Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | Apr. 30, 2019 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2019 | |
Amendment Flag | false | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF BOSTON | |
Entity Central Index Key | 0001331463 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Entity Current Reporting Status | Yes | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
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 | 19,152,926 |
Statements of Condition (unaudi
Statements of Condition (unaudited) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
ASSETS | |||
Cash and due from banks | $ 28,034 | $ 10,431 | |
Interest-bearing deposits | 527,262 | 593,199 | |
Securities purchased under agreements to resell | 5,750,000 | 6,499,000 | |
Federal funds sold | 2,350,000 | 1,500,000 | |
Investment securities: | |||
Trading securities | 157,570 | 163,038 | |
Available-for-sale securities - includes $1,271 and $3,025 pledged as collateral at March 31, 2019, and December 31, 2018, respectively that may be repledged | 5,514,995 | 5,849,944 | |
Held-to-maturity securities - includes $2,085 and $3,456 pledged as collateral at March 31, 2019, and December 31, 2018, respectively that may be repledged | [1],[2] | 1,243,963 | 1,295,023 |
Total investment securities | 6,916,528 | 7,308,005 | |
Advances | 32,152,009 | 43,192,222 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $500 at March 31, 2019, and December 31, 2018 | 4,368,333 | 4,299,402 | |
Accrued interest receivable | 106,223 | 112,751 | |
Derivative assets, net | 54,997 | 22,403 | |
Other assets | 74,226 | 55,904 | |
Total Assets | 52,327,612 | 63,593,317 | |
Deposits | |||
Interest-bearing | 528,436 | 448,247 | |
Non-interest-bearing | 26,595 | 26,631 | |
Total deposits | 555,031 | 474,878 | |
Consolidated obligations (COs): | |||
Bonds | 24,913,714 | 25,912,684 | |
Discount notes | 23,585,929 | 33,065,822 | |
Total consolidated obligations | 48,499,643 | 58,978,506 | |
Mandatorily redeemable capital stock | 17,413 | 31,868 | |
Accrued interest payable | 134,636 | 112,043 | |
Affordable Housing Program (AHP) payable | 86,731 | 83,965 | |
Derivative liabilities, net | 12,458 | 255,800 | |
Other liabilities | 57,896 | 48,898 | |
Total liabilities | 49,363,808 | 59,985,958 | |
Commitments and contingencies (Note 18) | |||
Capital | |||
Capital stock – Class B – putable ($100 par value), 18,302 shares and 25,289 shares issued and outstanding at March 31, 2019, and December 31, 2018, respectively | 1,830,240 | 2,528,854 | |
Retained earnings: | |||
Unrestricted | 1,090,811 | 1,084,342 | |
Restricted | 321,561 | 310,670 | |
Total retained earnings | 1,412,372 | 1,395,012 | |
Accumulated other comprehensive loss | (278,808) | (316,507) | |
Total capital | 2,963,804 | 3,607,359 | |
Total Liabilities and Capital | $ 52,327,612 | $ 63,593,317 | |
[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 $ 1,472,024 and $1,528,929 at March 31, 2019 , and December 31, 2018 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Statement of Financial Position [Abstract] | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 1,271 | $ 3,025 |
Held-to-maturity securities - pledged as collateral that may be repledged (a) | 2,085 | 3,456 |
Allowance for credit losses | 500 | 500 |
Fair value of held-to-maturity securities | $ 1,472,024 | $ 1,528,929 |
Common Class B [Member] | ||
Common Stock, Class B, putable shares issued | 18,302 | 25,289 |
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Common Stock, Class B, putable shares outstanding | 18,302 | 25,289 |
Statements of Operations (unaud
Statements of Operations (unaudited) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | |||
INTEREST INCOME | ||||
Advances | $ 247,877 | $ 177,450 | [1] | |
Prepayment fees on advances, net | 26,931 | 156 | ||
Securities purchased under agreements to resell | 39,861 | 10,363 | ||
Federal funds sold | 24,294 | 22,761 | ||
Investment securities: | ||||
Trading securities | 1,745 | 2,505 | ||
Available-for-sale securities | 21,291 | 40,778 | [1] | |
Held-to-maturity securities | 18,397 | 18,561 | ||
Total investment securities | 41,433 | 61,844 | ||
Mortgage loans held for portfolio | 37,369 | 33,025 | ||
Other | 3,675 | 334 | ||
Total interest income | 421,440 | 305,933 | ||
Consolidated obligations: | ||||
Bonds | 154,817 | 119,201 | [1] | |
Discount notes | 177,939 | 104,980 | ||
Total consolidated obligations | 332,756 | 224,181 | ||
Deposits | 1,805 | 1,347 | ||
Mandatorily redeemable capital stock | 307 | 486 | ||
Other borrowings | 4 | 8 | ||
Total interest expense | 334,872 | 226,022 | ||
NET INTEREST INCOME | 86,568 | 79,911 | ||
Provision for credit losses | 3 | 9 | ||
NET INTEREST INCOME AFTER PROVISION FOR CREDIT LOSSES | 86,565 | 79,902 | ||
OTHER INCOME (LOSS) | ||||
Net other-than-temporary impairment losses on investment securities, credit portion | (103) | (79) | ||
Loss on early extinguishment of debt | (9,865) | 0 | ||
Service fees | 2,964 | 2,356 | ||
Net unrealized losses on trading securities | (274) | (1,964) | ||
Net gains on derivatives and hedging activities | 548 | |||
Net gains on derivatives and hedging activities | [1] | 1,140 | ||
Other | (6) | 341 | ||
Total other (loss) income | (6,736) | 1,794 | ||
OTHER EXPENSE | ||||
Compensation and benefits | 10,619 | 10,743 | ||
Other operating expenses | 5,791 | 5,882 | ||
Federal Housing Finance Agency (the FHFA) | 989 | 930 | ||
Office of Finance | 817 | 830 | ||
Other | 1,071 | 2,083 | ||
Total other expense | 19,287 | 20,468 | ||
INCOME BEFORE ASSESSMENTS | 60,542 | 61,228 | ||
AHP assessments | 6,085 | 6,171 | ||
NET INCOME | $ 54,457 | $ 55,057 | ||
[1] | Prior period amounts were not revised to conform with new hedge accounting guidance adopted January 1, 2019. |
Statements of Comprehensive Inc
Statements of Comprehensive Income (unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 54,457 | $ 55,057 |
Other comprehensive income: | ||
Net unrealized gains (losses) on available-for-sale securities | 34,065 | (31,622) |
Net noncredit portion of other-than-temporary impairment recoveries on held-to-maturity securities | 6,241 | 7,428 |
Net unrealized (losses) gains relating to hedging activities | (2,593) | 10,104 |
Pension and postretirement benefits | 161 | 185 |
Total other comprehensive income (loss) | 37,874 | (13,905) |
Comprehensive income | $ 92,331 | $ 41,152 |
Statements of Capital (unaudite
Statements of Capital (unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | $ 3,607,359 | $ 3,265,130 |
Comprehensive income | 92,331 | 41,152 |
Proceeds from sale of capital stock | 281,392 | 408,332 |
Repurchase of capital stock | (980,006) | (367,871) |
Shares reclassified to mandatorily redeemable capital stock | (291) | |
Cash dividends on capital stock | (37,272) | (27,884) |
Period end | 2,963,804 | 3,318,568 |
Retained Earnings, Unrestricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 1,084,342 | 1,041,033 |
Cumulative effect of change in accounting principle | 175 | |
Comprehensive income | 43,566 | 44,046 |
Cash dividends on capital stock | (37,272) | (27,884) |
Period end | 1,090,811 | 1,057,195 |
Retained Earnings, Restricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 310,670 | 267,316 |
Comprehensive income | 10,891 | 11,011 |
Period end | 321,561 | 278,327 |
Retained Earnings, Total | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 1,395,012 | 1,308,349 |
Cumulative effect of change in accounting principle | 175 | |
Comprehensive income | 54,457 | 55,057 |
Cash dividends on capital stock | (37,272) | (27,884) |
Period end | 1,412,372 | 1,335,522 |
Accumulated Other Comprehensive Loss | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | (316,507) | (326,940) |
Cumulative effect of change in accounting principle | (175) | |
Comprehensive income | 37,874 | (13,905) |
Period end | $ (278,808) | $ (340,845) |
Common Class B [Member] | Capital Stock Class B - Putable | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period, shares | 25,289 | 22,837 |
Beginning of period | $ 2,528,854 | $ 2,283,721 |
Proceeds from sale of capital stock, shares | 2,813 | 4,083 |
Proceeds from sale of capital stock | $ 281,392 | $ 408,332 |
Repurchase of capital stock, shares | (9,800) | (3,678) |
Repurchase of capital stock | $ (980,006) | $ (367,871) |
Shares reclassified to mandatorily redeemable capital stock, shares | (3) | |
Shares reclassified to mandatorily redeemable capital stock | $ (291) | |
Period end, shares | 18,302 | 23,239 |
Period end | $ 1,830,240 | $ 2,323,891 |
Statements of Cash Flows (unaud
Statements of Cash Flows (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
OPERATING ACTIVITIES | |||
Net Income | $ 54,457 | $ 55,057 | |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Depreciation and amortization | (174) | 2,036 | |
Provision for credit losses | 3 | 9 | |
Net change in derivatives and hedging activities | (279,554) | 54,303 | |
Net other-than-temporary impairment losses on investment securities, credit portion | 103 | 79 | |
Loss on early extinguishment of debt | 9,865 | 0 | |
Other adjustments | 409 | 735 | |
Net change in: | |||
Market value of trading securities | 274 | 1,964 | |
Accrued interest receivable | 6,528 | 351 | |
Other assets | (3,228) | (2,159) | |
Accrued interest payable | 22,593 | 10,967 | |
Other liabilities | 375 | (4,600) | |
Total adjustments | (242,806) | 63,685 | |
Net cash (used in) provided by operating activities | (188,349) | 118,742 | |
INVESTING ACTIVITIES | |||
Interest-bearing deposits | 49,939 | (93,777) | |
Securities purchased under agreements to resell | 749,000 | 2,350,000 | |
Federal funds sold | (850,000) | (2,775,000) | |
Loans to other FHLBanks | 0 | 400,000 | |
Trading securities: | |||
Proceeds | 5,194 | 3,337 | |
Purchases | 0 | (749,072) | |
Available-for-sale securities: | |||
Proceeds | 379,659 | 294,897 | |
Held-to-maturity securities: | |||
Proceeds | 59,680 | 85,694 | |
Advances to members: | |||
Repaid | 144,182,259 | 178,092,765 | |
Originated | (133,106,358) | (178,561,964) | |
Mortgage loans held for portfolio: | |||
Proceeds | 84,505 | 98,311 | |
Purchases | (155,055) | (124,220) | |
Other investing activities | (173) | 657 | |
Net cash provided by (used in) investing activities | 11,398,650 | (978,372) | |
FINANCING ACTIVITIES | |||
Net change in deposits | 79,824 | 51,014 | |
Net payments on derivatives with a financing element | (4,002) | 0 | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 36,748,358 | 46,679,715 | |
Bonds | 1,548,338 | 2,320,993 | |
Payments for maturing and retiring consolidated obligations: | |||
Discount notes | (46,229,722) | (44,948,350) | |
Bonds | (2,585,153) | (3,491,210) | |
Proceeds from issuance of capital stock | 281,392 | 408,332 | |
Payments for repurchase of capital stock | (980,006) | (367,871) | |
Payments for redemption of mandatorily redeemable capital stock | (14,455) | (101) | |
Cash dividends paid | (37,272) | (27,884) | |
Net cash (used in) provided by financing activities | (11,192,698) | 624,638 | |
Net increase (decrease) in cash and due from banks | 17,603 | (234,992) | |
Cash and due from banks at beginning of the period | 10,431 | 261,673 | $ 261,673 |
Cash and due from banks at end of the period | 28,034 | 26,681 | 10,431 |
Supplemental disclosures: | |||
Interest paid | 317,374 | 207,991 | |
AHP payments | 2,281 | 5,163 | $ 17,729 |
Noncash receipt of trading securities | 0 | 7,130 | |
Noncash transfers of mortgage loans held for portfolio to other assets | 405 | 471 | |
Lease liabilities arising from obtaining right-of-use assets | $ 11,946 | $ 0 |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2019 | |
Disclosure Text Block [Abstract] | |
Nature of Operations [Text Block] | The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information. In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring accruals. The preparation of financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The results of operations for interim periods are not necessarily indicative of the results to be expected for the year ending December 31, 2019. These interim financial statements do not include all the information and footnotes required by GAAP for complete annual financial statements and accordingly should be read in conjunction with the Federal Home Loan Bank of Boston's audited financial statements and related notes in our Annual Report on Form 10-K for the year ended December 31, 2018, filed with the Securities and Exchange Commission (the SEC) on March 22, 2019 (the 2018 Annual Report). Unless otherwise indicated or the context requires otherwise, all references in this discussion to “the Bank,” "we," "us," "our," or similar references mean the Federal Home Loan Bank of Boston. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies As of March 31, 2019 , we have not made any significant changes to the significant accounting policies described in Item 8 — Financial Statements and Supplementary Data — Note 2 — Summary of Significant Accounting Policies in the 2018 Annual Report other than described below. These changes relate to the Financial Accounting Standards Board (FASB) guidance that became effective January 1, 2019 for Targeted Improvements to Accounting for Hedging Activitie s as well as for Leases . See Note 3 — Recently Issued and Adopted Accounting Guidance for additional information. Investment Securities Available-for-sale. We classify certain investments that are not classified as held-to-maturity or trading as available-for-sale and carry them at fair value. Changes in fair value of available-for-sale securities not being hedged by derivatives, or in an economic hedging relationship, are recorded in other comprehensive income (loss) as net unrealized gains (losses) on available-for-sale securities. For available-for-sale securities that have been hedged under fair-value hedge designations, we record the portion of the change in the fair value of the investment related to the risk being hedged in available-for-sale interest income together with the related change in the fair value of the derivative. Prior to January 1, 2019, this amount was recorded in other income as net gains (losses) on derivatives and hedging activities. The remainder of the change in the fair value of the investment is recorded in other comprehensive income (loss) as net unrealized gains (losses) on available-for-sale securities. Advances Advance Modifications. In cases in which we fund a new advance concurrently with or within a short period of time of the prepayment of an existing advance by the same member, we evaluate whether the new advance meets the accounting criteria to qualify as a modification of the existing advance or whether it constitutes a new advance. We compare the present value of cash flows on the new advance with the present value of cash flows remaining on the existing advance. If there is at least a 10 percent difference in the present value of cash flows or if we conclude the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance's original contractual terms, the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. If a new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized to interest income over the life of the modified advance using the level-yield method. This amortization is recorded in advance-interest income. If the modified advance is hedged, changes in fair value are recorded after the amortization of the basis adjustment in advance interest income. Prior to January 1, 2019, this amortization resulted in offsetting amounts being recorded in net interest income and net gains (losses) on derivatives and hedging activities in other income. For prepaid advances that were hedged and meet the hedge-accounting requirements, we terminate the hedging relationship upon prepayment and record the prepayment fee net of the hedging fair-value adjustment in the basis of the advance as advance-interest income. If we fund a new advance to a member concurrent with or within a short period of time after the prepayment of a previous advance to that member, we evaluate whether the new advance qualifies as a modification of the original hedged advance. If the new advance qualifies as a modification of the original hedged advance, the hedging fair-value adjustment and the prepayment fee are included in the carrying amount of the modified advance and are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedging criteria, the modified advance is marked to fair value after the modification, and subsequent fair-value changes are recorded in advance interest income. Prior to January 1, 2019, subsequent fair value changes were recorded in other income as net gains (losses) on derivatives and hedging activities. If a new advance does not qualify as a modification of an existing advance, prepayment of the existing advance is treated as an advance termination and any prepayment fee, net of hedging adjustments, is recorded to advance-interest income in the statement of operations. Derivatives Accounting for Fair-Value and Cash-Flow Hedges. If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective, they qualify for fair-value or cash-flow hedge accounting. For cash-flow hedges, we measure effectiveness using the hypothetical derivative method, which compares the cumulative change in fair value of the actual derivative designated as the hedging instrument to the cumulative change in fair value of a hypothetical derivative having terms that identically match the critical terms of the hedged forecasted transaction. Derivatives that are used in fair-value hedges are typically executed at the same time as the hedged items, and we designate the hedged item in a qualifying hedge relationship as of the trade date. We then record the changes in fair value of the derivative and the hedged item beginning on the trade date. Beginning January 1, 2019 we adopted new hedge accounting guidance which, among other things, impacts the presentation of gains (losses) on derivatives and hedging activities for qualifying hedges as follows: • Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. • Changes in the fair value of a derivative that is designated and qualifies as a cash-flow hedge are recorded in other comprehensive income (loss), a component of capital, until the hedged transaction affects earnings. Prior to January 1, 2019, for both fair-value and cash-flow hedges, any hedge ineffectiveness (which represented the amount by which the change in the fair value of the derivative differed from the change in the fair value of the hedged item or the variability in the cash flows of the forecasted transaction attributable to the hedged risk) was recorded in non-interest income as net gains (losses) on derivatives and hedging activities. Premises, Software, Equipment and Leases We record premises, software, and equipment at cost less accumulated depreciation and amortization and compute depreciation on a straight-line basis over estimated useful lives ranging from three years to 10 years . We amortize leasehold improvements on a straight-line basis over the shorter of the estimated useful life of the improvement or the remaining term of the lease. We capitalize improvements and major renewals but expense ordinary maintenance and repairs when incurred. We include gains and losses on disposal of premises, software, and equipment in other income (loss) on the statement of operations. The cost of purchased software and certain costs incurred in developing computer software for internal use are capitalized and amortized over future periods. We lease office space and office equipment to run our business operations. For leases with a term of 12 months or less, we have made an accounting policy election to not recognize lease right-of-use assets and lease liabilities. At March 31, 2019 , we included in the statement of condition $11.4 million of operating lease right-of-use assets in other assets as well as $11.9 million of operating lease liabilities in other liabilities. We have recognized operating lease costs in the other operating expense line of the statement of operations of $646,000 for the three months ended March 31, 2019 |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 3 Months Ended |
Mar. 31, 2019 | |
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 Effective January 1, 2019 Inclusion of the Overnight Indexed Swap Rate based on the Secured Overnight Financing Rate (SOFR) as a Benchmark Interest Rate for Hedge Accounting Purposes. On October 25, 2018, the FASB issued amended guidance to permit use of the overnight-index swap (OIS) rate based on SOFR as a U.S. benchmark interest rate for hedge accounting purposes under Topic 815. This guidance became effective for us on January 1, 2019. Upon adoption, SOFR became an eligible benchmark interest rate which we may elect to apply to future hedge relationships. Targeted Improvements to Accounting for Hedging Activities. On August 28, 2017, the 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 of how changes in the benchmark interest rate alone 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; and • An entity can perform subsequent assessments of hedge effectiveness qualitatively in instances where initial quantitative testing is required. We adopted this guidance effective January 1, 2019. For all cash-flow hedges existing on the date of adoption, this guidance was 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 was applied prospectively; prior period comparative financial information has not been reclassified to conform to current presentation. The adoption of this guidance did not have a material effect on our financial condition, results of operations, or cash flows. See Note 2 — Summary of Significant Accounting Policies and Note 11 — Derivatives and Hedging Activities for additional information. Leases. On February 25, 2016, the FASB issued guidance that requires recognition of lease assets and lease liabilities on the statement of condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the statement of condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the statement of condition. The guidance became effective for us on January 1, 2019. Upon adoption of the new guidance, we recognized right-of-use assets and lease liabilities for our operating leases of approximately $11.9 million and $12.5 million , respectively, on the statement of condition. See Note 2 — Summary of Significant Accounting Policies for additional information. Becoming effective January 1, 2020 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, that we: • Reflect in the statement of operations 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. • 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. • 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. • 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; however, we do not intend to adopt the new guidance early. 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 are currently evaluating the effect this guidance may have on our financial condition, results of operations and cash flows. A preliminary assessment of the anticipated impacts on our financial condition for certain asset classes is the following: • No allowance for credit losses will be required for advances, U.S. government or agency securities, U.S. government-owned corporations, U.S. government-guaranteed securities and securities issued by government sponsored enterprises on the basis of the zero-loss expectations; • We do not expect to recognize an allowance for credit losses for short-term investments (including federal funds sold and interest-bearing deposits), securities purchased under agreements to resell, securities issued by supranational institutions, or state or local housing-finance-agency obligations; and • We do not expect a significant change in methodology for modeling credit losses for private-label MBS. Although we are still evaluating the expected impact on our financial condition for mortgage loans held for portfolio, 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. |
Trading Securities
Trading Securities | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Trading, and Equity Securities, FV-NI [Abstract] | |
Trading Securities (and Certain Trading Assets) Disclosure [Text Block] | Trading Securities Table 4.1 - Trading Securities by Major Security Type (dollars in thousands) March 31, 2019 December 31, 2018 Corporate bonds $ 6,189 $ 6,102 Mortgage backed securities (MBS) U.S. government-guaranteed – single-family 5,004 5,344 Government sponsored enterprise (GSEs) – single-family 123 148 GSEs – multifamily 146,254 151,444 151,381 156,936 Total $ 157,570 $ 163,038 Net unrealized losses on trading securities for the three months ended March 31, 2019 and 2018 , amounted to $274,000 and $2.0 million , respectively. |
