514 | |||
Disbursements | (359,828,724) | (256,626,490) | |||
Mortgage loans held for portfolio: | |||||
Proceeds | 352,393 | 408,128 | |||
Purchases | (608,887) | (550,511) | |||
Proceeds from sale of foreclosed assets | 3,239 | 4,368 | |||
Net cash provided by (used in) investing activities | 274,473 | (2,443,260) | |||
FINANCING ACTIVITIES | |||||
Net change in deposits | 10,348 | 127,432 | |||
Net payments on derivatives with a financing element | (4,100) | (10,493) | |||
Net proceeds from issuance of consolidated obligations: | |||||
Discount notes | 125,580,345 | 114,582,795 | |||
Bonds | 7,821,400 | 15,435,348 | |||
Payments for maturing and retiring consolidated obligations: | |||||
Discount notes | (127,600,947) | (114,339,603) | |||
Bonds | (6,491,880) | (13,483,496) | |||
Proceeds from issuance of capital stock | 731,366 | 314,274 | |||
Payments for redemption of mandatorily redeemable capital stock | (5,315) | (8,217) | |||
Payments for repurchase of capital stock | (861,354) | (317,634) | |||
Cash dividends paid | (74,076) | (62,251) | |||
Net cash (used in) provided by financing activities | (894,213) | 2,238,155 | |||
Net decrease in cash and due from banks | (488,257) | (81,737) | |||
Cash and due from banks at beginning of the period | 520,031 | 254,218 | $ 254,218 | ||
Cash and due from banks at end of the period | $ 31,774 | $ 172,481 | 31,774 | 172,481 | 520,031 |
Supplemental disclosures: | |||||
Interest paid | 471,076 | 363,979 | |||
AHP payments | 16,217 | 12,739 | $ 18,575 | ||
Noncash transfers of mortgage loans held for portfolio to other assets | $ 1,588 | $ 2,657 |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation [Text Block] | Basis of Presentation |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies As of September 30, 2017 , we have not made any significant changes to the summary of significant accounting policies described in Item 8 — Financial Statements and Supplementary Data — Note 18 — Fair Values in the 2016 Annual Report other than described below. |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 9 Months Ended |
Sep. 30, 2017 | |
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 Targeted Improvements to Accounting for Hedging Activities, On August 28, 2017, the Financial Accounting Standards Board (FASB) issued amended guidance to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. This guidance requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item. For cash flow hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness must be recorded in other comprehensive income. In addition, the amendments include certain targeted improvements to the assessment of hedge effectiveness and permit, among other things, the following: • Measurement of the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception. • Measurement of the hedged item in a partial-term fair value hedge of interest-rate risk by assuming the hedged item has a term that reflects only the designated cash flows being hedged. • Consideration only of how changes in the benchmark interest rate affect a decision to settle a prepayable instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest-rate risk. • For a cash flow hedge of interest-rate risk of a variable-rate financial instrument, an entity could designate as the hedged risk the variability in cash flows attributable to the contractually specified interest-rate. • For a closed portfolio of prepayable financial assets or one or more beneficial interests secured by a portfolio of prepayable financial instruments, an entity can designate an amount that is not expected to be affected by prepayments, defaults, and other events affecting the timing and amount of cash flows (the “last-of-layer” method) into a hedging relationship. • An entity can perform subsequent assessments of hedge effectiveness qualitatively in instances where initial quantitative testing is required. • For financial instruments eligible to be designated as a hedged item under the last-of-layer method, a one-time reclassification of prepayable financial instruments from held-to-maturity to available-for-sale at the date of adoption is permitted. This guidance becomes effective for us for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. For all cash flow hedges existing on the date of adoption, this guidance should be applied through a cumulative-effect adjustment to accumulated other comprehensive income with a corresponding adjustment to retained earnings as of the beginning of the year of adoption. The amended presentation and disclosure guidance is required only prospectively. We do not intend to adopt this guidance early. We are in the process of evaluating this guidance, and its anticipated effect on our financial condition, results of operations, and cash flows has not yet been determined. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for us for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. We do not intend to adopt this guidance early. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. We currently do not have a significant amount of assets that are in scope to be evaluated under the updated guidance. As such, adoption of this guidance is not expected to have a material effect on our financial condition, results of operations, or cash flows. Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employers disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the income statement and allow only the service cost component of net benefit cost to be eligible for capitalization. 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 retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the income statement and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit in assets. The changes outlined in the guidance will primarily impact the presentation of the income statement, but will not impact net income. As such, adoption of this guidance is not expected to have a material effect on our financial condition, results of operations, or 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. On March 14, 2016, the FASB issued amendments 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. We adopted this guidance on January 1, 2017. The adoption of this guidance did not have any effect on our financial condition, results of operations, or 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; and • 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. |
Trading Securities
Trading Securities | 9 Months Ended |
Sep. 30, 2017 | |
Trading Securities [Abstract] | |
Trading Securities (and Certain Trading Assets) Disclosure [Text Block] | Trading Securities Major Security Types . Our trading securities as of September 30, 2017 , and December 31, 2016 , were (dollars in thousands): September 30, 2017 December 31, 2016 U.S. Treasury obligations $ 309,498 $ 399,521 Mortgage backed securities (MBS) U.S. government-guaranteed – single-family 7,207 8,494 Government-sponsored enterprise (GSE)s – single-family 440 768 GSEs – multifamily 192,318 203,839 199,965 213,101 Total $ 509,463 $ 612,622 Net unrealized losses on trading securities for the nine months ended September 30, 2017 , and 2016 , amounted to $3.9 million and $892,000 for securities held on September 30, 2017 , and 2016 , respectively. |
Available-for-Sale Securities
Available-for-Sale Securities | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 , 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) $ 20,470 $ — $ (1,927 ) $ 18,543 Supranational institutions 445,886 — (24,394 ) 421,492 U.S. government-owned corporations 317,205 — (30,812 ) 286,393 GSEs 130,269 — (10,236 ) 120,033 913,830 — (67,369 ) 846,461 MBS U.S. government guaranteed – single-family 104,886 66 (2,253 ) 102,699 U.S. government guaranteed – multifamily 470,866 — (2,896 ) 467,970 GSEs – single-family 4,551,950 5,441 (29,370 ) 4,528,021 GSEs – multifamily 1,611,949 2,945 (934 ) 1,613,960 6,739,651 8,452 (35,453 ) 6,712,650 Total $ 7,653,481 $ 8,452 $ (102,822 ) $ 7,559,111 _______________________ (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, 2016 , were (dollars in thousands): Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value 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. The following table summarizes our available-for-sale securities with unrealized losses as of September 30, 2017 , 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 $ 18,543 $ (1,927 ) $ — $ — $ 18,543 $ (1,927 ) Supranational institutions — — 421,492 (24,394 ) 421,492 (24,394 ) U.S. government-owned corporations — — 286,393 (30,812 ) 286,393 (30,812 ) GSEs — — 120,033 (10,236 ) 120,033 (10,236 ) 18,543 (1,927 ) 827,918 (65,442 ) 846,461 (67,369 ) MBS U.S. government guaranteed – single-family 75,908 (2,253 ) — — 75,908 (2,253 ) U.S. government guaranteed – multifamily 293,802 (1,418 ) 174,168 (1,478 ) 467,970 (2,896 ) GSEs – single-family 2,437,249 (16,871 ) 779,735 (12,499 ) 3,216,984 (29,370 ) GSEs – multifamily 962,206 (934 ) — — 962,206 (934 ) 3,769,165 (21,476 ) 953,903 (13,977 ) 4,723,068 (35,453 ) Total temporarily impaired $ 3,787,708 $ (23,403 ) $ 1,781,821 $ (79,419 ) $ 5,569,529 $ (102,822 ) 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 ) Redemption Terms. The amortized cost and fair value of our available-for-sale securities by contractual maturity at September 30, 2017 , and December 31, 2016 , were (dollars in thousands): September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ — $ — $ — $ — Due after one year through five years 16,950 15,523 9,350 8,146 Due after five years through 10 years 449,405 424,512 171,589 161,746 Due after 10 years 447,475 406,426 728,818 650,299 913,830 846,461 909,757 820,191 MBS (1) 6,739,651 6,712,650 5,815,716 5,768,473 Total $ 7,653,481 $ 7,559,111 $ 6,725,473 $ 6,588,664 _______________________ (1) |
Held-to-Maturity Securities
Held-to-Maturity Securities | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 , 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 $ 1,391 $ — $ 1,391 $ 28 $ — $ 1,419 HFA securities 157,479 — 157,479 23 (17,525 ) 139,977 158,870 — 158,870 51 (17,525 ) 141,396 MBS U.S. government guaranteed – single-family 10,705 — 10,705 233 — 10,938 U.S. government guaranteed – multifamily 373 — 373 — — 373 GSEs – single-family 619,442 — 619,442 12,841 (147 ) 632,136 GSEs – multifamily 294,039 — 294,039 8,839 — 302,878 Private-label – residential 871,152 (166,346 ) 704,806 278,651 (4,195 ) 979,262 Asset-backed securities (ABS) backed by home equity loans 9,899 (123 ) 9,776 280 (469 ) 9,587 1,805,610 (166,469 ) 1,639,141 300,844 (4,811 ) 1,935,174 Total $ 1,964,480 $ (166,469 ) $ 1,798,011 $ 300,895 $ (22,336 ) $ 2,076,570 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 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 The following table summarizes our held-to-maturity securities with unrealized losses as of September 30, 2017 , 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 $ — $ — $ 126,190 $ (17,525 ) $ 126,190 $ (17,525 ) MBS GSEs – single-family 17,966 (12 ) 18,635 (135 ) 36,601 (147 ) Private-label – residential — — 190,124 (7,644 ) 190,124 (7,644 ) ABS backed by home equity loans — — 8,480 (471 ) 8,480 (471 ) 17,966 (12 ) 217,239 (8,250 ) 235,205 (8,262 ) Total $ 17,966 $ (12 ) $ 343,429 $ (25,775 ) $ 361,395 $ (25,787 ) 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 ) Redemption Terms. The amortized cost, carrying value, and fair value of our held-to-maturity securities by contractual maturity at September 30, 2017 , and December 31, 2016 , 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. September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Carrying Value (1) Fair Value Amortized Cost Carrying Value (1) Fair Value Due in one year or less $ 109 $ 109 $ 111 $ — $ — $ — Due after one year through five years 15,046 15,046 15,095 16,637 16,637 16,663 Due after five years through 10 years — — — — — — Due after 10 years 143,715 143,715 126,190 148,090 148,090 128,840 158,870 158,870 141,396 164,727 164,727 145,503 MBS (2) 1,805,610 1,639,141 1,935,174 2,158,418 1,966,040 2,226,787 Total $ 1,964,480 $ 1,798,011 $ 2,076,570 $ 2,323,145 $ 2,130,767 $ 2,372,290 _______________________ (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) |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 . At September 30, 2017 , 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 September 30, 2017 . Private-Label Residential MBS and ABS Backed by Home Equity Loans. For those securities for which a credit loss was recognized during the three months ended September 30, 2017 , 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) $ 58,723 8.7 % 32.2 % 36.5 % 11.8 % _______________________ (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 September 30, 2017 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance. September 30, 2017 Other-Than-Temporarily Impaired Investment (1) Par Value Amortized Cost Carrying Value Fair Value Private-label residential MBS – Prime $ 32,645 $ 27,934 $ 21,911 $ 30,054 Private-label residential MBS – Alt-A 976,435 722,033 561,711 832,077 ABS backed by home equity loans – Subprime 1,230 995 872 1,153 Total other-than-temporarily impaired securities $ 1,010,310 $ 750,962 $ 584,494 $ 863,284 _______________________ (1) We have instituted litigation related to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate. The following table presents a roll-forward of the amounts related to credit losses recognized in earnings. The roll-forward is the amount of credit losses on investment securities for which we recognized a portion of other-than-temporary impairment charges into accumulated other comprehensive loss (dollars in thousands). For the Three Months Ended September 30, For the Nine Months Ended September 30, 2017 2016 2017 2016 Balance at beginning of period $ 468,706 $ 516,922 $ 490,404 $ 533,888 Additions: Credit losses for which other-than-temporary impairment was not previously recognized — 6 — 6 Additional credit losses for which an other-than-temporary impairment charge was previously recognized (1) 432 365 1,418 2,715 Reductions: Securities matured during the period (2) — — (5,565 ) — Increase in cash flows expected to be collected which are recognized over the remaining life of the security (3) (8,356 ) (9,613 ) (25,475 ) (28,929 ) Balance at end of period $ 460,782 $ 507,680 $ 460,782 $ 507,680 _______________________ (1) For the three months ended September 30, 2017 and 2016 , additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to July 1, 2017 and 2016 , respectively. For the nine months ended September 30, 2017 and 2016 , 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, 2017 and 2016 , respectively. (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) |
Advances
Advances | 9 Months Ended |
Sep. 30, 2017 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances General Terms. At both September 30, 2017 , and December 31, 2016 , we had advances outstanding with interest rates ranging from zero percent to 7.72 percent as summarized below (dollars in thousands). September 30, 2017 December 31, 2016 Year of Contractual Maturity Amount Weighted Average Rate Amount Weighted Average Rate Overdrawn demand-deposit accounts $ 7,177 1.46 % $ 3,780 0.92 % Due in one year or less 19,459,542 1.40 18,783,802 1.05 Due after one year through two years 9,114,490 1.47 10,966,780 1.15 Due after two years through three years 3,213,137 1.76 2,508,459 1.67 Due after three years through four years 1,564,384 1.81 2,177,432 1.64 Due after four years through five years 2,264,058 1.77 2,041,269 1.80 Thereafter 1,885,862 2.16 2,633,333 1.70 Total par value 37,508,650 1.52 % 39,114,855 1.23 % Premiums 19,382 22,633 Discounts (30,511 ) (25,847 ) Fair value of bifurcated derivatives (1) 812 (153 ) Hedging adjustments (30,929 ) (12,149 ) Total $ 37,467,404 $ 39,099,339 _________________________ (1) At September 30, 2017 , and December 31, 2016 , we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives. At September 30, 2017 , and December 31, 2016 , 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 $ 6.0 billion and $7.9 billion , respectively. 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 September 30, 2017 December 31, 2016 Overdrawn demand-deposit accounts $ 7,177 $ 3,780 Due in one year or less 25,208,717 26,447,977 Due after one year through two years 3,766,490 3,693,780 Due after two years through three years 3,037,937 2,508,459 Due after three years through four years 1,554,384 2,002,232 Due after four years through five years 2,102,058 1,891,269 Thereafter 1,831,887 2,567,358 Total par value $ 37,508,650 $ 39,114,855 _______________________ (1) Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. At September 30, 2017 , and December 31, 2016 , we had putable advances outstanding totaling $ 2.2 billion and $3.4 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 September 30, 2017 December 31, 2016 Overdrawn demand-deposit accounts $ 7,177 $ 3,780 Due in one year or less 20,854,942 20,788,552 Due after one year through two years 9,514,740 10,946,530 Due after two years through three years 3,124,637 2,455,709 Due after three years through four years 1,407,484 1,974,932 Due after four years through five years 1,602,058 1,736,769 Thereafter 997,612 1,208,583 Total par value $ 37,508,650 $ 39,114,855 Interest-Rate-Payment Terms. The following table details interest-rate-payment types for our outstanding advances (dollars in thousands): Par value of advances September 30, 2017 December 31, 2016 Fixed-rate $ 30,721,798 $ 30,526,192 Variable-rate 6,786,852 8,588,663 Total par value $ 37,508,650 $ 39,114,855 Credit-Risk Exposure and Security Terms . At September 30, 2017 , and December 31, 2016 , we had $12.1 billion and $16.2 billion , respectively, of advances issued to members with at least $1.0 billion of advances outstanding. These advances were made to five borrowers and six borrowers, respectively, as of September 30, 2017 , and December 31, 2016 , representing 32.3 percent and 41.5 percent |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portofolio [Text Block] | Mortgage Loans Held for Portfolio We invest in mortgage loans through the Mortgage Partnership Finance ® (MPF ® program). These 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 following table presents certain characteristics of these investments (dollars in thousands): September 30, 2017 December 31, 2016 Real estate Fixed-rate 15-year single-family mortgages $ 489,503 $ 528,486 Fixed-rate 20- and 30-year single-family mortgages 3,382,217 3,098,476 Premiums 70,092 67,523 Discounts (1,555 ) (1,696 ) Deferred derivative gains, net 3,019 1,755 Total mortgage loans held for portfolio 3,943,276 3,694,544 Less: allowance for credit losses (500 ) (650 ) Total mortgage loans, net of allowance for credit losses $ 3,942,776 $ 3,693,894 The following table details the par value of mortgage loans held for portfolio (dollars in thousands): September 30, 2017 December 31, 2016 Conventional mortgage loans $ 3,500,469 $ 3,235,835 Government mortgage loans 371,251 391,127 Total par value $ 3,871,720 $ 3,626,962 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 | 9 Months Ended |
Sep. 30, 2017 | |
