| Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Investments Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold We invest in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received, or whose guarantors have received, a credit rating of triple-B or greater (investment grade) by a nationally recognized statistical rating organization (NRSRO), or the equivalent. At September 30, 2020, none of these investments were made to counterparties or, if applicable, guaranteed by entities rated below triple-B. Federal funds sold are unsecured loans that are generally transacted on an overnight term. FHFA regulations include a limit on the amount of unsecured credit we may extend to a counterparty. At September 30, 2020 and December 31, 2019, all investments in interest-bearing deposits and federal funds sold were repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at September 30, 2020. Carrying values of interest-bearing deposits and federal funds sold exclude accrued interest receivable of $40 thousand and $1 thousand, respectively, at September 30, 2020, and $682 thousand and $37 thousand, respectively, at December 31, 2019. Securities purchased under agreements to resell are short-term and are structured such that they are evaluated daily to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an amount of additional securities as collateral or remit an equivalent amount of cash sufficient to comply with collateral maintenance provisions, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with our counterparties, we determined that no allowance for credit losses was needed for our securities purchased under agreements to resell at September 30, 2020. The carrying value of securities purchased under agreements to resell excludes accrued interest receivable of $4 thousand and $348 thousand at September 30, 2020 and December 31, 2019, respectively. The effects of the COVID-19 pandemic on the global economy and financial markets are expected to put pressure on our bank counterparties’ profitability, asset quality, and in some cases, capitalization. We continually monitor the creditworthiness of our counterparties and may reduce or suspend individual credit lines as conditions warrant. Debt Securities We invest in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. Within these investments, we are primarily subject to credit risk related to private-label mortgage-backed securities (MBS) that are supported by underlying mortgage loans. We are prohibited by FHFA regulations from holding certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities and instruments that experienced credit deterioration after their purchase. Trading Securities Table 4.1 - Trading Securities by Major Security Type (dollars in thousands) September 30, 2020 December 31, 2019 Corporate bonds $ 5,432 $ 5,896 U.S. Treasury obligations 4,116,414 2,240,236 4,121,846 2,246,132 MBS U.S. government-guaranteed – single-family 3,152 4,047 Government-sponsored enterprise (GSE) – single-family 58 85 3,210 4,132 Total $ 4,125,056 $ 2,250,264 For the nine months ended September 30, 2020 and 2019, net unrealized gains on trading securities held at period end were $9.4 million and $865 thousand, respectively. Available-for-sale Securities Table 4.2 - Available-for-Sale Securities by Major Security Type (dollars in thousands) September 30, 2020 Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Allowance for Credit Losses Unrealized Unrealized Fair State housing-finance-agency obligations (HFA securities) $ 131,195 $ — $ — $ (5,447) $ 125,748 Supranational institutions 450,331 — — (15,629) 434,702 U.S. government-owned corporations 364,035 — — (36,167) 327,868 GSE 144,896 — — (7,856) 137,040 1,090,457 — — (65,099) 1,025,358 MBS U.S. government guaranteed – single-family 39,182 — 157 — 39,339 U.S. government guaranteed – multifamily 85,831 — 670 — 86,501 GSE – single-family 1,729,523 — 32,678 (29) 1,762,172 GSE – multifamily 3,653,829 — 46,350 (11,546) 3,688,633 Private-label MBS 17,797 (124) 5,157 (52) 22,778 5,526,162 (124) 85,012 (11,627) 5,599,423 Total $ 6,616,619 $ (124) $ 85,012 $ (76,726) $ 6,624,781 December 31, 2019 Amounts Recorded in Accumulated Other Comprehensive Loss Amortized Cost (1) Unrealized Unrealized Fair HFA securities $ 