Available-for-Sale Securities
Available-for-Sale Securities | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Abstract] | |
Available-for-Sale Securities Disclosure [Text Block] | Available-for-Sale Securities Table 5.1 - Available-for-Sale Securities by Major Security Type (dollars in thousands) March 31, 2019 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) $ 55,500 $ — $ (5,152 ) $ 50,348 Supranational institutions 425,048 — (14,303 ) 410,745 U.S. government-owned corporations 307,564 — (28,415 ) 279,149 GSEs 125,877 — (8,006 ) 117,871 913,989 — (55,876 ) 858,113 MBS U.S. government guaranteed – single-family 74,284 8 (2,815 ) 71,477 U.S. government guaranteed – multifamily 353,083 — (5,585 ) 347,498 GSEs – single-family 3,456,179 567 (54,030 ) 3,402,716 GSEs – multifamily 836,353 101 (1,263 ) 835,191 4,719,899 676 (63,693 ) 4,656,882 Total $ 5,633,888 $ 676 $ (119,569 ) $ 5,514,995 _______________________ (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. December 31, 2018 Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value HFA securities $ 55,500 $ — $ (5,899 ) $ 49,601 Supranational institutions 419,222 — (14,067 ) 405,155 U.S. government-owned corporations 297,729 — (24,560 ) 273,169 GSEs 122,423 — (6,796 ) 115,627 894,874 — (51,322 ) 843,552 MBS U.S. government guaranteed – single-family 79,075 20 (3,437 ) 75,658 U.S. government guaranteed – multifamily 368,103 — (6,969 ) 361,134 GSEs – single-family 3,649,964 681 (88,486 ) 3,562,159 GSEs – multifamily 1,010,886 168 (3,613 ) 1,007,441 5,108,028 869 (102,505 ) 5,006,392 Total $ 6,002,902 $ 869 $ (153,827 ) $ 5,849,944 _______________________ (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. Table 5.2 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) March 31, 2019 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ 11,298 $ (1,502 ) $ 39,050 $ (3,650 ) $ 50,348 $ (5,152 ) Supranational institutions — — 410,745 (14,303 ) 410,745 (14,303 ) U.S. government-owned corporations — — 279,149 (28,415 ) 279,149 (28,415 ) GSEs — — 117,871 (8,006 ) 117,871 (8,006 ) 11,298 (1,502 ) 846,815 (54,374 ) 858,113 (55,876 ) MBS U.S. government guaranteed – single-family 15,023 (5 ) 54,939 (2,810 ) 69,962 (2,815 ) U.S. government guaranteed – multifamily — — 347,498 (5,585 ) 347,498 (5,585 ) GSEs – single-family 23,220 (70 ) 3,279,538 (53,960 ) 3,302,758 (54,030 ) GSEs – multifamily 575,262 (1,263 ) — — 575,262 (1,263 ) 613,505 (1,338 ) 3,681,975 (62,355 ) 4,295,480 (63,693 ) Total temporarily impaired $ 624,803 $ (2,840 ) $ 4,528,790 $ (116,729 ) $ 5,153,593 $ (119,569 ) December 31, 2018 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ 11,118 $ (1,682 ) $ 38,483 $ (4,217 ) $ 49,601 $ (5,899 ) Supranational institutions — — 405,155 (14,067 ) 405,155 (14,067 ) U.S. government-owned corporations — — 273,169 (24,560 ) 273,169 (24,560 ) GSEs — — 115,627 (6,796 ) 115,627 (6,796 ) 11,118 (1,682 ) 832,434 (49,640 ) 843,552 (51,322 ) MBS U.S. government guaranteed – single-family — — 57,679 (3,437 ) 57,679 (3,437 ) U.S. government guaranteed – multifamily — — 361,134 (6,969 ) 361,134 (6,969 ) GSEs – single-family 53,122 (388 ) 3,417,076 (88,098 ) 3,470,198 (88,486 ) GSEs – commercial 902,850 (3,613 ) — — 902,850 (3,613 ) 955,972 (4,001 ) 3,835,889 (98,504 ) 4,791,861 (102,505 ) Total temporarily impaired $ 967,090 $ (5,683 ) $ 4,668,323 $ — $ (148,144 ) $ 5,635,413 $ (153,827 ) Table 5.3 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) March 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ — $ — $ — $ — Due after one year through five years 55,500 50,348 55,500 49,601 Due after five years through 10 years 471,961 456,717 465,248 450,102 Due after 10 years 386,528 351,048 374,126 343,849 913,989 858,113 894,874 843,552 MBS (1) 4,719,899 4,656,882 5,108,028 5,006,392 Total $ 5,633,888 $ 5,514,995 $ 6,002,902 $ 5,849,944 _______________________ (1) |
Held-to-Maturity Securities
Held-to-Maturity Securities | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Held-to-maturity [Abstract] | |
Held-to-maturity Securities Disclosure [Text Block] | Held-to-Maturity Securities Table 6.1 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) March 31, 2019 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 $ 68 $ — $ 68 $ — $ — $ 68 HFA securities 102,860 — 102,860 6 (4,432 ) 98,434 102,928 — 102,928 6 (4,432 ) 98,502 MBS U.S. government guaranteed – single-family 7,892 — 7,892 148 — 8,040 GSEs – single-family 385,603 — 385,603 6,051 (785 ) 390,869 GSEs – multifamily 208,583 — 208,583 1,960 — 210,543 Private-label – residential 655,213 (122,896 ) 532,317 227,222 (1,903 ) 757,636 Asset-backed securities (ABS) backed by home equity loans 6,656 (16 ) 6,640 18 (224 ) 6,434 1,263,947 (122,912 ) 1,141,035 235,399 (2,912 ) 1,373,522 Total $ 1,366,875 $ (122,912 ) $ 1,243,963 $ 235,405 $ (7,344 ) $ 1,472,024 December 31, 2018 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 $ 208 $ — $ 208 $ — $ — $ 208 HFA securities 104,465 — 104,465 4 (4,612 ) 99,857 104,673 — 104,673 4 (4,612 ) 100,065 MBS U.S. government guaranteed – single-family 8,173 — 8,173 158 — 8,331 GSEs – single-family 412,639 — 412,639 6,861 (1,389 ) 418,111 GSEs – multifamily 209,786 — 209,786 1,728 — 211,514 Private-label – residential 682,124 (129,135 ) 552,989 234,063 (2,671 ) 784,381 ABS backed by home equity loans 6,781 (18 ) 6,763 20 (256 ) 6,527 1,319,503 (129,153 ) 1,190,350 242,830 (4,316 ) 1,428,864 Total $ 1,424,176 $ (129,153 ) $ 1,295,023 $ 242,834 $ (8,928 ) $ 1,528,929 Table 6.2 - Held-to-Maturity Securities in a Continuous Unrealized Loss Position (dollars in thousands) March 31, 2019 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ — $ — $ 91,388 $ (4,432 ) $ 91,388 $ (4,432 ) MBS GSEs – single-family 2,939 (6 ) 89,028 (779 ) 91,967 (785 ) Private-label – residential 24,923 (232 ) 103,873 (3,414 ) 128,796 (3,646 ) ABS backed by home equity loans 726 (4 ) 5,585 (220 ) 6,311 (224 ) 28,588 (242 ) 198,486 (4,413 ) 227,074 (4,655 ) Total $ 28,588 $ (242 ) $ 289,874 $ (8,845 ) $ 318,462 $ (9,087 ) December 31, 2018 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ 6,196 $ (9 ) $ 92,822 $ (4,603 ) $ 99,018 $ (4,612 ) MBS GSEs – single-family 69,377 (580 ) 52,237 (809 ) 121,614 (1,389 ) Private-label – residential 24,921 (326 ) 109,296 (4,336 ) 134,217 (4,662 ) ABS backed by home equity loans 759 (5 ) 5,641 (251 ) 6,400 (256 ) 95,057 (911 ) 167,174 (5,396 ) 262,231 (6,307 ) Total $ 101,253 $ (920 ) $ 259,996 $ (9,999 ) $ 361,249 $ (10,919 ) Table 6.3 - Held-to-Maturity Securities by Contractual Maturity (dollars in thousands) March 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Carrying Value (1) Fair Value Amortized Cost Carrying Value (1) Fair Value Due in one year or less $ 903 $ 903 $ 908 $ 1,043 $ 1,043 $ 1,047 Due after one year through five years 6,205 6,205 6,206 6,205 6,205 6,196 Due after five years through 10 years 16,865 16,865 16,736 16,865 16,865 16,639 Due after 10 years 78,955 78,955 74,652 80,560 80,560 76,183 102,928 102,928 98,502 104,673 104,673 100,065 MBS (2) 1,263,947 1,141,035 1,373,522 1,319,503 1,190,350 1,428,864 Total $ 1,366,875 $ 1,243,963 $ 1,472,024 $ 1,424,176 $ 1,295,023 $ 1,528,929 _______________________ (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 | 3 Months Ended |
Mar. 31, 2019 | |
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 March 31, 2019 . At March 31, 2019 , 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, and we do not consider these investments to be other-than-temporarily impaired at March 31, 2019 . 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 March 31, 2019 , Table 7.1 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. Table 7.1 - Significant Inputs and Current Credit Enhancement for Securities with a Current Period Credit Loss (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 Private-label residential MBS - Alt-A (1) $ 19,597 10.8 % 19.9 % 38.1 % 13.8 % _______________________ (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. Table 7.2 - Total MBS Other-than-Temporarily Impaired During the Life of the Security (dollars in thousands) March 31, 2019 Other-Than-Temporarily Impaired Investment (1) Par Value Amortized Cost Carrying Value Fair Value Private-label residential MBS – Prime $ 23,432 $ 20,039 $ 15,874 $ 21,840 Private-label residential MBS – Alt-A 771,900 555,354 436,624 657,820 ABS backed by home equity loans – Subprime 149 140 124 142 Total other-than-temporarily impaired securities $ 795,481 $ 575,533 $ 452,622 $ 679,802 _______________________ (1) Securities are classified based on their classifications at the time of issuance. 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. Table 7.3 - Roll Forward of the Amounts Related to Credit Loss Recognized into Earnings (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Balance at beginning of period $ 422,035 $ 452,523 Additions: Credit losses for which other-than-temporary impairment was not previously recognized 9 — Additional credit losses for which an other-than-temporary impairment charge was previously recognized 94 79 Reductions: Securities matured during the period (485 ) — Portion of increase in cash flows expected to be collected over the remaining life of the security that are recognized in the current period as interest income (1) (7,058 ) (7,316 ) Balance at end of period $ 414,595 $ 445,286 _______________________ (1) For the three months ended March 31, 2019 , the amount excludes an additional $248 thousand |
Advances
Advances | 3 Months Ended |
Mar. 31, 2019 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances General Terms. At both March 31, 2019 , and December 31, 2018 , we had advances outstanding with interest rates ranging from zero percent to 7.72 percent . Table 8.1 - Advances Outstanding by Year of Contractual Maturity (dollars in thousands) March 31, 2019 December 31, 2018 Amount Weighted Average Rate Amount Weighted Average Rate Overdrawn demand-deposit accounts $ 491 2.89 % $ 12,332 2.88 % Due in one year or less 18,629,246 2.50 24,029,592 2.48 Due after one year through two years 6,291,323 2.50 11,413,640 2.55 Due after two years through three years 2,565,541 2.56 2,832,290 2.47 Due after three years through four years 1,992,672 2.52 1,648,076 2.37 Due after four years through five years 1,598,656 2.43 1,980,468 2.24 Thereafter 1,114,336 2.87 1,351,987 2.99 Total par value 32,192,265 2.51 % 43,268,385 2.50 % Premiums 15,835 13,347 Discounts (37,192 ) (38,036 ) Fair value of bifurcated derivatives (1) 19,954 13,051 Hedging adjustments (38,853 ) (64,525 ) Total $ 32,152,009 $ 43,192,222 _________________________ (1) At March 31, 2019 , and December 31, 2018 , we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives. Table 8.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date (1) (dollars in thousands) March 31, 2019 December 31, 2018 Overdrawn demand-deposit accounts $ 491 $ 12,332 Due in one year or less 22,368,021 32,748,467 Due after one year through two years 3,791,323 3,913,640 Due after two years through three years 2,415,541 2,672,290 Due after three years through four years 1,467,872 1,261,176 Due after four years through five years 1,088,656 1,362,468 Thereafter 1,060,361 1,298,012 Total par value $ 32,192,265 $ 43,268,385 _______________________ (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. Table 8.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date (dollars in thousands) Year of Contractual Maturity or Next Put Date, Par Value March 31, 2019 December 31, 2018 Overdrawn demand-deposit accounts $ 491 $ 12,332 Due in one year or less 19,760,046 25,199,892 Due after one year through two years 6,485,523 11,652,840 Due after two years through three years 2,581,041 2,834,790 Due after three years through four years 1,373,872 1,367,576 Due after four years through five years 1,067,956 1,152,468 Thereafter 923,336 1,048,487 Total par value $ 32,192,265 $ 43,268,385 Table 8.4 - Advances by Current Interest Rate Terms (dollars in thousands) Par value of advances March 31, 2019 December 31, 2018 Fixed-rate $ 27,724,899 $ 33,570,278 Variable-rate 4,467,366 9,698,107 Total par value $ 32,192,265 $ 43,268,385 Credit-Risk Exposure and Security Terms . Our potential credit risk from advances is principally concentrated in commercial banks, insurance companies, savings institutions, and credit unions. At March 31, 2019 , and December 31, 2018 , we had $7.3 billion and $16.4 billion , respectively, of advances issued to members with at least $1.0 billion of advances outstanding. These advances were made to five and six borrowers at March 31, 2019 , and December 31, 2018 , representing 22.8 percent and 37.9 percent , respectively, of total par value of outstanding advances. For information related to our credit risk on advances and allowance for credit losses, see Note 10 — Allowance for Credit Losses . Prepayment Fees. Table 8.5 - Advances Prepayment Fees (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Prepayment fees received from borrowers $ 26,186 $ 60 Hedging fair-value adjustments on prepaid advances 527 96 Net discounts associated with prepaid advances 218 — Advance prepayment fees recognized in income, net $ 26,931 $ 156 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 3 Months Ended |
Mar. 31, 2019 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portofolio [Text Block] | Mortgage Loans Held for Portfolio We invest in mortgage loans through the MPF program. These mortgage loans are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced, directly or indirectly, 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. Table 9.1 - Mortgage Loans Held for Portfolio (dollars in thousands) March 31, 2019 December 31, 2018 Real estate Fixed-rate 15-year single-family mortgages $ 377,259 $ 392,128 Fixed-rate 20- and 30-year single-family mortgages 3,922,193 3,839,078 Premiums 67,708 67,671 Discounts (1,822 ) (1,800 ) Deferred derivative gains, net 3,495 2,825 Total mortgage loans held for portfolio 4,368,833 4,299,902 Less: allowance for credit losses (500 ) (500 ) Total mortgage loans, net of allowance for credit losses $ 4,368,333 $ 4,299,402 Table 9.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands) March 31, 2019 December 31, 2018 Conventional mortgage loans $ 3,976,831 $ 3,902,555 Government mortgage loans 322,621 328,651 Total par value $ 4,299,452 $ 4,231,206 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 | 3 Months Ended |
Mar. 31, 2019 | |
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 11 — Allowance for Credit Losses in the 2018 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. This approach includes 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 March 31, 2019 , and December 31, 2018 , 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 secured member credit products during the three months ended March 31, 2019 , and 2018 . 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 March 31, 2019 , and December 31, 2018 . At March 31, 2019 , and December 31, 2018 , 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. Government Mortgage Loans Held for Portfolio Due to government guarantees or insurance on our government loans, there is no allowance for credit losses for the government mortgage loan portfolio as of March 31, 2019 , and December 31, 2018 . Additionally, 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 11 — Allowance for Credit Losses in the 2018 Annual Report. Conventional Mortgage Loans Held for Portfolio For information on conventional mortgage loans held for portfolio see Item 8 — Financial Statements and Supplementary Data — Note 11 — Allowance for Credit Losses in the 2018 Annual Report. Credit Quality Indicators. Key credit quality indicators for mortgage loans include past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. Table 10.1 sets forth certain key credit quality indicators for our investments in mortgage loans at March 31, 2019 , and December 31, 2018 (dollars in thousands): Table 10.1 - Recorded Investment in Delinquent Mortgage Loans (dollars in thousands) March 31, 2019 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 32,353 $ 12,900 $ 45,253 Past due 60-89 days delinquent 5,457 3,456 8,913 Past due 90 days or more delinquent 9,245 6,463 15,708 Total past due 47,055 22,819 69,874 Total current loans 4,014,197 308,147 4,322,344 Total mortgage loans $ 4,061,252 $ 330,966 $ 4,392,218 Other delinquency statistics In process of foreclosure, included above (1) $ 3,384 $ 2,808 $ 6,192 Serious delinquency rate (2) 0.24 % 1.95 % 0.37 % Past due 90 days or more still accruing interest $ — $ 6,463 $ 6,463 Loans on nonaccrual status (3) $ 9,737 $ — $ 9,737 _______________________ (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, 2018 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 23,045 $ 10,884 $ 33,929 Past due 60-89 days delinquent 7,019 3,344 10,363 Past due 90 days or more delinquent 7,384 6,670 14,054 Total past due 37,448 20,898 58,346 Total current loans 3,947,096 316,285 4,263,381 Total mortgage loans $ 3,984,544 $ 337,183 $ 4,321,727 Other delinquency statistics In process of foreclosure, included above (1) $ 3,467 $ 2,086 $ 5,553 Serious delinquency rate (2) 0.20 % 1.98 % 0.34 % Past due 90 days or more still accruing interest $ — $ 6,670 $ 6,670 Loans on nonaccrual status (3) $ 7,975 $ — $ 7,975 _______________________ (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. Credit Enhancements. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 11 — Allowance for Credit Losses in the 2018 Annual Report. Allowance for Credit Losses on Mortgage Loans. Table 10.2 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the three months ended March 31, 2019 and 2018 , as well as the recorded investment in mortgage loans by impairment methodology at March 31, 2019 and 2018 . 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. Table 10.2 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Allowance for credit losses Balance, beginning of period $ 500 $ 500 Charge-offs (3 ) (9 ) Provision for credit losses 3 9 Balance, end of period $ 500 $ 500 Ending balance, individually evaluated for impairment $ — $ — Ending balance, collectively evaluated for impairment $ 500 $ 500 Recorded investment, end of period (1) Individually evaluated for impairment $ 14,107 $ 16,540 Collectively evaluated for impairment $ 4,047,145 $ 3,665,055 _________________________ (1) |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Table 11.1 - Fair Value of Derivative Instruments (dollars in thousands) March 31, 2019 December 31, 2018 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 10,453,839 $ 13,767 $ (32,537 ) $ 11,980,699 $ 12,811 $ (296,324 ) Forward-start interest-rate swaps 221,000 1,193 — 282,000 — (753 ) Total derivatives designated as hedging instruments 10,674,839 14,960 (32,537 ) 12,262,699 12,811 (297,077 ) Derivatives not designated as hedging instruments Economic hedges: Interest-rate swaps 877,800 410 (19,105 ) 927,800 682 (12,475 ) Mortgage-delivery commitments (1) 31,583 189 (8 ) 50,773 339 — Total derivatives not designated as hedging instruments 909,383 599 (19,113 ) 978,573 1,021 (12,475 ) Total notional amount of derivatives $ 11,584,222 $ 13,241,272 Total derivatives before netting and collateral adjustments 15,559 (51,650 ) 13,832 (309,552 ) Netting adjustments and cash collateral, including related accrued interest (2) 39,438 39,192 8,571 53,752 Derivative assets and derivative liabilities $ 54,997 $ (12,458 ) $ 22,403 $ (255,800 ) _______________________ (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 $78.8 million and $62.8 million at March 31, 2019 , and December 31, 2018 , 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 $142 thousand and $471 thousand at March 31, 2019 , and December 31, 2018 , respectively. Beginning on January 1, 2019, changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair-value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. For designated cash-flow hedges, the entire change in the fair value of the hedging instrument (assuming it is included in the assessment of hedge effectiveness) is reported in other comprehensive income until the hedged transaction affects earnings. At that time, this amount is reclassified from other comprehensive income and recorded in net interest income in the same line as the earnings effect of the hedged item. Prior to January 1, 2019, for both fair value and cash-flow hedges, any hedge ineffectiveness (which represented the amount by which the change in the fair value of the derivative differed from the change in the fair value of the hedged item or the variability in the cash flows of the forecasted transaction attributable to the hedged risk) was recorded in noninterest income as net gains (losses) on derivatives and hedging activities. Table 11.2 presents the net gains (losses) on qualifying fair value and cash flow hedging relationships. Beginning on January 1, 2019, gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements. Table 11.2 - Net Gains (Losses) on Fair Value and Cash Flow Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2019 Interest Income/Expense Advances Available-for-sale Securities Consolidated Obligation Bonds Other Comprehensive Income (Loss) Total interest income (expense) in the statements of operations $ 247,877 $ 21,291 $ (154,817 ) Gains (losses) on fair-value hedging relationships Interest rate contracts Derivatives (1) $ (8,360 ) $ (28,980 ) $ 24,561 $ — Hedged items 25,228 19,115 (34,708 ) — Net gains (losses) on fair value hedging relationships $ 16,868 $ (9,865 ) $ (10,147 ) $ — Gains (losses) on cash-flow hedging relationships Interest rate contracts Reclassified from accumulated other comprehensive loss into interest expense $ — $ — $ (786 ) $ — Recognized in other comprehensive loss — — — (3,379 ) For the Three Months Ended March 31, 2018 (2) Interest Income/Expense Advances Available-for-sale Securities Consolidated Obligation Bonds Net Gains (Losses) on Derivatives and Hedging Activities Other Comprehensive Income (Loss) Total income (expense) in the statements of operations $ 177,450 $ 40,778 $ (119,201 ) $ 1,140 Gains (losses) on fair value hedging relationships Interest rate contracts Derivatives (1) $ 5,695 $ (7,311 ) $ (3,017 ) $ 36,872 $ — Hedged items — — — (35,764 ) — Net gains (losses) on fair value hedging relationships $ 5,695 $ (7,311 ) $ (3,017 ) $ 1,108 $ — Gains (losses) on cash flow hedging relationships Interest rate contracts Reclassified from accumulated other comprehensive loss into interest expense $ — $ — $ (934 ) $ — $ — Recognized in income for hedge ineffectiveness — — — 76 — Recognized in other comprehensive loss for hedge effectiveness — — — — 9,166 _______________________ (1) Includes net interest settlements. (2) Prior period amounts were not revised to conform with new hedge accounting guidance adopted January 1, 2019. For the three months ended March 31, 2019 and 2018 , 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 March 31, 2019 , the maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is two years . As of March 31, 2019 , 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 $5.7 million . Table 11.3 - Cumulative Basis Adjustments for Fair Value Hedges (dollars in thousands) For the Three Months Ended March 31, 2019 Line Item in Statement of Condition of Hedged Item Amortized Cost of Hedged Asset/ (Liability) (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Cumulative Amount of Fair Value Hedging Basis Adjustments Advances $ 4,595,457 $ (18,899 ) $ 11,002 $ (7,897 ) Available-for-sale securities 858,489 220,604 — 220,604 Consolidated bonds (5,250,705 ) 26,299 (37,694 ) (11,395 ) _______________________ (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. Table 11.4 - Net Gains and Losses on Derivatives and Hedging Activities (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Derivatives designated as hedging instruments: Total net gains related to fair-value hedges (1) $ 1,108 Total net gains related to cash-flow hedges (2) 76 Total net gains related to derivatives designated as hedging instruments 1,184 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (60 ) 624 Mortgage-delivery commitments 608 (518 ) Total net gains related to derivatives not designated as hedging instruments 548 106 Other (3) — (150 ) Net gains on derivatives and hedging activities $ 548 $ 1,140 ______________________ (1) Consists of interest-rate swaps (2) Consists of forward-start interest-rate swaps (3) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. Termination of Derivatives and Impact on Statement of Cash Flows . During the quarter ending March 31, 2019 , we terminated certain uncleared interest-rate exchange agreements with a total notional amount of $611.9 million and were indexed to 3-month LIBOR on the floating leg of the swaps. The net fair value of these derivative transactions, from our perspective, was $(251.5) million , which was transferred to the bilateral counterparty upon termination, and securities collateral that we had pledged against this obligation was returned to us. This cash payment is included in net change in derivatives and hedging activities, within the operating activities section of the statement of cash flows for the three-month period ended March 31, 2019 . Simultaneously with the termination of these derivatives, we entered into replacement interest-rate exchange agreements (the replacement derivatives) having the same notional amount of $611.9 million and which are indexed to the OIS rate based on the federal funds effective rate on the floating leg of the swaps. Upon settlement of the replacement derivatives the Bank received an initial upfront payment of $251.5 million . The replacement derivatives are cleared through a derivatives clearing organization (DCO), which called for variation margin to be delivered. Variation margin, which totaled $255.5 million at March 31, 2019 , has been transferred by us to the DCO as a cash payment. Because the replacement derivatives include off-market terms and a large initial upfront payment, all payments for the replacement derivatives, which net to $4.0 million , are classified as net payments on derivative contracts with a financing element, within the financing activities section of the statement of cash flows. 