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. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report. Secured Member Credit Products We manage our credit exposure to secured member credit products through an integrated approach that generally includes establishing a credit limit for each borrower, an ongoing review of each borrower's financial condition, and collateral and lending policies that are intended to limit risk of loss while balancing borrowers' needs for a reliable source of funding. At September 30, 2017 , and December 31, 2016 , 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 nine months ended September 30, 2017 and 2016 . 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 September 30, 2017 , and December 31, 2016 . At September 30, 2017 , and December 31, 2016 , no liability to reflect an allowance for credit losses for off-balance-sheet credit exposures was recorded. See Note 18 — Commitments and Contingencies for additional information on our off-balance-sheet credit exposure. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report. Government Mortgage Loans Held for Portfolio Based on our assessment of our servicers for our government loans, there is no allowance for credit losses for the government mortgage loan portfolio as of September 30, 2017 , and December 31, 2016 . In addition, these mortgage loans are not placed on nonaccrual status due to the government guarantee or insurance on these loans and the contractual obligation of the loan servicers to repurchase their related loans when certain criteria are met. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report. Conventional Mortgage Loans Held for Portfolio For information on our conventional mortgage loans held for portfolio see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report. Credit Quality Indicators. Key credit quality indicators for mortgage loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. The tables below set forth certain key credit quality indicators for our investments in mortgage loans at September 30, 2017 , and December 31, 2016 (dollars in thousands): September 30, 2017 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 24,577 $ 12,131 $ 36,708 Past due 60-89 days delinquent 5,741 3,190 8,931 Past due 90 days or more delinquent 15,492 5,121 20,613 Total past due 45,810 20,442 66,252 Total current loans 3,535,765 360,928 3,896,693 Total mortgage loans $ 3,581,575 $ 381,370 $ 3,962,945 Other delinquency statistics In process of foreclosure, included above (1) $ 7,201 $ 1,888 $ 9,089 Serious delinquency rate (2) 0.45 % 1.34 % 0.54 % Past due 90 days or more still accruing interest $ — $ 5,121 $ 5,121 Loans on nonaccrual status (3) $ 16,020 $ — $ 16,020 _______________________ (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, 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. For information on how we collectively and individually evaluate mortgage loans for impairment see Item 8 — Financial Statements and Supplementary Data — Note 10 — Allowance for Credit Losses in the 2016 Annual Report. 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 September 30, 2017 , and December 31, 2016 , and the average recorded investment and interest income recognized on these loans during the three and nine months ended September 30, 2017 and 2016 (dollars in thousands). As of September 30, 2017 As of December 31, 2016 Recorded Investment Par Value Recorded Investment Par Value Individually evaluated impaired mortgage loans with no related allowance $ 18,786 $ 18,751 $ 22,945 $ 22,905 For the Three Months Ended September 30, 2017 2016 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 18,645 $ 91 $ 23,492 $ 116 For the Nine Months Ended September 30, 2017 2016 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 19,614 $ 314 $ 24,728 $ 298 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. Previously, conventional mortgage loans were required to be credit enhanced so that the risk of loss was limited to the losses equivalent to an investment in a double-A rated MBS at the time of purchase. The FHFA final rule on acquired member assets (AMA) went into effect on January 18, 2017, allowing each FHLBank to utilize its own model to determine the credit enhancement for AMA loan assets and pool loans in lieu of a nationally recognized statistical ratings organization (NRSRO) ratings model. Upon effectiveness of the final AMA rule, we determined that assets delivered to us must be credit enhanced at our determined “AMA investment grade” of a double-A rated MBS. In March 2017, we determined that assets delivered to us must be credit enhanced at our revised determination of “AMA investment grade” of a single-A-minus rated MBS. This revision had no impact on the September 30, 2017 , allowance for credit losses. 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 may be 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 single-A-minus rated MBS and our initial first-loss account exposure. Roll-Forward of Allowance for Credit Losses on Mortgage Loans. The following table presents a roll-forward of the allowance for credit losses on conventional mortgage loans for the three and nine months ended September 30, 2017 and 2016 , as well as the recorded investment in mortgage loans by impairment methodology at September 30, 2017 and 2016 (dollars in thousands). The recorded investment in a loan is the par amount of the loan, adjusted for accrued interest, unamortized premiums or discounts, deferred derivative gains and losses, and direct write-downs. The recorded investment is net of any valuation allowance. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2017 2016 2017 2016 Allowance for credit losses Balance, beginning of period $ 500 $ 900 $ 650 $ 1,025 Charge-offs, net of recoveries (28 ) (6 ) (2 ) (31 ) Provision (reduction of provision) for credit losses 28 (94 ) (148 ) (194 ) Balance, end of period $ 500 $ 800 $ 500 $ 800 Ending balance, individually evaluated for impairment $ — $ — $ — $ — Ending balance, collectively evaluated for impairment $ 500 $ 800 $ 500 $ 800 Recorded investment, end of period (1) Individually evaluated for impairment $ 18,786 $ 22,950 $ 18,786 $ 22,950 Collectively evaluated for impairment $ 3,562,789 $ 3,296,946 $ 3,562,789 $ 3,296,946 _________________________ (1) |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities The following table presents the notional amount and fair value of derivatives (excluding fair value adjustments related to variation margin for daily settled contracts) and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments, cash collateral, and variation margin for daily settled contracts as of September 30, 2017 , and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 14,385,569 $ 41,366 $ (341,616 ) $ 18,215,809 $ 52,715 $ (413,026 ) Forward-start interest-rate swaps 527,800 — (41,974 ) 527,800 — (36,250 ) Total derivatives designated as hedging instruments 14,913,369 41,366 (383,590 ) 18,743,609 52,715 (449,276 ) Derivatives not designated as hedging instruments Economic hedges: Interest-rate swaps 1,206,400 1,699 (7,191 ) 1,199,000 2,293 (10,840 ) CO bond firm commitments 50,000 56 — — — — Mortgage-delivery commitments (1) 62,221 76 (110 ) 22,524 70 (171 ) Total derivatives not designated as hedging instruments 1,318,621 1,831 (7,301 ) 1,221,524 2,363 (11,011 ) Total notional amount of derivatives $ 16,231,990 $ 19,965,133 Total derivatives before netting and collateral adjustments 43,197 (390,891 ) 55,078 (460,287 ) Netting adjustments, cash collateral, and variation margin for daily settled contracts including related accrued interest (2) 4,966 81,216 6,520 102,411 Derivative assets and derivative liabilities $ 48,163 $ (309,675 ) $ 61,598 $ (357,876 ) _______________________ (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 $48.5 million and $109.8 million at September 30, 2017 , and December 31, 2016 , 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 $731,000 and $850,000 at September 30, 2017 , and December 31, 2016 , respectively. Variation margin for daily settled contracts was $38.5 million at September 30, 2017 . Net (losses) gains on derivatives and hedging activities recorded in Other Income (Loss) for the three and nine months ended September 30, 2017 and 2016 , were as follows (dollars in thousands): For the Three Months Ended September 30, For the Nine Months Ended September 30, 2017 2016 2017 2016 Derivatives designated as hedging instruments Interest-rate swaps $ (876 ) $ (3,278 ) $ (2,287 ) $ (8,529 ) Forward-start interest-rate swaps (18 ) (22 ) 213 (558 ) Total net losses related to derivatives designated as hedging instruments (894 ) (3,300 ) (2,074 ) (9,087 ) Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 14 1,186 (208 ) (3,531 ) Interest-rate caps or floors — (59 ) — (59 ) CO bond firm commitments 56 — 56 — Mortgage-delivery commitments 692 251 1,556 1,557 Total net gains (losses) related to derivatives not designated as hedging instruments 762 1,378 1,404 (2,033 ) Other (1) 126 — 282 — Net losses on derivatives and hedging activities $ (6 ) $ (1,922 ) $ (388 ) $ (11,120 ) ______________ (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedge relationships and the impact of those derivatives on our net interest income for the three and nine months ended September 30, 2017 and 2016 (dollars in thousands): For the Three Months Ended September 30, 2017 Gain on Derivative Loss on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 9,382 $ (8,881 ) $ 501 $ (2,878 ) Investments 5,007 (4,503 ) 504 (7,879 ) COs – bonds 2,018 (3,899 ) (1,881 ) 242 Total $ 16,407 $ (17,283 ) $ (876 ) $ (10,515 ) For the Three Months Ended September 30, 2016 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 71,032 $ (70,859 ) $ 173 $ (22,547 ) Investments 10,255 (9,810 ) 445 (8,788 ) COs – bonds (16,705 ) 12,809 (3,896 ) 6,500 Total $ 64,582 $ (67,860 ) $ (3,278 ) $ (24,835 ) For the Nine Months Ended September 30, 2017 Gain on Derivative Loss on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 19,150 $ (18,780 ) $ 370 $ (24,566 ) Investments 8,412 (7,047 ) 1,365 (24,319 ) COs – bonds 19,813 (23,835 ) (4,022 ) 6,965 Total $ 47,375 $ (49,662 ) $ (2,287 ) $ (41,920 ) For the Nine Months Ended September 30, 2016 Loss on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ (23,045 ) $ 22,029 $ (1,016 ) $ (78,799 ) Investments (66,030 ) 67,215 1,185 (26,682 ) COs – bonds (5,874 ) (2,824 ) (8,698 ) 21,730 Total $ (94,949 ) $ 86,420 $ (8,529 ) $ (83,751 ) ______________ (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) Gains 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) (Losses) Gains Recognized in Net Losses on Derivatives and Hedging Activities (Ineffective Portion) Interest-rate swaps - CO bonds For the Three Months Ended September 30, 2017 $ (856 ) Interest expense $ (2,158 ) $ (18 ) For the Three Months Ended September 30, 2016 1,082 Interest expense (5,337 ) (22 ) For the Nine Months Ended September 30, 2017 (5,937 ) Interest expense (9,865 ) 213 For the Nine Months Ended September 30, 2016 (25,688 ) Interest expense (19,434 ) (558 ) For the nine months ended September 30, 2017 and 2016 , 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 September 30, 2017 , the maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is seven years . As of September 30, 2017 , 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 $3.4 million . Managing Credit Risk on Derivatives. We enter into derivatives that we clear (cleared derivatives) with a DCO, our counterparty for such derivatives. We also enter into derivatives that are not cleared (uncleared derivatives) under master- netting agreements. 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 Investors Services (Moody's) or Standard & Poor's Rating Service (S&P) to a certain level, we are required to deliver additional collateral on uncleared derivatives in a net liability position. In the event of a split between such credit ratings, the lower rating governs. The aggregate fair value of all uncleared derivatives with these provisions that were in a net-liability position (before cash collateral and related accrued interest) at September 30, 2017 , was $328.0 million for which we had delivered collateral with a post-haircut value of $304.5 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 in case of an incremental credit rating downgrades at September 30, 2017 . Post Haircut Value of Incremental Collateral to be Delivered as of September 30, 2017 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 8,662 AA or AA- A+, A or A- 8,344 A+, A or A- below A- 24,524 _______________________ (1) Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. For cleared derivatives, the DCO 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 utilize two DCOs, for all cleared derivative transactions, CME Inc. and LCH Ltd. Effective January 3, 2017, CME Inc. made certain amendments to its rulebook, changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral. We continue to characterize our variation margin related to LCH Ltd. contracts as cash collateral. At both DCOs, initial margin is considered cash collateral. 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 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. For cleared derivatives, the DCO determines initial margin requirements. We clear our trades via clearing members of the DCOs. The clearing members who act as our agent to the DCOs are U.S. Commodity Futures Trading Commission (the CFTC) registered futures commission merchants. Our clearing members may require us to post margin in excess of DCO requirements based on our credit or other considerations, including but not limited to, credit rating downgrades. We were not required to post any such excess margin by our clearing members based on credit considerations at September 30, 2017 . Offsetting of Certain Derivatives. We present derivatives, any related cash collateral, including initial and certain 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 September 30, 2017 , and December 31, 2016 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 and variation margin for daily settled contracts. September 30, 2017 December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives meeting netting requirements Gross recognized amount Uncleared derivatives $ 8,964 $ (335,850 ) $ 12,594 $ (405,310 ) Cleared derivatives 34,157 (54,931 ) 42,414 (54,806 ) Total gross recognized amount 43,121 (390,781 ) 55,008 (460,116 ) Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives (8,277 ) 26,285 (12,028 ) 47,605 Cleared derivatives 13,243 54,931 18,548 54,806 Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts 4,966 81,216 6,520 102,411 Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives 687 (309,565 ) 566 (357,705 ) Cleared derivatives 47,400 — 60,962 — Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 48,087 (309,565 ) 61,528 (357,705 ) Derivatives not meeting netting requirements Mortgage delivery commitments 76 (110 ) 70 (171 ) Total derivative assets and total derivative liabilities Uncleared derivatives 687 (309,565 ) 566 (357,705 ) Cleared derivatives 47,400 — 60,962 — Mortgage delivery commitments 76 (110 ) 70 (171 ) Total derivative assets and total derivative liabilities presented in the statement of condition 48,163 (309,675 ) 61,598 (357,876 ) Non-cash collateral received or pledged not offset (1) Can be sold or repledged Uncleared derivatives — 8,715 — 30,306 Cannot be sold or repledged Uncleared derivatives — 283,008 — 290,444 Total non-cash collateral received or pledged, not offset — 291,723 — 320,750 Net amount Uncleared derivatives 687 (17,842 ) 566 (36,955 ) Cleared derivatives 47,400 — 60,962 — Mortgage delivery commitments 76 (110 ) 70 (171 ) Total net amount $ 48,163 $ (17,952 ) $ 61,598 $ (37,126 ) _______________________ (1) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At September 30, 2017 , and December 31, 2016 , we had additional net credit exposure of $32,000 and $2.0 million |
Deposits
Deposits | 9 Months Ended |
Sep. 30, 2017 | |
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. We classify these items as "other" in the following table. The following table details interest- and noninterest-bearing deposits (dollars in thousands): September 30, 2017 December 31, 2016 Interest-bearing Demand and overnight $ 463,622 $ 440,731 Other 2,154 4,166 Noninterest-bearing Other 26,855 37,266 Total deposits $ 492,631 $ 482,163 |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations COs - Bonds. The following table sets forth the outstanding CO bonds for which we were primarily liable at September 30, 2017 , and December 31, 2016 , by year of contractual maturity (dollars in thousands): September 30, 2017 December 31, 2016 Year of Contractual Maturity Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 12,269,090 1.36 % $ 8,734,955 1.43 % Due after one year through two years 6,396,080 1.44 7,752,420 1.19 Due after two years through three years 3,077,000 1.89 3,297,120 1.63 Due after three years through four years 1,776,055 1.72 1,637,335 1.87 Due after four years through five years 1,938,535 1.83 2,574,375 1.65 Thereafter 2,995,650 2.75 3,135,745 2.70 Total par value 28,452,410 1.62 % 27,131,950 1.58 % Premiums 94,425 118,145 Discounts (14,320 ) (14,906 ) Hedging adjustments (39,920 ) (63,755 ) $ 28,492,595 $ 27,171,434 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. Our CO bonds outstanding at September 30, 2017 , and December 31, 2016 , included (dollars in thousands): September 30, 2017 December 31, 2016 Par value of CO bonds Noncallable and nonputable $ 24,469,410 $ 22,388,950 Callable 3,983,000 4,743,000 Total par value $ 28,452,410 $ 27,131,950 The following is a summary of the CO bonds for which we were primarily liable at September 30, 2017 , and December 31, 2016 , by year of contractual maturity or next call date for callable CO bonds (dollars in thousands): Year of Contractual Maturity or Next Call Date September 30, 2017 December 31, 2016 Due in one year or less $ 15,274,090 $ 12,858,955 Due after one year through two years 6,376,080 7,013,420 Due after two years through three years 2,956,000 2,904,120 Due after three years through four years 1,039,055 1,289,335 Due after four years through five years 1,128,535 1,242,375 Thereafter 1,678,650 1,823,745 Total par value $ 28,452,410 $ 27,131,950 The following table sets forth the CO bonds for which we were primarily liable by interest-rate-payment type at September 30, 2017 , and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Par value of CO bonds Fixed-rate $ 20,483,410 $ 20,289,950 Simple variable-rate 6,492,000 5,300,000 Step-up 1,477,000 1,542,000 Total par value $ 28,452,410 $ 27,131,950 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) September 30, 2017 $ 28,047,762 $ 28,074,966 1.03 % December 31, 2016 $ 30,053,964 $ 30,070,103 0.47 % _______________________ (1) |
Affordable Housing Program
Affordable Housing Program | 9 Months Ended |
Sep. 30, 2017 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program The following table presents a roll-forward of the AHP liability for the nine months ended September 30, 2017 , and year ended December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Balance at beginning of period $ 81,627 $ 82,081 AHP expense for the period 13,720 19,397 AHP direct grant disbursements (16,217 ) (18,575 ) AHP subsidy for AHP advance disbursements (1,876 ) (1,378 ) Return of previously disbursed grants and subsidies 75 102 Balance at end of period $ 77,329 $ 81,627 |
Capital
Capital | 9 Months Ended |
Sep. 30, 2017 | |
Capital [Abstract] | |
Capital [Text Block] | Capital We are subject to capital requirements under our capital plan, the Federal Home Loan Bank Act of 1932, as amended (the FHLBank Act), and FHFA regulations: 1. Risk-based capital. We are required to maintain at all times permanent capital, defined as Class B stock, including Class B stock classified as mandatorily redeemable capital stock, and retained earnings, in an amount at least equal to the sum of our credit-risk capital requirement, market-risk capital requirement, and operations-risk capital requirement, calculated in accordance with FHFA rules and regulations, referred to herein as the risk-based capital requirement. Only permanent capital satisfies the risk-based capital requirement. 2. Total regulatory capital. We are required to maintain at all times a total capital-to-assets ratio of at least four percent . Total regulatory capital is the sum of permanent capital, the amount paid-in for Class A stock, the amount of any general loss allowance if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the FHFA as available to absorb losses. We have never issued Class A stock. 3. Leverage capital. We are required to maintain at all times a leverage capital-to-assets ratio of at least five percent . Leverage capital is defined as the sum of permanent capital weighted 1.5 times and all other capital without a weighting factor. The FHFA may require us to maintain a greater amount of permanent capital than is required as defined by the risk-based capital requirements. The following tables demonstrate our compliance with our regulatory capital requirements at September 30, 2017 , and December 31, 2016 (dollars in thousands): Risk-Based Capital Requirements September 30, December 31, Permanent capital Class B capital stock $ 2,272,648 $ 2,411,306 Mandatorily redeemable capital stock 36,042 32,687 Retained earnings 1,265,282 1,216,986 Total permanent capital $ 3,573,972 $ 3,660,979 Risk-based capital requirement Credit-risk capital $ 348,381 $ 355,182 Market-risk capital 166,807 118,765 Operations-risk capital 154,556 142,184 Total risk-based capital requirement $ 669,744 $ 616,131 Permanent capital in excess of risk-based capital requirement $ 2,904,228 $ 3,044,848 September 30, 2017 December 31, 2016 Required Actual Required Actual Capital Ratio Risk-based capital $ 669,744 $ 3,573,972 $ 616,131 $ 3,660,979 Total regulatory capital $ 2,439,018 $ 3,573,972 $ 2,461,823 $ 3,660,979 Total capital-to-asset ratio 4.0 % 5.9 % 4.0 % 5.9 % Leverage Ratio Leverage capital $ 3,048,773 $ 5,360,958 $ 3,077,279 $ 5,491,469 Leverage capital-to-assets ratio 5.0 % 8.8 % 5.0 % 8.9 % |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Loss | 9 Months Ended |