69,320 $ — $ (4,668) $ 64,652 Supranational institutions 429,354 — (12,925) 416,429 U.S. government-owned corporations 323,192 — (26,431) 296,761 GSE 130,935 — (7,149) 123,786 952,801 — (51,173) 901,628 MBS U.S. government guaranteed – single-family 60,003 — (2,289) 57,714 U.S. government guaranteed – multifamily 283,674 — (1,057) 282,617 GSE – single-family 2,598,325 5,323 (13,377) 2,590,271 GSE – multifamily 3,588,119 3,109 (14,458) 3,576,770 6,530,121 8,432 (31,181) 6,507,372 Total $ 7,482,922 $ 8,432 $ (82,354) $ 7,409,000 _______________________ (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. Amortized cost excludes accrued interest receivable of $18.2 million and $27.5 million at September 30, 2020, and December 31, 2019. Table 4.3 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) September 30, 2020 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized HFA securities $ 9,142 $ (458) $ 113,516 $ (4,989) $ 122,658 $ (5,447) Supranational institutions — — 434,702 (15,629) 434,702 (15,629) U.S. government-owned corporations — — 327,868 (36,167) 327,868 (36,167) GSE — — 137,040 (7,856) 137,040 (7,856) 9,142 (458) 1,013,126 (64,641) 1,022,268 (65,099) MBS GSE – single-family — — 11,176 (29) 11,176 (29) GSE – multifamily 1,165,379 (11,280) 134,354 (266) 1,299,733 (11,546) Private-label MBS 4,994 (52) — — 4,994 (52) 1,170,373 (11,332) 145,530 (295) 1,315,903 (11,627) Total $ 1,179,515 $ (11,790) $ 1,158,656 $ (64,936) $ 2,338,171 $ (76,726) December 31, 2019 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized HFA securities $ 12,229 $ (1,591) $ 52,423 $ (3,077) $ 64,652 $ (4,668) Supranational institutions — — 416,429 (12,925) 416,429 (12,925) U.S. government-owned corporations — — 296,761 (26,431) 296,761 (26,431) GSE — — 123,786 (7,149) 123,786 (7,149) 12,229 (1,591) 889,399 (49,582) 901,628 (51,173) MBS U.S. government guaranteed – single-family 10,885 (1) 45,490 (2,288) 56,375 (2,289) U.S. government guaranteed – multifamily — — 282,617 (1,057) 282,617 (1,057) GSE – single-family 189,402 (968) 1,423,927 (12,409) 1,613,329 (13,377) GSE – multifamily 1,800,586 (13,242) 405,778 (1,216) 2,206,364 (14,458) 2,000,873 (14,211) 2,157,812 (16,970) 4,158,685 (31,181) Total $ 2,013,102 $ (15,802) $ 3,047,211 $ (66,552) $ 5,060,313 $ (82,354) Table 4.4 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) September 30, 2020 December 31, 2019 Year of Maturity Amortized Fair Amortized Fair Due in one year or less $ 3,090 $ 3,090 $ 7,600 $ 7,563 Due after one year through five years 77,590 75,798 61,720 57,089 Due after five years through 10 years 500,236 483,868 477,232 463,465 Due after 10 years 509,541 462,602 406,249 373,511 1,090,457 1,025,358 952,801 901,628 MBS (1) 5,526,162 5,599,423 6,530,121 6,507,372 Total $ 6,616,619 $ 6,624,781 $ 7,482,922 $ 7,409,000 _______________________ (1) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. Held-to-Maturity Securities Table 4.5 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) September 30, 2020 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 5,834 $ 112 $ — $ 5,946 GSE – single-family 221,637 5,004 (139) 226,502 GSE – multifamily 30,981 56 — 31,037 Total $ 258,452 $ 5,172 $ (139) $ 263,485 December 31, 2019 Amortized Cost (1) Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value HFA securities $ 87,250 $ — $ 87,250 $ — $ (3,845) $ 83,405 MBS U.S. government guaranteed – single-family 6,987 — 6,987 129 — 7,116 GSE – single-family 303,604 — 303,604 5,197 (246) 308,555 GSE – multifamily 140,661 — 140,661 612 (2) 141,271 Private-label 408,640 (76,035) 332,605 162,904 (446) 495,063 859,892 (76,035) 783,857 168,842 (694) 952,005 Total $ 947,142 $ (76,035) $ 871,107 $ 168,842 $ (4,539) $ 1,035,410 _______________________ (1) Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion, amortization, and collection of cash. Amortized cost excludes accrued interest receivable of $528 thousand and $2.0 million at September 30, 2020, and December 31, 2019, respectively. Table 4.6 - Held-to-Maturity Securities by Contractual Maturity (dollars in thousands) September 30, 2020 December 31, 2019 Year of Maturity Amortized Fair Amortized Carrying Value (1) Fair Due in one year or less $ — $ — $ 3,090 $ 3,090 $ 3,089 Due after one year through five years — — — — — Due after five years through 10 years — — 15,405 15,405 15,270 Due after 10 years — — 68,755 68,755 65,046 — — 87,250 87,250 83,405 MBS (2) 258,452 263,485 859,892 783,857 952,005 Total $ 258,452 $ 263,485 $ 947,142 $ 871,107 $ 1,035,410 _______________________ (1) Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss. (2) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. Transfers and Sales of Available-for-Sale Securities and Held-to-Maturity Securities During the first and third quarters of 2020, we sold held-to-maturity private-label MBS that had less than 15 percent of the acquired principal outstanding at the time of the sale. Such sales are treated as maturities for the purposes of security classification. The sale does not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates. These sales were as follows: • In the first quarter of 2020, we sold securities with an amortized cost of $121.0 million and realized a gain of $40.7 million. • In the third quarter of 2020, we sold securities with an amortized cost of $12.2 million and realized a gain of $473 thousand. There were no such sales during the nine months ended September 30, 2019. Additionally, during the third quarter of 2020 we adopted a provision of the Accounting Standards Update titled Facilitation of the Effects of Reference Rate Reform on Financial Reporting which provides a one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity that reference a rate affected by reference rate reform and that were classified as held-to-maturity before January 1, 2020. Upon adopting this provision, we: • sold certain held-to-maturity private-label MBS which had an amortized cost of $82.2 million and realized a net gain of $6.2 million; and • transferred from held-to-maturity to available-for-sale certain securities which, on the date of transfer, were comprised of the following: Table 4.7 - Transfer of Held-to-Maturity Securities to Available-for-Sale Securities (dollars in thousands) Amortized Cost Allowance for Credit Losses Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value HFA securities $ 77,470 $ — $ — $ 77,470 $ — $ (6,230) $ 71,240 MBS GSE – single-family 17,802 — — 17,802 89 — 17,891 MBS - Private-label 158,945 (634) (31,502) 126,809 53,953 (248) 180,514 Total $ 254,217 $ (634) $ (31,502) $ 222,081 $ 54,042 $ (6,478) $ 269,645 Subsequent to the transfer of securities to available-for-sale, we sold certain available-for-sale private-label MBS which had an amortized cost of $139.5 million and realized a net gain of $26.2 million. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income (loss). The following table summarizes the proceeds from sale and gains and losses on sales of securities for the three and nine months ended September 30, 2020 and 2019. Table 4.8 - Proceeds and Gains (Losses) from Sales of Investment Securities (dollars in thousands) For the Three Months Ended September 30, For the Nine Months Ended September 30, 2020 2019 2020 2019 Available-for-Sale Securities Proceeds from sale $ 165,439 $ — $ 165,439 $ — Amortized cost, net of allowance for credit losses 139,229 — 139,229 — Gross realized gains from sale $ 26,438 $ — $ 26,438 $ — Gross realized losses from sale (228) — (228) — Realized net gain from sale $ 26,210 $ — $ 26,210 $ — Held-to-Maturity Securities Proceeds from sale $ 101,107 $ — $ 262,850 $ — Carrying value 75,522 — 176,293 — Noncredit losses recorded in accumulated other comprehensive income 18,905 — 39,144 — Realized net gain from sale $ 6,680 $ — $ 47,413 $ — Allowance for Credit Losses on Available-for-Sale Securities and Held-to-Maturity Securities We evaluate available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. We adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. See Note 3 — Recently Issued and Adopted Accounting Guidance for additional information. See Item 8 — Financial Statements and Supplementary Data — Notes to Financial Statements — Note 2 — Summary of Significant Accounting Policies — Investment Securities – Other-than-Temporary Impairment in the 2019 Annual Report, for information on the prior methodology for evaluating credit losses. Upon adoption of new accounting guidance for credit impairment, on January 1, 2020, we recorded through a cumulative effect adjustment