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, unless the collateral delivery threshold is set to zero. 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 March 31, 2019 , was $42.7 million for which we had delivered collateral with a post-haircut value of $40.4 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. Table 11.5 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at March 31, 2019 . Table 11.5 - Post Haircut Value of Incremental Collateral to be Delivered as of March 31, 2019 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 482 AA- A+, A or A- — A- below A- 9,102 _______________________ (1) Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. Cleared Derivatives. For cleared derivatives, the DCO is our counterparty. The DCO notifies the clearing member of the required initial and variation margin and our agent (clearing member) in turn notifies us. We utilize two DCOs, for all cleared derivative transactions, CME Inc. and LCH Ltd. Based upon their rulebooks we characterize variation margin payments as daily settlement payments, rather than collateral. At both DCOs, initial margin is considered cash collateral. We post initial margin and exchange variation margin through a clearing member which acts as our agent to the DCO and which 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. For cleared derivatives, the DCO determines initial margin requirements. We clear our trades via clearing members of the DCOs. These clearing members who act as our agent to the DCOs are 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 March 31, 2019 . Offsetting of Certain Derivatives. We present derivatives, any related cash collateral received or pledged, and associated accrued interest, on a net basis by counterparty. 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. Table 11.6 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 March 31, 2019 , and December 31, 2018 , and the fair value of derivatives that are not subject to such netting. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties. Table 11.6 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2019 Derivative Instruments Meeting Netting Requirements Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Mortgage Delivery Commitments Total Derivative Assets and Total Derivative Liabilities Can Be Sold or Repledged Cannot Be Sold or Repledged Net Amount Derivative Assets Uncleared $ 9,109 $ (7,078 ) $ 189 $ 2,220 $ (1,036 ) $ — $ 1,184 Cleared 6,261 46,516 52,777 — — 52,777 Total $ 54,997 $ 53,961 Derivative Liabilities Uncleared $ (50,529 ) $ 38,079 $ (8 ) $ (12,458 ) $ 3,271 $ 5,957 $ (3,230 ) Cleared (1,113 ) 1,113 — — — — Total $ (12,458 ) $ (3,230 ) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2019 , we had additional net credit exposure of $380 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. December 31, 2018 Derivative Instruments Meeting Netting Requirements Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Mortgage Delivery Commitments Total Derivative Assets and Total Derivative Liabilities Can Be Sold or Repledged Cannot Be Sold or Repledged Net Amount Derivative Assets Uncleared $ 12,861 $ (11,885 ) $ 339 $ 1,315 $ (396 ) $ — $ 919 Cleared 631 20,457 21,088 — — 21,088 Total $ 22,403 $ 22,007 Derivative Liabilities Uncleared $ (306,848 ) $ 51,048 $ — $ (255,800 ) $ 6,104 $ 237,054 $ (12,642 ) Cleared (2,704 ) 2,704 — — — — Total $ (255,800 ) $ (12,642 ) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At December 31, 2018 , we had additional net credit exposure of $639 thousand |
Deposits
Deposits | 3 Months Ended |
Mar. 31, 2019 | |
Deposits [Abstract] | |
Deposits [Text Block] | Deposits We offer demand, overnight and term deposits for members and qualifying nonmembers. Members that service mortgage loans may deposit funds collected in connection with mortgage loans pending disbursement of such funds to the owners of the mortgage loans, which we classify as "other" in the following table. Table 12.1 - Deposits (dollars in thousands) March 31, 2019 December 31, 2018 Interest-bearing Demand and overnight $ 524,933 $ 444,486 Term 1,800 800 Other 1,703 2,961 Noninterest-bearing Other 26,595 26,631 Total deposits $ 555,031 $ 474,878 |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations CO Bonds. CO bonds for which we have received issuance proceeds and are primarily liable were as follows: Table 13.1 - CO Bonds Outstanding by Contractual Maturity (dollars in thousands) March 31, 2019 December 31, 2018 Year of Contractual Maturity Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 9,045,965 2.11 % $ 9,638,270 2.01 % Due after one year through two years 4,831,880 2.26 5,375,845 2.24 Due after two years through three years 3,862,905 2.23 3,864,560 2.17 Due after three years through four years 1,903,530 2.18 1,891,975 2.20 Due after four years through five years 1,260,450 2.52 1,338,515 2.39 Thereafter 3,963,590 3.24 3,792,150 3.25 Total par value 24,868,320 2.37 % 25,901,315 2.30 % Premiums 87,118 88,434 Discounts (15,425 ) (16,133 ) Hedging adjustments (26,299 ) (60,932 ) $ 24,913,714 $ 25,912,684 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. Table 13.2 - CO Bonds Outstanding by Call Feature (dollars in thousands) Par Value of CO bonds March 31, 2019 December 31, 2018 Noncallable and nonputable $ 19,811,320 $ 20,419,315 Callable 5,057,000 5,482,000 Total par value $ 24,868,320 $ 25,901,315 Table 13.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date (dollars in thousands) Year of Contractual Maturity or Next Call Date March 31, 2019 December 31, 2018 Due in one year or less $ 12,807,965 $ 13,435,270 Due after one year through two years 4,988,880 5,602,845 Due after two years through three years 2,840,905 2,802,560 Due after three years through four years 1,408,530 1,366,975 Due after four years through five years 1,088,450 1,156,515 Thereafter 1,733,590 1,537,150 Total par value $ 24,868,320 $ 25,901,315 Table 13.4 - CO Bonds by Interest Rate-Payment Type (dollars in thousands) Par Value of CO bonds March 31, 2019 December 31, 2018 Fixed-rate $ 21,201,320 $ 21,216,315 Simple variable-rate 2,170,000 2,853,000 Step-up 1,497,000 1,832,000 Total par value $ 24,868,320 $ 25,901,315 CO Discount Notes. Outstanding CO discount notes for which we were primarily liable, all of which are due within one year, were as follows: Table 13.5 - CO Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Rate (1) March 31, 2019 $ 23,585,929 $ 23,640,844 2.42 % December 31, 2018 $ 33,065,822 $ 33,147,065 2.37 % _______________________ (1) |
Affordable Housing Program
Affordable Housing Program | 3 Months Ended |
Mar. 31, 2019 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program Table 14.1 - AHP Liability (dollars in thousands) March 31, 2019 December 31, 2018 Balance at beginning of period $ 83,965 $ 81,600 AHP expense for the period 6,085 24,299 AHP direct grant disbursements (2,281 ) (17,729 ) AHP subsidy for AHP advance disbursements (1,038 ) (4,360 ) Return of previously disbursed grants and subsidies — 155 Balance at end of period $ 86,731 $ 83,965 |
Capital
Capital | 3 Months Ended |
Mar. 31, 2019 | |
Stockholders' Equity Note [Abstract] | |
Capital [Text Block] | Capital We are subject to capital requirements under our capital plan, the FHLBank Act, FHFA regulations and guidance: 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 has authority to require us to maintain a greater amount of permanent capital than is required as defined by the risk-based capital requirements. Table 15.1 - Regulatory Capital Requirements (dollars in thousands) Risk-Based Capital Requirements March 31, December 31, Permanent capital Class B capital stock $ 1,830,240 $ 2,528,854 Mandatorily redeemable capital stock 17,413 31,868 Retained earnings 1,412,372 1,395,012 Total permanent capital $ 3,260,025 $ 3,955,734 Risk-based capital requirement Credit-risk capital $ 282,324 $ 289,080 Market-risk capital 167,181 187,183 Operations-risk capital 134,851 142,879 Total risk-based capital requirement $ 584,356 $ 619,142 Permanent capital in excess of risk-based capital requirement $ 2,675,669 $ 3,336,592 March 31, 2019 December 31, 2018 Required Actual Required Actual Capital Ratio Risk-based capital $ 584,356 $ 3,260,025 $ 619,142 $ 3,955,734 Total regulatory capital $ 2,093,104 $ 3,260,025 $ 2,543,733 $ 3,955,734 Total capital-to-asset ratio 4.0 % 6.2 % 4.0 % 6.2 % Leverage Ratio Leverage capital $ 2,616,381 $ 4,890,038 $ 3,179,666 $ 5,933,601 Leverage capital-to-assets ratio 5.0 % 9.3 % 5.0 % 9.3 % We are a cooperative whose members own most of our capital stock. Former members (including certain nonmembers that own our capital stock as a result of merger or acquisition, relocation, or involuntary termination of membership) own the remaining capital stock to support business transactions still carried on our statement of condition. Shares of capital stock cannot be purchased or sold except between us and our members at $100 per share par value. We have only issued Class B stock and each member is required to purchase Class B stock equal to the sum of 0.20 percent of certain member assets eligible to secure advances under the FHLBank Act (the membership stock investment requirement), and 3.00 percent for overnight advances, 4.00 percent for all other advances, and 0.25 percent for outstanding letters of credit (collectively, the activity-based stock-investment requirement). Prior to January 16, 2019, the membership stock investment requirement was equal to 0.35 percent |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Loss | 3 Months Ended |
Mar. 31, 2019 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Loss [Text Block] | Accumulated Other Comprehensive Loss Table 16.1 - Accumulated Other Comprehensive Loss (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 Gain (Loss) Relating to Hedging Activities Pension and Postretirement Benefits Total Balance, December 31, 2017 $ (122,331 ) $ (158,218 ) $ (40,436 ) $ (5,955 ) $ (326,940 ) Other comprehensive income (loss) before reclassifications: Net unrealized (losses) gains (31,622 ) — 9,166 — (22,456 ) Accretion of noncredit loss — 7,356 — — 7,356 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 72 — — 72 Amortization - hedging activities (2) — — 938 — 938 Amortization - pension and postretirement benefits (3) — — — 185 185 Other comprehensive (loss) income (31,622 ) 7,428 10,104 185 (13,905 ) Balance, March 31, 2018 $ (153,953 ) $ (150,790 ) $ (30,332 ) $ (5,770 ) $ (340,845 ) Balance, December 31, 2018 $ (152,958 ) $ (129,154 ) $ (29,119 ) $ (5,276 ) $ (316,507 ) Cumulative effect of change in accounting principle — — (175 ) — (175 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 34,065 — (3,379 ) — 30,686 Noncredit other-than-temporary impairment losses — (80 ) — — (80 ) Accretion of noncredit loss — 6,291 — — 6,291 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 30 — — 30 Amortization - hedging activities (4) — — 786 — 786 Amortization - pension and postretirement benefits (3) — — — 161 161 Other comprehensive income (loss) 34,065 6,241 (2,593 ) 161 37,874 Balance, March 31, 2019 $ (118,893 ) $ (122,913 ) $ (31,887 ) $ (5,115 ) $ (278,808 ) _______________________ (1) Recorded in net other-than-temporary impairment losses in investment securities, credit portion in the statement of operations. (2) Amortization of hedging activities includes $934 thousand recorded in CO bond interest expense and $4 thousand 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) |
Fair Values
Fair Values | 3 Months Ended |
Mar. 31, 2019 | |
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 19 — Fair Values in the 2018 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 three months ended March 31, 2019 . Table 17.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at March 31, 2019 , and December 31, 2018 . We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis, and on occasion certain private-label MBS, certain mortgage loans, and certain other assets on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 17.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. Table 17.1 - Fair Value Summary (dollars in thousands) March 31, 2019 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 28,034 $ 28,034 $ 28,034 $ — $ — $ — Interest-bearing deposits 527,262 527,262 527,262 — — — Securities purchased under agreements to resell 5,750,000 5,750,087 — 5,750,087 — — Federal funds sold 2,350,000 2,350,003 — 2,350,003 — — Trading securities (1) 157,570 157,570 — 157,570 — — Available-for-sale securities (1) 5,514,995 5,514,995 — 5,464,647 50,348 — Held-to-maturity securities 1,243,963 1,472,024 — 609,520 862,504 — Advances 32,152,009 32,192,373 — 32,192,373 — — Mortgage loans, net 4,368,333 4,382,294 — 4,362,135 20,159 — Accrued interest receivable 106,223 106,223 — 106,223 — — Derivative assets (1) 54,997 54,997 — 15,559 — 39,438 Other assets (1) 29,593 29,593 14,101 15,492 — — Liabilities: Deposits (555,031 ) (555,016 ) — (555,016 ) — — COs: Bonds (24,913,714 ) (24,999,478 ) — (24,999,478 ) — — Discount notes (23,585,929 ) (23,585,586 ) — (23,585,586 ) — — Mandatorily redeemable capital stock (17,413 ) (17,413 ) (17,413 ) — — — Accrued interest payable (134,636 ) (134,636 ) — (134,636 ) — — Derivative liabilities (1) (12,458 ) (12,458 ) — (51,650 ) — 39,192 Other: Commitments to extend credit for advances — (3,356 ) — (3,356 ) — — Standby letters of credit (1,650 ) (1,650 ) — (1,650 ) — — _______________________ (1) Carried at fair value and measured on a recurring basis. (2) These amounts represent the effect of master-netting agreements intended to 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, 2018 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 10,431 $ 10,431 $ 10,431 $ — $ — $ — Interest-bearing deposits 593,199 593,199 593,199 — — — Securities purchased under agreements to resell 6,499,000 6,499,078 — 6,499,078 — — Federal funds sold 1,500,000 1,500,002 — 1,500,002 — — Trading securities (1) 163,038 163,038 — 163,038 — — Available-for-sale securities (1) 5,849,944 5,849,944 — 5,800,343 49,601 — Held-to-maturity securities 1,295,023 1,528,929 — 638,164 890,765 — Advances 43,192,222 43,167,700 — 43,167,700 — — Mortgage loans, net 4,299,402 4,238,087 — 4,217,487 20,600 — Accrued interest receivable 112,751 112,751 — 112,751 — — Derivative assets (1) 22,403 22,403 — 13,832 — 8,571 Other assets (1) 25,059 25,059 9,988 15,071 — — Liabilities: Deposits (474,878 ) (474,848 ) — (474,848 ) — — COs: Bonds (25,912,684 ) (25,843,163 ) — (25,843,163 ) — — Discount notes (33,065,822 ) (33,062,585 ) — (33,062,585 ) — — Mandatorily redeemable capital stock (31,868 ) (31,868 ) (31,868 ) — — — Accrued interest payable (112,043 ) (112,043 ) — (112,043 ) — — Derivative liabilities (1) (255,800 ) (255,800 ) — (309,552 ) — 53,752 Other: Commitments to extend credit for advances — (4,164 ) — (4,164 ) — — Standby letters of credit (1,257 ) (1,257 ) — (1,257 ) — — _______________________ (1) Carried at fair value and measured on a recurring basis. (2) These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. Fair Value Measured on a Recurring and Nonrecurring Basis. Table 17.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands) March 31, 2019 Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Total Assets: Carried at fair value on a recurring basis Trading securities: Corporate bonds $ — $ 6,189 $ — $ — $ 6,189 U.S. government-guaranteed – single-family MBS — 5,004 — — 5,004 GSEs – single-family MBS — 123 — — 123 GSEs – multifamily MBS — 146,254 — — 146,254 Total trading securities — 157,570 — — 157,570 Available-for-sale securities: State or local HFA securities — — 50,348 — 50,348 Supranational institutions — 410,745 — — 410,745 U.S. government-owned corporations — 279,149 — — 279,149 GSEs — 117,871 — — 117,871 U.S. government guaranteed – single-family MBS — 71,477 — — 71,477 U.S. government guaranteed – multifamily MBS — 347,498 — — 347,498 GSEs – single-family MBS — 3,402,716 — — 3,402,716 GSEs – multifamily MBS — 835,191 — — 835,191 Total available-for-sale securities — 5,464,647 50,348 — 5,514,995 Derivative assets: Interest-rate-exchange agreements — 15,370 — 39,438 54,808 Mortgage delivery commitments — 189 — — 189 Total derivative assets — 15,559 — 39,438 54,997 Other assets 14,101 15,492 — — 29,593 Total assets carried at fair value on a recurring basis $ 14,101 $ 5,653,268 $ 50,348 $ 39,438 $ 5,757,155 Carried at fair value on a nonrecurring basis (2) Held-to-maturity securities: Private-label residential MBS $ — $ — $ 3,325 $ — $ 3,325 Mortgage loans held for portfolio — — 80 — 80 REO — — 7 — 7 Total assets carried at fair value on a nonrecurring basis — — 3,412 — 3,412 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (51,642 ) $ — $ 39,192 $ (12,450 ) Mortgage delivery commitments — (8 ) — — (8 ) Total liabilities carried at fair value on a recurring basis $ — $ (51,650 ) $ — $ 39,192 $ (12,458 ) _______________________ (1) These amounts represent the effect of master-netting agreements intended to 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. (2) 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 fair values presented are as of the date the fair value adjustment was recorded. December 31, 2018 Level 1 Level 2 Level 3 Netting (1) Total Assets: Carried at fair value on a recurring basis Trading securities: Corporate bonds $ — $ 6,102 $ — $ — $ 6,102 U.S. government-guaranteed – single-family MBS — 5,344 — — 5,344 GSEs – single-family MBS — 148 — — 148 GSEs – multifamily MBS — 151,444 — — 151,444 Total trading securities — 163,038 — — 163,038 Available-for-sale securities: State or local HFA securities — — 49,601 — 49,601 Supranational institutions — 405,155 — — 405,155 U.S. government-owned corporations — 273,169 — — 273,169 GSEs — 115,627 — — 115,627 U.S. government guaranteed – single-family MBS — 75,658 — — 75,658 U.S. government guaranteed – multifamily MBS — 361,134 — — 361,134 GSEs – single-family MBS — 3,562,159 — — 3,562,159 GSEs – multifamily MBS — 1,007,441 — — 1,007,441 Total available-for-sale securities — 5,800,343 49,601 — 5,849,944 Derivative assets: Interest-rate-exchange agreements — 13,493 — 8,571 22,064 Mortgage delivery commitments — 339 — — 339 Total derivative assets — 13,832 — 8,571 22,403 Other assets 9,988 15,071 — — 25,059 Total assets carried at fair value on a recurring basis $ 9,988 $ 5,992,284 $ 49,601 $ 8,571 $ 6,060,444 Carried at fair value on a nonrecurring basis (2) Held-to-maturity securities: Private-label residential MBS $ — $ — $ 1,668 $ — $ 1,668 Mortgage loans held for portfolio — — 1,144 — 1,144 REO — — 361 — 361 Total assets carried at fair value on a nonrecurring basis $ — $ — $ 3,173 $ — $ 3,173 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (309,552 ) $ — $ 53,752 $ (255,800 ) Total liabilities carried at fair value on a recurring basis $ — $ (309,552 ) $ — $ 53,752 $ (255,800 ) _______________________ (1) These amounts represent the effect of master-netting agreements intended to 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. (2) We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security). The fair values presented are as of the date the fair value adjustment was recorded. Table 17.3 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 months ended March 31, 2019 and 2018 . Table 17.3 - Roll Forward of Level 3 Available-for-Sale Securities (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Balance at beginning of period $ 49,601 $ 37,683 Unrealized gains (losses) included in other comprehensive income 747 (188 ) Balance at end of period $ 50,348 $ 37,495 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2019 | |
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 March 31, 2019 , and through the filing of this report, we do not believe it is likely 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 March 31, 2019 , and December 31, 2018 . The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $ 962.4 billion and $972.6 billion at March 31, 2019 , and December 31, 2018 , respectively. See Note 13 — Consolidated Obligations for additional information. Off-Balance-Sheet Commitments Table 18.1 - Off-Balance Sheet Commitments (dollars in thousands) March 31, 2019 December 31, 2018 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (1) $ 7,926,627 $ 267,158 $ 8,193,785 $ 6,028,851 $ 226,438 $ 6,255,289 Commitments for unused lines of credit - advances (2) 1,191,718 — 1,191,718 1,177,377 — 1,177,377 Commitments to make additional advances 22,860 56,344 79,204 159,401 59,894 219,295 Commitments to invest in mortgage loans 31,583 — 31,583 50,773 — 50,773 Unsettled CO bonds, at par 45,000 — 45,000 105,400 — 105,400 Unsettled CO discount notes, at par 250,000 — 250,000 600,000 — 600,000 __________________________ (1) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At March 31, 2019 , and December 31, 2018 , these amounts totaled $ 129.7 million and $32.6 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $675 thousand at December 31, 2018 . (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. We issue standby letters of credit on behalf of our members to support certain obligations of the members to third-party beneficiaries. These standby letters of credit are subject to the same collateralization and borrowing limits that are applicable to advances. Standby letters of credit may be offered to assist members in facilitating residential housing finance, community lending, and asset-liability management, and to provide liquidity. In particular, members often use standby letters of credit as collateral for deposits from federal and state government agencies. Standby letters of credit are executed for members for a fee. 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. Historically, standby letters of credit usually expire without being drawn upon. The terms of these standby letters of credit have original expiration periods of up to 20 years , currently expiring no later than 2027 . Currently, we offer new standby letters of credit with expiration periods of up to 10 years . Unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled $1.6 million and $1.3 million at March 31, 2019 , and December 31, 2018 , 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 | 3 Months Ended |
Mar. 31, 2019 | |