Sep. 30, 2017 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Loss [Text Block] | Accumulated Other Comprehensive Loss The following table presents a summary of changes in accumulated other comprehensive loss for the three and nine months ended September 30, 2017 and 2016 (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, June 30, 2016 $ (57,947 ) $ (210,169 ) $ (83,903 ) $ (6,323 ) $ (358,342 ) Other comprehensive income (loss) before reclassifications: Net unrealized (losses) gains (17,325 ) — 1,082 — (16,243 ) Noncredit other-than-temporary impairment losses — (486 ) — — (486 ) Accretion of noncredit loss — 8,586 — — 8,586 Net actuarial loss — — — (15 ) (15 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 290 — — 290 Amortization - hedging activities (2) — — 5,341 — 5,341 Amortization - pension and postretirement benefits (3) — — — 225 225 Other comprehensive (loss) income (17,325 ) 8,390 6,423 210 (2,302 ) Balance, September 30, 2016 $ (75,272 ) $ (201,779 ) $ (77,480 ) $ (6,113 ) $ (360,644 ) Balance, June 30, 2017 $ (94,309 ) $ (175,068 ) $ (45,554 ) $ (5,530 ) $ (320,461 ) Other comprehensive income (loss) before reclassifications: Net unrealized losses (61 ) — (856 ) — (917 ) Accretion of noncredit loss — 8,178 — — 8,178 Net actuarial gain — — — 112 112 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 420 — — 420 Amortization - hedging activities (4) — — 2,161 — 2,161 Amortization - pension and postretirement benefits (3) — — — 193 193 Other comprehensive (loss) income (61 ) 8,598 1,305 305 10,147 Balance, September 30, 2017 $ (94,370 ) $ (166,470 ) $ (44,249 ) $ (5,225 ) $ (310,314 ) _______________________ (1) Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. (2) Amortization of hedging activities includes $5.3 million recorded in CO bond interest expense and $4,000 recorded in net gains (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 $2.2 million recorded in CO bond interest expense and $4,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations. Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss Balance, December 31, 2015 $ (137,718 ) $ (229,785 ) $ (71,237 ) $ (3,857 ) $ (442,597 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 62,446 — (25,688 ) — 36,758 Noncredit other-than-temporary impairment losses — (1,142 ) — — (1,142 ) Accretion of noncredit loss — 26,938 — — 26,938 Net actuarial loss — — — (2,931 ) (2,931 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 2,210 — — 2,210 Amortization - hedging activities (2) — — 19,445 — 19,445 Amortization - pension and postretirement benefits (3) — — — 675 675 Other comprehensive income (loss) 62,446 28,006 (6,243 ) (2,256 ) 81,953 Balance, September 30, 2016 $ (75,272 ) $ (201,779 ) $ (77,480 ) $ (6,113 ) $ (360,644 ) Balance, December 31, 2016 $ (136,809 ) $ (192,379 ) $ (48,187 ) $ (6,139 ) $ (383,514 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 42,439 — (5,937 ) — 36,502 Accretion of noncredit loss — 24,593 — — 24,593 Net actuarial gain — — — 336 336 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,316 — — 1,316 Amortization - hedging activities (4) — — 9,875 — 9,875 Amortization - pension and postretirement benefits (3) — — — 578 578 Other comprehensive income 42,439 25,909 3,938 914 73,200 Balance, September 30, 2017 $ (94,370 ) $ (166,470 ) $ (44,249 ) $ (5,225 ) $ (310,314 ) _______________________ (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 $19.4 million recorded in CO bond interest expense and $11,000 recorded in net gains (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 $9.9 million recorded in CO bond interest expense and $11,000 |
Fair Values
Fair Values | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value [Text Block] | Fair Values A fair-value hierarchy is used to prioritize the inputs of valuation techniques used to measure fair value. A description of the application of the fair-value hierarchy, valuation techniques, and significant inputs is disclosed in Item 8 — Financial Statements and Supplementary Data — Note 18 — Fair Values in the 2016 Annual Report. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs during the nine months ended September 30, 2017 . The carrying values, fair values, and fair-value hierarchy of our financial instruments at September 30, 2017 , and December 31, 2016 , 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. September 30, 2017 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral Financial instruments Assets: Cash and due from banks $ 31,774 $ 31,774 $ 31,774 $ — $ — $ — Interest-bearing deposits 225,012 225,012 225,012 — — — Securities purchased under agreements to resell 2,999,000 2,998,922 — 2,998,922 — — Federal funds sold 6,250,000 6,249,958 — 6,249,958 — — Trading securities (1) 509,463 509,463 — 509,463 — — Available-for-sale securities (1) 7,559,111 7,559,111 — 7,540,568 18,543 — Held-to-maturity securities 1,798,011 2,076,570 — 947,744 1,128,826 — Advances 37,467,404 37,615,598 — 37,615,598 — — Mortgage loans, net 3,942,776 4,001,298 — 3,976,898 24,400 — Accrued interest receivable 84,886 84,886 — 84,886 — — Derivative assets (1) 48,163 48,163 — 43,197 — 4,966 Other assets (1) 21,760 21,760 9,121 12,639 — — Liabilities: Deposits (492,631 ) (492,621 ) — (492,621 ) — — COs: Bonds (28,492,595 ) (28,607,952 ) — (28,607,952 ) — — Discount notes (28,047,762 ) (28,047,925 ) — (28,047,925 ) — — Mandatorily redeemable capital stock (36,042 ) (36,042 ) (36,042 ) — — — Accrued interest payable (100,148 ) (100,148 ) — (100,148 ) — — Derivative liabilities (1) (309,675 ) (309,675 ) — (390,891 ) — 81,216 Other: Commitments to extend credit for advances — (4,385 ) — (4,385 ) — — Standby letters of credit (892 ) (892 ) — (892 ) — — _______________________ (1) Carried at fair value on a recurring basis. 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. 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 September 30, 2017 , and December 31, 2016 , by fair-value hierarchy level (dollars in thousands): September 30, 2017 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. Treasury obligations $ — $ 309,498 $ — $ — $ 309,498 U.S. government-guaranteed – single-family MBS — 7,207 — — 7,207 GSEs – single-family MBS — 440 — — 440 GSEs – multifamily MBS — 192,318 — — 192,318 Total trading securities — 509,463 — — 509,463 Available-for-sale securities: State or local HFA securities — — 18,543 — 18,543 Supranational institutions — 421,492 — — 421,492 U.S. government-owned corporations — 286,393 — — 286,393 GSEs — 120,033 — — 120,033 U.S. government guaranteed – single-family MBS — 102,699 — — 102,699 U.S. government guaranteed – multifamily MBS — 467,970 — — 467,970 GSEs – single-family MBS — 4,528,021 — — 4,528,021 GSEs – multifamily MBS — 1,613,960 — — 1,613,960 Total available-for-sale securities — 7,540,568 18,543 — 7,559,111 Derivative assets: Interest-rate-exchange agreements — 43,121 — 4,966 48,087 Mortgage delivery commitments — 76 — — 76 Total derivative assets — 43,197 — 4,966 48,163 Other assets 9,121 12,639 — — 21,760 Total assets at fair value $ 9,121 $ 8,105,867 $ 18,543 $ 4,966 $ 8,138,497 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (390,781 ) $ — $ 81,216 $ (309,565 ) Mortgage delivery commitments — (110 ) — — (110 ) Total liabilities at fair value $ — $ (390,891 ) $ — $ 81,216 $ (309,675 ) _______________________ (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, 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 MBS — 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. 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 three and nine months ended September 30, 2017 . There were no Level 3 available-for-sale securities during the nine months ended September 30, 2016 (dollars in thousands). For the Three Months Ended For the Nine Months Ended September 30, 2017 September 30, 2017 Balance at beginning of period $ 15,414 $ 8,146 Purchases 3,520 11,120 Unrealized losses included in other comprehensive income (391 ) (723 ) Balance at end of period $ 18,543 $ 18,543 Fair Value on a Nonrecurring Basis We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and real-estate-owned property (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 (dollars in thousands). September 30, 2017 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 2,050 $ 2,050 Mortgage loans held for portfolio — — 4,783 4,783 REO — — 397 397 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 7,230 $ 7,230 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 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 , and through the filing of this report, we believe there is only 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, as implemented by FHFA regulations, and is not the result of an arms-length transaction among the FHLBanks. The FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several obligation. Because the FHLBanks are subject to the authority of the FHFA as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' COs, 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 September 30, 2017 , and December 31, 2016 . The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $ 972.2 billion and $932.1 billion at September 30, 2017 , and December 31, 2016 , 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 September 30, 2017 , and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (1) $ 4,820,514 $ 204,938 $ 5,025,452 $ 4,050,447 $ 179,632 $ 4,230,079 Commitments for unused lines of credit - advances (2) 1,268,507 — 1,268,507 1,255,140 — 1,255,140 Commitments to make additional advances 71,901 51,136 123,037 44,865 65,972 110,837 Commitments to invest in mortgage loans 62,221 — 62,221 22,524 — 22,524 Unsettled CO bonds, at par 197,000 — 197,000 — — — Unsettled CO discount notes, at par 2,605 — 2,605 — — — __________________________ (1) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At September 30, 2017 , and December 31, 2016 , these amounts totaled $ 3.9 million and $2.7 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $100,000 and $285,000 at September 30, 2017 and December 31, 2016 , 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 . Currently, we offer new standby letters of credit with expiration periods of up to 10 years . Our unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled $892,000 and $1.1 million at September 30, 2017 , and December 31, 2016 , respectively. Commitments to Invest in Mortgage Loans. Commitments to invest in mortgage loans are generally for periods not to exceed 45 business days. Such commitments are recorded as derivatives at their fair values on the statement of condition. Pledged Collateral. We have pledged securities, as collateral, related to derivatives. See Note 11 — Derivatives and Hedging Activities for additional information about our pledged collateral and other credit-risk-related contingent features. Legal Proceedings |
Transactions with Shareholders
Transactions with Shareholders | 9 Months Ended |
Sep. 30, 2017 | |
Transactions with Shareholders [Abstract] | |
Transactions with Shareholders [Text Block] | Transactions with Shareholders 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 follo wing tables present transactions with shareholders whose holdings of capital stock exceed 10 percent or more of total capital stock outstanding at September 30, 2017 , and December 31, 2016 (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 September 30, 2017 Citizens Bank, N.A. $ 246,748 10.7 % $ 5,358,737 14.3 % $ 2,284 5.6 % As of December 31, 2016 Citizens Bank, N.A. $ 357,508 14.6 % $ 7,260,446 18.6 % $ 2,625 7.3 % We held sufficient collateral to support the advances to the above institution such that we do not expect to incur any credit losses on these advances. We recognized interest income on outstanding advances and fees on letters of credit from Citizens Bank, N.A. during the three and nine months ended September 30, 2017 and 2016 , as follows (dollars in thousands): For the Three Months Ended September 30, For the Nine Months Ended September 30, Citizens Bank, N.A. 2017 2016 2017 2016 Interest income on advances $ 14,316 $ 7,837 $ 46,968 $ 24,123 Fees on letters of credit 1,002 756 2,448 2,375 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 September 30, 2017 $ 112,241 4.9 % $ 2,117,289 5.6 % $ 2,190 5.3 % As of December 31, 2016 91,374 3.7 1,554,753 4.0 1,631 4.5 |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events On October 27, 2017 , the board of directors declared a cash dividend at an annualized rate of 4.33 percent based on capital stock balances outstanding during the third quarter of 2017. The dividend, including dividends on mandatorily redeemable capital stock, amounted to $25.2 million and was paid on November 2, 2017 |
Summary of Significant Accoun28
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Investment, Policy | We evaluate our individual available-for-sale and held-to-maturity securities for other-than-temporary impairment each quarter. |
Derivatives, Policy | We utilize two derivatives clearing organizations (DCOs), for all cleared derivative transactions, Chicago Mercantile Exchange, Inc. (CME Inc.) and LCH Limited (LCH Ltd.). Effective January 3, 2017, CME Inc. made certain amendments to its rulebook changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral transfers. We continue to characterize our variation margin related to LCH Ltd. contracts as cash collateral. At both DCOs, initial margin is considered cash collateral. We enter into derivatives that we clear (cleared derivatives) with a DCO, our counterparty for such derivatives. We also enter into derivatives that are not cleared (uncleared derivatives) under master- |
Fair Value of Financial Instruments, Policy | We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and real-estate-owned property (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) | 9 Months Ended |
Sep. 30, 2017 | |
Trading Securities [Abstract] | |
Trading Securities by Major Security Type [Table Text Block] | Our trading securities as of September 30, 2017 , and December 31, 2016 , were (dollars in thousands): September 30, 2017 December 31, 2016 U.S. Treasury obligations $ 309,498 $ 399,521 Mortgage backed securities (MBS) U.S. government-guaranteed – single-family 7,207 8,494 Government-sponsored enterprise (GSE)s – single-family 440 768 GSEs – multifamily 192,318 203,839 199,965 213,101 Total $ 509,463 $ 612,622 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 , 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) $ 20,470 $ — $ (1,927 ) $ 18,543 Supranational institutions 445,886 — (24,394 ) 421,492 U.S. government-owned corporations 317,205 — (30,812 ) 286,393 GSEs 130,269 — (10,236 ) 120,033 913,830 — (67,369 ) 846,461 MBS U.S. government guaranteed – single-family 104,886 66 (2,253 ) 102,699 U.S. government guaranteed – multifamily 470,866 — (2,896 ) 467,970 GSEs – single-family 4,551,950 5,441 (29,370 ) 4,528,021 GSEs – multifamily 1,611,949 2,945 (934 ) 1,613,960 6,739,651 8,452 (35,453 ) 6,712,650 Total $ 7,653,481 $ 8,452 $ (102,822 ) $ 7,559,111 _______________________ (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, 2016 , were (dollars in thousands): Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value 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. |
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 September 30, 2017 , 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 $ 18,543 $ (1,927 ) $ — $ — $ 18,543 $ (1,927 ) Supranational institutions — — 421,492 (24,394 ) 421,492 (24,394 ) U.S. government-owned corporations — — 286,393 (30,812 ) 286,393 (30,812 ) GSEs — — 120,033 (10,236 ) 120,033 (10,236 ) 18,543 (1,927 ) 827,918 (65,442 ) 846,461 (67,369 ) MBS U.S. government guaranteed – single-family 75,908 (2,253 ) — — 75,908 (2,253 ) U.S. government guaranteed – multifamily 293,802 (1,418 ) 174,168 (1,478 ) 467,970 (2,896 ) GSEs – single-family 2,437,249 (16,871 ) 779,735 (12,499 ) 3,216,984 (29,370 ) GSEs – multifamily 962,206 (934 ) — — 962,206 (934 ) 3,769,165 (21,476 ) 953,903 (13,977 ) 4,723,068 (35,453 ) Total temporarily impaired $ 3,787,708 $ (23,403 ) $ 1,781,821 $ (79,419 ) $ 5,569,529 $ (102,822 ) 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 ) |
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 September 30, 2017 , and December 31, 2016 , were (dollars in thousands): September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ — $ — $ — $ — Due after one year through five years 16,950 15,523 9,350 8,146 Due after five years through 10 years 449,405 424,512 171,589 161,746 Due after 10 years 447,475 406,426 728,818 650,299 913,830 846,461 909,757 820,191 MBS (1) 6,739,651 6,712,650 5,815,716 5,768,473 Total $ 7,653,481 $ 7,559,111 $ 6,725,473 $ 6,588,664 _______________________ (1) |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities by Major Security Type [Table Text Block] | Our held-to-maturity securities as of September 30, 2017 , 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 $ 1,391 $ — $ 1,391 $ 28 $ — $ 1,419 HFA securities 157,479 — 157,479 23 (17,525 ) 139,977 158,870 — 158,870 51 (17,525 ) 141,396 MBS U.S. government guaranteed – single-family 10,705 — 10,705 233 — 10,938 U.S. government guaranteed – multifamily 373 — 373 — — 373 GSEs – single-family 619,442 — 619,442 12,841 (147 ) 632,136 GSEs – multifamily 294,039 — 294,039 8,839 — 302,878 Private-label – residential 871,152 (166,346 ) 704,806 278,651 (4,195 ) 979,262 Asset-backed securities (ABS) backed by home equity loans 9,899 (123 ) 9,776 280 (469 ) 9,587 1,805,610 (166,469 ) 1,639,141 300,844 (4,811 ) 1,935,174 Total $ 1,964,480 $ (166,469 ) $ 1,798,011 $ 300,895 $ (22,336 ) $ 2,076,570 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 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 |
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 September 30, 2017 , 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 $ — $ — $ 126,190 $ (17,525 ) $ 126,190 $ (17,525 ) MBS GSEs – single-family 17,966 (12 ) 18,635 (135 ) 36,601 (147 ) Private-label – residential — — 190,124 (7,644 ) 190,124 (7,644 ) ABS backed by home equity loans — — 8,480 (471 ) 8,480 (471 ) 17,966 (12 ) 217,239 (8,250 ) 235,205 (8,262 ) Total $ 17,966 $ (12 ) $ 343,429 $ (25,775 ) $ 361,395 $ (25,787 ) 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 ) |
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 September 30, 2017 , and December 31, 2016 , 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. September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Carrying Value (1) Fair Value Amortized Cost Carrying Value (1) Fair Value Due in one year or less $ 109 $ 109 $ 111 $ — $ — $ — Due after one year through five years 15,046 15,046 15,095 16,637 16,637 16,663 Due after five years through 10 years — — — — — — Due after 10 years 143,715 143,715 126,190 148,090 148,090 128,840 158,870 158,870 141,396 164,727 164,727 145,503 MBS (2) 1,805,610 1,639,141 1,935,174 2,158,418 1,966,040 2,226,787 Total $ 1,964,480 $ 1,798,011 $ 2,076,570 $ 2,323,145 $ 2,130,767 $ 2,372,290 _______________________ (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) |
Other-Than-Temporary Impairme32
Other-Than-Temporary Impairment (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Significant Inputs for OTTI [Table Text Block] | For those securities for which a credit loss was recognized during the three months ended September 30, 2017 , 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) $ 58,723 8.7 % 32.2 % 36.5 % 11.8 % _______________________ (1) |