to retained earnings an increase in the allowance for credit losses associated with held-to-maturity private-label MBS totaling $5.3 million. Under the previous accounting methodology of security impairment, we recognized net credit losses of $411 thousand and $828 thousand, respectively, during the three and nine months ended September 30, 2019. Table 4.9 - Allowance for Credit Losses on Debt Securities (dollars in thousands) For the Three Months Ended September 30, 2020 For the Nine Months Ended September 30, 2020 Available-for-Sale Held-to-Maturity Available-for-Sale Held-to-Maturity Balance at beginning of period $ — $ 5,566 $ — $ — Adjustments for cumulative effect of accounting change — — — 5,308 Transfers 634 (634) 634 (634) Reversal of provision for credit losses (211) (4,932) (211) (4,674) Charge-offs (299) — (299) Balance at end of period $ 124 $ — $ 124 $ — To evaluate investment securities for credit loss at September 30, 2020, we employed the following methodologies, based on the type of security. Available-for-Sale Securities and Held-to-Maturity Securities (Excluding Private-Label MBS). Our available-for-sale and held-to-maturity securities are principally GSE and U.S. government-owned corporations, supranational institutions, state or local housing finance agency obligations, and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. We only purchase securities considered investment quality. Excluding private-label MBS investments, at September 30, 2020, 99.5 percent of available-for-sale securities and all held-to-maturity securities, based on amortized cost, were rated single-A, or above, by a NRSRO, based on the lowest long-term credit rating for each security. We evaluate our individual available-for-sale securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). At September 30, 2020, certain available-for-sale securities were in an unrealized loss position. These losses are considered temporary as we expect to recover the entire amortized cost basis on these available-for-sale investment securities and we neither intend to sell these securities nor do we consider 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. Further, we have not experienced any payment defaults on the instruments. In addition, substantially all of these securities carry an implicit or explicit government guarantee. As a result, no allowance for credit losses was recorded on these available-for-sale securities at September 30, 2020. We evaluate our held-to-maturity securities for impairment on a collective or pooled basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. As of September 30, 2020, we had not established an allowance for credit loss on any of our HTM securities because the securities: (1) were all highly-rated and/or had short remaining terms to maturity, (2) had not experienced, nor did we expect, any payment default on the instruments, and (3) in the case of U.S., GSE, or other agency obligations, carry an implicit or explicit government guarantee such that we consider the risk of nonpayment to be zero. Private-label MBS. We also hold investments in private-label MBS. We have not purchased private-label mortgage-backed securities since the third quarter of 2007 . However, some of these securities have subsequently experienced credit deterioration. As of September 30, 2020, our private-label MBS were either rated lower than triple-B or were unrated. To determine whether an allowance for credit losses is necessary on these securities, we use cash flow analyses. Our evaluation includes estimating the projected cash flows that we are likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as: • the remaining payment terms for the security; • prepayment speeds; • default rates; • loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; • expected housing price changes; and • interest-rate assumptions. We performed a cash flow analysis using third-party models to assess whether the entire amortized cost basis of our private-label MBS securities will be recovered. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The projected cash flows, determined based on the model approach, reflect a best estimate scenario and include a base case housing price forecast and a base case housing price recovery path. |