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 at any time during the period. Table 19.1 - Shareholder Concentrations, Balance Sheet (dollars in thousands) Capital Stock Outstanding Percent of Total Capital Stock 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 March 31, 2019 Citizens Bank, N.A. $ 133,381 7.2 % $ 2,506,053 7.8 % $ 1,754 3.0 % As of December 31, 2018 Citizens Bank, N.A. $ 339,003 13.2 % $ 7,656,146 17.7 % $ 5,005 8.3 % 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. Table 19.2 - Shareholder Concentrations, Income Statement (dollars in thousands) For the Three Months Ended March 31, Citizens Bank, N.A. 2019 2018 Interest income on advances $ 39,113 $ 26,892 Fees on letters of credit 1,878 1,097 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. Table 19.3 - Transactions with Directors' Institutions (dollars in thousands) Capital Stock Outstanding Percent of Total Capital Stock 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 March 31, 2019 $ 85,678 4.6 % $ 1,703,833 5.3 % $ 3,409 5.8 % As of December 31, 2018 113,337 4.4 2,147,602 5.0 3,576 6.0 |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events On April 18, 2019 , the board of directors declared a cash dividend at an annualized rate of 6.22 percent based on capital stock balances outstanding during the first quarter of 2019. The dividend, including dividends classified as interest on mandatorily redeemable capital stock, amounted to $32.0 million and was paid on May 2, 2019 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
Accounting Policies [Abstract] | |
Investment, Policy | We classify certain investments that are not classified as held-to-maturity or trading as available-for-sale and carry them at fair value. Changes in fair value of available-for-sale securities not being hedged by derivatives, or in an economic hedging relationship, are recorded in other comprehensive income (loss) as net unrealized gains (losses) on available-for-sale securities. For available-for-sale securities that have been hedged under fair-value hedge designations, we record the portion of the change in the fair value of the investment related to the risk being hedged in available-for-sale interest income together with the related change in the fair value of the derivative. Prior to January 1, 2019, this amount was recorded in other income as net gains (losses) on derivatives and hedging activities. The remainder of the change in the fair value of the investment is recorded in other comprehensive income (loss) as net unrealized gains (losses) on available-for-sale securities.We evaluate our individual available-for-sale and held-to-maturity securities for other-than-temporary impairment each quarter. |
Property, Plant and Equipment, Policy | We record premises, software, and equipment at cost less accumulated depreciation and amortization and compute depreciation on a straight-line basis over estimated useful lives ranging from three years to 10 years |
Internal Use Software, Policy | The cost of purchased software and certain costs incurred in developing computer software for internal use are capitalized and amortized over future periods. |
Federal Home Loan Bank Advances , Policy | In cases in which we fund a new advance concurrently with or within a short period of time of the prepayment of an existing advance by the same member, we evaluate whether the new advance meets the accounting criteria to qualify as a modification of the existing advance or whether it constitutes a new advance. We compare the present value of cash flows on the new advance with the present value of cash flows remaining on the existing advance. If there is at least a 10 percent difference in the present value of cash flows or if we conclude the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance's original contractual terms, the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. If a new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized to interest income over the life of the modified advance using the level-yield method. This amortization is recorded in advance-interest income. If the modified advance is hedged, changes in fair value are recorded after the amortization of the basis adjustment in advance interest income. Prior to January 1, 2019, this amortization resulted in offsetting amounts being recorded in net interest income and net gains (losses) on derivatives and hedging activities in other income. For prepaid advances that were hedged and meet the hedge-accounting requirements, we terminate the hedging relationship upon prepayment and record the prepayment fee net of the hedging fair-value adjustment in the basis of the advance as advance-interest income. If we fund a new advance to a member concurrent with or within a short period of time after the prepayment of a previous advance to that member, we evaluate whether the new advance qualifies as a modification of the original hedged advance. If the new advance qualifies as a modification of the original hedged advance, the hedging fair-value adjustment and the prepayment fee are included in the carrying amount of the modified advance and are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedging criteria, the modified advance is marked to fair value after the modification, and subsequent fair-value changes are recorded in advance interest income. Prior to January 1, 2019, subsequent fair value changes were recorded in other income as net gains (losses) on derivatives and hedging activities. |
Derivatives, Policy | Accounting for Fair-Value and Cash-Flow Hedges. If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective, they qualify for fair-value or cash-flow hedge accounting. For cash-flow hedges, we measure effectiveness using the hypothetical derivative method, which compares the cumulative change in fair value of the actual derivative designated as the hedging instrument to the cumulative change in fair value of a hypothetical derivative having terms that identically match the critical terms of the hedged forecasted transaction. Derivatives that are used in fair-value hedges are typically executed at the same time as the hedged items, and we designate the hedged item in a qualifying hedge relationship as of the trade date. We then record the changes in fair value of the derivative and the hedged item beginning on the trade date. Beginning January 1, 2019 we adopted new hedge accounting guidance which, among other things, impacts the presentation of gains (losses) on derivatives and hedging activities for qualifying hedges as follows: • Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. • Changes in the fair value of a derivative that is designated and qualifies as a cash-flow hedge are recorded in other comprehensive income (loss), a component of capital, until the hedged transaction affects earnings. |
Fair Value of Financial Instruments, Policy [Policy Text Block] | 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).We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security). |
Joint and Several Liability Policy [Policy Text Block] | 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) | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Trading, and Equity Securities, FV-NI [Abstract] | |
Trading Securities by Major Security Type [Table Text Block] | Table 4.1 - Trading Securities by Major Security Type (dollars in thousands) March 31, 2019 December 31, 2018 Corporate bonds $ 6,189 $ 6,102 Mortgage backed securities (MBS) U.S. government-guaranteed – single-family 5,004 5,344 Government sponsored enterprise (GSEs) – single-family 123 148 GSEs – multifamily 146,254 151,444 151,381 156,936 Total $ 157,570 $ 163,038 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |
Available-for-Sale (AFS) Securities by Major Security Type [Table Text Block] | Table 5.1 - Available-for-Sale Securities by Major Security Type (dollars in thousands) March 31, 2019 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) $ 55,500 $ — $ (5,152 ) $ 50,348 Supranational institutions 425,048 — (14,303 ) 410,745 U.S. government-owned corporations 307,564 — (28,415 ) 279,149 GSEs 125,877 — (8,006 ) 117,871 913,989 — (55,876 ) 858,113 MBS U.S. government guaranteed – single-family 74,284 8 (2,815 ) 71,477 U.S. government guaranteed – multifamily 353,083 — (5,585 ) 347,498 GSEs – single-family 3,456,179 567 (54,030 ) 3,402,716 GSEs – multifamily 836,353 101 (1,263 ) 835,191 4,719,899 676 (63,693 ) 4,656,882 Total $ 5,633,888 $ 676 $ (119,569 ) $ 5,514,995 _______________________ (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. December 31, 2018 Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Gains Unrealized Losses Fair Value HFA securities $ 55,500 $ — $ (5,899 ) $ 49,601 Supranational institutions 419,222 — (14,067 ) 405,155 U.S. government-owned corporations 297,729 — (24,560 ) 273,169 GSEs 122,423 — (6,796 ) 115,627 894,874 — (51,322 ) 843,552 MBS U.S. government guaranteed – single-family 79,075 20 (3,437 ) 75,658 U.S. government guaranteed – multifamily 368,103 — (6,969 ) 361,134 GSEs – single-family 3,649,964 681 (88,486 ) 3,562,159 GSEs – multifamily 1,010,886 168 (3,613 ) 1,007,441 5,108,028 869 (102,505 ) 5,006,392 Total $ 6,002,902 $ 869 $ (153,827 ) $ 5,849,944 _______________________ (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. |
Available-for-sale Securities [Member] | |
Debt Securities, Available-for-sale [Line Items] | |
AFS Securities in a Continuous Unrealized Loss Position [Table Text Block] | Table 5.2 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) March 31, 2019 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ 11,298 $ (1,502 ) $ 39,050 $ (3,650 ) $ 50,348 $ (5,152 ) Supranational institutions — — 410,745 (14,303 ) 410,745 (14,303 ) U.S. government-owned corporations — — 279,149 (28,415 ) 279,149 (28,415 ) GSEs — — 117,871 (8,006 ) 117,871 (8,006 ) 11,298 (1,502 ) 846,815 (54,374 ) 858,113 (55,876 ) MBS U.S. government guaranteed – single-family 15,023 (5 ) 54,939 (2,810 ) 69,962 (2,815 ) U.S. government guaranteed – multifamily — — 347,498 (5,585 ) 347,498 (5,585 ) GSEs – single-family 23,220 (70 ) 3,279,538 (53,960 ) 3,302,758 (54,030 ) GSEs – multifamily 575,262 (1,263 ) — — 575,262 (1,263 ) 613,505 (1,338 ) 3,681,975 (62,355 ) 4,295,480 (63,693 ) Total temporarily impaired $ 624,803 $ (2,840 ) $ 4,528,790 $ (116,729 ) $ 5,153,593 $ (119,569 ) December 31, 2018 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ 11,118 $ (1,682 ) $ 38,483 $ (4,217 ) $ 49,601 $ (5,899 ) Supranational institutions — — 405,155 (14,067 ) 405,155 (14,067 ) U.S. government-owned corporations — — 273,169 (24,560 ) 273,169 (24,560 ) GSEs — — 115,627 (6,796 ) 115,627 (6,796 ) 11,118 (1,682 ) 832,434 (49,640 ) 843,552 (51,322 ) MBS U.S. government guaranteed – single-family — — 57,679 (3,437 ) 57,679 (3,437 ) U.S. government guaranteed – multifamily — — 361,134 (6,969 ) 361,134 (6,969 ) GSEs – single-family 53,122 (388 ) 3,417,076 (88,098 ) 3,470,198 (88,486 ) GSEs – commercial 902,850 (3,613 ) — — 902,850 (3,613 ) 955,972 (4,001 ) 3,835,889 (98,504 ) 4,791,861 (102,505 ) Total temporarily impaired $ 967,090 $ (5,683 ) $ 4,668,323 $ — $ (148,144 ) $ 5,635,413 $ (153,827 ) |
Investments Classified by Contractual Maturity Date [Table Text Block] | Table 5.3 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) March 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ — $ — $ — $ — Due after one year through five years 55,500 50,348 55,500 49,601 Due after five years through 10 years 471,961 456,717 465,248 450,102 Due after 10 years 386,528 351,048 374,126 343,849 913,989 858,113 894,874 843,552 MBS (1) 4,719,899 4,656,882 5,108,028 5,006,392 Total $ 5,633,888 $ 5,514,995 $ 6,002,902 $ 5,849,944 _______________________ (1) |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities by Major Security Type [Table Text Block] | Table 6.1 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) March 31, 2019 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 $ 68 $ — $ 68 $ — $ — $ 68 HFA securities 102,860 — 102,860 6 (4,432 ) 98,434 102,928 — 102,928 6 (4,432 ) 98,502 MBS U.S. government guaranteed – single-family 7,892 — 7,892 148 — 8,040 GSEs – single-family 385,603 — 385,603 6,051 (785 ) 390,869 GSEs – multifamily 208,583 — 208,583 1,960 — 210,543 Private-label – residential 655,213 (122,896 ) 532,317 227,222 (1,903 ) 757,636 Asset-backed securities (ABS) backed by home equity loans 6,656 (16 ) 6,640 18 (224 ) 6,434 1,263,947 (122,912 ) 1,141,035 235,399 (2,912 ) 1,373,522 Total $ 1,366,875 $ (122,912 ) $ 1,243,963 $ 235,405 $ (7,344 ) $ 1,472,024 December 31, 2018 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 $ 208 $ — $ 208 $ — $ — $ 208 HFA securities 104,465 — 104,465 4 (4,612 ) 99,857 104,673 — 104,673 4 (4,612 ) 100,065 MBS U.S. government guaranteed – single-family 8,173 — 8,173 158 — 8,331 GSEs – single-family 412,639 — 412,639 6,861 (1,389 ) 418,111 GSEs – multifamily 209,786 — 209,786 1,728 — 211,514 Private-label – residential 682,124 (129,135 ) 552,989 234,063 (2,671 ) 784,381 ABS backed by home equity loans 6,781 (18 ) 6,763 20 (256 ) 6,527 1,319,503 (129,153 ) 1,190,350 242,830 (4,316 ) 1,428,864 Total $ 1,424,176 $ (129,153 ) $ 1,295,023 $ 242,834 $ (8,928 ) $ 1,528,929 |
Held-to-maturity Securities [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities in a Continuous Unrealized Loss Position [Table Text Block] | Table 6.2 - Held-to-Maturity Securities in a Continuous Unrealized Loss Position (dollars in thousands) March 31, 2019 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ — $ — $ 91,388 $ (4,432 ) $ 91,388 $ (4,432 ) MBS GSEs – single-family 2,939 (6 ) 89,028 (779 ) 91,967 (785 ) Private-label – residential 24,923 (232 ) 103,873 (3,414 ) 128,796 (3,646 ) ABS backed by home equity loans 726 (4 ) 5,585 (220 ) 6,311 (224 ) 28,588 (242 ) 198,486 (4,413 ) 227,074 (4,655 ) Total $ 28,588 $ (242 ) $ 289,874 $ (8,845 ) $ 318,462 $ (9,087 ) December 31, 2018 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses HFA securities $ 6,196 $ (9 ) $ 92,822 $ (4,603 ) $ 99,018 $ (4,612 ) MBS GSEs – single-family 69,377 (580 ) 52,237 (809 ) 121,614 (1,389 ) Private-label – residential 24,921 (326 ) 109,296 (4,336 ) 134,217 (4,662 ) ABS backed by home equity loans 759 (5 ) 5,641 (251 ) 6,400 (256 ) 95,057 (911 ) 167,174 (5,396 ) 262,231 (6,307 ) Total $ 101,253 $ (920 ) $ 259,996 $ (9,999 ) $ 361,249 $ (10,919 ) |
HTM Securities by Contractual Maturity [Table Text Block] | Table 6.3 - Held-to-Maturity Securities by Contractual Maturity (dollars in thousands) March 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Carrying Value (1) Fair Value Amortized Cost Carrying Value (1) Fair Value Due in one year or less $ 903 $ 903 $ 908 $ 1,043 $ 1,043 $ 1,047 Due after one year through five years 6,205 6,205 6,206 6,205 6,205 6,196 Due after five years through 10 years 16,865 16,865 16,736 16,865 16,865 16,639 Due after 10 years 78,955 78,955 74,652 80,560 80,560 76,183 102,928 102,928 98,502 104,673 104,673 100,065 MBS (2) 1,263,947 1,141,035 1,373,522 1,319,503 1,190,350 1,428,864 Total $ 1,366,875 $ 1,243,963 $ 1,472,024 $ 1,424,176 $ 1,295,023 $ 1,528,929 _______________________ (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 Impairme_2
Other-Than-Temporary Impairment (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 March 31, 2019 , Table 7.1 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. Table 7.1 - Significant Inputs and Current Credit Enhancement for Securities with a Current Period Credit Loss (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 Private-label residential MBS - Alt-A (1) $ 19,597 10.8 % 19.9 % 38.1 % 13.8 % _______________________ (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. |
Total Securities Other-than-Temporarily Impaired during the Life of the Security [Table Text Block] | Table 7.2 - Total MBS Other-than-Temporarily Impaired During the Life of the Security (dollars in thousands) March 31, 2019 Other-Than-Temporarily Impaired Investment (1) Par Value Amortized Cost Carrying Value Fair Value Private-label residential MBS – Prime $ 23,432 $ 20,039 $ 15,874 $ 21,840 Private-label residential MBS – Alt-A 771,900 555,354 436,624 657,820 ABS backed by home equity loans – Subprime 149 140 124 142 Total other-than-temporarily impaired securities $ 795,481 $ 575,533 $ 452,622 $ 679,802 _______________________ (1) |
Rollforward of the Amounts Related to Credit Losses Recognized into Earnings [Table Text Block] | Table 7.3 - Roll Forward of the Amounts Related to Credit Loss Recognized into Earnings (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Balance at beginning of period $ 422,035 $ 452,523 Additions: Credit losses for which other-than-temporary impairment was not previously recognized 9 — Additional credit losses for which an other-than-temporary impairment charge was previously recognized 94 79 Reductions: Securities matured during the period (485 ) — Portion of increase in cash flows expected to be collected over the remaining life of the security that are recognized in the current period as interest income (1) (7,058 ) (7,316 ) Balance at end of period $ 414,595 $ 445,286 _______________________ (1) For the three months ended March 31, 2019 , the amount excludes an additional $248 thousand |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Advances [Abstract] | |
Advances [Table Text Block] | Table 8.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date (dollars in thousands) Year of Contractual Maturity or Next Put Date, Par Value March 31, 2019 December 31, 2018 Overdrawn demand-deposit accounts $ 491 $ 12,332 Due in one year or less 19,760,046 25,199,892 Due after one year through two years 6,485,523 11,652,840 Due after two years through three years 2,581,041 2,834,790 Due after three years through four years 1,373,872 1,367,576 Due after four years through five years 1,067,956 1,152,468 Thereafter 923,336 1,048,487 Total par value $ 32,192,265 $ 43,268,385 Table 8.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date (1) (dollars in thousands) March 31, 2019 December 31, 2018 Overdrawn demand-deposit accounts $ 491 $ 12,332 Due in one year or less 22,368,021 32,748,467 Due after one year through two years 3,791,323 3,913,640 Due after two years through three years 2,415,541 2,672,290 Due after three years through four years 1,467,872 1,261,176 Due after four years through five years 1,088,656 1,362,468 Thereafter 1,060,361 1,298,012 Total par value $ 32,192,265 $ 43,268,385 _______________________ (1) Table 8.1 - Advances Outstanding by Year of Contractual Maturity (dollars in thousands) March 31, 2019 December 31, 2018 Amount Weighted Average Rate Amount Weighted Average Rate Overdrawn demand-deposit accounts $ 491 2.89 % $ 12,332 2.88 % Due in one year or less 18,629,246 2.50 24,029,592 2.48 Due after one year through two years 6,291,323 2.50 11,413,640 2.55 Due after two years through three years 2,565,541 2.56 2,832,290 2.47 Due after three years through four years 1,992,672 2.52 1,648,076 2.37 Due after four years through five years 1,598,656 2.43 1,980,468 2.24 Thereafter 1,114,336 2.87 1,351,987 2.99 Total par value 32,192,265 2.51 % 43,268,385 2.50 % Premiums 15,835 13,347 Discounts (37,192 ) (38,036 ) Fair value of bifurcated derivatives (1) 19,954 13,051 Hedging adjustments (38,853 ) (64,525 ) Total $ 32,152,009 $ 43,192,222 _________________________ (1) At March 31, 2019 , and December 31, 2018 Table 8.5 - Advances Prepayment Fees (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Prepayment fees received from borrowers $ 26,186 $ 60 Hedging fair-value adjustments on prepaid advances 527 96 Net discounts associated with prepaid advances 218 — Advance prepayment fees recognized in income, net $ 26,931 $ 156 Table 8.4 - Advances by Current Interest Rate Terms (dollars in thousands) Par value of advances March 31, 2019 December 31, 2018 Fixed-rate $ 27,724,899 $ 33,570,278 Variable-rate 4,467,366 9,698,107 Total par value $ 32,192,265 $ 43,268,385 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | Table 9.1 - Mortgage Loans Held for Portfolio (dollars in thousands) March 31, 2019 December 31, 2018 Real estate Fixed-rate 15-year single-family mortgages $ 377,259 $ 392,128 Fixed-rate 20- and 30-year single-family mortgages 3,922,193 3,839,078 Premiums 67,708 67,671 Discounts (1,822 ) (1,800 ) Deferred derivative gains, net 3,495 2,825 Total mortgage loans held for portfolio 4,368,833 4,299,902 Less: allowance for credit losses (500 ) (500 ) Total mortgage loans, net of allowance for credit losses $ 4,368,333 $ 4,299,402 Table 9.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands) March 31, 2019 December 31, 2018 Conventional mortgage loans $ 3,976,831 $ 3,902,555 Government mortgage loans 322,621 328,651 Total par value $ 4,299,452 $ 4,231,206 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Receivables [Abstract] | |
Recorded Investment in Delinquent Mortgage Loans [Table Text Block] | Table 10.1 sets forth certain key credit quality indicators for our investments in mortgage loans at March 31, 2019 , and December 31, 2018 (dollars in thousands): Table 10.1 - Recorded Investment in Delinquent Mortgage Loans (dollars in thousands) March 31, 2019 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 32,353 $ 12,900 $ 45,253 Past due 60-89 days delinquent 5,457 3,456 8,913 Past due 90 days or more delinquent 9,245 6,463 15,708 Total past due 47,055 22,819 69,874 Total current loans 4,014,197 308,147 4,322,344 Total mortgage loans $ 4,061,252 $ 330,966 $ 4,392,218 Other delinquency statistics In process of foreclosure, included above (1) $ 3,384 $ 2,808 $ 6,192 Serious delinquency rate (2) 0.24 % 1.95 % 0.37 % Past due 90 days or more still accruing interest $ — $ 6,463 $ 6,463 Loans on nonaccrual status (3) $ 9,737 $ — $ 9,737 _______________________ (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, 2018 Recorded Investment in Conventional Mortgage Loans Recorded Investment in Government Mortgage Loans Total Past due 30-59 days delinquent $ 23,045 $ 10,884 $ 33,929 Past due 60-89 days delinquent 7,019 3,344 10,363 Past due 90 days or more delinquent 7,384 6,670 14,054 Total past due 37,448 20,898 58,346 Total current loans 3,947,096 316,285 4,263,381 Total mortgage loans $ 3,984,544 $ 337,183 $ 4,321,727 Other delinquency statistics In process of foreclosure, included above (1) $ 3,467 $ 2,086 $ 5,553 Serious delinquency rate (2) 0.20 % 1.98 % 0.34 % Past due 90 days or more still accruing interest $ — $ 6,670 $ 6,670 Loans on nonaccrual status (3) $ 7,975 $ — $ 7,975 _______________________ (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. |
Rollforward of Allowance for Credit Losses on Mortgage Loans [Table Text Block] | Table 10.2 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the three months ended March 31, 2019 and 2018 , as well as the recorded investment in mortgage loans by impairment methodology at March 31, 2019 and 2018 . 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. Table 10.2 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Allowance for credit losses Balance, beginning of period $ 500 $ 500 Charge-offs (3 ) (9 ) Provision for credit losses 3 9 Balance, end of period $ 500 $ 500 Ending balance, individually evaluated for impairment $ — $ — Ending balance, collectively evaluated for impairment $ 500 $ 500 Recorded investment, end of period (1) Individually evaluated for impairment $ 14,107 $ 16,540 Collectively evaluated for impairment $ 4,047,145 $ 3,665,055 _________________________ (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 Activ_2
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments [Table Text Block] | Table 11.1 - Fair Value of Derivative Instruments (dollars in thousands) March 31, 2019 December 31, 2018 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 10,453,839 $ 13,767 $ (32,537 ) $ 11,980,699 $ 12,811 $ (296,324 ) Forward-start interest-rate swaps 221,000 1,193 — 282,000 — (753 ) Total derivatives designated as hedging instruments 10,674,839 14,960 (32,537 ) 12,262,699 12,811 (297,077 ) Derivatives not designated as hedging instruments Economic hedges: Interest-rate swaps 877,800 410 (19,105 ) 927,800 682 (12,475 ) Mortgage-delivery commitments (1) 31,583 189 (8 ) 50,773 339 — Total derivatives not designated as hedging instruments 909,383 599 (19,113 ) 978,573 1,021 (12,475 ) Total notional amount of derivatives $ 11,584,222 $ 13,241,272 Total derivatives before netting and collateral adjustments 15,559 (51,650 ) 13,832 (309,552 ) Netting adjustments and cash collateral, including related accrued interest (2) 39,438 39,192 8,571 53,752 Derivative assets and derivative liabilities $ 54,997 $ (12,458 ) $ 22,403 $ (255,800 ) _______________________ (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 $78.8 million and $62.8 million at March 31, 2019 , and December 31, 2018 , 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 $142 thousand and $471 thousand at March 31, 2019 , and December 31, 2018 , respectively. |
Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block] | Table 11.2 presents the net gains (losses) on qualifying fair value and cash flow hedging relationships. Beginning on January 1, 2019, gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements. Table 11.2 - Net Gains (Losses) on Fair Value and Cash Flow Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2019 Interest Income/Expense Advances Available-for-sale Securities Consolidated Obligation Bonds Other Comprehensive Income (Loss) Total interest income (expense) in the statements of operations $ 247,877 $ 21,291 $ (154,817 ) Gains (losses) on fair-value hedging relationships Interest rate contracts Derivatives (1) $ (8,360 ) $ (28,980 ) $ 24,561 $ — Hedged items 25,228 19,115 (34,708 ) — Net gains (losses) on fair value hedging relationships $ 16,868 $ (9,865 ) $ (10,147 ) $ — Gains (losses) on cash-flow hedging relationships Interest rate contracts Reclassified from accumulated other comprehensive loss into interest expense $ — $ — $ (786 ) $ — Recognized in other comprehensive loss — — — (3,379 ) For the Three Months Ended March 31, 2018 (2) Interest Income/Expense Advances Available-for-sale Securities Consolidated Obligation Bonds Net Gains (Losses) on Derivatives and Hedging Activities Other Comprehensive Income (Loss) Total income (expense) in the statements of operations $ 177,450 $ 40,778 $ (119,201 ) $ 1,140 Gains (losses) on fair value hedging relationships Interest rate contracts Derivatives (1) $ 5,695 $ (7,311 ) $ (3,017 ) $ 36,872 $ — Hedged items — — — (35,764 ) — Net gains (losses) on fair value hedging relationships $ 5,695 $ (7,311 ) $ (3,017 ) $ 1,108 $ — Gains (losses) on cash flow hedging relationships Interest rate contracts Reclassified from accumulated other comprehensive loss into interest expense $ — $ — $ (934 ) $ — $ — Recognized in income for hedge ineffectiveness — — — 76 — Recognized in other comprehensive loss for hedge effectiveness — — — — 9,166 _______________________ (1) Includes net interest settlements. (2) Prior period amounts were not revised to conform with new hedge accounting guidance adopted January 1, 2019. Table 11.4 - Net Gains and Losses on Derivatives and Hedging Activities (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Derivatives designated as hedging instruments: Total net gains related to fair-value hedges (1) $ 1,108 Total net gains related to cash-flow hedges (2) 76 Total net gains related to derivatives designated as hedging instruments 1,184 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (60 ) 624 Mortgage-delivery commitments 608 (518 ) Total net gains related to derivatives not designated as hedging instruments 548 106 Other (3) — (150 ) Net gains on derivatives and hedging activities $ 548 $ 1,140 ______________________ (1) Consists of interest-rate swaps (2) Consists of forward-start interest-rate swaps (3) |
Gains (Losses) By Type of Hedged Item [Table Text Block] | Table 11.3 - Cumulative Basis Adjustments for Fair Value Hedges (dollars in thousands) For the Three Months Ended March 31, 2019 Line Item in Statement of Condition of Hedged Item Amortized Cost of Hedged Asset/ (Liability) (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Cumulative Amount of Fair Value Hedging Basis Adjustments Advances $ 4,595,457 $ (18,899 ) $ 11,002 $ (7,897 ) Available-for-sale securities 858,489 220,604 — 220,604 Consolidated bonds (5,250,705 ) 26,299 (37,694 ) (11,395 ) _______________________ (1) |
Derivatives Not Designated as Hedging Instruments [Table Text Block] | Table 11.4 - Net Gains and Losses on Derivatives and Hedging Activities (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Derivatives designated as hedging instruments: Total net gains related to fair-value hedges (1) $ 1,108 Total net gains related to cash-flow hedges (2) 76 Total net gains related to derivatives designated as hedging instruments 1,184 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (60 ) 624 Mortgage-delivery commitments 608 (518 ) Total net gains related to derivatives not designated as hedging instruments 548 106 Other (3) — (150 ) Net gains on derivatives and hedging activities $ 548 $ 1,140 ______________________ (1) Consists of interest-rate swaps (2) Consists of forward-start interest-rate swaps (3) |
Post-haircut Value of Incremental Collateral Based on Incremental Credit Rating Downgrades [Table Text Block] | Table 11.5 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at March 31, 2019 . Table 11.5 - Post Haircut Value of Incremental Collateral to be Delivered as of March 31, 2019 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 482 AA- A+, A or A- — A- below A- 9,102 _______________________ (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. |
Offsetting Assets [Table Text Block] | Table 11.6 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 March 31, 2019 , and December 31, 2018 , and the fair value of derivatives that are not subject to such netting. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties. Table 11.6 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2019 Derivative Instruments Meeting Netting Requirements Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Mortgage Delivery Commitments Total Derivative Assets and Total Derivative Liabilities Can Be Sold or Repledged Cannot Be Sold or Repledged Net Amount Derivative Assets Uncleared $ 9,109 $ (7,078 ) $ 189 $ 2,220 $ (1,036 ) $ — $ 1,184 Cleared 6,261 46,516 52,777 — — 52,777 Total $ 54,997 $ 53,961 Derivative Liabilities Uncleared $ (50,529 ) $ 38,079 $ (8 ) $ (12,458 ) $ 3,271 $ 5,957 $ (3,230 ) Cleared (1,113 ) 1,113 — — — — Total $ (12,458 ) $ (3,230 ) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2019 , we had additional net credit exposure of $380 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. December 31, 2018 Derivative Instruments Meeting Netting Requirements Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Mortgage Delivery Commitments Total Derivative Assets and Total Derivative Liabilities Can Be Sold or Repledged Cannot Be Sold or Repledged Net Amount Derivative Assets Uncleared $ 12,861 $ (11,885 ) $ 339 $ 1,315 $ (396 ) $ — $ 919 Cleared 631 20,457 21,088 — — 21,088 Total $ 22,403 $ 22,007 Derivative Liabilities Uncleared $ (306,848 ) $ 51,048 $ — $ (255,800 ) $ 6,104 $ 237,054 $ (12,642 ) Cleared (2,704 ) 2,704 — — — — Total $ (255,800 ) $ (12,642 ) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At December 31, 2018 , we had additional net credit exposure of $639 thousand |
Offsetting Liabilities [Table Text Block] | Table 11.6 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 March 31, 2019 , and December 31, 2018 , and the fair value of derivatives that are not subject to such netting. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties. Table 11.6 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2019 Derivative Instruments Meeting Netting Requirements Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Mortgage Delivery Commitments Total Derivative Assets and Total Derivative Liabilities Can Be Sold or Repledged Cannot Be Sold or Repledged Net Amount Derivative Assets Uncleared $ 9,109 $ (7,078 ) $ 189 $ 2,220 $ (1,036 ) $ — $ 1,184 Cleared 6,261 46,516 52,777 — — 52,777 Total $ 54,997 $ 53,961 Derivative Liabilities Uncleared $ (50,529 ) $ 38,079 $ (8 ) $ (12,458 ) $ 3,271 $ 5,957 $ (3,230 ) Cleared (1,113 ) 1,113 — — — — Total $ (12,458 ) $ (3,230 ) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2019 , we had additional net credit exposure of $380 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. December 31, 2018 Derivative Instruments Meeting Netting Requirements Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Mortgage Delivery Commitments Total Derivative Assets and Total Derivative Liabilities Can Be Sold or Repledged Cannot Be Sold or Repledged Net Amount Derivative Assets Uncleared $ 12,861 $ (11,885 ) $ 339 $ 1,315 $ (396 ) $ — $ 919 Cleared 631 20,457 21,088 — — 21,088 Total $ 22,403 $ 22,007 Derivative Liabilities Uncleared $ (306,848 ) $ 51,048 $ — $ (255,800 ) $ 6,104 $ 237,054 $ (12,642 ) Cleared (2,704 ) 2,704 — — — — Total $ (255,800 ) $ (12,642 ) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At December 31, 2018 , we had additional net credit exposure of $639 thousand |
Deposits (Tables)
Deposits (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Deposits [Abstract] | |
Interest-bearing and Non-interest-bearing Deposits [Table Text Block] | Table 12.1 - Deposits (dollars in thousands) March 31, 2019 December 31, 2018 Interest-bearing Demand and overnight $ 524,933 $ 444,486 Term 1,800 800 Other 1,703 2,961 Noninterest-bearing Other 26,595 26,631 Total deposits $ 555,031 $ 474,878 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
CO Bonds by Year of Contractual Maturity [Table Text Block] | Table 13.1 - CO Bonds Outstanding by Contractual Maturity (dollars in thousands) March 31, 2019 December 31, 2018 Year of Contractual Maturity Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 9,045,965 2.11 % $ 9,638,270 2.01 % Due after one year through two years 4,831,880 2.26 5,375,845 2.24 Due after two years through three years 3,862,905 2.23 3,864,560 2.17 Due after three years through four years 1,903,530 2.18 1,891,975 2.20 Due after four years through five years 1,260,450 2.52 1,338,515 2.39 Thereafter 3,963,590 3.24 3,792,150 3.25 Total par value 24,868,320 2.37 % 25,901,315 2.30 % Premiums 87,118 88,434 Discounts (15,425 ) (16,133 ) Hedging adjustments (26,299 ) (60,932 ) $ 24,913,714 $ 25,912,684 _______________________ (1) Table 13.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date (dollars in thousands) Year of Contractual Maturity or Next Call Date March 31, 2019 December 31, 2018 Due in one year or less $ 12,807,965 $ 13,435,270 Due after one year through two years 4,988,880 5,602,845 Due after two years through three years 2,840,905 2,802,560 Due after three years through four years 1,408,530 1,366,975 Due after four years through five years 1,088,450 1,156,515 Thereafter 1,733,590 1,537,150 Total par value $ 24,868,320 $ 25,901,315 |
CO Bonds Long-term Debt Instruments [Table Text Block] | Table 13.2 - CO Bonds Outstanding by Call Feature (dollars in thousands) Par Value of CO bonds March 31, 2019 December 31, 2018 Noncallable and nonputable $ 19,811,320 $ 20,419,315 Callable 5,057,000 5,482,000 Total par value $ 24,868,320 $ 25,901,315 Table 13.4 - CO Bonds by Interest Rate-Payment Type (dollars in thousands) Par Value of CO bonds March 31, 2019 December 31, 2018 Fixed-rate $ 21,201,320 $ 21,216,315 Simple variable-rate 2,170,000 2,853,000 Step-up 1,497,000 1,832,000 Total par value $ 24,868,320 $ 25,901,315 |
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: Table 13.5 - CO Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Rate (1) March 31, 2019 $ 23,585,929 $ 23,640,844 2.42 % December 31, 2018 $ 33,065,822 $ 33,147,065 2.37 % _______________________ (1) |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Affordable Housing Program [Abstract] | |
Roll-forward of the AHP Liability[Table Text Block] | Table 14.1 - AHP Liability (dollars in thousands) March 31, 2019 December 31, 2018 Balance at beginning of period $ 83,965 $ 81,600 AHP expense for the period 6,085 24,299 AHP direct grant disbursements (2,281 ) (17,729 ) AHP subsidy for AHP advance disbursements (1,038 ) (4,360 ) Return of previously disbursed grants and subsidies — 155 Balance at end of period $ 86,731 $ 83,965 |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Stockholders' Equity Note [Abstract] | |
Compliance with Regulatory Capital Requirements [Table Text Block] | Table 15.1 - Regulatory Capital Requirements (dollars in thousands) Risk-Based Capital Requirements March 31, December 31, Permanent capital Class B capital stock $ 1,830,240 $ 2,528,854 Mandatorily redeemable capital stock 17,413 31,868 Retained earnings 1,412,372 1,395,012 Total permanent capital $ 3,260,025 $ 3,955,734 Risk-based capital requirement Credit-risk capital $ 282,324 $ 289,080 Market-risk capital 167,181 187,183 Operations-risk capital 134,851 142,879 Total risk-based capital requirement $ 584,356 $ 619,142 Permanent capital in excess of risk-based capital requirement $ 2,675,669 $ 3,336,592 March 31, 2019 December 31, 2018 Required Actual Required Actual Capital Ratio Risk-based capital $ 584,356 $ 3,260,025 $ 619,142 $ 3,955,734 Total regulatory capital $ 2,093,104 $ 3,260,025 $ 2,543,733 $ 3,955,734 Total capital-to-asset ratio 4.0 % 6.2 % 4.0 % 6.2 % Leverage Ratio Leverage capital $ 2,616,381 $ 4,890,038 $ 3,179,666 $ 5,933,601 Leverage capital-to-assets ratio 5.0 % 9.3 % 5.0 % 9.3 % |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Loss (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Accumulated Other Comprehensive Loss [Table Text Block] | Accumulated Other Comprehensive Loss Table 16.1 - Accumulated Other Comprehensive Loss (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 Gain (Loss) Relating to Hedging Activities Pension and Postretirement Benefits Total Balance, December 31, 2017 $ (122,331 ) $ (158,218 ) $ (40,436 ) $ (5,955 ) $ (326,940 ) Other comprehensive income (loss) before reclassifications: Net unrealized (losses) gains (31,622 ) — 9,166 — (22,456 ) Accretion of noncredit loss — 7,356 — — 7,356 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 72 — — 72 Amortization - hedging activities (2) — — 938 — 938 Amortization - pension and postretirement benefits (3) — — — 185 185 Other comprehensive (loss) income (31,622 ) 7,428 10,104 185 (13,905 ) Balance, March 31, 2018 $ (153,953 ) $ (150,790 ) $ (30,332 ) $ (5,770 ) $ (340,845 ) Balance, December 31, 2018 $ (152,958 ) $ (129,154 ) $ (29,119 ) $ (5,276 ) $ (316,507 ) Cumulative effect of change in accounting principle — — (175 ) — (175 ) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 34,065 — (3,379 ) — 30,686 Noncredit other-than-temporary impairment losses — (80 ) — — (80 ) Accretion of noncredit loss — 6,291 — — 6,291 Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 30 — — 30 Amortization - hedging activities (4) — — 786 — 786 Amortization - pension and postretirement benefits (3) — — — 161 161 Other comprehensive income (loss) 34,065 6,241 (2,593 ) 161 37,874 Balance, March 31, 2019 $ (118,893 ) $ (122,913 ) $ (31,887 ) $ (5,115 ) $ (278,808 ) _______________________ (1) Recorded in net other-than-temporary impairment losses in investment securities, credit portion in the statement of operations. (2) Amortization of hedging activities includes $934 thousand recorded in CO bond interest expense and $4 thousand 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) |
Fair Values (Tables)
Fair Values (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments [Table Text Block] | Table 17.1 - Fair Value Summary (dollars in thousands) March 31, 2019 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 28,034 $ 28,034 $ 28,034 $ — $ — $ — Interest-bearing deposits 527,262 527,262 527,262 — — — Securities purchased under agreements to resell 5,750,000 5,750,087 — 5,750,087 — — Federal funds sold 2,350,000 2,350,003 — 2,350,003 — — Trading securities (1) 157,570 157,570 — 157,570 — — Available-for-sale securities (1) 5,514,995 5,514,995 — 5,464,647 50,348 — Held-to-maturity securities 1,243,963 1,472,024 — 609,520 862,504 — Advances 32,152,009 32,192,373 — 32,192,373 — — Mortgage loans, net 4,368,333 4,382,294 — 4,362,135 20,159 — Accrued interest receivable 106,223 106,223 — 106,223 — — Derivative assets (1) 54,997 54,997 — 15,559 — 39,438 Other assets (1) 29,593 29,593 14,101 15,492 — — Liabilities: Deposits (555,031 ) (555,016 ) — (555,016 ) — — COs: Bonds (24,913,714 ) (24,999,478 ) — (24,999,478 ) — — Discount notes (23,585,929 ) (23,585,586 ) — (23,585,586 ) — — Mandatorily redeemable capital stock (17,413 ) (17,413 ) (17,413 ) — — — Accrued interest payable (134,636 ) (134,636 ) — (134,636 ) — — Derivative liabilities (1) (12,458 ) (12,458 ) — (51,650 ) — 39,192 Other: Commitments to extend credit for advances — (3,356 ) — (3,356 ) — — Standby letters of credit (1,650 ) (1,650 ) — (1,650 ) — — _______________________ (1) Carried at fair value and measured on a recurring basis. (2) These amounts represent the effect of master-netting agreements intended to 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, 2018 Carrying Value Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 10,431 $ 10,431 $ 10,431 $ — $ — $ — Interest-bearing deposits 593,199 593,199 593,199 — — — Securities purchased under agreements to resell 6,499,000 6,499,078 — 6,499,078 — — Federal funds sold 1,500,000 1,500,002 — 1,500,002 — — Trading securities (1) 163,038 163,038 — 163,038 — — Available-for-sale securities (1) 5,849,944 5,849,944 — 5,800,343 49,601 — Held-to-maturity securities 1,295,023 1,528,929 — 638,164 890,765 — Advances 43,192,222 43,167,700 — 43,167,700 — — Mortgage loans, net 4,299,402 4,238,087 — 4,217,487 20,600 — Accrued interest receivable 112,751 112,751 — 112,751 — — Derivative assets (1) 22,403 22,403 — 13,832 — 8,571 Other assets (1) 25,059 25,059 9,988 15,071 — — Liabilities: Deposits (474,878 ) (474,848 ) — (474,848 ) — — COs: Bonds (25,912,684 ) (25,843,163 ) — (25,843,163 ) — — Discount notes (33,065,822 ) (33,062,585 ) — (33,062,585 ) — — Mandatorily redeemable capital stock (31,868 ) (31,868 ) (31,868 ) — — — Accrued interest payable (112,043 ) (112,043 ) — (112,043 ) — — Derivative liabilities (1) (255,800 ) (255,800 ) — (309,552 ) — 53,752 Other: Commitments to extend credit for advances — (4,164 ) — (4,164 ) — — Standby letters of credit (1,257 ) (1,257 ) — (1,257 ) — — _______________________ (1) Carried at fair value and measured on a recurring basis. (2) |
Fair Value Measured on Recurring and Nonrecurring Basis [Table Text Block] | Table 17.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands) March 31, 2019 Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Total Assets: Carried at fair value on a recurring basis Trading securities: Corporate bonds $ — $ 6,189 $ — $ — $ 6,189 U.S. government-guaranteed – single-family MBS — 5,004 — — 5,004 GSEs – single-family MBS — 123 — — 123 GSEs – multifamily MBS — 146,254 — — 146,254 Total trading securities — 157,570 — — 157,570 Available-for-sale securities: State or local HFA securities — — 50,348 — 50,348 Supranational institutions — 410,745 — — 410,745 U.S. government-owned corporations — 279,149 — — 279,149 GSEs — 117,871 — — 117,871 U.S. government guaranteed – single-family MBS — 71,477 — — 71,477 U.S. government guaranteed – multifamily MBS — 347,498 — — 347,498 GSEs – single-family MBS — 3,402,716 — — 3,402,716 GSEs – multifamily MBS — 835,191 — — 835,191 Total available-for-sale securities — 5,464,647 50,348 — 5,514,995 Derivative assets: Interest-rate-exchange agreements — 15,370 — 39,438 54,808 Mortgage delivery commitments — 189 — — 189 Total derivative assets — 15,559 — 39,438 54,997 Other assets 14,101 15,492 — — 29,593 Total assets carried at fair value on a recurring basis $ 14,101 $ 5,653,268 $ 50,348 $ 39,438 $ 5,757,155 Carried at fair value on a nonrecurring basis (2) Held-to-maturity securities: Private-label residential MBS $ — $ — $ 3,325 $ — $ 3,325 Mortgage loans held for portfolio — — 80 — 80 REO — — 7 — 7 Total assets carried at fair value on a nonrecurring basis — — 3,412 — 3,412 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (51,642 ) $ — $ 39,192 $ (12,450 ) Mortgage delivery commitments — (8 ) — — (8 ) Total liabilities carried at fair value on a recurring basis $ — $ (51,650 ) $ — $ 39,192 $ (12,458 ) _______________________ (1) These amounts represent the effect of master-netting agreements intended to 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. (2) 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 fair values presented are as of the date the fair value adjustment was recorded. December 31, 2018 Level 1 Level 2 Level 3 Netting (1) Total Assets: Carried at fair value on a recurring basis Trading securities: Corporate bonds $ — $ 6,102 $ — $ — $ 6,102 U.S. government-guaranteed – single-family MBS — 5,344 — — 5,344 GSEs – single-family MBS — 148 — — 148 GSEs – multifamily MBS — 151,444 — — 151,444 Total trading securities — 163,038 — — 163,038 Available-for-sale securities: State or local HFA securities — — 49,601 — 49,601 Supranational institutions — 405,155 — — 405,155 U.S. government-owned corporations — 273,169 — — 273,169 GSEs — 115,627 — — 115,627 U.S. government guaranteed – single-family MBS — 75,658 — — 75,658 U.S. government guaranteed – multifamily MBS — 361,134 — — 361,134 GSEs – single-family MBS — 3,562,159 — — 3,562,159 GSEs – multifamily MBS — 1,007,441 — — 1,007,441 Total available-for-sale securities — 5,800,343 49,601 — 5,849,944 Derivative assets: Interest-rate-exchange agreements — 13,493 — 8,571 22,064 Mortgage delivery commitments — 339 — — 339 Total derivative assets — 13,832 — 8,571 22,403 Other assets 9,988 15,071 — — 25,059 Total assets carried at fair value on a recurring basis $ 9,988 $ 5,992,284 $ 49,601 $ 8,571 $ 6,060,444 Carried at fair value on a nonrecurring basis (2) Held-to-maturity securities: Private-label residential MBS $ — $ — $ 1,668 $ — $ 1,668 Mortgage loans held for portfolio — — 1,144 — 1,144 REO — — 361 — 361 Total assets carried at fair value on a nonrecurring basis $ — $ — $ 3,173 $ — $ 3,173 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (309,552 ) $ — $ 53,752 $ (255,800 ) Total liabilities carried at fair value on a recurring basis $ — $ (309,552 ) $ — $ 53,752 $ (255,800 ) _______________________ (1) These amounts represent the effect of master-netting agreements intended to 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. (2) |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | Table 17.3 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 months ended March 31, 2019 and 2018 . Table 17.3 - Roll Forward of Level 3 Available-for-Sale Securities (dollars in thousands) For the Three Months Ended March 31, 2019 2018 Balance at beginning of period $ 49,601 $ 37,683 Unrealized gains (losses) included in other comprehensive income 747 (188 ) Balance at end of period $ 50,348 $ 37,495 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Table 18.1 - Off-Balance Sheet Commitments (dollars in thousands) March 31, 2019 December 31, 2018 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (1) $ 7,926,627 $ 267,158 $ 8,193,785 $ 6,028,851 $ 226,438 $ 6,255,289 Commitments for unused lines of credit - advances (2) 1,191,718 — 1,191,718 1,177,377 — 1,177,377 Commitments to make additional advances 22,860 56,344 79,204 159,401 59,894 219,295 Commitments to invest in mortgage loans 31,583 — 31,583 50,773 — 50,773 Unsettled CO bonds, at par 45,000 — 45,000 105,400 — 105,400 Unsettled CO discount notes, at par 250,000 — 250,000 600,000 — 600,000 __________________________ (1) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At March 31, 2019 , and December 31, 2018 , these amounts totaled $ 129.7 million and $32.6 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $675 thousand at December 31, 2018 . (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) | 3 Months Ended |
Mar. 31, 2019 | |
Transactions with Shareholders [Abstract] | |
Schedule of Transactions with Shareholders [Table Text Block] | Table 19.1 - Shareholder Concentrations, Balance Sheet (dollars in thousands) Capital Stock Outstanding Percent of Total Capital Stock 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 March 31, 2019 Citizens Bank, N.A. $ 133,381 7.2 % $ 2,506,053 7.8 % $ 1,754 3.0 % As of December 31, 2018 Citizens Bank, N.A. $ 339,003 13.2 % $ 7,656,146 17.7 % $ 5,005 8.3 % |
Schedule of Transactions with Shareholders, Interest Income [Table Text Block] | Table 19.2 - Shareholder Concentrations, Income Statement (dollars in thousands) For the Three Months Ended March 31, Citizens Bank, N.A. 2019 2018 Interest income on advances $ 39,113 $ 26,892 Fees on letters of credit 1,878 1,097 |
Schedule of Transactions with Shareholders, Transactions with Directors' Financial Institutions [Table Text Block] | Table 19.3 - Transactions with Directors' Institutions (dollars in thousands) Capital Stock Outstanding Percent of Total Capital Stock 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 March 31, 2019 $ 85,678 4.6 % $ 1,703,833 5.3 % $ 3,409 5.8 % As of December 31, 2018 113,337 4.4 2,147,602 5.0 3,576 6.0 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies Narratives (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Jan. 01, 2019 | |
Accounting Policies [Line Items] | ||
Cost of operating lease | $ 646,000 | |
Minimum [Member] | ||
Accounting Policies [Line Items] | ||
Premises, software, and equipment, useful life | 3 years | |
Maximum [Member] | ||
Accounting Policies [Line Items] | ||
Premises, software, and equipment, useful life | 10 years | |
Accounting Standards Update 2016-02 [Member] | ||
Accounting Policies [Line Items] | ||
Operating lease, right-of-use asset | $ 11,400,000 | $ 11,900,000 |