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 September 30, 2017 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance. September 30, 2017 Other-Than-Temporarily Impaired Investment (1) Par Value Amortized Cost Carrying Value Fair Value Private-label residential MBS – Prime $ 32,645 $ 27,934 $ 21,911 $ 30,054 Private-label residential MBS – Alt-A 976,435 722,033 561,711 832,077 ABS backed by home equity loans – Subprime 1,230 995 872 1,153 Total other-than-temporarily impaired securities $ 1,010,310 $ 750,962 $ 584,494 $ 863,284 _______________________ (1) |
Rollforward of the Amounts Related to Credit Losses Recognized into Earnings [Table Text Block] | The following table presents a roll-forward of the amounts related to credit losses recognized in earnings. The roll-forward is the amount of credit losses on investment securities for which we recognized a portion of other-than-temporary impairment charges into accumulated other comprehensive loss (dollars in thousands). For the Three Months Ended September 30, For the Nine Months Ended September 30, 2017 2016 2017 2016 Balance at beginning of period $ 468,706 $ 516,922 $ 490,404 $ 533,888 Additions: Credit losses for which other-than-temporary impairment was not previously recognized — 6 — 6 Additional credit losses for which an other-than-temporary impairment charge was previously recognized (1) 432 365 1,418 2,715 Reductions: Securities matured during the period (2) — — (5,565 ) — Increase in cash flows expected to be collected which are recognized over the remaining life of the security (3) (8,356 ) (9,613 ) (25,475 ) (28,929 ) Balance at end of period $ 460,782 $ 507,680 $ 460,782 $ 507,680 _______________________ (1) For the three months ended September 30, 2017 and 2016 , additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to July 1, 2017 and 2016 , respectively. For the nine months ended September 30, 2017 and 2016 , 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, 2017 and 2016 , respectively. (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) |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 December 31, 2016 Fixed-rate $ 30,721,798 $ 30,526,192 Variable-rate 6,786,852 8,588,663 Total par value $ 37,508,650 $ 39,114,855 At both September 30, 2017 , and December 31, 2016 , we had advances outstanding with interest rates ranging from zero percent to 7.72 percent as summarized below (dollars in thousands). September 30, 2017 December 31, 2016 Year of Contractual Maturity Amount Weighted Average Rate Amount Weighted Average Rate Overdrawn demand-deposit accounts $ 7,177 1.46 % $ 3,780 0.92 % Due in one year or less 19,459,542 1.40 18,783,802 1.05 Due after one year through two years 9,114,490 1.47 10,966,780 1.15 Due after two years through three years 3,213,137 1.76 2,508,459 1.67 Due after three years through four years 1,564,384 1.81 2,177,432 1.64 Due after four years through five years 2,264,058 1.77 2,041,269 1.80 Thereafter 1,885,862 2.16 2,633,333 1.70 Total par value 37,508,650 1.52 % 39,114,855 1.23 % Premiums 19,382 22,633 Discounts (30,511 ) (25,847 ) Fair value of bifurcated derivatives (1) 812 (153 ) Hedging adjustments (30,929 ) (12,149 ) Total $ 37,467,404 $ 39,099,339 _________________________ (1) At September 30, 2017 , and December 31, 2016 Year of Contractual Maturity or Next Put Date, Par Value September 30, 2017 December 31, 2016 Overdrawn demand-deposit accounts $ 7,177 $ 3,780 Due in one year or less 20,854,942 20,788,552 Due after one year through two years 9,514,740 10,946,530 Due after two years through three years 3,124,637 2,455,709 Due after three years through four years 1,407,484 1,974,932 Due after four years through five years 1,602,058 1,736,769 Thereafter 997,612 1,208,583 Total par value $ 37,508,650 $ 39,114,855 Year of Contractual Maturity or Next Call Date (1) , Par Value September 30, 2017 December 31, 2016 Overdrawn demand-deposit accounts $ 7,177 $ 3,780 Due in one year or less 25,208,717 26,447,977 Due after one year through two years 3,766,490 3,693,780 Due after two years through three years 3,037,937 2,508,459 Due after three years through four years 1,554,384 2,002,232 Due after four years through five years 2,102,058 1,891,269 Thereafter 1,831,887 2,567,358 Total par value $ 37,508,650 $ 39,114,855 _______________________ (1) |
Mortgage Loans Held for Portf34
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | The following table presents certain characteristics of these investments (dollars in thousands): September 30, 2017 December 31, 2016 Real estate Fixed-rate 15-year single-family mortgages $ 489,503 $ 528,486 Fixed-rate 20- and 30-year single-family mortgages 3,382,217 3,098,476 Premiums 70,092 67,523 Discounts (1,555 ) (1,696 ) Deferred derivative gains, net 3,019 1,755 Total mortgage loans held for portfolio 3,943,276 3,694,544 Less: allowance for credit losses (500 ) (650 ) Total mortgage loans, net of allowance for credit losses $ 3,942,776 $ 3,693,894 September 30, 2017 December 31, 2016 Conventional mortgage loans $ 3,500,469 $ 3,235,835 Government mortgage loans 371,251 391,127 Total par value $ 3,871,720 $ 3,626,962 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 , and December 31, 2016 (dollars in thousands): September 30, 2017 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 24,577 $ 12,131 $ 36,708 Past due 60-89 days delinquent 5,741 3,190 8,931 Past due 90 days or more delinquent 15,492 5,121 20,613 Total past due 45,810 20,442 66,252 Total current loans 3,535,765 360,928 3,896,693 Total mortgage loans $ 3,581,575 $ 381,370 $ 3,962,945 Other delinquency statistics In process of foreclosure, included above (1) $ 7,201 $ 1,888 $ 9,089 Serious delinquency rate (2) 0.45 % 1.34 % 0.54 % Past due 90 days or more still accruing interest $ — $ 5,121 $ 5,121 Loans on nonaccrual status (3) $ 16,020 $ — $ 16,020 _______________________ (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, 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. |
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 September 30, 2017 , and December 31, 2016 , and the average recorded investment and interest income recognized on these loans during the three and nine months ended September 30, 2017 and 2016 (dollars in thousands). As of September 30, 2017 As of December 31, 2016 Recorded Investment Par Value Recorded Investment Par Value Individually evaluated impaired mortgage loans with no related allowance $ 18,786 $ 18,751 $ 22,945 $ 22,905 |
Individually Evaluated Impaired Loans, Average Recorded Investment and Interest Income Recognized [Table Text Block] | For the Three Months Ended September 30, 2017 2016 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 18,645 $ 91 $ 23,492 $ 116 For the Nine Months Ended September 30, 2017 2016 Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Individually evaluated impaired mortgage loans with no related allowance $ 19,614 $ 314 $ 24,728 $ 298 |
Rollforward of Allowance for Credit Losses on Mortgage Loans [Table Text Block] | The following table presents a roll-forward of the allowance for credit losses on conventional mortgage loans for the three and nine months ended September 30, 2017 and 2016 , as well as the recorded investment in mortgage loans by impairment methodology at September 30, 2017 and 2016 (dollars in thousands). The recorded investment in a loan is the par amount of the loan, adjusted for accrued interest, unamortized premiums or discounts, deferred derivative gains and losses, and direct write-downs. The recorded investment is net of any valuation allowance. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2017 2016 2017 2016 Allowance for credit losses Balance, beginning of period $ 500 $ 900 $ 650 $ 1,025 Charge-offs, net of recoveries (28 ) (6 ) (2 ) (31 ) Provision (reduction of provision) for credit losses 28 (94 ) (148 ) (194 ) Balance, end of period $ 500 $ 800 $ 500 $ 800 Ending balance, individually evaluated for impairment $ — $ — $ — $ — Ending balance, collectively evaluated for impairment $ 500 $ 800 $ 500 $ 800 Recorded investment, end of period (1) Individually evaluated for impairment $ 18,786 $ 22,950 $ 18,786 $ 22,950 Collectively evaluated for impairment $ 3,562,789 $ 3,296,946 $ 3,562,789 $ 3,296,946 _________________________ (1) |
Derivatives and Hedging Activ36
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 (excluding fair value adjustments related to variation margin for daily settled contracts) and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments, cash collateral, and variation margin for daily settled contracts as of September 30, 2017 , and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 14,385,569 $ 41,366 $ (341,616 ) $ 18,215,809 $ 52,715 $ (413,026 ) Forward-start interest-rate swaps 527,800 — (41,974 ) 527,800 — (36,250 ) Total derivatives designated as hedging instruments 14,913,369 41,366 (383,590 ) 18,743,609 52,715 (449,276 ) Derivatives not designated as hedging instruments Economic hedges: Interest-rate swaps 1,206,400 1,699 (7,191 ) 1,199,000 2,293 (10,840 ) CO bond firm commitments 50,000 56 — — — — Mortgage-delivery commitments (1) 62,221 76 (110 ) 22,524 70 (171 ) Total derivatives not designated as hedging instruments 1,318,621 1,831 (7,301 ) 1,221,524 2,363 (11,011 ) Total notional amount of derivatives $ 16,231,990 $ 19,965,133 Total derivatives before netting and collateral adjustments 43,197 (390,891 ) 55,078 (460,287 ) Netting adjustments, cash collateral, and variation margin for daily settled contracts including related accrued interest (2) 4,966 81,216 6,520 102,411 Derivative assets and derivative liabilities $ 48,163 $ (309,675 ) $ 61,598 $ (357,876 ) _______________________ (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 $48.5 million and $109.8 million at September 30, 2017 , and December 31, 2016 , 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 $731,000 and $850,000 at September 30, 2017 , and December 31, 2016 , respectively. Variation margin for daily settled contracts was $38.5 million at September 30, 2017 . |
Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block] | Net (losses) gains on derivatives and hedging activities recorded in Other Income (Loss) for the three and nine months ended September 30, 2017 and 2016 , were as follows (dollars in thousands): For the Three Months Ended September 30, For the Nine Months Ended September 30, 2017 2016 2017 2016 Derivatives designated as hedging instruments Interest-rate swaps $ (876 ) $ (3,278 ) $ (2,287 ) $ (8,529 ) Forward-start interest-rate swaps (18 ) (22 ) 213 (558 ) Total net losses related to derivatives designated as hedging instruments (894 ) (3,300 ) (2,074 ) (9,087 ) Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 14 1,186 (208 ) (3,531 ) Interest-rate caps or floors — (59 ) — (59 ) CO bond firm commitments 56 — 56 — Mortgage-delivery commitments 692 251 1,556 1,557 Total net gains (losses) related to derivatives not designated as hedging instruments 762 1,378 1,404 (2,033 ) Other (1) 126 — 282 — Net losses on derivatives and hedging activities $ (6 ) $ (1,922 ) $ (388 ) $ (11,120 ) ______________ (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. |
Gains (Losses) By Type of Hedged Item [Table Text Block] | The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedge relationships and the impact of those derivatives on our net interest income for the three and nine months ended September 30, 2017 and 2016 (dollars in thousands): For the Three Months Ended September 30, 2017 Gain on Derivative Loss on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 9,382 $ (8,881 ) $ 501 $ (2,878 ) Investments 5,007 (4,503 ) 504 (7,879 ) COs – bonds 2,018 (3,899 ) (1,881 ) 242 Total $ 16,407 $ (17,283 ) $ (876 ) $ (10,515 ) For the Three Months Ended September 30, 2016 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 71,032 $ (70,859 ) $ 173 $ (22,547 ) Investments 10,255 (9,810 ) 445 (8,788 ) COs – bonds (16,705 ) 12,809 (3,896 ) 6,500 Total $ 64,582 $ (67,860 ) $ (3,278 ) $ (24,835 ) For the Nine Months Ended September 30, 2017 Gain on Derivative Loss on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ 19,150 $ (18,780 ) $ 370 $ (24,566 ) Investments 8,412 (7,047 ) 1,365 (24,319 ) COs – bonds 19,813 (23,835 ) (4,022 ) 6,965 Total $ 47,375 $ (49,662 ) $ (2,287 ) $ (41,920 ) For the Nine Months Ended September 30, 2016 Loss on Derivative Gain/(Loss) on Hedged Item Net Fair-Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item: Advances $ (23,045 ) $ 22,029 $ (1,016 ) $ (78,799 ) Investments (66,030 ) 67,215 1,185 (26,682 ) COs – bonds (5,874 ) (2,824 ) (8,698 ) 21,730 Total $ (94,949 ) $ 86,420 $ (8,529 ) $ (83,751 ) ______________ (1) |
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) Gains 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) (Losses) Gains Recognized in Net Losses on Derivatives and Hedging Activities (Ineffective Portion) Interest-rate swaps - CO bonds For the Three Months Ended September 30, 2017 $ (856 ) Interest expense $ (2,158 ) $ (18 ) For the Three Months Ended September 30, 2016 1,082 Interest expense (5,337 ) (22 ) For the Nine Months Ended September 30, 2017 (5,937 ) Interest expense (9,865 ) 213 For the Nine Months Ended September 30, 2016 (25,688 ) Interest expense (19,434 ) (558 ) |
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 in case of an incremental credit rating downgrades at September 30, 2017 . Post Haircut Value of Incremental Collateral to be Delivered as of September 30, 2017 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 8,662 AA or AA- A+, A or A- 8,344 A+, A or A- below A- 24,524 _______________________ (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 assets 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 September 30, 2017 , and December 31, 2016 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 and variation margin for daily settled contracts. September 30, 2017 December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives meeting netting requirements Gross recognized amount Uncleared derivatives $ 8,964 $ (335,850 ) $ 12,594 $ (405,310 ) Cleared derivatives 34,157 (54,931 ) 42,414 (54,806 ) Total gross recognized amount 43,121 (390,781 ) 55,008 (460,116 ) Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives (8,277 ) 26,285 (12,028 ) 47,605 Cleared derivatives 13,243 54,931 18,548 54,806 Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts 4,966 81,216 6,520 102,411 Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives 687 (309,565 ) 566 (357,705 ) Cleared derivatives 47,400 — 60,962 — Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 48,087 (309,565 ) 61,528 (357,705 ) Derivatives not meeting netting requirements Mortgage delivery commitments 76 (110 ) 70 (171 ) Total derivative assets and total derivative liabilities Uncleared derivatives 687 (309,565 ) 566 (357,705 ) Cleared derivatives 47,400 — 60,962 — Mortgage delivery commitments 76 (110 ) 70 (171 ) Total derivative assets and total derivative liabilities presented in the statement of condition 48,163 (309,675 ) 61,598 (357,876 ) Non-cash collateral received or pledged not offset (1) Can be sold or repledged Uncleared derivatives — 8,715 — 30,306 Cannot be sold or repledged Uncleared derivatives — 283,008 — 290,444 Total non-cash collateral received or pledged, not offset — 291,723 — 320,750 Net amount Uncleared derivatives 687 (17,842 ) 566 (36,955 ) Cleared derivatives 47,400 — 60,962 — Mortgage delivery commitments 76 (110 ) 70 (171 ) Total net amount $ 48,163 $ (17,952 ) $ 61,598 $ (37,126 ) _______________________ (1) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At September 30, 2017 , and December 31, 2016 , we had additional net credit exposure of $32,000 and $2.0 million |
Fair Value of derivative liabilities 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 September 30, 2017 , and December 31, 2016 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 and variation margin for daily settled contracts. September 30, 2017 December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives meeting netting requirements Gross recognized amount Uncleared derivatives $ 8,964 $ (335,850 ) $ 12,594 $ (405,310 ) Cleared derivatives 34,157 (54,931 ) 42,414 (54,806 ) Total gross recognized amount 43,121 (390,781 ) 55,008 (460,116 ) Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives (8,277 ) 26,285 (12,028 ) 47,605 Cleared derivatives 13,243 54,931 18,548 54,806 Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts 4,966 81,216 6,520 102,411 Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts Uncleared derivatives 687 (309,565 ) 566 (357,705 ) Cleared derivatives 47,400 — 60,962 — Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 48,087 (309,565 ) 61,528 (357,705 ) Derivatives not meeting netting requirements Mortgage delivery commitments 76 (110 ) 70 (171 ) Total derivative assets and total derivative liabilities Uncleared derivatives 687 (309,565 ) 566 (357,705 ) Cleared derivatives 47,400 — 60,962 — Mortgage delivery commitments 76 (110 ) 70 (171 ) Total derivative assets and total derivative liabilities presented in the statement of condition 48,163 (309,675 ) 61,598 (357,876 ) Non-cash collateral received or pledged not offset (1) Can be sold or repledged Uncleared derivatives — 8,715 — 30,306 Cannot be sold or repledged Uncleared derivatives — 283,008 — 290,444 Total non-cash collateral received or pledged, not offset — 291,723 — 320,750 Net amount Uncleared derivatives 687 (17,842 ) 566 (36,955 ) Cleared derivatives 47,400 — 60,962 — Mortgage delivery commitments 76 (110 ) 70 (171 ) Total net amount $ 48,163 $ (17,952 ) $ 61,598 $ (37,126 ) _______________________ (1) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At September 30, 2017 , and December 31, 2016 , we had additional net credit exposure of $32,000 and $2.0 million |
Deposits (Tables)
Deposits (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Deposits [Abstract] | |
Interest-bearing and Non-interest-bearing Deposits [Table Text Block] | The following table details interest- and noninterest-bearing deposits (dollars in thousands): September 30, 2017 December 31, 2016 Interest-bearing Demand and overnight $ 463,622 $ 440,731 Other 2,154 4,166 Noninterest-bearing Other 26,855 37,266 Total deposits $ 492,631 $ 482,163 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 , and December 31, 2016 , by year of contractual maturity (dollars in thousands): September 30, 2017 December 31, 2016 Year of Contractual Maturity Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 12,269,090 1.36 % $ 8,734,955 1.43 % Due after one year through two years 6,396,080 1.44 7,752,420 1.19 Due after two years through three years 3,077,000 1.89 3,297,120 1.63 Due after three years through four years 1,776,055 1.72 1,637,335 1.87 Due after four years through five years 1,938,535 1.83 2,574,375 1.65 Thereafter 2,995,650 2.75 3,135,745 2.70 Total par value 28,452,410 1.62 % 27,131,950 1.58 % Premiums 94,425 118,145 Discounts (14,320 ) (14,906 ) Hedging adjustments (39,920 ) (63,755 ) $ 28,492,595 $ 27,171,434 _______________________ (1) |
CO Bonds by Call Feature [Table Text Block] | Our CO bonds outstanding at September 30, 2017 , and December 31, 2016 , included (dollars in thousands): September 30, 2017 December 31, 2016 Par value of CO bonds Noncallable and nonputable $ 24,469,410 $ 22,388,950 Callable 3,983,000 4,743,000 Total par value $ 28,452,410 $ 27,131,950 |
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 September 30, 2017 , and December 31, 2016 , by year of contractual maturity or next call date for callable CO bonds (dollars in thousands): Year of Contractual Maturity or Next Call Date September 30, 2017 December 31, 2016 Due in one year or less $ 15,274,090 $ 12,858,955 Due after one year through two years 6,376,080 7,013,420 Due after two years through three years 2,956,000 2,904,120 Due after three years through four years 1,039,055 1,289,335 Due after four years through five years 1,128,535 1,242,375 Thereafter 1,678,650 1,823,745 Total par value $ 28,452,410 $ 27,131,950 |