Operating lease, liability | $ 11,900,000 | $ 12,500,000 |
Recently Issued and Adopted A_2
Recently Issued and Adopted Accounting Guidance Operating Leases (Details) - Accounting Standards Update 2016-02 [Member] - USD ($) $ in Millions | Mar. 31, 2019 | Jan. 01, 2019 |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Operating lease, right-of-use asset | $ 11.4 | $ 11.9 |
Operating lease, liability | $ 11.9 | $ 12.5 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 157,570 | $ 163,038 |
Corporate bonds [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 6,189 | 6,102 |
U.S. government-guaranteed - single-family MBS [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 5,004 | 5,344 |
MBS [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 151,381 | 156,936 |
GSEs - single-family [Member] | Government Sponsored Enterprises [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 123 | 148 |
GSEs - multifamily [Member] | Government Sponsored Enterprises [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 146,254 | $ 151,444 |
Trading Securities - Net Unreal
Trading Securities - Net Unrealized (Losses) Gains (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Debt Securities, Trading, Gain (Loss) [Abstract] | ||
Net unrealized losses on trading securities | $ (274) | $ (1,964) |
Available-for-Sale Securities M
Available-for-Sale Securities Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 5,633,888 | $ 6,002,902 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 676 | 869 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (119,569) | (153,827) | |
Available-for-sale securities Fair Value | 5,514,995 | 5,849,944 | |
States or local housing-finance-agency obligations (HFA securities) [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 55,500 | 55,500 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (5,152) | (5,899) | |
Available-for-sale securities Fair Value | 50,348 | 49,601 | |
Supranational institutions [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 425,048 | 419,222 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (14,303) | (14,067) | |
Available-for-sale securities Fair Value | 410,745 | 405,155 | |
U.S. government-owned corporations [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 307,564 | 297,729 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (28,415) | (24,560) | |
Available-for-sale securities Fair Value | 279,149 | 273,169 | |
GSEs [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 125,877 | 122,423 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (8,006) | (6,796) | |
Available-for-sale securities Fair Value | 117,871 | 115,627 | |
Other Than Mortgage-backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 913,989 | 894,874 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (55,876) | (51,322) | |
Available-for-sale securities Fair Value | 858,113 | 843,552 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 74,284 | 79,075 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 8 | 20 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,815) | (3,437) | |
Available-for-sale securities Fair Value | 71,477 | 75,658 | |
U.S. government guaranteed - multifamily MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 353,083 | 368,103 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (5,585) | (6,969) | |
Available-for-sale securities Fair Value | 347,498 | 361,134 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 4,719,899 | 5,108,028 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 676 | 869 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (63,693) | (102,505) | |
Available-for-sale securities Fair Value | 4,656,882 | 5,006,392 | |
Single Family [Member] | GSEs – MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 3,456,179 | 3,649,964 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 567 | 681 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (54,030) | (88,486) | |
Available-for-sale securities Fair Value | 3,402,716 | 3,562,159 | |
Multifamily [Member] | GSEs – MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 836,353 | 1,010,886 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 101 | 168 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (1,263) | (3,613) | |
Available-for-sale securities Fair Value | $ 835,191 | $ 1,007,441 | |
[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. |
Available-for-Sale Securities S
Available-for-Sale Securities Securities with Unrealized Losses (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | $ 624,803 | $ 967,090 |
Less than 12 Months, Unrealized Losses | (2,840) | (5,683) |
12 Months or More, Fair Value | 4,528,790 | 4,668,323 |
12 Months or More, Unrealized Losses | (116,729) | (148,144) |
Total Fair Value | 5,153,593 | 5,635,413 |
Total Unrealized Losses | (119,569) | (153,827) |
HFA securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 11,298 | 11,118 |
Less than 12 Months, Unrealized Losses | (1,502) | (1,682) |
12 Months or More, Fair Value | 39,050 | 38,483 |
12 Months or More, Unrealized Losses | (3,650) | (4,217) |
Total Fair Value | 50,348 | 49,601 |
Total Unrealized Losses | (5,152) | (5,899) |
Supranational institutions [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 410,745 | 405,155 |
12 Months or More, Unrealized Losses | (14,303) | (14,067) |
Total Fair Value | 410,745 | 405,155 |
Total Unrealized Losses | (14,303) | (14,067) |
U.S. government-owned corporations [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 279,149 | 273,169 |
12 Months or More, Unrealized Losses | (28,415) | (24,560) |
Total Fair Value | 279,149 | 273,169 |
Total Unrealized Losses | (28,415) | (24,560) |
GSEs [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 117,871 | 115,627 |
12 Months or More, Unrealized Losses | (8,006) | (6,796) |
Total Fair Value | 117,871 | 115,627 |
Total Unrealized Losses | (8,006) | (6,796) |
Other Than Mortgage-backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 11,298 | 11,118 |
Less than 12 Months, Unrealized Losses | (1,502) | (1,682) |
12 Months or More, Fair Value | 846,815 | 832,434 |
12 Months or More, Unrealized Losses | (54,374) | (49,640) |
Total Fair Value | 858,113 | 843,552 |
Total Unrealized Losses | (55,876) | (51,322) |
U.S. government-guaranteed - single-family MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 15,023 | 0 |
Less than 12 Months, Unrealized Losses | (5) | 0 |
12 Months or More, Fair Value | 54,939 | 57,679 |
12 Months or More, Unrealized Losses | (2,810) | (3,437) |
Total Fair Value | 69,962 | 57,679 |
Total Unrealized Losses | (2,815) | (3,437) |
U.S. government guaranteed - multifamily MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 347,498 | 361,134 |
12 Months or More, Unrealized Losses | (5,585) | (6,969) |
Total Fair Value | 347,498 | 361,134 |
Total Unrealized Losses | (5,585) | (6,969) |
MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 613,505 | 955,972 |
Less than 12 Months, Unrealized Losses | (1,338) | (4,001) |
12 Months or More, Fair Value | 3,681,975 | 3,835,889 |
12 Months or More, Unrealized Losses | (62,355) | (98,504) |
Total Fair Value | 4,295,480 | 4,791,861 |
Total Unrealized Losses | (63,693) | (102,505) |
GSEs - single-family [Member] | GSEs – MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 23,220 | 53,122 |
Less than 12 Months, Unrealized Losses | (70) | (388) |
12 Months or More, Fair Value | 3,279,538 | 3,417,076 |
12 Months or More, Unrealized Losses | (53,960) | (88,098) |
Total Fair Value | 3,302,758 | 3,470,198 |
Total Unrealized Losses | (54,030) | (88,486) |
GSEs - multifamily [Member] | GSEs – MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 575,262 | 902,850 |
Less than 12 Months, Unrealized Losses | (1,263) | (3,613) |
12 Months or More, Fair Value | 0 | 0 |
12 Months or More, Unrealized Losses | 0 | 0 |
Total Fair Value | 575,262 | 902,850 |
Total Unrealized Losses | $ (1,263) | $ (3,613) |
Available-for-Sale Securities R
Available-for-Sale Securities Redemption Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 5,633,888 | $ 6,002,902 |
Fair Value | 5,514,995 | 5,849,944 | |
Other Than Mortgage-backed Securities [Member] | |||
Debt Securities, Available-for-sale [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 | 55,500 | 55,500 | |
Due after one year through five years, fair value | 50,348 | 49,601 | |
Due after five years through 10 years, amortized cost | 471,961 | 465,248 | |
Due after five years through 10 years, fair value | 456,717 | 450,102 | |
Due after 10 years, amortized cost | 386,528 | 374,126 | |
Due after 10 years, fair value | 351,048 | 343,849 | |
Amortized Cost | [1] | 913,989 | 894,874 |
Fair Value | 858,113 | 843,552 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 4,719,899 | 5,108,028 |
Fair Value | 4,656,882 | 5,006,392 | |
Amortized Cost MBS | [2] | 4,719,899 | 5,108,028 |
Fair Value MBS | [2] | $ 4,656,882 | $ 5,006,392 |
[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 | Mar. 31, 2019 | Dec. 31, 2018 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 1,366,875 | $ 1,424,176 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (122,912) | (129,153) | |
Carrying Value | [1],[2] | 1,243,963 | 1,295,023 |
Gross Unrecognized Holding Gains | 235,405 | 242,834 | |
Gross Unrecognized Holding Losses | (7,344) | (8,928) | |
Held-to-maturity securities Fair Value | 1,472,024 | 1,528,929 | |
U.S. agency obligations | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 68 | 208 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 68 | 208 | |
Gross Unrecognized Holding Gains | 0 | 0 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 68 | 208 | |
HFA securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 102,860 | 104,465 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 102,860 | 104,465 | |
Gross Unrecognized Holding Gains | 6 | 4 | |
Gross Unrecognized Holding Losses | (4,432) | (4,612) | |
Held-to-maturity securities Fair Value | 98,434 | 99,857 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 102,928 | 104,673 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | [1] | 102,928 | 104,673 |
Gross Unrecognized Holding Gains | 6 | 4 | |
Gross Unrecognized Holding Losses | (4,432) | (4,612) | |
Held-to-maturity securities Fair Value | 98,502 | 100,065 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 7,892 | 8,173 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 7,892 | 8,173 | |
Gross Unrecognized Holding Gains | 148 | 158 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 8,040 | 8,331 | |
GSEs – MBS [Member] | GSEs - single-family [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 385,603 | 412,639 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 385,603 | 412,639 | |
Gross Unrecognized Holding Gains | 6,051 | 6,861 | |
Gross Unrecognized Holding Losses | (785) | (1,389) | |
Held-to-maturity securities Fair Value | 390,869 | 418,111 | |
GSEs – MBS [Member] | GSEs - multifamily [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 208,583 | 209,786 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 0 | |
Carrying Value | 208,583 | 209,786 | |
Gross Unrecognized Holding Gains | 1,960 | 1,728 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity securities Fair Value | 210,543 | 211,514 | |
Asset-backed securities (ABS) backed by home equity loans [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 6,656 | 6,781 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (16) | (18) | |
Carrying Value | 6,640 | 6,763 | |
Gross Unrecognized Holding Gains | 18 | 20 | |
Gross Unrecognized Holding Losses | (224) | (256) | |
Held-to-maturity securities Fair Value | 6,434 | 6,527 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [3] | 1,263,947 | 1,319,503 |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (122,912) | (129,153) | |
Carrying Value | [1],[3] | 1,141,035 | 1,190,350 |
Gross Unrecognized Holding Gains | 235,399 | 242,830 | |
Gross Unrecognized Holding Losses | (2,912) | (4,316) | |
Held-to-maturity securities Fair Value | [3] | 1,373,522 | 1,428,864 |
Residential Mortgage Backed Securities [Member] | Private-label residential [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 655,213 | 682,124 | |
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (122,896) | (129,135) | |
Carrying Value | 532,317 | 552,989 | |
Gross Unrecognized Holding Gains | 227,222 | 234,063 | |
Gross Unrecognized Holding Losses | (1,903) | (2,671) | |
Held-to-maturity securities Fair Value | $ 757,636 | $ 784,381 | |
[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 $ 1,472,024 and $1,528,929 at March 31, 2019 , and December 31, 2018 | ||
[3] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. |
Held-to-Maturity Securities Fai
Held-to-Maturity Securities Fair Value and Unrealized Losses (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 28,588 | $ 101,253 |
Less than 12 Months, Unrealized Losses | (242) | (920) |
12 Months or More, Fair Value | 289,874 | 259,996 |
12 Months or More, Unrealized Losses | (8,845) | (9,999) |
Total Fair Value | 318,462 | 361,249 |
Total Unrealized Losses | (9,087) | (10,919) |
HFA securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 6,196 |
Less than 12 Months, Unrealized Losses | 0 | (9) |
12 Months or More, Fair Value | 91,388 | 92,822 |
12 Months or More, Unrealized Losses | (4,432) | (4,603) |
Total Fair Value | 91,388 | 99,018 |
Total Unrealized Losses | (4,432) | (4,612) |
GSEs – MBS [Member] | Single Family [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 2,939 | 69,377 |
Less than 12 Months, Unrealized Losses | (6) | (580) |
12 Months or More, Fair Value | 89,028 | 52,237 |
12 Months or More, Unrealized Losses | (779) | (809) |
Total Fair Value | 91,967 | 121,614 |
Total Unrealized Losses | (785) | (1,389) |
ABS backed by home equity loans [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 726 | 759 |
Less than 12 Months, Unrealized Losses | (4) | (5) |
12 Months or More, Fair Value | 5,585 | 5,641 |
12 Months or More, Unrealized Losses | (220) | (251) |
Total Fair Value | 6,311 | 6,400 |
Total Unrealized Losses | (224) | (256) |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 28,588 | 95,057 |
Less than 12 Months, Unrealized Losses | (242) | (911) |
12 Months or More, Fair Value | 198,486 | 167,174 |
12 Months or More, Unrealized Losses | (4,413) | (5,396) |
Total Fair Value | 227,074 | 262,231 |
Total Unrealized Losses | (4,655) | (6,307) |
Residential Mortgage Backed Securities [Member] | Private-label residential [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 24,923 | 24,921 |
Less than 12 Months, Unrealized Losses | (232) | (326) |
12 Months or More, Fair Value | 103,873 | 109,296 |
12 Months or More, Unrealized Losses | (3,414) | (4,336) |
Total Fair Value | 128,796 | 134,217 |
Total Unrealized Losses | $ (3,646) | $ (4,662) |
Held-to-Maturity Securities Red
Held-to-Maturity Securities Redemption Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 1,366,875 | $ 1,424,176 | |
Carrying Value | [1],[2] | 1,243,963 | 1,295,023 |
Fair Value | 1,472,024 | 1,528,929 | |
Other Than Mortgage-backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Due in one year or less, Amortized Cost | 903 | 1,043 | |
Due in one year or less, Carrying Value | [1] | 903 | 1,043 |
Due in one year or less, Fair Value | 908 | 1,047 | |
Due after one year through five years, Amortized Cost | 6,205 | 6,205 | |
Due after one year through five years, Carrying Value | [1] | 6,205 | 6,205 |
Due after one year through five years, Fair Value | 6,206 | 6,196 | |
Due after five years through 10 years, Amortized Cost | 16,865 | 16,865 | |
Due after five years through 10 years, Carrying Value | [1] | 16,865 | 16,865 |
Due after five years through 10 years, Fair Value | 16,736 | 16,639 | |
Due after 10 years, Amortized Cost | 78,955 | 80,560 | |
Due after 10 years, Carrying Value | [1] | 78,955 | 80,560 |
Due after 10 years, Fair Value | 74,652 | 76,183 | |
Amortized Cost | 102,928 | 104,673 | |
Carrying Value | [1] | 102,928 | 104,673 |
Fair Value | 98,502 | 100,065 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [3] | 1,263,947 | 1,319,503 |
Carrying Value | [1],[3] | 1,141,035 | 1,190,350 |
Fair Value | [3] | $ 1,373,522 | $ 1,428,864 |
[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 $ 1,472,024 and $1,528,929 at March 31, 2019 , and December 31, 2018 | ||
[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 Impairme_3
Other-Than-Temporary Impairment Significant Inputs (Details) - Residential Mortgage Backed Securities [Member] - Alt-A [Member] - Mortgage-backed Securities, Issued by Private Enterprises [Member] $ in Thousands | 3 Months Ended | |
Mar. 31, 2019USD ($) | [1] | |
Other than Temporary Impairment, Disclosure [Line Items] | ||
Par Value | $ 19,597 | |
Project Prepayment Rates - Weighted Average Percent | 10.80% | |
Projected Default Rates, Weighted Average Percent | 19.90% | |
Projected Loss Severities, Weighted Average Percent | 38.10% | |
Current Credit Enhancement, Weighted Average Percent | 13.80% | |
[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 Impairme_4
Other-Than-Temporary Impairment OTTI Credit Losses Recognized During Life of Security (Details) - Held-to-maturity Securities [Member] $ in Thousands | Mar. 31, 2019USD ($) | [1] |
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | $ 795,481 | |
Amortized Cost | 575,533 | |
Carrying Value | 452,622 | |
Fair Value | 679,802 | |
Asset-backed securities (ABS) backed by home equity loans [Member] | Subprime [Member] | ||
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | 149 | |
Amortized Cost | 140 | |
Carrying Value | 124 | |
Fair Value | 142 | |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Prime [Member] | ||
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | 23,432 | |
Amortized Cost | 20,039 | |
Carrying Value | 15,874 | |
Fair Value | 21,840 | |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Alt-A [Member] | ||
Other-than-temporary Impairment Credit Losses Recognized During the Life of the Security [Abstract] | ||
Par Value | 771,900 | |
Amortized Cost | 555,354 | |
Carrying Value | 436,624 | |
Fair Value | $ 657,820 | |
[1] | Securities are classified based on their classifications at the time of issuance. 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 Impairme_5
Other-Than-Temporary Impairment Roll-forward of Amounts Related to Credit Losses Recognized in Earnings (Details) - Held-to-maturity Securities [Member] - USD ($) | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||
Balance at beginning of period | $ 422,035,000 | $ 452,523,000 | |
Credit losses for which other-than-temporary impairment was not previously recognized | 9,000 | 0 | |
Additional credit losses for which an other-than-temporary impairment charge was previously recognized | 94,000 | 79,000 | |
Securities matured during the period | (485,000) | 0 | |
Portion of increase in cash flows expected to be collected over the remaining life of the security that are recognized in the current period as interest income | [1] | (7,058,000) | (7,316,000) |
Balance at end of period | 414,595,000 | $ 445,286,000 | |
Recoveries of losses received from (OTTI) securities paid off and recognized in earnings | $ (248,000) | ||
[1] | For the three months ended March 31, 2019 , the amount excludes an additional $248 thousand |
Advances - Outstanding by Year
Advances - Outstanding by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | [1] | $ 491 | $ 12,332 |
Due in one year or less | 18,629,246 | 24,029,592 | |
Due after one year through two years | 6,291,323 | 11,413,640 | |
Due after two years through three years | 2,565,541 | 2,832,290 | |
Due after three years through four years | 1,992,672 | 1,648,076 | |
Due after four years through five years | 1,598,656 | 1,980,468 | |
Thereafter | 1,114,336 | 1,351,987 | |
Total par value | [1] | $ 32,192,265 | $ 43,268,385 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand-deposit accounts, Weighted average rate | 2.89% | 2.88% | |
Due in one year or less, Weighted average rate | 2.50% | 2.48% | |
Due after one year through two years, Weighted average rate | 2.50% | 2.55% | |
Due after two years through three years, Weighted average rate | 2.56% | 2.47% | |
Due after three years through four years, Weighted average rate | 2.52% | 2.37% | |
Due after four years through five years, Weighted average rate | 2.43% | 2.24% | |
Thereafter, Weighted average rate | 2.87% | 2.99% | |
Total Weighted average rate | 2.51% | 2.50% | |
Premiums | $ 15,835 | $ 13,347 | |
Discounts | (37,192) | (38,036) | |
Fair value of bifurcated derivatives | [2] | 19,954 | 13,051 |
Hedging adjustments | (38,853) | (64,525) | |
Total Advances | $ 32,152,009 | $ 43,192,222 | |
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. | ||
[2] | At March 31, 2019 , and December 31, 2018 |
Advances - Outstanding by Yea_2
Advances - Outstanding by Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | [1] | $ 491 | $ 12,332 |
Due in one year or less | [1] | 22,368,021 | 32,748,467 |
Due after one year through two years | [1] | 3,791,323 | 3,913,640 |
Due after two years through three years | [1] | 2,415,541 | 2,672,290 |
Due after three years through four years | [1] | 1,467,872 | 1,261,176 |
Due after four years through five years | [1] | 1,088,656 | 1,362,468 |
Thereafter | [1] | 1,060,361 | 1,298,012 |
Total par value | [1] | $ 32,192,265 | $ 43,268,385 |
[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 | Mar. 31, 2019 | Dec. 31, 2018 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | [1] | $ 491 | $ 12,332 |
Due in one year or less | 19,760,046 | 25,199,892 | |
Due after one year through two years | 6,485,523 | 11,652,840 | |
Due after two years through three years | 2,581,041 | 2,834,790 | |
Due after three years through four years | 1,373,872 | 1,367,576 | |
Due after four years through five years | 1,067,956 | 1,152,468 | |
Thereafter | 923,336 | 1,048,487 | |
Total par value | [1] | $ 32,192,265 | $ 43,268,385 |
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. |
Advances - Interest-Rate-Paymen
Advances - Interest-Rate-Payment Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | |||
Fixed-rate | $ 27,724,899 | $ 33,570,278 | |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | |||
Variable-rate | 4,467,366 | 9,698,107 | |
Total par value | [1] | $ 32,192,265 | $ 43,268,385 |
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. |
Advances - Narratives (Details)
Advances - Narratives (Details) $ in Billions | Mar. 31, 2019USD ($)Borrowers | Dec. 31, 2018USD ($)Borrowers |
Credit Risk Exposure and Security Terms [Abstract] | ||
Total outstanding advances greater than $1.0 billion per borrower, amount | $ 7.3 | $ 16.4 |
Minimum amount of advances outstanding per borrower | $ 1 | |
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 $1.0 billion per borrower as a percentage of advances outstanding | 22.80% | 37.90% |
Minimum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rates of advances outstanding | 0.00% | 0.00% |
Maximum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rates of advances outstanding | 7.72% | 7.72% |
Advances Advances - Prepayment
Advances Advances - Prepayment Fees (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Federal Home Loan Bank Advances Prepayment Fees [Abstract] | ||
Prepayment fees received from borrowers | $ 26,186 | $ 60 |
Hedging fair-value adjustments on prepaid advances | 527 | 96 |
Net discounts associated with prepaid advances | 218 | 0 |
Advance prepayment fees recognized in income, net | $ 26,931 | $ 156 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2018 | Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Par Value | $ 4,231,206 | $ 4,299,452 | ||
Premiums | 67,671 | 67,708 | ||
Discounts | (1,800) | (1,822) | ||
Deferred derivative gains, net | 2,825 | 3,495 | ||
Total mortgage loans held for portfolio | 4,299,902 | 4,368,833 | ||
Less: allowance for credit losses | (500) | (500) | ||
Total mortgage loans, net of allowance for credit losses | $ 4,299,402 | 4,368,333 | ||
Fixed-rate 15-year single-family mortgages | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Original contractual terms | 15 years | |||
Minimum [Member] | Fixed-rate 20- and 30-year single-family mortgages | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Original contractual terms | 20 years | |||
Maximum [Member] | Fixed-rate 20- and 30-year single-family mortgages | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Original contractual terms | 30 years | |||
Government Mortgage Loans [Member] | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Par Value | $ 328,651 | 322,621 | ||
Single Family [Member] | Fixed-rate 15-year single-family mortgages | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Par Value | 392,128 | 377,259 | ||