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 September 30, 2017 , and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Par value of CO bonds Fixed-rate $ 20,483,410 $ 20,289,950 Simple variable-rate 6,492,000 5,300,000 Step-up 1,477,000 1,542,000 Total par value $ 28,452,410 $ 27,131,950 |
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) September 30, 2017 $ 28,047,762 $ 28,074,966 1.03 % December 31, 2016 $ 30,053,964 $ 30,070,103 0.47 % _______________________ (1) |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 nine months ended September 30, 2017 , and year ended December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Balance at beginning of period $ 81,627 $ 82,081 AHP expense for the period 13,720 19,397 AHP direct grant disbursements (16,217 ) (18,575 ) AHP subsidy for AHP advance disbursements (1,876 ) (1,378 ) Return of previously disbursed grants and subsidies 75 102 Balance at end of period $ 77,329 $ 81,627 |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Capital [Abstract] | |
Compliance with Regulatory Capital Requirements [Table Text Block] | The following tables demonstrate our compliance with our regulatory capital requirements at September 30, 2017 , and December 31, 2016 (dollars in thousands): Risk-Based Capital Requirements September 30, December 31, Permanent capital Class B capital stock $ 2,272,648 $ 2,411,306 Mandatorily redeemable capital stock 36,042 32,687 Retained earnings 1,265,282 1,216,986 Total permanent capital $ 3,573,972 $ 3,660,979 Risk-based capital requirement Credit-risk capital $ 348,381 $ 355,182 Market-risk capital 166,807 118,765 Operations-risk capital 154,556 142,184 Total risk-based capital requirement $ 669,744 $ 616,131 Permanent capital in excess of risk-based capital requirement $ 2,904,228 $ 3,044,848 September 30, 2017 December 31, 2016 Required Actual Required Actual Capital Ratio Risk-based capital $ 669,744 $ 3,573,972 $ 616,131 $ 3,660,979 Total regulatory capital $ 2,439,018 $ 3,573,972 $ 2,461,823 $ 3,660,979 Total capital-to-asset ratio 4.0 % 5.9 % 4.0 % 5.9 % Leverage Ratio Leverage capital $ 3,048,773 $ 5,360,958 $ 3,077,279 $ 5,491,469 Leverage capital-to-assets ratio 5.0 % 8.8 % 5.0 % 8.9 % |
Accumulated Other Comprehensi41
Accumulated Other Comprehensive Loss (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Accumulated Other Comprehensive Loss [Table Text Block] | Accumulated Other Comprehensive Loss The following table presents a summary of changes in accumulated other comprehensive loss for the three and nine months ended September 30, 2017 and 2016 (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, June 30, 2016 $ (57,947 ) $ (210,169 ) $ (83,903 ) $ (6,323 ) $ (358,342 ) Other comprehensive income (loss) before reclassifications: Net unrealized (losses) gains (17,325 ) — 1,082 — (16,243 ) Noncredit other-than-temporary impairment losses — (486 ) — — (486 ) Accretion of noncredit loss — 8,586 — — 8,586 Net actuarial loss — — — (15 ) (15 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 290 — — 290 Amortization - hedging activities (2) — — 5,341 — 5,341 Amortization - pension and postretirement benefits (3) — — — 225 225 Other comprehensive (loss) income (17,325 ) 8,390 6,423 210 (2,302 ) Balance, September 30, 2016 $ (75,272 ) $ (201,779 ) $ (77,480 ) $ (6,113 ) $ (360,644 ) Balance, June 30, 2017 $ (94,309 ) $ (175,068 ) $ (45,554 ) $ (5,530 ) $ (320,461 ) Other comprehensive income (loss) before reclassifications: Net unrealized losses (61 ) — (856 ) — (917 ) Accretion of noncredit loss — 8,178 — — 8,178 Net actuarial gain — — — 112 112 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 420 — — 420 Amortization - hedging activities (4) — — 2,161 — 2,161 Amortization - pension and postretirement benefits (3) — — — 193 193 Other comprehensive (loss) income (61 ) 8,598 1,305 305 10,147 Balance, September 30, 2017 $ (94,370 ) $ (166,470 ) $ (44,249 ) $ (5,225 ) $ (310,314 ) _______________________ (1) Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. (2) Amortization of hedging activities includes $5.3 million recorded in CO bond interest expense and $4,000 recorded in net gains (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 $2.2 million recorded in CO bond interest expense and $4,000 recorded in net gains (losses) on derivatives and hedging activities in the statement of operations. Net Unrealized Loss on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized Loss Relating to Hedging Activities Pension and Postretirement Benefits Total Accumulated Other Comprehensive Loss Balance, December 31, 2015 $ (137,718 ) $ (229,785 ) $ (71,237 ) $ (3,857 ) $ (442,597 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 62,446 — (25,688 ) — 36,758 Noncredit other-than-temporary impairment losses — (1,142 ) — — (1,142 ) Accretion of noncredit loss — 26,938 — — 26,938 Net actuarial loss — — — (2,931 ) (2,931 ) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 2,210 — — 2,210 Amortization - hedging activities (2) — — 19,445 — 19,445 Amortization - pension and postretirement benefits (3) — — — 675 675 Other comprehensive income (loss) 62,446 28,006 (6,243 ) (2,256 ) 81,953 Balance, September 30, 2016 $ (75,272 ) $ (201,779 ) $ (77,480 ) $ (6,113 ) $ (360,644 ) Balance, December 31, 2016 $ (136,809 ) $ (192,379 ) $ (48,187 ) $ (6,139 ) $ (383,514 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 42,439 — (5,937 ) — 36,502 Accretion of noncredit loss — 24,593 — — 24,593 Net actuarial gain — — — 336 336 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 1,316 — — 1,316 Amortization - hedging activities (4) — — 9,875 — 9,875 Amortization - pension and postretirement benefits (3) — — — 578 578 Other comprehensive income 42,439 25,909 3,938 914 73,200 Balance, September 30, 2017 $ (94,370 ) $ (166,470 ) $ (44,249 ) $ (5,225 ) $ (310,314 ) _______________________ (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 $19.4 million recorded in CO bond interest expense and $11,000 recorded in net gains (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 $9.9 million recorded in CO bond interest expense and $11,000 |
Fair Values (Tables)
Fair Values (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 , and December 31, 2016 , 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. September 30, 2017 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral Financial instruments Assets: Cash and due from banks $ 31,774 $ 31,774 $ 31,774 $ — $ — $ — Interest-bearing deposits 225,012 225,012 225,012 — — — Securities purchased under agreements to resell 2,999,000 2,998,922 — 2,998,922 — — Federal funds sold 6,250,000 6,249,958 — 6,249,958 — — Trading securities (1) 509,463 509,463 — 509,463 — — Available-for-sale securities (1) 7,559,111 7,559,111 — 7,540,568 18,543 — Held-to-maturity securities 1,798,011 2,076,570 — 947,744 1,128,826 — Advances 37,467,404 37,615,598 — 37,615,598 — — Mortgage loans, net 3,942,776 4,001,298 — 3,976,898 24,400 — Accrued interest receivable 84,886 84,886 — 84,886 — — Derivative assets (1) 48,163 48,163 — 43,197 — 4,966 Other assets (1) 21,760 21,760 9,121 12,639 — — Liabilities: Deposits (492,631 ) (492,621 ) — (492,621 ) — — COs: Bonds (28,492,595 ) (28,607,952 ) — (28,607,952 ) — — Discount notes (28,047,762 ) (28,047,925 ) — (28,047,925 ) — — Mandatorily redeemable capital stock (36,042 ) (36,042 ) (36,042 ) — — — Accrued interest payable (100,148 ) (100,148 ) — (100,148 ) — — Derivative liabilities (1) (309,675 ) (309,675 ) — (390,891 ) — 81,216 Other: Commitments to extend credit for advances — (4,385 ) — (4,385 ) — — Standby letters of credit (892 ) (892 ) — (892 ) — — _______________________ (1) Carried at fair value on a recurring basis. 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. |
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 September 30, 2017 , and December 31, 2016 , by fair-value hierarchy level (dollars in thousands): September 30, 2017 Level 1 Level 2 Level 3 Netting Adjustment (1) Total Assets: Trading securities: U.S. Treasury obligations $ — $ 309,498 $ — $ — $ 309,498 U.S. government-guaranteed – single-family MBS — 7,207 — — 7,207 GSEs – single-family MBS — 440 — — 440 GSEs – multifamily MBS — 192,318 — — 192,318 Total trading securities — 509,463 — — 509,463 Available-for-sale securities: State or local HFA securities — — 18,543 — 18,543 Supranational institutions — 421,492 — — 421,492 U.S. government-owned corporations — 286,393 — — 286,393 GSEs — 120,033 — — 120,033 U.S. government guaranteed – single-family MBS — 102,699 — — 102,699 U.S. government guaranteed – multifamily MBS — 467,970 — — 467,970 GSEs – single-family MBS — 4,528,021 — — 4,528,021 GSEs – multifamily MBS — 1,613,960 — — 1,613,960 Total available-for-sale securities — 7,540,568 18,543 — 7,559,111 Derivative assets: Interest-rate-exchange agreements — 43,121 — 4,966 48,087 Mortgage delivery commitments — 76 — — 76 Total derivative assets — 43,197 — 4,966 48,163 Other assets 9,121 12,639 — — 21,760 Total assets at fair value $ 9,121 $ 8,105,867 $ 18,543 $ 4,966 $ 8,138,497 Liabilities: Derivative liabilities Interest-rate-exchange agreements $ — $ (390,781 ) $ — $ 81,216 $ (309,565 ) Mortgage delivery commitments — (110 ) — — (110 ) Total liabilities at fair value $ — $ (390,891 ) $ — $ 81,216 $ (309,675 ) _______________________ (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, 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 MBS — 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) |
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 three and nine months ended September 30, 2017 . There were no Level 3 available-for-sale securities during the nine months ended September 30, 2016 (dollars in thousands). For the Three Months Ended For the Nine Months Ended September 30, 2017 September 30, 2017 Balance at beginning of period $ 15,414 $ 8,146 Purchases 3,520 11,120 Unrealized losses included in other comprehensive income (391 ) (723 ) Balance at end of period $ 18,543 $ 18,543 |
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 (dollars in thousands). September 30, 2017 Level 1 Level 2 Level 3 Total Held-to-maturity securities: Private-label residential MBS $ — $ — $ 2,050 $ 2,050 Mortgage loans held for portfolio — — 4,783 4,783 REO — — 397 397 Total assets recorded at fair value on a nonrecurring basis $ — $ — $ 7,230 $ 7,230 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 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | The following table sets forth our off-balance-sheet commitments as of September 30, 2017 , and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (1) $ 4,820,514 $ 204,938 $ 5,025,452 $ 4,050,447 $ 179,632 $ 4,230,079 Commitments for unused lines of credit - advances (2) 1,268,507 — 1,268,507 1,255,140 — 1,255,140 Commitments to make additional advances 71,901 51,136 123,037 44,865 65,972 110,837 Commitments to invest in mortgage loans 62,221 — 62,221 22,524 — 22,524 Unsettled CO bonds, at par 197,000 — 197,000 — — — Unsettled CO discount notes, at par 2,605 — 2,605 — — — __________________________ (1) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At September 30, 2017 , and December 31, 2016 , these amounts totaled $ 3.9 million and $2.7 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $100,000 and $285,000 at September 30, 2017 and December 31, 2016 , 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 Shareholders
Transactions with Shareholders (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Transactions with Shareholders [Abstract] | |
Schedule of Transactions with Shareholders [Table Text Block] | The follo wing tables present transactions with shareholders whose holdings of capital stock exceed 10 percent or more of total capital stock outstanding at September 30, 2017 , and December 31, 2016 (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 September 30, 2017 Citizens Bank, N.A. $ 246,748 10.7 % $ 5,358,737 14.3 % $ 2,284 5.6 % As of December 31, 2016 Citizens Bank, N.A. $ 357,508 14.6 % $ 7,260,446 18.6 % $ 2,625 7.3 % |
Schedule of Transactions with Shareholders, Interest Income [Table Text Block] | We recognized interest income on outstanding advances and fees on letters of credit from Citizens Bank, N.A. during the three and nine months ended September 30, 2017 and 2016 , as follows (dollars in thousands): For the Three Months Ended September 30, For the Nine Months Ended September 30, Citizens Bank, N.A. 2017 2016 2017 2016 Interest income on advances $ 14,316 $ 7,837 $ 46,968 $ 24,123 Fees on letters of credit 1,002 756 2,448 2,375 |
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 September 30, 2017 $ 112,241 4.9 % $ 2,117,289 5.6 % $ 2,190 5.3 % As of December 31, 2016 91,374 3.7 1,554,753 4.0 1,631 4.5 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 509,463 | $ 612,622 |
U.S. Treasury obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 309,498 | 399,521 |
U.S. government-guaranteed - single-family MBS [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 7,207 | 8,494 |
MBS [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 199,965 | 213,101 |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 440 | 768 |
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 192,318 | $ 203,839 |
Trading Securities - Net Unreal
Trading Securities - Net Unrealized (Losses) Gains (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Trading Securities [Abstract] | ||||
Net unrealized losses on trading securities | $ (1,591) | $ (2,849) | $ (3,857) | $ (892) |
Available-for-Sale Securities M
Available-for-Sale Securities Major Security Types (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 7,653,481 | $ 6,725,473 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 8,452 | 3,068 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (102,822) | (139,877) | |
Available-for-sale securities Fair Value | 7,559,111 | 6,588,664 | |
States or local housing-finance-agency obligations (HFA securities) [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 20,470 | 9,350 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (1,927) | (1,204) | |
Available-for-sale securities Fair Value | 18,543 | 8,146 | |
Supranational institutions [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 445,886 | 452,021 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (24,394) | (29,401) | |
Available-for-sale securities Fair Value | 421,492 | 422,620 | |
U.S. government-owned corporations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 317,205 | 317,588 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (30,812) | (45,631) | |
Available-for-sale securities Fair Value | 286,393 | 271,957 | |
GSEs [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 130,269 | 130,798 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (10,236) | (13,330) | |
Available-for-sale securities Fair Value | 120,033 | 117,468 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 913,830 | 909,757 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (67,369) | (89,566) | |
Available-for-sale securities Fair Value | 846,461 | 820,191 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 104,886 | 127,032 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 66 | 16 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,253) | (2,321) | |
Available-for-sale securities Fair Value | 102,699 | 124,727 | |
U.S. government guaranteed - multifamily MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 470,866 | 565,593 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 45 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,896) | (2,277) | |
Available-for-sale securities Fair Value | 467,970 | 563,361 | |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1],[2] | 6,739,651 | 5,815,716 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 8,452 | 3,068 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (35,453) | (50,311) | |
Available-for-sale securities Fair Value | [2] | 6,712,650 | 5,768,473 |
GSEs - single-family [Member] | GSEs – MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 4,551,950 | 4,447,803 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 5,441 | 1,765 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (29,370) | (45,713) | |
Available-for-sale securities Fair Value | 4,528,021 | 4,403,855 | |
GSEs - multifamily [Member] | GSEs – MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 1,611,949 | 675,288 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 2,945 | 1,242 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (934) | 0 | |
Available-for-sale securities Fair Value | $ 1,613,960 | $ 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 | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 3,787,708 | $ 3,882,972 |
Less than 12 Months, Unrealized Losses | (23,403) | (41,650) |
12 Months or More, Fair Value | 1,781,821 | 1,419,476 |
12 Months or More, Unrealized Losses | (79,419) | (98,227) |
Total Fair Value | 5,569,529 | 5,302,448 |
Total Unrealized Losses | (102,822) | (139,877) |
HFA securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 18,543 | 8,146 |
Less than 12 Months, Unrealized Losses | (1,927) | (1,204) |
12 Months or More, Fair Value | 0 | 0 |
12 Months or More, Unrealized Losses | 0 | 0 |
Total Fair Value | 18,543 | 8,146 |
Total Unrealized Losses | (1,927) | (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 | 421,492 | 422,620 |
12 Months or More, Unrealized Losses | (24,394) | (29,401) |
Total Fair Value | 421,492 | 422,620 |
Total Unrealized Losses | (24,394) | (29,401) |
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 | 286,393 | 271,957 |
12 Months or More, Unrealized Losses | (30,812) | (45,631) |
Total Fair Value | 286,393 | 271,957 |
Total Unrealized Losses | (30,812) | (45,631) |
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 | 120,033 | 117,468 |
12 Months or More, Unrealized Losses | (10,236) | (13,330) |
Total Fair Value | 120,033 | 117,468 |
Total Unrealized Losses | (10,236) | (13,330) |
Other Than Mortgage-backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 18,543 | 8,146 |
Less than 12 Months, Unrealized Losses | (1,927) | (1,204) |
12 Months or More, Fair Value | 827,918 | 812,045 |
12 Months or More, Unrealized Losses | (65,442) | (88,362) |
Total Fair Value | 846,461 | 820,191 |
Total Unrealized Losses | (67,369) | (89,566) |
U.S. government-guaranteed - single-family MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 75,908 | 31,606 |
Less than 12 Months, Unrealized Losses | (2,253) | (4) |
12 Months or More, Fair Value | 0 | 90,854 |
12 Months or More, Unrealized Losses | 0 | (2,317) |
Total Fair Value | 75,908 | 122,460 |
Total Unrealized Losses | (2,253) | (2,321) |
U.S. government guaranteed - multifamily MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 293,802 | 326,126 |
Less than 12 Months, Unrealized Losses | (1,418) | (1,261) |
12 Months or More, Fair Value | 174,168 | 165,246 |
12 Months or More, Unrealized Losses | (1,478) | (1,016) |
Total Fair Value | 467,970 | 491,372 |
Total Unrealized Losses | (2,896) | (2,277) |
MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 3,769,165 | 3,874,826 |
Less than 12 Months, Unrealized Losses | (21,476) | (40,446) |
12 Months or More, Fair Value | 953,903 | 607,431 |
12 Months or More, Unrealized Losses | (13,977) | (9,865) |
Total Fair Value | 4,723,068 | 4,482,257 |
Total Unrealized Losses | (35,453) | (50,311) |
GSEs - single-family [Member] | GSEs – MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 2,437,249 | 3,517,094 |
Less than 12 Months, Unrealized Losses | (16,871) | (39,181) |
12 Months or More, Fair Value | 779,735 | 351,331 |
12 Months or More, Unrealized Losses | (12,499) | (6,532) |
Total Fair Value | 3,216,984 | 3,868,425 |
Total Unrealized Losses | (29,370) | $ (45,713) |
GSEs - multifamily [Member] | GSEs – MBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 962,206 | |
Less than 12 Months, Unrealized Losses | (934) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Fair Value | 962,206 | |
Total Unrealized Losses | $ (934) |
Available-for-Sale Securities R
Available-for-Sale Securities Redemption Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 7,653,481 | $ 6,725,473 |
Fair Value | 7,559,111 | 6,588,664 | |
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 | 16,950 | 9,350 | |