Single Family [Member] | Fixed-rate 20- and 30-year single-family mortgages | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Par Value | 3,839,078 | 3,922,193 | ||
Conventional Mortgage Loans [Member] | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Par Value | 3,902,555 | 3,976,831 | ||
Less: allowance for credit losses | $ (500) | $ (500) | $ (500) | $ (500) |
Allowance for credit losses - C
Allowance for credit losses - Credit Quality Indicators (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Dec. 31, 2018 | ||
Mortgage Loans Past Due [Line Items] | |||
Total past due | $ 69,874 | $ 58,346 | |
Total current loans | 4,322,344 | 4,263,381 | |
Total mortgage loans | 4,392,218 | 4,321,727 | |
In process of foreclosure, included above | [1] | $ 6,192 | $ 5,553 |
Serious delinquency rate | [2] | 0.37% | 0.34% |
Past due 90 days or more still accruing interest | $ 6,463 | $ 6,670 | |
Loans on nonaccrual status | [3] | $ 9,737 | 7,975 |
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 | $ 22,819 | 20,898 | |
Total current loans | 308,147 | 316,285 | |
Total mortgage loans | 330,966 | 337,183 | |
In process of foreclosure, included above | [1] | $ 2,808 | $ 2,086 |
Serious delinquency rate | [2] | 1.95% | 1.98% |
Past due 90 days or more still accruing interest | $ 6,463 | $ 6,670 | |
Loans on nonaccrual status | [3] | 0 | 0 |
Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 47,055 | 37,448 | |
Total current loans | 4,014,197 | 3,947,096 | |
Total mortgage loans | 4,061,252 | 3,984,544 | |
In process of foreclosure, included above | [1] | $ 3,384 | $ 3,467 |
Serious delinquency rate | [2] | 0.24% | 0.20% |
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |
Loans on nonaccrual status | [3] | 9,737 | 7,975 |
Past due 30-59 days delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 45,253 | 33,929 | |
Past due 30-59 days delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 12,900 | 10,884 | |
Past due 30-59 days delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 32,353 | 23,045 | |
Past due 60-89 days delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 8,913 | 10,363 | |
Past due 60-89 days delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 3,456 | 3,344 | |
Past due 60-89 days delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 5,457 | 7,019 | |
Past due 90 days or more delinquent [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 15,708 | 14,054 | |
Past due 90 days or more delinquent [Member] | Recorded Investment in Government Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | 6,463 | 6,670 | |
Past due 90 days or more delinquent [Member] | Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
Total past due | $ 9,245 | $ 7,384 | |
[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 - A
Allowance for credit losses - Allowance Rollforward (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Balance, beginning of period | $ 500 | ||
Provision for credit losses | 3 | $ 9 | |
Balance, end of period | 500 | ||
Conventional Mortgage Loans [Member] | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Balance, beginning of period | 500 | 500 | |
Charge-offs | (3) | (9) | |
Provision for credit losses | 3 | 9 | |
Balance, end of period | 500 | 500 | |
Ending balance, individually evaluated for impairment | 0 | 0 | |
Ending balance, collectively evaluated for impairment | 500 | 500 | |
Recorded Investment Individually evaluated for impairment | [1] | 14,107 | 16,540 |
Recorded Investment Collectively evaluated for impairment | [1] | $ 4,047,145 | $ 3,665,055 |
[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 Activ_3
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 11,584,222,000 | $ 13,241,272,000 | |
Derivative Assets, before netting and collateral adjustments | 15,559,000 | 13,832,000 | |
Derivative Liabilities, before netting and collateral adjustments | (51,650,000) | (309,552,000) | |
Derivative Asset, netting adjustments and cash collateral including related accrued interest | [1],[2],[3] | 39,438,000 | 8,571,000 |
Derivative Liability, netting adjustments and cash collateral including related accrued interest | [1],[2],[3] | 39,192,000 | 53,752,000 |
Derivative assets | 54,997,000 | 22,403,000 | |
Derivative liabilities | (12,458,000) | (255,800,000) | |
Cash collateral and related accrued interest posted | 78,800,000 | 62,800,000 | |
Cash collateral and related accrued interest received | 142,000 | 471,000 | |
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 10,674,839,000 | 12,262,699,000 | |
Derivative Assets, before netting and collateral adjustments | 14,960,000 | 12,811,000 | |
Derivative Liabilities, before netting and collateral adjustments | (32,537,000) | (297,077,000) | |
Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 10,453,839,000 | 11,980,699,000 | |
Derivative Assets, before netting and collateral adjustments | 13,767,000 | 12,811,000 | |
Derivative Liabilities, before netting and collateral adjustments | (32,537,000) | (296,324,000) | |
Designated as Hedging Instrument [Member] | Forward-start interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 221,000,000 | 282,000,000 | |
Derivative Assets, before netting and collateral adjustments | 1,193,000 | 0 | |
Derivative Liabilities, before netting and collateral adjustments | 0 | (753,000) | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 909,383,000 | 978,573,000 | |
Derivative Assets, before netting and collateral adjustments | 599,000 | 1,021,000 | |
Derivative Liabilities, before netting and collateral adjustments | (19,113,000) | (12,475,000) | |
Not Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 877,800,000 | 927,800,000 | |
Derivative Assets, before netting and collateral adjustments | 410,000 | 682,000 | |
Derivative Liabilities, before netting and collateral adjustments | (19,105,000) | (12,475,000) | |
Mortgage Receivable [Member] | Not Designated as Hedging Instrument [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | [4] | 31,583,000 | 50,773,000 |
Derivative Assets, before netting and collateral adjustments | [4] | 189,000 | 339,000 |
Derivative Liabilities, before netting and collateral adjustments | [4] | $ (8,000) | $ 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 $78.8 million and $62.8 million at March 31, 2019 , and December 31, 2018 , 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 $142 thousand and $471 thousand at March 31, 2019 , and December 31, 2018 , respectively. | ||
[2] | Carried at fair value and measured on a recurring basis. | ||
[3] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[4] | Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest Income/Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | |||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest income on advances | $ 247,877 | $ 177,450 | [1] | |
Interest income on available-for-sale securities | 21,291 | 40,778 | [1] | |
Interest expense on consolidated obligations bonds | (154,817) | (119,201) | [1] | |
Net gains on derivatives and hedging activities | [1] | 1,140 | ||
Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains on derivatives and hedging activities | 1,140 | |||
Net gains (losses) on fair value hedging relationships | [2] | 1,108 | ||
Recognize in income for hedge ineffectiveness | [3] | 76 | ||
Gain (Loss) on Derivative Instruments [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives | [1],[4] | 36,872 | ||
Hedged items | [1] | (35,764) | ||
Net gains (losses) on fair value hedging relationships | [1] | 1,108 | ||
Recognize in income for hedge ineffectiveness | [1] | 76 | ||
Advances [Member] | Interest Income [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives | [4] | (8,360) | ||
Hedged items | 25,228 | |||
Net gains (losses) on fair value hedging relationships | 16,868 | |||
Derivatives | 16,868 | |||
Advances [Member] | Interest Income [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on fair value hedging relationships | [1],[4] | 5,695 | ||
Derivatives | [1],[4] | 5,695 | ||
Reclassified from accumulated other comprehensive loss into interest expense | 0 | |||
Net gains (losses) on fair value hedging relationships | [1] | 5,695 | ||
Available-for-sale Securities [Member] | Interest Income [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives | [4] | (28,980) | ||
Hedged items | 19,115 | |||
Net gains (losses) on fair value hedging relationships | (9,865) | |||
Derivatives | (9,865) | |||
Available-for-sale Securities [Member] | Interest Income [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on fair value hedging relationships | [1],[4] | (7,311) | ||
Derivatives | [1],[4] | (7,311) | ||
Reclassified from accumulated other comprehensive loss into interest expense | 0 | |||
Net gains (losses) on fair value hedging relationships | [1] | (7,311) | ||
COs - bonds [Member] | Interest Expense [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives | [4] | 24,561 | ||
Hedged items | (34,708) | |||
Net gains (losses) on fair value hedging relationships | (10,147) | |||
Derivatives | (10,147) | |||
COs - bonds [Member] | Interest Expense [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on fair value hedging relationships | [1],[4] | (3,017) | ||
Derivatives | [1],[4] | (3,017) | ||
Reclassified from accumulated other comprehensive loss into interest expense | (786) | |||
Net gains (losses) on fair value hedging relationships | [1] | (3,017) | ||
Other Comprehensive Income (Loss) [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Recognize in other comprehensive loss | $ (3,379) | |||
Cash Flow Hedging [Member] | Advances [Member] | Interest Income [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Reclassified from accumulated other comprehensive loss into interest expense | [1] | 0 | ||
Cash Flow Hedging [Member] | Available-for-sale Securities [Member] | Interest Income [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Reclassified from accumulated other comprehensive loss into interest expense | [1] | 0 | ||
Cash Flow Hedging [Member] | COs - bonds [Member] | Interest Expense [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Reclassified from accumulated other comprehensive loss into interest expense | [1] | (934) | ||
Cash Flow Hedging [Member] | Other Comprehensive Income (Loss) [Member] | Designated as Hedging Instrument [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Recognized in other comprehensive loss for hedge effectiveness | [1] | $ 9,166 | ||
[1] | Prior period amounts were not revised to conform with new hedge accounting guidance adopted January 1, 2019. | |||
[2] | Consists of interest-rate swaps | |||
[3] | Consists of forward-start interest-rate swaps | |||
[4] | Includes net interest settlements. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Basis Adjustments for Fair Value Hedges (Details) $ in Thousands | Mar. 31, 2019USD ($) | |
Advances [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | $ 4,595,457 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | (18,899) | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 11,002 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | (7,897) | |
Available-for-sale Securities [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | 858,489 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | 220,604 | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 0 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | 220,604 | |
COs - bonds [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | (5,250,705) | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis | 26,299 | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Basis | (37,694) | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | $ (11,395) | |
[1] | Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Other Income/Loss (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Derivative [Line Items] | |||
Total net gains related to derivatives not designated as hedging instruments | $ 548 | ||
Net gains on derivatives and hedging activities | [1] | $ 1,140 | |
Gain (Loss) on Derivative Instruments [Member] | |||
Derivative [Line Items] | |||
Total net gains related to fair value hedges | [2] | 1,108 | |
Total net gains related to cash flow hedges | [3] | 76 | |
Total net gains related to derivatives designated as hedging instruments | 1,184 | ||
Total net gains related to derivatives not designated as hedging instruments | 548 | 106 | |
Other | [4] | (150) | |
Net gains on derivatives and hedging activities | 1,140 | ||
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | |||
Derivative [Line Items] | |||
Other | [4] | 0 | |
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest-rate swaps [Member] | |||
Derivative [Line Items] | |||
Total net gains related to derivatives not designated as hedging instruments | (60) | 624 | |
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member] | |||
Derivative [Line Items] | |||
Net gains on derivatives and hedging activities | 548 | ||
Mortgage Receivable [Member] | Gain (Loss) on Derivative Instruments [Member] | Mortgage-delivery commitments [Member] | |||
Derivative [Line Items] | |||
Total net gains related to derivatives not designated as hedging instruments | $ 608 | $ (518) | |
[1] | Prior period amounts were not revised to conform with new hedge accounting guidance adopted January 1, 2019. | ||
[2] | Consists of interest-rate swaps | ||
[3] | Consists of forward-start interest-rate swaps | ||
[4] | Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Narratives (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | Mar. 28, 2019 | ||
Derivative [Line Items] | ||||
Maximum length of time which we are hedging our exposure to the variability in future cash flows for forecasted transactions | 2 years | |||
Deferred net losses on derivative accumulated in other comprehensive loss related to cash-flow hedges expected to be reclassified to earnings during the next 12 months | $ 5,700 | |||
Variation margin on replacement derivatives | 255,500 | |||
Net cash outflow on replacement derivatives | (4,002) | $ 0 | ||
Aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position | 42,700 | |||
Post-haircut value of collateral already posted | 40,400 | |||
Rating Downgrade from AAPlus to AA or AAMinus [Member] | ||||
Derivative [Line Items] | ||||
Incremental collateral | [1] | 482 | ||
Rating Downgrade From AAMinus to APlus, A or AMinus [Member] | ||||
Derivative [Line Items] | ||||
Incremental collateral | [1] | 0 | ||
Rating Downgrade From AMinus to below AMinus [Member] | ||||
Derivative [Line Items] | ||||
Incremental collateral | [1] | $ 9,102 | ||
Terminated Derivatives [Member] | ||||
Derivative [Line Items] | ||||
Terminated derivatives notional amount | $ 611,900 | |||
Terminated derivatives settlement amount | (251,500) | |||
Replacement Derivatives [Member] | ||||
Derivative [Line Items] | ||||
Replacement derivatives notional amount | 611,900 | |||
Replacement derivatives settlement amount | $ 251,500 | |||
[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 Activ_8
Derivatives and Hedging Activities Fair Value of Derivative Instruments With or Without Legal Rights of Offset (Details) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 | |||
Derivative [Line Items] | |||||
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2],[3] | $ 39,438,000 | $ 8,571,000 | ||
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2],[3] | 39,192,000 | 53,752,000 | ||
Derivative assets | 54,997,000 | 22,403,000 | |||
Derivative liabilities | (12,458,000) | (255,800,000) | |||
Derivative Asset, Fair value, amount offset against collateral | 53,961,000 | 22,007,000 | |||
Derivative Liability, Fair value, amount offset against collateral | (3,230,000) | (12,642,000) | |||
Derivative Liabilities, additional net exposure, collateral pledged to counterparties in excess of net liabilities | 380,000 | 639,000 | |||
Uncleared derivatives [Member] | |||||
Derivative [Line Items] | |||||
Derivative Asset, total gross recognized amount | 9,109,000 | 12,861,000 | |||
Derivative Liability, total gross recognized amount | (50,529,000) | (306,848,000) | |||
Derivative Assets, Netting Adjustments and Cash Collateral | (7,078,000) | [4] | (11,885,000) | [5] | |
Derivative liability, Netting Adjustments and Cash Collateral | 38,079,000 | [4] | 51,048,000 | [5] | |
Derivative assets | 2,220,000 | 1,315,000 | |||
Derivative liabilities | (12,458,000) | (255,800,000) | |||
Derivative Assets, fair value of securities pledged as collateral than can be sold or repledged | (1,036,000) | [6] | (396,000) | [7] | |
Derivative Liabilities, fair value of securities pledged as collateral that can be sold or repledged | 3,271,000 | [6] | 6,104,000 | [7] | |
Derivative Assets, fair value of securities pledged as collateral that cannot be sold or repledged | 0 | [6] | 0 | [7] | |
Derivative Liabilities, fair value of securities pledged as collateral that cannot be sold or repledged | 5,957,000 | [6] | 237,054,000 | [7] | |
Derivative Asset, Fair value, amount offset against collateral | 1,184,000 | 919,000 | |||
Derivative Liability, Fair value, amount offset against collateral | (3,230,000) | (12,642,000) | |||
Cleared derivatives [Member] | |||||
Derivative [Line Items] | |||||
Derivative Asset, total gross recognized amount | 6,261,000 | 631,000 | |||
Derivative Liability, total gross recognized amount | (1,113,000) | (2,704,000) | |||
Derivative Assets, Netting Adjustments and Cash Collateral | 46,516,000 | [4] | 20,457,000 | [5] | |
Derivative liability, Netting Adjustments and Cash Collateral | 1,113,000 | [4] | 2,704,000 | [5] | |
Derivative assets | 52,777,000 | 21,088,000 | |||
Derivative liabilities | 0 | 0 | |||
Derivative Assets, fair value of securities pledged as collateral than can be sold or repledged | 0 | [6] | 0 | [7] | |
Derivative Liabilities, fair value of securities pledged as collateral that can be sold or repledged | 0 | [6] | 0 | [7] | |
Derivative Assets, fair value of securities pledged as collateral that cannot be sold or repledged | 0 | [6] | 0 | [7] | |
Derivative Liabilities, fair value of securities pledged as collateral that cannot be sold or repledged | 0 | [6] | 0 | [7] | |
Derivative Asset, Fair value, amount offset against collateral | 52,777,000 | 21,088,000 | |||
Derivative Liability, Fair value, amount offset against collateral | 0 | 0 | |||
Mortgage Receivable [Member] | Uncleared derivatives [Member] | Mortgage-delivery commitments [Member] | |||||
Derivative [Line Items] | |||||
Derivative Asset, Mortgage delivery commitments | 189,000 | 339,000 | |||
Derivative Liabilities, Mortgage delivery commitments | $ (8,000) | $ 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 $78.8 million and $62.8 million at March 31, 2019 , and December 31, 2018 , 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 $142 thousand and $471 thousand at March 31, 2019 , and December 31, 2018 , respectively. | ||||
[2] | Carried at fair value and measured on a recurring basis. | ||||
[3] | These amounts represent the effect of master-netting agreements intended to 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. | ||||
[4] | Includes gross amounts of netting adjustments and cash collateral. | ||||
[5] | Includes gross amounts of netting adjustments and cash collateral. | ||||
[6] | Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2019 , we had additional net credit exposure of $380 thousand | ||||
[7] | Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At December 31, 2018 , we had additional net credit exposure of $639 thousand |
Deposits Narratives (Details)
Deposits Narratives (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Deposits [Abstract] | ||
Interest-bearing deposit demand and overnight | $ 524,933 | $ 444,486 |
Interest-bearing deposit term | 1,800 | 800 |
Interest-bearing deposit other | 1,703 | 2,961 |
Non-interest bearing deposits other | 26,595 | 26,631 |
Total deposits | $ 555,031 | $ 474,878 |
Consolidated Obligations CO Bon
Consolidated Obligations CO Bonds - Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less | $ 9,045,965 | $ 9,638,270 | |
Due in one year or less, weighted average rate | [1] | 2.11% | 2.01% |
Due after one year through two years | $ 4,831,880 | $ 5,375,845 | |
Due after one year through two years, weighted average rate | [1] | 2.26% | 2.24% |
Due after two years through three years | $ 3,862,905 | $ 3,864,560 | |
Due after two years through three years, weighted average rate | [1] | 2.23% | 2.17% |
Due after three years through four years | $ 1,903,530 | $ 1,891,975 | |
Due after three years through four years, weighted average rate | [1] | 2.18% | 2.20% |
Due after four years through five years | $ 1,260,450 | $ 1,338,515 | |
Due after four years through five years, weighted average rate | [1] | 2.52% | 2.39% |
Thereafter | $ 3,963,590 | $ 3,792,150 | |
Thereafter, weighted average rate | [1] | 3.24% | 3.25% |
Total par value | $ 24,868,320 | $ 25,901,315 | |
Total par value, weighted average rate | [1] | 2.37% | 2.30% |
Hedging adjustments | $ (26,299) | $ (60,932) | |
Total | 24,913,714 | 25,912,684 | |
COs - bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Premiums | 87,118 | 88,434 | |
Discounts | $ (15,425) | $ (16,133) | |
[1] | The CO bonds' weighted-average rate excludes concession fees. |
Consolidated Obligations CO B_2
Consolidated Obligations CO Bonds - Outstanding By Call Features (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 24,868,320 | $ 25,901,315 |
Noncallable and nonputable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | 19,811,320 | 20,419,315 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 5,057,000 | $ 5,482,000 |
Consolidated Obligations CO B_3
Consolidated Obligations CO Bonds - Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt Disclosure [Abstract] | ||
Due in one year or less | $ 12,807,965 | $ 13,435,270 |
Due after one year through two years | 4,988,880 | 5,602,845 |
Due after two years through three years | 2,840,905 | 2,802,560 |
Due after three years through four years | 1,408,530 | 1,366,975 |
Due after four years through five years | 1,088,450 | 1,156,515 |
Thereafter | 1,733,590 | 1,537,150 |
Total par value | $ 24,868,320 | $ 25,901,315 |
Consolidated Obligations CO B_4
Consolidated Obligations CO Bonds - Interest-Rate-Payment Type (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt Disclosure [Abstract] | ||
Fixed-rate | $ 21,201,320 | $ 21,216,315 |
Simple variable-rate | 2,170,000 | 2,853,000 |
Step-up | 1,497,000 | 1,832,000 |
Total par value | $ 24,868,320 | $ 25,901,315 |
Consolidated Obligations CO - D
Consolidated Obligations CO - Discount Notes (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Debt Disclosure [Abstract] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 23,585,929 | $ 33,065,822 | |
Par value | $ 23,640,844 | $ 33,147,065 | |
Weighted Average Rate | [1] | 2.42% | 2.37% |
[1] | The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program Narr
Affordable Housing Program Narratives (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Affordable Housing Program [Roll Forward] | |||
Balance at beginning of period | $ 83,965 | $ 81,600 | $ 81,600 |
AHP expense for the period | 6,085 | 6,171 | 24,299 |
AHP direct grant disbursements | (2,281) | $ (5,163) | (17,729) |
AHP subsidy for AHP advance disbursements | (1,038) | (4,360) | |
Return of previously disbursed grants and subsidies | 0 | 155 | |
Balance at end of period | $ 86,731 | $ 83,965 |
Capital Requirements (Details)
Capital Requirements (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Stockholders' Equity Note [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 | $ 1,830,240 | $ 2,528,854 |
Mandatorily redeemable capital stock | 17,413 | 31,868 |
Retained earnings | 1,412,372 | 1,395,012 |
Total permanent capital | 3,260,025 | 3,955,734 |
Credit-risk capital | 282,324 | 289,080 |
Market-risk capital | 167,181 | 187,183 |
Operations-risk capital | 134,851 | 142,879 |
Total risk-based capital requirement | 584,356 | 619,142 |
Permanent capital in excess of risk-based capital requirement | 2,675,669 | 3,336,592 |
Regulatory capital, Required | 2,093,104 | 2,543,733 |
Leverage capital, Required | 2,616,381 | 3,179,666 |
Risk-based capital, Actual | 3,260,025 | 3,955,734 |
Regulatory capital, Actual | $ 3,260,025 | $ 3,955,734 |
Capital-to-asset ratio, Actual | 6.20% | 6.20% |
Leverage capital, Actual | $ 4,890,038 | $ 5,933,601 |
Leverage capital-to-assets ratio, Actual | 9.30% | 9.30% |
Capital Narratives (Details)
Capital Narratives (Details) - $ / shares | Mar. 31, 2019 | Jan. 16, 2019 | Dec. 31, 2018 |
Certain member assets eligible to secure advances [Member] | |||
Class B stock purchase requirement | 0.20% | ||
Overnight advances [Member] | |||
Class B stock purchase requirement | 3.00% | ||
All other advances greater than overnight [Member] | |||
Class B stock purchase requirement | 4.00% | ||
Outstanding letters of credit [Member] | |||
Class B stock purchase requirement | 0.25% | ||
Certain member assets eligible to secure advances prior to January 16 2019 [Member] | |||
Class B stock purchase requirement | 0.35% | ||
Common Class B [Member] | |||
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Loss (Details) - USD ($) | 3 Months Ended | ||||
Mar. 31, 2019 | Mar. 31, 2018 | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||||
Amortization of hedging activities recorded in interest expense CO bonds | $ 154,817,000 | $ 119,201,000 | [1] | ||
Amortization of hedging activities recorded in net gains (losses) on derivatives and hedging activities | [1] | 1,140,000 | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Beginning of period | 3,607,359,000 | 3,265,130,000 | |||
Other comprehensive income (loss) | 37,874,000 | (13,905,000) | |||
Period end | 2,963,804,000 | 3,318,568,000 | |||
Net Unrealized Loss Relating to Hedging Activities [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Beginning of period | (29,119,000) | (40,436,000) | |||
Cumulative effect of change in accounting principle | (175,000) | ||||
Net Unrealized Gains (Losses) | (3,379,000) | 9,166,000 | |||
Amortization - hedging activities | 786,000 | [2] | 938,000 | [3] | |
Other comprehensive income (loss) | (2,593,000) | 10,104,000 | |||
Period end | (31,887,000) | (30,332,000) | |||
Pension and Postretirement Benefits [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Beginning of period | (5,276,000) | (5,955,000) | |||
Amortization - pension and postretirement benefits | [4] | 161,000 | 185,000 | ||
Other comprehensive income (loss) | 161,000 | 185,000 | |||
Period end | (5,115,000) | (5,770,000) | |||
Total [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Beginning of period | (316,507,000) | (326,940,000) | |||
Cumulative effect of change in accounting principle | (175,000) | ||||
Net Unrealized Gains (Losses) | 30,686,000 | (22,456,000) | |||
Noncredit other-than-temporary impairment losses | 80,000 | ||||
Accretion of noncredit loss | 6,291,000 | 7,356,000 | |||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [5] | 30,000 | 72,000 | ||
Amortization - hedging activities | 786,000 | [2] | 938,000 | [3] | |
Amortization - pension and postretirement benefits | [4] | 161,000 | 185,000 | ||
Other comprehensive income (loss) | 37,874,000 | (13,905,000) | |||
Period end | (278,808,000) | (340,845,000) | |||
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 of period | (129,154,000) | (158,218,000) | |||
Noncredit other-than-temporary impairment losses | 80,000 | ||||
Accretion of noncredit loss | 6,291,000 | 7,356,000 | |||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [5] | 30,000 | 72,000 | ||
Other comprehensive income (loss) | 6,241,000 | 7,428,000 | |||
Period end | (122,913,000) | (150,790,000) | |||
Interest Rate Contract [Member] | Reclassification out of Accumulated Other Comprehensive Income [Member] | Net Unrealized Loss Relating to Hedging Activities [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||||
Amortization of hedging activities recorded in interest expense CO bonds | 934,000 | ||||
Amortization of hedging activities recorded in net gains (losses) on derivatives and hedging activities | 4,000 | ||||
Available-for-sale Securities [Member] | Net Unrealized Loss on Available-for-Sale Securities [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Beginning of period | (152,958,000) | (122,331,000) | |||
Net Unrealized Gains (Losses) | 34,065,000 | (31,622,000) | |||
Other comprehensive income (loss) | 34,065,000 | (31,622,000) | |||
Period end | $ (118,893,000) | $ (153,953,000) | |||
[1] | Prior period amounts were not revised to conform with new hedge accounting guidance adopted January 1, 2019. | ||||
[2] | Recorded in CO bond interest expense. | ||||
[3] | Amortization of hedging activities includes $934 thousand recorded in CO bond interest expense and $4 thousand | ||||
[4] | Recorded in other operating expenses in the statement of operations. | ||||
[5] | Recorded in net other-than-temporary impairment losses in investment securities, credit portion in the statement of operations. |
Carrying Value and Fair Value o
Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | $ 28,034 | $ 10,431 | |
Trading securities | 157,570 | 163,038 | |
Available-for-sale securities Fair Value | 5,514,995 | 5,849,944 | |
Held-to-maturity securities | [1],[2] | 1,243,963 | 1,295,023 |
Held-to-maturity securities Fair Value | 1,472,024 | 1,528,929 | |
Accrued interest receivable | 106,223 | 112,751 | |
Derivative assets | 54,997 | 22,403 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [3],[4],[5] | 39,438 | 8,571 |
Mandatorily redeemable capital stock | (17,413) | (31,868) | |
Accrued interest payable | (134,636) | (112,043) | |
Derivative liabilities | (12,458) | (255,800) | |
Derivative liability, Netting Adjustments and Cash Collateral | [3],[4],[5] | 39,192 | 53,752 |
Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 28,034 | 10,431 | |
Interest-bearing deposits | 527,262 | 593,199 | |
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] | 14,101 | 9,988 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | (17,413) | (31,868) | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | [4] | 0 | 0 |
Level 1 [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 1 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 1 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | 0 | 0 | |
Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 0 | 0 | |
Interest-bearing deposits | 0 | 0 | |
Securities purchased under agreements to resell | 5,750,087 | 6,499,078 | |
Federal funds sold | 2,350,003 | 1,500,002 | |
Trading securities | [4] | 157,570 | 163,038 |
Available-for-sale securities Fair Value | [4] | 5,464,647 | 5,800,343 |
Held-to-maturity securities Fair Value | 609,520 | 638,164 | |
Advances | 32,192,373 | 43,167,700 | |
Mortgage loans, net | 4,362,135 | 4,217,487 | |
Accrued interest receivable | 106,223 | 112,751 | |
Derivative assets | [4] | 15,559 | 13,832 |
Other assets | [4] | 15,492 | 15,071 |
Deposits | (555,016) | (474,848) | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | (134,636) | (112,043) | |
Derivative liabilities | [4] | (51,650) | (309,552) |
Level 2 [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (3,356) | (4,164) | |
Level 2 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,650) | (1,257) | |
Level 2 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (23,585,586) | (33,062,585) | |
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] | 50,348 | 49,601 |
Held-to-maturity securities Fair Value | 862,504 | 890,765 | |
Advances | 0 | 0 | |
Mortgage loans, net | 20,159 | 20,600 | |
Accrued interest receivable | 0 | 0 | |
Derivative assets | [4] | 0 | 0 |
Other assets | [4] | 0 | 0 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | [4] | 0 | 0 |
Level 3 [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 3 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 3 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | 0 | 0 | |
Carrying Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 28,034 | 10,431 | |
Interest-bearing deposits | 527,262 | 593,199 | |
Securities purchased under agreements to resell | 5,750,000 | 6,499,000 | |
Federal funds sold | 2,350,000 | 1,500,000 | |
Trading securities | [4] | 157,570 | 163,038 |
Available-for-sale securities Fair Value | [4] | 5,514,995 | 5,849,944 |
Held-to-maturity securities | 1,243,963 | 1,295,023 | |
Advances | 32,152,009 | 43,192,222 | |
Mortgage loans, net | 4,368,333 | 4,299,402 | |
Accrued interest receivable | 106,223 | 112,751 | |
Derivative assets | [4] | 54,997 | 22,403 |
Other assets | [4] | 29,593 | 25,059 |
Deposits | (555,031) | (474,878) | |
Mandatorily redeemable capital stock | (17,413) | (31,868) | |
Accrued interest payable | (134,636) | (112,043) | |
Derivative liabilities | [4] | (12,458) | (255,800) |
Carrying Value [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Carrying Value [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,650) | (1,257) | |
Carrying Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (23,585,929) | (33,065,822) | |
Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 28,034 | 10,431 | |
Interest-bearing deposits | 527,262 | 593,199 | |
Securities purchased under agreements to resell | 5,750,087 | 6,499,078 | |
Federal funds sold | 2,350,003 | 1,500,002 | |
Trading securities | [4] | 157,570 | 163,038 |
Available-for-sale securities Fair Value | [4] | 5,514,995 | 5,849,944 |
Held-to-maturity securities Fair Value | 1,472,024 | 1,528,929 | |
Advances | 32,192,373 | 43,167,700 | |
Mortgage loans, net | 4,382,294 | 4,238,087 | |
Accrued interest receivable | 106,223 | 112,751 | |
Derivative assets | [4] | 54,997 | 22,403 |
Other assets | [4] | 29,593 | 25,059 |
Deposits | (555,016) | (474,848) | |
Mandatorily redeemable capital stock | (17,413) | (31,868) | |
Accrued interest payable | (134,636) | (112,043) | |
Derivative liabilities | [4] | (12,458) | (255,800) |
Total Fair Value [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (3,356) | (4,164) | |
Total Fair Value [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,650) | (1,257) | |
Total Fair Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (23,585,586) | (33,062,585) | |
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 | (24,999,478) | (25,843,163) | |
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 | (24,913,714) | (25,912,684) | |
COs - bonds [Member] | Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | $ (24,999,478) | $ (25,843,163) | |
[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 $ 1,472,024 and $1,528,929 at March 31, 2019 , and December 31, 2018 | ||
[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 $78.8 million and $62.8 million at March 31, 2019 , and December 31, 2018 , 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 $142 thousand and $471 thousand at March 31, 2019 , and December 31, 2018 , respectively. | ||
[4] | Carried at fair value and measured on a recurring basis. | ||
[5] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Fair Value of Assets and Liabil
Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | $ 157,570 | $ 163,038 | |
Available-for-sale securities Fair Value | 5,514,995 | 5,849,944 | |
Derivative assets | 54,997 | 22,403 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2],[3] | 39,438 | 8,571 |
Fair value of held-to-maturity securities | 1,472,024 | 1,528,929 | |
Derivative liabilities | (12,458) | (255,800) | |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2],[3] | 39,192 | 53,752 |
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] | 14,101 | 9,988 |
Fair value of held-to-maturity securities | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | |
Derivative liabilities | [2] | 0 | 0 |
Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [2] | 157,570 | 163,038 |
Available-for-sale securities Fair Value | [2] | 5,464,647 | 5,800,343 |
Derivative assets | [2] | 15,559 | 13,832 |
Other assets | [2] | 15,492 | 15,071 |
Fair value of held-to-maturity securities | 609,520 | 638,164 | |
Mortgage loans held for portfolio | 4,362,135 | 4,217,487 | |
Derivative liabilities | [2] | (51,650) | (309,552) |
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] | 50,348 | 49,601 |
Derivative assets | [2] | 0 | 0 |
Other assets | [2] | 0 | 0 |
Fair value of held-to-maturity securities | 862,504 | 890,765 | |
Mortgage loans held for portfolio | 20,159 | 20,600 | |
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 | [4] | 39,438 | 8,571 |
Derivative liability, Netting Adjustments and Cash Collateral | [4] | 39,192 | 53,752 |
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 | [4] | 39,438 | 8,571 |
Derivative liability, Netting Adjustments and Cash Collateral | [4] | 39,192 | 53,752 |
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 | 14,101 | 9,988 | |
Total assets carried at fair value | 14,101 | 9,988 | |
Total liabilities carried 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 | 157,570 | 163,038 | |
Available-for-sale securities Fair Value | 5,464,647 | 5,800,343 | |
Derivative assets | 15,559 | 13,832 | |
Other assets | 15,492 | 15,071 | |
Total assets carried at fair value | 5,653,268 | 5,992,284 | |
Total liabilities carried at fair value | (51,650) | (309,552) | |
Recurring [Member] | Level 2 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 15,370 | 13,493 | |
Derivative liabilities | (51,642) | (309,552) | |
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 | 50,348 | 49,601 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets carried at fair value | 50,348 | 49,601 | |
Total liabilities carried 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 | |
Nonrecurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total assets carried at fair value | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | |
REO | 0 | 0 | |
Nonrecurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total assets carried at fair value | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | |
REO | 0 | 0 | |
Nonrecurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total assets carried at fair value | [5] | 3,412 | 3,173 |
Mortgage loans held for portfolio | [5] | 80 | 1,144 |
REO | [5] | 7 | 361 |
Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [2] | 157,570 | 163,038 |
Available-for-sale securities Fair Value | [2] | 5,514,995 | 5,849,944 |
Derivative assets | [2] | 54,997 | 22,403 |
Other assets | [2] | 29,593 | 25,059 |
Fair value of held-to-maturity securities | 1,472,024 | 1,528,929 | |
Mortgage loans held for portfolio | 4,382,294 | 4,238,087 | |
Derivative liabilities | [2] | (12,458) | (255,800) |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 157,570 | 163,038 | |
Available-for-sale securities Fair Value | 5,514,995 | 5,849,944 | |
Derivative assets | 54,997 | 22,403 | |
Other assets | 29,593 | 25,059 | |
Total assets carried at fair value | 5,757,155 | 6,060,444 | |
Total liabilities carried at fair value | (12,458) | (255,800) | |
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 | 54,808 | 22,064 | |
Derivative liabilities | (12,450) | (255,800) | |
Estimate of Fair Value Measurement [Member] | Nonrecurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total assets carried at fair value | [5] | 3,412 | 3,173 |
Mortgage loans held for portfolio | [5] | 80 | 1,144 |
REO | [5] | 7 | 361 |
Corporate bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 6,189 | 6,102 | |
Corporate bonds [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Corporate bonds [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 6,189 | 6,102 | |
Corporate bonds [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Corporate bonds [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 6,189 | 6,102 | |
U.S. government-guaranteed - single-family MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 5,004 | 5,344 | |
Available-for-sale securities Fair Value | 71,477 | 75,658 | |
Fair value of held-to-maturity securities | 8,040 | 8,331 | |
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 | 5,004 | 5,344 | |
Available-for-sale securities Fair Value | 71,477 | 75,658 | |
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 | 5,004 | 5,344 | |
Available-for-sale securities Fair Value | 71,477 | 75,658 | |
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 | 347,498 | 361,134 | |
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 | 347,498 | 361,134 | |
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 | 347,498 | 361,134 | |
Mortgage Receivable [Member] | Recurring [Member] | Level 1 [Member] | Mortgage-delivery commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Mortgage Receivable [Member] | Recurring [Member] | Level 2 [Member] | Mortgage-delivery commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 189 | 339 | |
Derivative liabilities | (8) | ||
Mortgage Receivable [Member] | Recurring [Member] | Level 3 [Member] | Mortgage-delivery commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Mortgage Receivable [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | Mortgage-delivery commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 189 | 339 | |
Derivative liabilities | (8) | ||
HFA securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 50,348 | 49,601 | |
Fair value of held-to-maturity securities | 98,434 | 99,857 | |
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 | 50,348 | 49,601 | |
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 | 50,348 | 49,601 | |
Supranational institutions [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 410,745 | 405,155 | |
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 | 410,745 | 405,155 | |
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 | 410,745 | 405,155 | |
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 | 279,149 | 273,169 | |
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 | 279,149 | 273,169 | |
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 | 279,149 | 273,169 | |
GSEs [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 117,871 | 115,627 | |
GSEs [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
GSEs [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 117,871 | 115,627 | |
GSEs [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
GSEs [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 117,871 | 115,627 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 123 | 148 | |
Available-for-sale securities Fair Value | 3,402,716 | 3,562,159 | |
Fair value of held-to-maturity securities | 390,869 | 418,111 | |
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 | 123 | 148 | |
Available-for-sale securities Fair Value | 3,402,716 | 3,562,159 | |
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 | 123 | 148 | |
Available-for-sale securities Fair Value | 3,402,716 | 3,562,159 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 146,254 | 151,444 | |
Available-for-sale securities Fair Value | 835,191 | 1,007,441 | |
Fair value of held-to-maturity securities | 210,543 | 211,514 | |
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 | 146,254 | 151,444 | |
Available-for-sale securities Fair Value | 835,191 | 1,007,441 | |
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 | 146,254 | 151,444 | |
Available-for-sale securities Fair Value | 835,191 | 1,007,441 | |
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 | 757,636 | 784,381 | |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | 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] | 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] | 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 | [5] | 3,325 | 1,668 |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Estimate of Fair Value Measurement [Member] | Nonrecurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair value of held-to-maturity securities | [5] | $ 3,325 | $ 1,668 |
[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 $78.8 million and $62.8 million at March 31, 2019 , and December 31, 2018 , 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 $142 thousand and $471 thousand at March 31, 2019 , and December 31, 2018 , respectively. | ||
[2] | Carried at fair value and measured on a recurring basis. | ||
[3] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[4] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[5] | We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and real estate owned property (REO) at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security). The fair values presented are as of the date the fair value adjustment was recorded. |
Estimated Fair Value Level 3 Re
Estimated Fair Value Level 3 Reconciliation - Roll Forward (Details) - HFA securities [Member] - Level 3 [Member] - Recurring [Member] - Available-for-sale Securities [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | $ 49,601 | $ 37,683 |
Unrealized losses included in other comprehensive income | 747 | (188) |
Balance at end of period | $ 50,348 | $ 37,495 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | ||
Loss Contingencies [Line Items] | |||
Value of the guarantees related to standby letters of credit | $ 57,896,000 | $ 48,898,000 | |
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 | $ 962,400,000,000 | 972,600,000,000 | |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | $ 129,700,000 | 32,600,000 | |
Off-balance-sheet Commitments Expiring After One Year | 675,000 | ||
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 [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [1] | $ 7,926,627,000 | 6,028,851,000 |
Off-balance-sheet Commitments Expiring After One Year | [1] | 267,158,000 | 226,438,000 |
Total Off-balance Sheet Commitments | [1] | 8,193,785,000 | 6,255,289,000 |
Value of the guarantees related to standby letters of credit | 1,600,000 | 1,300,000 | |
Commitments of unused lines of credit - advances [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 1,191,718,000 | 1,177,377,000 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | 1,191,718,000 | $ 1,177,377,000 |
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 | 22,860,000 | $ 159,401,000 | |
Off-balance-sheet Commitments Expiring After One Year | 56,344,000 | 59,894,000 | |
Total Off-balance Sheet Commitments | 79,204,000 | 219,295,000 | |
Unsettled CO bonds, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 45,000,000 | 105,400,000 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | 45,000,000 | 105,400,000 | |
Unsettled CO discount notes, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 250,000,000 | 600,000,000 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | 250,000,000 | 600,000,000 | |
Mortgage Receivable [Member] | Commitments to Invest in Mortgage Loans [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 31,583,000 | 50,773,000 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | $ 31,583,000 | $ 50,773,000 | |
[1] | The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At March 31, 2019 , and December 31, 2018 , these amounts totaled $ 129.7 million and $32.6 million , respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $675 thousand at December 31, 2018 | ||
[2] | Commitments for unused line-of-credit advances are generally for periods of up to 12 months |
Transactions with Shareholder_2
Transactions with Shareholders (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |||
Transactions with Shareholders [Line Items] | |||||
Capital Stock Outstanding | $ 1,830,240 | $ 2,528,854 | |||
Par Value of Advances | [1] | 32,192,265 | 43,268,385 | ||
Total Accrued Interest Receivable | 106,223 | 112,751 | |||
Interest income on advances | 247,877 | $ 177,450 | [2] | ||
Fees on letters of credit | 2,964 | 2,356 | |||
Citizens Bank, N.A. [Member] | |||||
Transactions with Shareholders [Line Items] | |||||
Capital Stock Outstanding | $ 133,381 | $ 339,003 | |||
Percent of Total Capital Stock Outstanding | 7.20% | 13.20% | |||
Par Value of Advances | $ 2,506,053 | $ 7,656,146 | |||
Percentage of Total Par Value of Advances | 7.80% | 17.70% | |||
Total Accrued Interest Receivable | $ 1,754 | $ 5,005 | |||
Percent of Total Accrued Interest Receivable on Advances | 3.00% | 8.30% | |||
Interest income on advances | $ 39,113 | 26,892 | |||
Fees on letters of credit | 1,878 | $ 1,097 | |||
Directors' Financial Institutions [Member] | |||||
Transactions with Shareholders [Line Items] | |||||
Capital Stock Outstanding | $ 85,678 | $ 113,337 | |||
Percent of Total Capital Stock Outstanding | 4.60% | 4.40% | |||
Par Value of Advances | $ 1,703,833 | $ 2,147,602 | |||
Percentage of Total Par Value of Advances | 5.30% | 5.00% | |||
Total Accrued Interest Receivable | $ 3,409 | $ 3,576 | |||
Percent of Total Accrued Interest Receivable on Advances | 5.80% | 6.00% | |||
Minimum [Member] | |||||
Transactions with Shareholders [Line Items] | |||||
Definition of shareholder concentration, minimum percent | 10.00% | ||||
[1] | Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. | ||||
[2] | Prior period amounts were not revised to conform with new hedge accounting guidance adopted January 1, 2019. |
Subsequent Events (Details)
Subsequent Events (Details) - Common Class B [Member] - Subsequent Event [Member] - USD ($) $ in Millions | May 02, 2019 | Apr. 18, 2019 |
Subsequent Event [Line Items] | ||
Annualized rate of cash dividend | 6.22% | |
Dividend, including dividends on mandatorily redeemable capital stock | $ 32 |