Due after one year through five years, fair value | 15,523 | 8,146 | |
Due after five years through 10 years, amortized cost | 449,405 | 171,589 | |
Due after five years through 10 years, fair value | 424,512 | 161,746 | |
Due after 10 years, amortized cost | 447,475 | 728,818 | |
Due after 10 years, fair value | 406,426 | 650,299 | |
Amortized Cost | [1] | 913,830 | 909,757 |
Fair Value | 846,461 | 820,191 | |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1],[2] | 6,739,651 | 5,815,716 |
Fair Value | [2] | $ 6,712,650 | $ 5,768,473 |
[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 | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 1,964,480 | $ 2,323,145 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (166,469) | (192,378) | |
Carrying Value | [1],[2] | 1,798,011 | 2,130,767 |
Gross Unrecognized Holding Gains | 300,895 | 270,306 | |
Gross Unrecognized Holding Losses | (22,336) | (28,783) | |
Held-to-maturity securities Fair Value | 2,076,570 | 2,372,290 | |
U.S. agency obligations [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 1,391 | 2,159 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 1,391 | 2,159 | |
Gross Unrecognized Holding Gains | 28 | 56 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 1,419 | 2,215 | |
HFA securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 157,479 | 162,568 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 157,479 | 162,568 | |
Gross Unrecognized Holding Gains | 23 | 11 | |
Gross Unrecognized Holding Losses | (17,525) | (19,291) | |
Held-to-maturity securities Fair Value | 139,977 | 143,288 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 158,870 | 164,727 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | [1] | 158,870 | 164,727 |
Gross Unrecognized Holding Gains | 51 | 67 | |
Gross Unrecognized Holding Losses | (17,525) | (19,291) | |
Held-to-maturity securities Fair Value | 141,396 | 145,503 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 10,705 | 12,719 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 10,705 | 12,719 | |
Gross Unrecognized Holding Gains | 233 | 246 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 10,938 | 12,965 | |
U.S. government guaranteed - multifamily MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 373 | 1,532 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 373 | 1,532 | |
Gross Unrecognized Holding Gains | 0 | 0 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 373 | 1,532 | |
Asset-backed securities backed by home equity loans [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 9,899 | 13,515 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (123) | (574) | |
Carrying Value | 9,776 | 12,941 | |
Gross Unrecognized Holding Gains | 280 | 602 | |
Gross Unrecognized Holding Losses | (469) | (600) | |
Held-to-maturity securities Fair Value | 9,587 | 12,943 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [3] | 1,805,610 | 2,158,418 |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (166,469) | (192,378) | |
Carrying Value | [1],[3] | 1,639,141 | 1,966,040 |
Gross Unrecognized Holding Gains | 300,844 | 270,239 | |
Gross Unrecognized Holding Losses | (4,811) | (9,492) | |
Held-to-maturity securities Fair Value | [3] | 1,935,174 | 2,226,787 |
GSEs - single-family [Member] | GSEs – MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 619,442 | 812,836 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 619,442 | 812,836 | |
Gross Unrecognized Holding Gains | 12,841 | 16,881 | |
Gross Unrecognized Holding Losses | (147) | (519) | |
Held-to-maturity securities Fair Value | 632,136 | 829,198 | |
GSEs - multifamily [Member] | GSEs – MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 294,039 | 318,667 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 294,039 | 318,667 | |
Gross Unrecognized Holding Gains | 8,839 | 11,692 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 302,878 | 330,359 | |
Private-label - residential MBS [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 871,152 | 999,149 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (166,346) | (191,804) | |
Carrying Value | 704,806 | 807,345 | |
Gross Unrecognized Holding Gains | 278,651 | 240,818 | |
Gross Unrecognized Holding Losses | (4,195) | (8,373) | |
Held-to-maturity securities Fair Value | $ 979,262 | $ 1,039,790 | |
[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 $ 2,076,570 and $2,372,290 at September 30, 2017 , and December 31, 2016 | ||
[3] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. |
Held-to-Maturity Securities Fai
Held-to-Maturity Securities Fair Value and Unrealized Losses (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 17,966 | $ 100,206 |
Less than 12 Months, Unrealized Losses | (12) | (521) |
12 Months or More, Fair Value | 343,429 | 563,669 |
12 Months or More, Unrealized Losses | (25,775) | (48,918) |
Total Fair Value | 361,395 | 663,875 |
Total Unrealized Losses | (25,787) | (49,439) |
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 | 126,190 | 140,959 |
12 Months or More, Unrealized Losses | (17,525) | (19,291) |
Total Fair Value | 126,190 | 140,959 |
Total Unrealized Losses | (17,525) | (19,291) |
Asset-backed securities backed by home equity loans [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 | 8,480 | 11,898 |
12 Months or More, Unrealized Losses | (471) | (720) |
Total Fair Value | 8,480 | 11,898 |
Total Unrealized Losses | (471) | (720) |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 17,966 | 100,206 |
Less than 12 Months, Unrealized Losses | (12) | (521) |
12 Months or More, Fair Value | 217,239 | 422,710 |
12 Months or More, Unrealized Losses | (8,250) | (29,627) |
Total Fair Value | 235,205 | 522,916 |
Total Unrealized Losses | (8,262) | (30,148) |
GSEs - single-family [Member] | GSEs – MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 17,966 | 83,291 |
Less than 12 Months, Unrealized Losses | (12) | (393) |
12 Months or More, Fair Value | 18,635 | 13,405 |
12 Months or More, Unrealized Losses | (135) | (126) |
Total Fair Value | 36,601 | 96,696 |
Total Unrealized Losses | (147) | (519) |
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 | 0 | 16,915 |
Less than 12 Months, Unrealized Losses | 0 | (128) |
12 Months or More, Fair Value | 190,124 | 397,407 |
12 Months or More, Unrealized Losses | (7,644) | (28,781) |
Total Fair Value | 190,124 | 414,322 |
Total Unrealized Losses | $ (7,644) | $ (28,909) |
Held-to-Maturity Securities Red
Held-to-Maturity Securities Redemption Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 1,964,480 | $ 2,323,145 | |
Carrying Value | [1],[2] | 1,798,011 | 2,130,767 |
Fair Value | 2,076,570 | 2,372,290 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Due in one year or less, Amortized Cost | 109 | 0 | |
Due in one year or less, Carrying Value | [1] | 109 | 0 |
Due in one year or less, Fair Value | 111 | 0 | |
Due after one year through five years, Amortized Cost | 15,046 | 16,637 | |
Due after one year through five years, Carrying Value | [1] | 15,046 | 16,637 |
Due after one year through five years, Fair Value | 15,095 | 16,663 | |
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 | 143,715 | 148,090 | |
Due after 10 years, Carrying Value | [1] | 143,715 | 148,090 |
Due after 10 years, Fair Value | 126,190 | 128,840 | |
Amortized Cost | 158,870 | 164,727 | |
Carrying Value | [1] | 158,870 | 164,727 |
Fair Value | 141,396 | 145,503 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [3] | 1,805,610 | 2,158,418 |
Carrying Value | [1],[3] | 1,639,141 | 1,966,040 |
Fair Value | [3] | $ 1,935,174 | $ 2,226,787 |
[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 $ 2,076,570 and $2,372,290 at September 30, 2017 , and December 31, 2016 | ||
[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 Impairme53
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 | 9 Months Ended | |
Sep. 30, 2017USD ($) | [1] | |
Other than Temporary Impairment, Disclosure [Line Items] | ||
Par Value | $ 58,723 | |
Project Prepayment Rates - Weighted Average Percent | 8.70% | |
Projected Default Rates, Weighted Average Percent | 32.20% | |
Projected Loss Severities, Weighted Average Percent | 36.50% | |
Current Credit Enhancement, Weighted Average Percent | 11.80% | |
[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 Impairme54
Other-Than-Temporary Impairment OTTI Credit Losses Recognized During Life of Security (Details) - Held-to-maturity Securities [Member] $ in Thousands | Sep. 30, 2017USD ($) | [1] |
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | $ 1,010,310 | |
Amortized Cost | 750,962 | |
Carrying Value | 584,494 | |
Fair Value | 863,284 | |
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 | 32,645 | |
Amortized Cost | 27,934 | |
Carrying Value | 21,911 | |
Fair Value | 30,054 | |
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 | 976,435 | |
Amortized Cost | 722,033 | |
Carrying Value | 561,711 | |
Fair Value | 832,077 | |
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 | 1,230 | |
Amortized Cost | 995 | |
Carrying Value | 872 | |
Fair Value | $ 1,153 | |
[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 Impairme55
Other-Than-Temporary Impairment Roll-forward of Amounts Related to Credit Losses Recognized in Earnings (Details) - Held-to-maturity Securities [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Balance at beginning of period | $ 468,706 | $ 516,922 | $ 490,404 | $ 533,888 | |
Credit losses for which other-than-temporary impairment was not previously recognized | 0 | 6 | 0 | 6 | |
Additional credit losses for which an other-than-temporary impairment charge was previously recognized | [1] | 432 | 365 | 1,418 | 2,715 |
Securities matured during the period | [2] | 0 | 0 | (5,565) | 0 |
Increase in cash flows expected to be collected which are recognized over the remaining life of the security | [3] | (8,356) | (9,613) | (25,475) | (28,929) |
Balance at end of period | $ 460,782 | $ 507,680 | $ 460,782 | $ 507,680 | |
[1] | For the three months ended September 30, 2017 and 2016 , additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to July 1, 2017 and 2016 , respectively. For the nine months ended September 30, 2017 and 2016 , 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, 2017 and 2016 | ||||
[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 | Sep. 30, 2017 | Dec. 31, 2016 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | $ 7,177 | $ 3,780 | |
Due in one year or less | 19,459,542 | 18,783,802 | |
Due after one year through two years | 9,114,490 | 10,966,780 | |
Due after two years through three years | 3,213,137 | 2,508,459 | |
Due after three years through four years | 1,564,384 | 2,177,432 | |
Due after four years through five years | 2,264,058 | 2,041,269 | |
Thereafter | 1,885,862 | 2,633,333 | |
Total par value | $ 37,508,650 | $ 39,114,855 | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand-deposit accounts, Weighted average rate | 1.46% | 0.92% | |
Due in one year or less, Weighted average rate | 1.40% | 1.05% | |
Due after one year through two years, Weighted average rate | 1.47% | 1.15% | |
Due after two years through three years, Weighted average rate | 1.76% | 1.67% | |
Due after three years through four years, Weighted average rate | 1.81% | 1.64% | |
Due after four years through five years, Weighted average rate | 1.77% | 1.80% | |
Thereafter, Weighted average rate | 2.16% | 1.70% | |
Total Weighted average rate | 1.52% | 1.23% | |
Premiums | $ 19,382 | $ 22,633 | |
Discounts | (30,511) | (25,847) | |
Fair value of bifurcated derivatives | [1] | 812 | (153) |
Hedging adjustments | (30,929) | (12,149) | |
Total Advances | $ 37,467,404 | $ 39,099,339 | |
[1] | At September 30, 2017 , and December 31, 2016 |
Advances Advances - Year of Con
Advances Advances - Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | $ 7,177 | $ 3,780 | |
Due in one year or less | [1] | 25,208,717 | 26,447,977 |
Due after one year through two years | [1] | 3,766,490 | 3,693,780 |
Due after two years through three years | [1] | 3,037,937 | 2,508,459 |
Due after three years through four years | [1] | 1,554,384 | 2,002,232 |
Due after four years through five years | [1] | 2,102,058 | 1,891,269 |
Thereafter | [1] | 1,831,887 | 2,567,358 |
Total par value | $ 37,508,650 | $ 39,114,855 | |
[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 | Sep. 30, 2017 | Dec. 31, 2016 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand-deposit accounts | $ 7,177 | $ 3,780 |
Due in one year or less | 20,854,942 | 20,788,552 |
Due after one year through two years | 9,514,740 | 10,946,530 |
Due after two years through three years | 3,124,637 | 2,455,709 |
Due after three years through four years | 1,407,484 | 1,974,932 |
Due after four years through five years | 1,602,058 | 1,736,769 |
Thereafter | 997,612 | 1,208,583 |
Total par value | $ 37,508,650 | $ 39,114,855 |
Advances - Interest-Rate-Paymen
Advances - Interest-Rate-Payment Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Fixed-rate | $ 30,721,798 | $ 30,526,192 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Variable-rate | 6,786,852 | 8,588,663 |
Total par value | $ 37,508,650 | $ 39,114,855 |
Advances - Narratives (Details)
Advances - Narratives (Details) $ in Thousands | Sep. 30, 2017USD ($)Borrowers | Dec. 31, 2016USD ($)Borrowers |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 37,508,650 | $ 39,114,855 |
Credit Risk Exposure and Security Terms [Abstract] | ||
Total outstanding advances greater than $1.0 billion per borrower, amount | 12,100,000 | $ 16,200,000 |
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 | 5 | 6 |
Total outstanding advances greater than $1.0 billion per borrower as a percentage of advances outstanding | 32.30% | 41.50% |
Minimum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rates of advances outstanding | 0.00% | 0.00% |
Maximum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rates of advances outstanding | 7.72% | 7.72% |
Federal Home Loan Bank, Advances, Callable Option [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 6,000,000 | $ 7,900,000 |
Federal Home Loan Bank, Advances, Putable Option [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 2,200,000 | $ 3,400,000 |
Mortgage Loans Held for Portf61
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | $ 3,871,720 | $ 3,626,962 |
Premiums | 70,092 | 67,523 |
Discounts | (1,555) | (1,696) |
Deferred derivative gains, net | 3,019 | 1,755 |
Total mortgage loans held for portfolio | 3,943,276 | 3,694,544 |
Less: allowance for credit losses | (500) | (650) |
Total mortgage loans, net of allowance for credit losses | $ 3,942,776 | 3,693,894 |
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 | $ 3,500,469 | 3,235,835 |
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 | $ 371,251 | 391,127 |
Single Family [Member] | Fixed-rate 15-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | 489,503 | 528,486 |
Single Family [Member] | Fixed-rate 20- and 30-year single-family mortgages | ||
Mortgage Loans on Real Estate [Line Items] | ||
Par Value | $ 3,382,217 | $ 3,098,476 |
Allowance for credit losses - C
Allowance for credit losses - Credit Quality Indicators (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2017 | Dec. 31, 2016 | ||
Mortgage Loans Past Due [Line Items] | |||
Total past due | $ 66,252 | $ 73,175 | |
Total current loans | 3,896,693 | 3,640,109 | |
Total mortgage loans | 3,962,945 | 3,713,284 | |
In process of foreclosure, included above | [1] | $ 9,089 | $ 8,997 |
Serious delinquency rate | [2] | 0.54% | 0.63% |
Past due 90 days or more still accruing interest | $ 5,121 | $ 5,807 | |
Loans on nonaccrual status | [3] | $ 16,020 | 16,940 |
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 | $ 20,442 | 24,531 | |
Total current loans | 360,928 | 377,438 | |
Total mortgage loans | 381,370 | 401,969 | |
In process of foreclosure, included above | [1] | $ 1,888 | $ 1,502 |
Serious delinquency rate | [2] | 1.34% | 1.44% |
Past due 90 days or more still accruing interest | $ 5,121 | $ 5,807 | |
Loans on nonaccrual status | [3] | 0 | 0 |
Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 45,810 | 48,644 | |
Total current loans | 3,535,765 | 3,262,671 | |
Total mortgage loans | 3,581,575 | 3,311,315 | |
In process of foreclosure, included above | [1] | $ 7,201 | $ 7,495 |
Serious delinquency rate | [2] | 0.45% | 0.53% |
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |
Loans on nonaccrual status | [3] | 16,020 | 16,940 |
Past due 30-59 days delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 36,708 | 41,635 | |
Past due 30-59 days delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 12,131 | 14,878 | |
Past due 30-59 days delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 24,577 | 26,757 | |
Past due 60-89 days delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 8,931 | 9,354 | |
Past due 60-89 days delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 3,190 | 3,846 | |
Past due 60-89 days delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 5,741 | 5,508 | |
Past due 90 days or more delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 20,613 | 22,186 | |
Past due 90 days or more delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 5,121 | 5,807 | |
Past due 90 days or more delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | $ 15,492 | $ 16,379 | |
[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 | ||
[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 | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Financing Receivable, Impaired [Line Items] | |||||
Individually evaluated impaired mortgage loans with no related allowance - Recorded Investment | $ 18,786 | $ 18,786 | $ 22,945 | ||
Individually evaluated impaired mortgage loans with no related allowance - Par Value | 18,751 | 18,751 | $ 22,905 | ||
Individually evaluated impaired mortgage loans with no related allowance - Average Recorded Investment | 18,645 | $ 23,492 | 19,614 | $ 24,728 | |
Individually evaluated impaired mortgage loans with no related allowance - Interest Income recognized | $ 91 | $ 116 | $ 314 | $ 298 |
Allowance for credit losses - A
Allowance for credit losses - Allowance Rollforward (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||||
Balance, beginning of period | $ 650 | ||||
Provision (reduction of provision) for credit losses | $ 28 | $ (94) | (148) | $ (194) | |
Balance, end of period | 500 | 500 | |||
Conventional mortgage loans [Member] | |||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||||
Balance, beginning of period | 500 | 900 | 650 | 1,025 | |
Charge-offs, net of recoveries | (28) | (6) | (2) | (31) | |
Provision (reduction of provision) for credit losses | 28 | (94) | (148) | (194) | |
Balance, end of period | 500 | 800 | 500 | 800 | |
Ending balance, individually evaluated for impairment | 0 | 0 | 0 | 0 | |
Ending balance, collectively evaluated for impairment | 500 | 800 | 500 | 800 | |
Recorded Investment Individually evaluated for impairment | [1] | 18,786 | 22,950 | 18,786 | 22,950 |
Recorded Investment Collectively evaluated for impairment | [1] | $ 3,562,789 | $ 3,296,946 | $ 3,562,789 | $ 3,296,946 |
[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 Activ65
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 16,231,990,000 | $ 19,965,133,000 | |
Derivative Assets, before netting and collateral adjustments | 43,197,000 | 55,078,000 | |
Derivative Liabilities, before netting and collateral adjustments | (390,891,000) | (460,287,000) | |
Derivative Asset, cash collateral, and variation margin for daily settled contracts including related accrued interest | [1],[2] | 4,966,000 | 6,520,000 |
Derivative Liability, cash collateral, and variation margin for daily settled contracts including related accrued interest | [1],[2] | 81,216,000 | 102,411,000 |
Derivative Assets | 48,163,000 | 61,598,000 | |
Derivative Liabilities | (309,675,000) | (357,876,000) | |
Cash collateral and related accrued interest posted | 48,500,000 | 109,800,000 | |
Cash collateral and related accrued interest received | 731,000 | 850,000 | |
Variation margin for daily settled contracts | 38,500,000 | ||
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 14,913,369,000 | 18,743,609,000 | |
Derivative Assets, before netting and collateral adjustments | 41,366,000 | 52,715,000 | |
Derivative Liabilities, before netting and collateral adjustments | (383,590,000) | (449,276,000) | |
Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 14,385,569,000 | 18,215,809,000 | |
Derivative Assets, before netting and collateral adjustments | 41,366,000 | 52,715,000 | |
Derivative Liabilities, before netting and collateral adjustments | (341,616,000) | (413,026,000) | |
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 | (41,974,000) | (36,250,000) | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,318,621,000 | 1,221,524,000 | |
Derivative Assets, before netting and collateral adjustments | 1,831,000 | 2,363,000 | |
Derivative Liabilities, before netting and collateral adjustments | (7,301,000) | (11,011,000) | |
Not Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,206,400,000 | 1,199,000,000 | |
Derivative Assets, before netting and collateral adjustments | 1,699,000 | 2,293,000 | |
Derivative Liabilities, before netting and collateral adjustments | (7,191,000) | (10,840,000) | |
Mortgage-delivery commitments [Member] | Forward Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Assets | 76,000 | 70,000 | |
Derivative Liabilities | (110,000) | (171,000) | |
Mortgage-delivery commitments [Member] | Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | [3] | 62,221,000 | 22,524,000 |
Derivative Assets, before netting and collateral adjustments | [3] | 76,000 | 70,000 |
Derivative Liabilities, before netting and collateral adjustments | [3] | (110,000) | (171,000) |
COs - bonds [Member] | Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | [3] | 50,000,000 | 0 |
Derivative Assets, before netting and collateral adjustments | [3] | 56,000 | 0 |
Derivative Liabilities, before netting and collateral adjustments | [3] | $ 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 $48.5 million and $109.8 million at September 30, 2017 , and December 31, 2016 , 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 $731,000 and $850,000 at September 30, 2017 , and December 31, 2016 , respectively. Variation margin for daily settled contracts was $38.5 million at September 30, 2017 . | ||
[2] | Carried at fair value on a recurring basis. | ||
[3] | Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. |
Derivatives and Hedging Activ66
Derivatives and Hedging Activities Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivatives and hedged items in fair-value hedging relationships | $ (876) | $ (3,278) | $ (2,287) | $ (8,529) | |
Total net losses related to derivatives designated as hedging instruments | (894) | (3,300) | (2,074) | (9,087) | |
Total net gains (losses) related to derivatives not designated as hedging instruments | 762 | 1,378 | 1,404 | (2,033) | |
Other | [1] | 126 | 0 | 282 | 0 |
Net losses on derivatives and hedging activities | (6) | (1,922) | (388) | (11,120) | |
Interest-rate swaps [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivatives and hedged items in fair-value hedging relationships | (876) | (3,278) | (2,287) | (8,529) | |
Total net gains (losses) related to derivatives not designated as hedging instruments | 14 | 1,186 | (208) | (3,531) | |
Interest Rate Caps or Floors [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Total net gains (losses) related to derivatives not designated as hedging instruments | 0 | (59) | 0 | (59) | |
Forward-start interest-rate swaps [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Cash flow hedge ineffectiveness | (18) | (22) | 213 | (558) | |
Mortgage-delivery commitments [Member] | Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Total net gains (losses) related to derivatives not designated as hedging instruments | 692 | 251 | 1,556 | 1,557 | |
COs - bonds [Member] | Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Total net gains (losses) related to derivatives not designated as hedging instruments | $ 56 | $ 0 | $ 56 | $ 0 | |
[1] | Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. |
Derivatives and Hedging Activ67
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Gain/(Loss) on Derivative | $ 16,407 | $ 64,582 | $ 47,375 | $ (94,949) | |||
Gain/(Loss) on Hedged Item | (17,283) | (67,860) | (49,662) | 86,420 | |||
Net Fair-Value Hedge Ineffectiveness | (876) | (3,278) | (2,287) | (8,529) | |||
Effect of Derivatives on Net Interest Income | (10,515) | [1] | (24,835) | [1] | (41,920) | [1] | (83,751) |
Advances [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Gain/(Loss) on Derivative | 9,382 | 71,032 | 19,150 | (23,045) | |||
Gain/(Loss) on Hedged Item | (8,881) | (70,859) | (18,780) | 22,029 | |||
Net Fair-Value Hedge Ineffectiveness | 501 | 173 | 370 | (1,016) | |||
Effect of Derivatives on Net Interest Income | (2,878) | [1] | (22,547) | [1] | (24,566) | [1] | (78,799) |
Available-for-sale Securities [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Gain/(Loss) on Derivative | 5,007 | 10,255 | 8,412 | (66,030) | |||
Gain/(Loss) on Hedged Item | (4,503) | (9,810) | (7,047) | 67,215 | |||
Net Fair-Value Hedge Ineffectiveness | 504 | 445 | 1,365 | 1,185 | |||
Effect of Derivatives on Net Interest Income | (7,879) | [1] | (8,788) | [1] | (24,319) | [1] | (26,682) |
COs - bonds [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Gain/(Loss) on Derivative | 2,018 | (16,705) | 19,813 | (5,874) | |||
Gain/(Loss) on Hedged Item | (3,899) | 12,809 | (23,835) | (2,824) | |||
Net Fair-Value Hedge Ineffectiveness | (1,881) | (3,896) | (4,022) | (8,698) | |||
Effect of Derivatives on Net Interest Income | $ 242 | [1] | $ 6,500 | [1] | $ 6,965 | [1] | $ 21,730 |
[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 Activ68
Derivatives and Hedging Activities Cash Flow Hedge Activity (Details) - COs - bonds [Member] - Interest-rate swaps [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Derivative [Line Items] | ||||
(Losses) Gains Recognized in Other Comprehensive Loss on Derivatives (Effective Portion) | $ (856) | $ 1,082 | $ (5,937) | $ (25,688) |
Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) | (2,158) | (5,337) | (9,865) | (19,434) |
(Losses) Gains Recognized in Net Losses on Derivatives and Hedging Activities (Ineffective Portion) | $ (18) | $ (22) | $ 213 | $ (558) |
Derivatives and Hedging Activ69
Derivatives and Hedging Activities Narratives (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017USD ($) | ||
Derivative [Line Items] | ||
Maximum length of time which we are hedging our exposure to the variability in future cash flows for forecasted transactions | 7 years | |
Deferred net losses on derivative accumulated in other comprehensive loss expected to be reclassified to earnings during the next 12 months | $ 3,400 | |
Aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position | 328,000 | |
Post-haircut value of collateral already posted | 304,500 | |
Rating Downgrade from AAPlus to AA or AAMinus [Member] | ||
Derivative [Line Items] | ||
Incremental collateral | 8,662 | [1] |
Rating Downgrade From AA or AAMinus to APlus, A or AMinus [Member] | ||
Derivative [Line Items] | ||
Incremental collateral | 8,344 | [1] |
Rating Downgrade From APlus, A or AMinus to below AMinus [Member] | ||
Derivative [Line Items] | ||
Incremental collateral | $ 24,524 | [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 Activ70
Derivatives and Hedging Activities Fair Value of Derivative Instruments With or Without Legal Rights of Offset (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 | |
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | $ 43,121,000 | $ 55,008,000 | |
Derivative Liability, total gross recognized amount | (390,781,000) | (460,116,000) | |
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | 4,966,000 | 6,520,000 |
Derivative Liability, Netting Adjustments and Cash Collateral | [1],[2] | 81,216,000 | 102,411,000 |
Derivative Asset, total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts | 48,087,000 | 61,528,000 | |
Derivative Liability, total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts | (309,565,000) | (357,705,000) | |
Derivative assets | 48,163,000 | 61,598,000 | |
Derivative liabilities | (309,675,000) | (357,876,000) | |
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] | 291,723,000 | 320,750,000 |
Derivative Asset, Fair value, amount offset against collateral | 48,163,000 | 61,598,000 | |
Derivative Liability, Fair value, amount offset against collateral | (17,952,000) | (37,126,000) | |
Derivative Liabilities, additional net exposure, collateral pledged to counterparties in excess of net liabilities | 32,000 | 2,000,000 | |
Mortgages [Member] | Mortgage-delivery commitments [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Mortgage delivery commitments | 76,000 | 70,000 | |
Derivative Liabilities, Mortgage delivery commitments | (110,000) | (171,000) | |
Derivative assets | 76,000 | 70,000 | |
Derivative liabilities | (110,000) | (171,000) | |
Derivative Asset, Fair value, amount offset against collateral | 76,000 | 70,000 | |
Derivative Liability, Fair value, amount offset against collateral | (110,000) | (171,000) | |
Uncleared derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | 8,964,000 | 12,594,000 | |
Derivative Liability, total gross recognized amount | (335,850,000) | (405,310,000) | |
Derivative Assets, Netting Adjustments and Cash Collateral | (8,277,000) | (12,028,000) | |
Derivative Liability, Netting Adjustments and Cash Collateral | 26,285,000 | 47,605,000 | |
Derivative Asset, total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts | 687,000 | 566,000 | |
Derivative Liability, total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts | (309,565,000) | (357,705,000) | |
Derivative assets | 687,000 | 566,000 | |
Derivative liabilities | (309,565,000) | (357,705,000) | |
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] | 8,715,000 | 30,306,000 |
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] | 283,008,000 | 290,444,000 |
Derivative Asset, Fair value, amount offset against collateral | 687,000 | 566,000 | |
Derivative Liability, Fair value, amount offset against collateral | (17,842,000) | (36,955,000) | |
Cleared derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, total gross recognized amount | 34,157,000 | 42,414,000 | |
Derivative Liability, total gross recognized amount | (54,931,000) | (54,806,000) | |
Derivative Assets, Netting Adjustments and Cash Collateral | 13,243,000 | 18,548,000 | |
Derivative Liability, Netting Adjustments and Cash Collateral | 54,931,000 | 54,806,000 | |
Derivative Asset, total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts | 47,400,000 | 60,962,000 | |
Derivative Liability, total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts | 0 | 0 | |
Derivative assets | 47,400,000 | 60,962,000 | |
Derivative liabilities | 0 | 0 | |
Derivative Asset, Fair value, amount offset against collateral | 47,400,000 | 60,962,000 | |
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 $48.5 million and $109.8 million at September 30, 2017 , and December 31, 2016 , 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 $731,000 and $850,000 at September 30, 2017 , and December 31, 2016 , respectively. Variation margin for daily settled contracts was $38.5 million at September 30, 2017 . | ||
[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 September 30, 2017 , and December 31, 2016 , we had additional net credit exposure of $32,000 and $2.0 million |
Deposits Narratives (Details)
Deposits Narratives (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Deposits [Abstract] | ||
Interest-bearing deposit demand and overnight | $ 463,622 | $ 440,731 |
Interest-bearing deposit other | 2,154 | 4,166 |
Non-interest bearing deposits other | 26,855 | 37,266 |
Total deposits | $ 492,631 | $ 482,163 |
Consolidated Obligations CO Bon
Consolidated Obligations CO Bonds - Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less | $ 12,269,090 | $ 8,734,955 | |
Due in one year or less, weighted average rate | [1] | 1.36% | 1.43% |
Due after one year through two years | $ 6,396,080 | $ 7,752,420 | |
Due after one year through two years, weighted average rate | [1] | 1.44% | 1.19% |
Due after two years through three years | $ 3,077,000 | $ 3,297,120 | |
Due after two years through three years, weighted average rate | [1] | 1.89% | 1.63% |
Due after three years through four years | $ 1,776,055 | $ 1,637,335 | |
Due after three years through four years, weighted average rate | [1] | 1.72% | 1.87% |
Due after four years through five years | $ 1,938,535 | $ 2,574,375 | |
Due after four years through five years, weighted average rate | [1] | 1.83% | 1.65% |
Thereafter | $ 2,995,650 | $ 3,135,745 | |
Thereafter, weighted average rate | [1] | 2.75% | 2.70% |
Total par value | $ 28,452,410 | $ 27,131,950 | |
Total par value, weighted average rate | [1] | 1.62% | 1.58% |
Hedging adjustments | $ (39,920) | $ (63,755) | |
Total | 28,492,595 | 27,171,434 | |
COs - bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Premiums | 94,425 | 118,145 | |
Discounts | $ (14,320) | $ (14,906) | |
[1] | The CO bonds' weighted-average rate excludes concession fees. |
Consolidated Obligations CO B73
Consolidated Obligations CO Bonds - Outstanding By Call Features (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 28,452,410 | $ 27,131,950 |
Noncallable and nonputable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | 24,469,410 | 22,388,950 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 3,983,000 | $ 4,743,000 |
Consolidated Obligations CO B74
Consolidated Obligations CO Bonds - Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Debt Disclosure [Abstract] | ||
Due in one year or less | $ 15,274,090 | $ 12,858,955 |
Due after one year through two years | 6,376,080 | 7,013,420 |
Due after two years through three years | 2,956,000 | 2,904,120 |
Due after three years through four years | 1,039,055 | 1,289,335 |
Due after four years through five years | 1,128,535 | 1,242,375 |
Thereafter | 1,678,650 | 1,823,745 |
Total par value | $ 28,452,410 | $ 27,131,950 |
Consolidated Obligations CO B75
Consolidated Obligations CO Bonds - Interest-Rate-Payment Type (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Debt Disclosure [Abstract] | ||
Fixed-rate | $ 20,483,410 | $ 20,289,950 |
Simple variable-rate | 6,492,000 | 5,300,000 |
Step-up | 1,477,000 | 1,542,000 |
Total par value | $ 28,452,410 | $ 27,131,950 |
Consolidated Obligations CO - D
Consolidated Obligations CO - Discount Notes (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 28,047,762 | $ 30,053,964 | |
Par value | $ 28,074,966 | $ 30,070,103 | |
Weighted Average Rate | [1] | 1.03% | 0.47% |
[1] | The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program Roll
Affordable Housing Program Roll-forward AHP liability (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Affordable Housing Program [Roll Forward] | |||||
Balance at beginning of period | $ 81,627 | $ 82,081 | $ 82,081 | ||
AHP expense for the period | $ 5,110 | $ 4,099 | 13,720 | 12,731 | 19,397 |
AHP direct grant disbursements | (16,217) | $ (12,739) | (18,575) | ||
AHP subsidy for AHP advance disbursements | (1,876) | (1,378) | |||
Return of previously disbursed grants and subsidies | 75 | 102 | |||
Balance at end of period | $ 77,329 | $ 77,329 | $ 81,627 |
Capital Requirements (Details)
Capital Requirements (Details) $ in Thousands | Sep. 30, 2017USD ($) | Dec. 31, 2016USD ($) |
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 | $ 2,272,648 | $ 2,411,306 |
Mandatorily redeemable capital stock | 36,042 | 32,687 |
Retained earnings | 1,265,282 | 1,216,986 |
Total permanent capital | 3,573,972 | 3,660,979 |
Credit-risk capital | 348,381 | 355,182 |
Market-risk capital | 166,807 | 118,765 |
Operations-risk capital | 154,556 | 142,184 |
Total risk-based capital requirement | 669,744 | 616,131 |
Permanent capital in excess of risk-based capital requirement | 2,904,228 | 3,044,848 |
Regulatory capital, Required | 2,439,018 | 2,461,823 |
Leverage capital, Required | 3,048,773 | 3,077,279 |
Risk-based capital, Actual | 3,573,972 | 3,660,979 |
Regulatory capital, Actual | $ 3,573,972 | $ 3,660,979 |
Capital-to-asset ratio, Actual | 5.90% | 5.90% |
Leverage capital, Actual | $ 5,360,958 | $ 5,491,469 |
Leverage capital-to-assets ratio, Actual | 8.80% | 8.90% |
Accumulated Other Comprehensi79
Accumulated Other Comprehensive Loss (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||||||||
Amortization of hedging activities recorded in interest expense CO bonds | $ 109,052,000 | $ 86,574,000 | $ 311,395,000 | $ 267,214,000 | |||||
Amortization of hedging activities recorded in net gains (losses) on derivatives and hedging activities | (6,000) | (1,922,000) | (388,000) | (11,120,000) | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (383,514,000) | ||||||||
Amortization - hedging activities | 2,161,000 | 5,341,000 | 9,875,000 | 19,445,000 | |||||
Amortization - pension and postretirement benefits | (305,000) | (210,000) | (914,000) | 2,256,000 | |||||
Other comprehensive income (loss) | 10,147,000 | (2,302,000) | 73,200,000 | 81,953,000 | |||||
Ending balance | (310,314,000) | (310,314,000) | |||||||
Net Unrealized Loss Relating to Hedging Activities [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (45,554,000) | (83,903,000) | (48,187,000) | (71,237,000) | |||||
Net unrealized (losses) gains | (856,000) | 1,082,000 | (5,937,000) | (25,688,000) | |||||
Amortization - hedging activities | 2,161,000 | [1] | 5,341,000 | [2] | 9,875,000 | [3] | 19,445,000 | [4] | |
Other comprehensive income (loss) | 1,305,000 | 6,423,000 | 3,938,000 | (6,243,000) | |||||
Ending balance | (44,249,000) | (77,480,000) | (44,249,000) | (77,480,000) | |||||
Pension and Postretirement Benefits [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (5,530,000) | (6,323,000) | (6,139,000) | (3,857,000) | |||||
Net actuarial (loss) gain | 112,000 | (15,000) | 336,000 | (2,931,000) | |||||
Amortization - pension and postretirement benefits | [5] | 193,000 | 225,000 | 578,000 | 675,000 | ||||
Other comprehensive income (loss) | 305,000 | 210,000 | 914,000 | (2,256,000) | |||||
Ending balance | (5,225,000) | (6,113,000) | (5,225,000) | (6,113,000) | |||||
Total Accumulated Other Comprehensive Loss [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (320,461,000) | (358,342,000) | (383,514,000) | (442,597,000) | |||||
Net unrealized (losses) gains | (917,000) | (16,243,000) | 36,502,000 | 36,758,000 | |||||
Noncredit other-than-temporary impairment losses | (486,000) | (1,142,000) | |||||||
Accretion of noncredit loss | 8,178,000 | 8,586,000 | 24,593,000 | 26,938,000 | |||||
Net actuarial (loss) gain | 112,000 | (15,000) | 336,000 | (2,931,000) | |||||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [6] | 420,000 | 290,000 | 1,316,000 | 2,210,000 | ||||
Amortization - hedging activities | 2,161,000 | [1] | 5,341,000 | [2] | 9,875,000 | [3] | 19,445,000 | [4] | |
Amortization - pension and postretirement benefits | [5] | 193,000 | 225,000 | 578,000 | 675,000 | ||||
Other comprehensive income (loss) | 10,147,000 | (2,302,000) | 73,200,000 | 81,953,000 | |||||
Ending balance | (310,314,000) | (360,644,000) | (310,314,000) | (360,644,000) | |||||
Available-for-sale Securities [Member] | Net Unrealized Loss on Available-for-Sale Securities [Member] | |||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||
Beginning balance | (94,309,000) | (57,947,000) | (136,809,000) | (137,718,000) | |||||
Net unrealized (losses) gains | (61,000) | (17,325,000) | 42,439,000 | 62,446,000 | |||||
Other comprehensive income (loss) | (61,000) | (17,325,000) | 42,439,000 | 62,446,000 | |||||
Ending balance | (94,370,000) | (75,272,000) | (94,370,000) | (75,272,000) | |||||
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 | (175,068,000) | (210,169,000) | (192,379,000) | (229,785,000) | |||||
Noncredit other-than-temporary impairment losses | (486,000) | (1,142,000) | |||||||
Accretion of noncredit loss | 8,178,000 | 8,586,000 | 24,593,000 | 26,938,000 | |||||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [6] | 420,000 | 290,000 | 1,316,000 | 2,210,000 | ||||
Other comprehensive income (loss) | 8,598,000 | 8,390,000 | 25,909,000 | 28,006,000 | |||||
Ending balance | (166,470,000) | (201,779,000) | (166,470,000) | (201,779,000) | |||||
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 | 2,200,000 | 5,300,000 | 9,900,000 | 19,400,000 | |||||
Amortization of hedging activities recorded in net gains (losses) on derivatives and hedging activities | $ 4,000 | $ 4,000 | $ 11,000 | $ 11,000 | |||||
[1] | Amortization of hedging activities includes $2.2 million recorded in CO bond interest expense and $4,000 | ||||||||
[2] | Amortization of hedging activities includes $5.3 million recorded in CO bond interest expense and $4,000 | ||||||||
[3] | Amortization of hedging activities includes $9.9 million recorded in CO bond interest expense and $11,000 | ||||||||
[4] | Amortization of hedging activities includes $19.4 million recorded in CO bond interest expense and $11,000 | ||||||||
[5] | Recorded in other operating expenses in the statement of operations. | ||||||||
[6] | Recorded in net amount of impairment losses reclassified to (from) accumulated other comprehensive loss in the statement of operations. |
Fair Values Carrying Value and
Fair Values Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | $ 31,774 | $ 520,031 | |
Trading securities | 509,463 | 612,622 | |
Available-for-sale securities Fair Value | 7,559,111 | 6,588,664 | |
Held-to-maturity securities | [1],[2] | 1,798,011 | 2,130,767 |
Held-to-maturity securities Fair Value | 2,076,570 | 2,372,290 | |
Accrued interest receivable | 84,886 | 84,653 | |
Derivative assets | 48,163 | 61,598 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [3],[4] | 4,966 | 6,520 |
Mandatorily redeemable capital stock | (36,042) | (32,687) | |
Accrued interest payable | (100,148) | (80,822) | |
Derivative liabilities | (309,675) | (357,876) | |
Derivative Liability, Netting Adjustments and Cash Collateral | [3],[4] | 81,216 | 102,411 |
Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 31,774 | 520,031 | |
Interest-bearing deposits | 225,012 | 278 | |
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] | 9,121 | 8,394 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | (36,042) | (32,687) | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | [4] | 0 | 0 |
Level 1 [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 1 [Member] | Standby letters of credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 1 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | 0 | 0 | |
Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 0 | 0 | |
Interest-bearing deposits | 0 | 0 | |
Securities purchased under agreements to resell | 2,998,922 | 5,998,799 | |
Federal funds sold | 6,249,958 | 2,699,949 | |
Trading securities | [4] | 509,463 | 612,622 |
Available-for-sale securities Fair Value | [4] | 7,540,568 | 6,580,518 |
Held-to-maturity securities Fair Value | 947,744 | 1,176,269 | |
Advances | 37,615,598 | 39,273,044 | |
Mortgage loans, net | 3,976,898 | 3,708,123 | |
Accrued interest receivable | 84,886 | 84,653 | |
Derivative assets | [4] | 43,197 | 55,078 |
Other assets | [4] | 12,639 | 9,385 |
Deposits | (492,621) | (482,158) | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | (100,148) | (80,822) | |
Derivative liabilities | [4] | (390,891) | (460,287) |
Level 2 [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (4,385) | (4,412) | |
Level 2 [Member] | Standby letters of credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (892) | (1,064) | |
Level 2 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (28,047,925) | (30,054,085) | |
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] | 18,543 | 8,146 |
Held-to-maturity securities Fair Value | 1,128,826 | 1,196,021 | |
Advances | 0 | 0 | |
Mortgage loans, net | 24,400 | 28,425 | |
Accrued interest receivable | 0 | 0 | |
Derivative assets | [4] | 0 | 0 |
Other assets | [4] | 0 | 0 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | [4] | 0 | 0 |
Level 3 [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 3 [Member] | Standby letters of credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 3 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | 0 | 0 | |
Carrying Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 31,774 | 520,031 | |
Interest-bearing deposits | 225,012 | 278 | |
Securities purchased under agreements to resell | 2,999,000 | 5,999,000 | |
Federal funds sold | 6,250,000 | 2,700,000 | |
Trading securities | [4] | 509,463 | 612,622 |
Available-for-sale securities Fair Value | [4] | 7,559,111 | 6,588,664 |
Held-to-maturity securities | 1,798,011 | 2,130,767 | |
Advances | 37,467,404 | 39,099,339 | |
Mortgage loans, net | 3,942,776 | 3,693,894 | |
Accrued interest receivable | 84,886 | 84,653 | |
Derivative assets | [4] | 48,163 | 61,598 |
Other assets | [4] | 21,760 | 17,779 |
Deposits | (492,631) | (482,163) | |
Mandatorily redeemable capital stock | (36,042) | (32,687) | |
Accrued interest payable | (100,148) | (80,822) | |
Derivative liabilities | [4] | (309,675) | (357,876) |
Carrying Value [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Carrying Value [Member] | Standby letters of credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (892) | (1,064) | |
Carrying Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (28,047,762) | (30,053,964) | |
Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 31,774 | 520,031 | |
Interest-bearing deposits | 225,012 | 278 | |
Securities purchased under agreements to resell | 2,998,922 | 5,998,799 | |
Federal funds sold | 6,249,958 | 2,699,949 | |
Trading securities | [4] | 509,463 | 612,622 |
Available-for-sale securities Fair Value | [4] | 7,559,111 | 6,588,664 |
Held-to-maturity securities Fair Value | 2,076,570 | 2,372,290 | |
Advances | 37,615,598 | 39,273,044 | |
Mortgage loans, net | 4,001,298 | 3,736,548 | |
Accrued interest receivable | 84,886 | 84,653 | |
Derivative assets | [4] | 48,163 | 61,598 |
Other assets | [4] | 21,760 | 17,779 |
Deposits | (492,621) | (482,158) | |
Mandatorily redeemable capital stock | (36,042) | (32,687) | |
Accrued interest payable | (100,148) | (80,822) | |
Derivative liabilities | [4] | (309,675) | (357,876) |
Total Fair Value [Member] | Commitments to extend credit for advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (4,385) | (4,412) | |
Total Fair Value [Member] | Standby letters of credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (892) | (1,064) | |
Total Fair Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (28,047,925) | (30,054,085) | |
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 | (28,607,952) | (27,298,499) | |
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 | (28,492,595) | (27,171,434) | |
COs - bonds [Member] | Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | $ (28,607,952) | $ (27,298,499) | |
[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 $ 2,076,570 and $2,372,290 at September 30, 2017 , and December 31, 2016 | ||
[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 $48.5 million and $109.8 million at September 30, 2017 , and December 31, 2016 , 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 $731,000 and $850,000 at September 30, 2017 , and December 31, 2016 , respectively. Variation margin for daily settled contracts was $38.5 million at September 30, 2017 . | ||
[4] | Carried at fair value on a recurring basis. |
Fair Values Fair Value Measured
Fair Values Fair Value Measured on Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | $ 509,463 | $ 612,622 | |
Available-for-sale securities Fair Value | 7,559,111 | 6,588,664 | |
Derivative assets | 48,163 | 61,598 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | 4,966 | 6,520 |
Derivative liabilities | (309,675) | (357,876) | |
Derivative Liability, Netting Adjustments and Cash Collateral | [1],[2] | 81,216 | 102,411 |
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] | 9,121 | 8,394 |
Derivative liabilities | [2] | 0 | 0 |
Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [2] | 509,463 | 612,622 |
Available-for-sale securities Fair Value | [2] | 7,540,568 | 6,580,518 |
Derivative assets | [2] | 43,197 | 55,078 |
Other assets | [2] | 12,639 | 9,385 |
Derivative liabilities | [2] | (390,891) | (460,287) |
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] | 18,543 | 8,146 |
Derivative assets | [2] | 0 | 0 |
Other assets | [2] | 0 | 0 |
Derivative liabilities | [2] | 0 | 0 |
Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [3] | 4,966 | 6,520 |
Derivative Liability, Netting Adjustments and Cash Collateral | [3] | 81,216 | 102,411 |
Recurring [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [3] | 4,966 | 6,520 |
Derivative Liability, Netting Adjustments and Cash Collateral | [3] | 81,216 | 102,411 |
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 | 9,121 | 8,394 | |
Total assets at fair value | 9,121 | 8,394 | |
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 | 509,463 | 612,622 | |
Available-for-sale securities Fair Value | 7,540,568 | 6,580,518 | |
Derivative assets | 43,197 | 55,078 | |
Other assets | 12,639 | 9,385 | |
Total assets at fair value | 8,105,867 | 7,257,603 | |
Total liabilities at fair value | (390,891) | (460,287) | |
Recurring [Member] | Level 2 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 43,121 | 55,008 | |
Derivative liabilities | (390,781) | (460,116) | |
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 | 18,543 | 8,146 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets at fair value | 18,543 | 8,146 | |
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] | 509,463 | 612,622 |
Available-for-sale securities Fair Value | [2] | 7,559,111 | 6,588,664 |
Derivative assets | [2] | 48,163 | 61,598 |
Other assets | [2] | 21,760 | 17,779 |
Derivative liabilities | [2] | (309,675) | (357,876) |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 509,463 | 612,622 | |
Available-for-sale securities Fair Value | 7,559,111 | 6,588,664 | |
Derivative assets | 48,163 | 61,598 | |
Other assets | 21,760 | 17,779 | |
Total assets at fair value | 8,138,497 | 7,280,663 | |
Total liabilities at fair value | (309,675) | (357,876) | |
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 | 48,087 | 61,528 | |
Derivative liabilities | (309,565) | (357,705) | |
U.S. Treasury obligations [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 309,498 | 399,521 | |
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 | 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 | 309,498 | 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 | 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 | 309,498 | 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 | 7,207 | 8,494 | |
Available-for-sale securities Fair Value | 102,699 | 124,727 | |
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 | 7,207 | 8,494 | |
Available-for-sale securities Fair Value | 102,699 | 124,727 | |
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 | 7,207 | 8,494 | |
Available-for-sale securities Fair Value | 102,699 | 124,727 | |
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 | 467,970 | 563,361 | |
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 | 467,970 | 563,361 | |
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 | 467,970 | 563,361 | |
HFA securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 18,543 | 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 | 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 | 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 | 18,543 | 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 | 18,543 | 8,146 | |
Supranational institutions [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 421,492 | 422,620 | |
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 | 421,492 | 422,620 | |
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 | 421,492 | 422,620 | |
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 | 286,393 | 271,957 | |
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 | 286,393 | 271,957 | |
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 | 286,393 | 271,957 | |
GSEs [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 120,033 | 117,468 | |
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 | 120,033 | 117,468 | |
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 | 120,033 | 117,468 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 440 | 768 | |
Available-for-sale securities Fair Value | 4,528,021 | 4,403,855 | |
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 | 440 | 768 | |
Available-for-sale securities Fair Value | 4,528,021 | 4,403,855 | |
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 | 440 | 768 | |
Available-for-sale securities Fair Value | 4,528,021 | 4,403,855 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 192,318 | 203,839 | |
Available-for-sale securities Fair Value | 1,613,960 | 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 | 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 | 192,318 | 203,839 | |
Available-for-sale securities Fair Value | 1,613,960 | 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 | 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 | 192,318 | 203,839 | |
Available-for-sale securities Fair Value | 1,613,960 | 676,530 | |
Mortgages [Member] | Forward Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 76 | 70 | |
Derivative liabilities | (110) | (171) | |
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 | 76 | 70 | |
Derivative liabilities | (110) | (171) | |
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 | 76 | 70 | |
Derivative liabilities | $ (110) | $ (171) | |
[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 $48.5 million and $109.8 million at September 30, 2017 , and December 31, 2016 , 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 $731,000 and $850,000 at September 30, 2017 , and December 31, 2016 , respectively. Variation margin for daily settled contracts was $38.5 million at September 30, 2017 . | ||
[2] | Carried at fair value on a recurring basis. | ||
[3] | These amounts represent the application of the netting requirements which allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Estimated Fair Value Level 3 Re
Estimated Fair Value Level 3 Reconciliation - Roll Forward (Details) - Level 3 [Member] - Recurring [Member] - Available-for-sale Securities [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2017 | Sep. 30, 2017 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | $ 15,414 | $ 8,146 |
Purchases | 3,520 | 11,120 |
Unrealized losses included in other comprehensive income | (391) | (723) |
Balance at end of period | $ 18,543 | $ 18,543 |
Fair Values Fair Value Measur83
Fair Values Fair Value Measured on Nonrecurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | $ 2,076,570 | $ 2,372,290 |
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 | 947,744 | 1,176,269 |
Mortgage loans held for portfolio | 3,976,898 | 3,708,123 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of held-to-maturity securities | 1,128,826 | 1,196,021 |
Mortgage loans held for portfolio | 24,400 | 28,425 |
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 | 4,783 | 5,618 |
REO | 397 | 786 |
Total assets recorded at fair value on a nonrecurring basis | 7,230 | 14,902 |
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 | 2,076,570 | 2,372,290 |
Mortgage loans held for portfolio | 4,001,298 | 3,736,548 |
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 | 4,783 | 5,618 |
REO | 397 | 786 |
Total assets recorded at fair value on a nonrecurring basis | 7,230 | 14,902 |
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 | 979,262 | 1,039,790 |
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 | 2,050 | 8,498 |
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 | $ 2,050 | $ 8,498 |
Commitments and Contingencies84
Commitments and Contingencies (Details) - USD ($) | 9 Months Ended | ||
Sep. 30, 2017 | Dec. 31, 2016 | ||
Loss Contingencies [Line Items] | |||
Value of the guarantees related to standby letters of credit | $ 191,657,000 | $ 40,235,000 | |
Maximum term of commitments to invest in mortgage loans | 45 days | ||
Other FHLBanks [Member] | |||
Loss Contingencies [Line Items] | |||
Par value of other FHLBanks' outstanding COs for which we are jointly and severally liable | $ 972,200,000,000 | 932,100,000,000 | |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 3,900,000 | 2,700,000 | |
Off-balance-sheet Commitments Expiring After One Year | $ 100,000 | 285,000 | |
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Standby letters of credit, original terms | 20 years | ||
Standby letters of credit, current terms | 10 years | ||
Standby letters of credit outstanding [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [1] | $ 4,820,514,000 | 4,050,447,000 |
Off-balance-sheet Commitments Expiring After One Year | [1] | 204,938,000 | 179,632,000 |
Total Off-balance Sheet Commitments | [1] | 5,025,452,000 | 4,230,079,000 |
Value of the guarantees related to standby letters of credit | 892,000 | 1,100,000 | |
Commitments of unused lines of credit - advances [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 1,268,507,000 | 1,255,140,000 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | $ 1,268,507,000 | 1,255,140,000 |
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 | $ 71,901,000 | 44,865,000 | |
Off-balance-sheet Commitments Expiring After One Year | 51,136,000 | 65,972,000 | |
Total Off-balance Sheet Commitments | 123,037,000 | 110,837,000 | |
Commitments to Invest in mortgage loans [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 62,221,000 | 22,524,000 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | 62,221,000 | 22,524,000 | |
Unsettled CO bonds, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 197,000,000 | 0 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | 197,000,000 | 0 | |
Unsettled CO discount notes, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 2,605,000 | 0 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | $ 2,605,000 | $ 0 | |
[1] | The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At September 30, 2017 , and December 31, 2016 , these amounts totaled $ 3.9 million and $2.7 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $100,000 and $285,000 at September 30, 2017 and December 31, 2016 | ||
[2] | Commitments for unused line-of-credit advances are generally for periods of up to 12 months |
Transactions with Shareholder85
Transactions with Shareholders (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Transactions with Shareholders [Line Items] | |||||
Capital Stock Outstanding | $ 2,272,648 | $ 2,272,648 | $ 2,411,306 | ||
Par Value of Advances | 37,508,650 | 37,508,650 | 39,114,855 | ||
Total Accrued Interest Receivable | 84,886 | 84,886 | 84,653 | ||
Interest income on advances | 136,260 | $ 84,830 | 370,579 | $ 244,060 | |
Fees on letters of credit | 2,228 | 1,948 | 6,362 | 5,850 | |
Citizens Bank, N.A. [Member] | |||||
Transactions with Shareholders [Line Items] | |||||
Capital Stock Outstanding | $ 246,748 | $ 246,748 | $ 357,508 | ||
Percent of Total Capital Stock Outstanding | 10.70% | 10.70% | 14.60% | ||
Par Value of Advances | $ 5,358,737 | $ 5,358,737 | $ 7,260,446 | ||
Percentage of Total Par Value of Advances | 14.30% | 14.30% | 18.60% | ||
Total Accrued Interest Receivable | $ 2,284 | $ 2,284 | $ 2,625 | ||
Percent of Total Accrued Interest Receivable on Advances | 5.60% | 5.60% | 7.30% | ||
Interest income on advances | $ 14,316 | 7,837 | $ 46,968 | 24,123 | |
Fees on letters of credit | 1,002 | $ 756 | 2,448 | $ 2,375 | |
Directors' Financial Institutions [Member] | |||||
Transactions with Shareholders [Line Items] | |||||
Capital Stock Outstanding | $ 112,241 | $ 112,241 | $ 91,374 | ||
Percent of Total Capital Stock Outstanding | 4.90% | 4.90% | 3.70% | ||
Par Value of Advances | $ 2,117,289 | $ 2,117,289 | $ 1,554,753 | ||
Percentage of Total Par Value of Advances | 5.60% | 5.60% | 4.00% | ||
Total Accrued Interest Receivable | $ 2,190 | $ 2,190 | $ 1,631 | ||
Percent of Total Accrued Interest Receivable on Advances | 5.30% | 5.30% | 4.50% | ||
Minimum [Member] | |||||
Transactions with Shareholders [Line Items] | |||||
Definition of shareholder concentration, minimum percent | 10.00% | 10.00% |
Subsequent Events (Details)
Subsequent Events (Details) - Common Class B [Member] - Subsequent Event [Member] - USD ($) $ in Millions | Nov. 02, 2017 | Oct. 27, 2017 |
Subsequent Event [Line Items] | ||
Annualized rate of cash dividends | 4.33% | |
Dividend, including dividends on mandatorily redeemable capital stock | $ 25.2 |