Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2021 | Apr. 30, 2021 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2021 | |
Document Transition Report | false | |
Entity File Number | 000-51402 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF BOSTON | |
Entity Tax Identification Number | 04-6002575 | |
Entity Address, Address Line One | 800 Boylston Street, | |
Entity Address, City or Town | Boston | |
Entity Address, State or Province | MA | |
Entity Address, Postal Zip Code | 02199 | |
City Area Code | (617) | |
Local Phone Number | 292-9600 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Amendment Flag | false | |
Entity Central Index Key | 0001331463 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q1 | |
Entity Incorporation, State or Country Code | X1 | |
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 | 11,695,246 |
Statements of Condition (unaudi
Statements of Condition (unaudited) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
ASSETS | |||
Cash and due from banks | $ 207,099 | $ 2,050,028 | |
Interest-bearing deposits | 243,150 | 299,149 | |
Securities purchased under agreements to resell | 1,500,000 | 750,000 | |
Federal funds sold | 1,218,000 | 2,260,000 | |
Investment securities: | |||
Trading securities | 3,139,936 | 3,605,079 | |
Available-for-sale securities | 9,180,832 | 6,220,148 | |
Held-to-maturity securities | [1] | 192,648 | 207,162 |
Total investment securities | 12,513,416 | 10,032,389 | |
Advances | [2] | 16,798,082 | 18,817,002 |
Mortgage loans held for portfolio, net of allowance for credit losses of $1,900 and $3,100 at March 31, 2021 and December 31, 2020, respectively | 3,726,343 | 3,930,252 | |
Accrued interest receivable | 82,416 | 87,582 | |
Derivative assets, net | 315,255 | 161,238 | |
Other assets | 72,962 | 73,395 | |
Total Assets | 36,676,723 | 38,461,035 | |
Deposits | |||
Interest-bearing | 963,619 | 977,994 | |
Non-interest-bearing | 124,568 | 110,993 | |
Total deposits | 1,088,187 | 1,088,987 | |
Consolidated obligations (COs): | |||
Bonds | 22,704,460 | 21,471,590 | |
Discount notes | 9,927,167 | 12,878,310 | |
Total consolidated obligations | 32,631,627 | 34,349,900 | |
Mandatorily redeemable capital stock | 6,164 | 6,282 | |
Accrued interest payable | 61,653 | 61,918 | |
Affordable Housing Program (AHP) payable | 77,575 | 78,640 | |
Derivative liabilities, net | 33,879 | 24,062 | |
Other liabilities | 60,574 | 69,293 | |
Total liabilities | 33,959,659 | 35,679,082 | |
Commitments and contingencies (Note 13) | |||
Capital | |||
Capital stock – Class B – putable ($100 par value), 11,817 shares and 12,672 shares issued and outstanding at March 31, 2021 and December 31, 2020, respectively | 1,181,665 | 1,267,172 | |
Retained earnings: | |||
Unrestricted | 1,145,756 | 1,130,222 | |
Restricted | 368,420 | 368,420 | |
Total retained earnings | 1,514,176 | 1,498,642 | |
Accumulated other comprehensive income | 21,223 | 16,139 | |
Total capital | 2,717,064 | 2,781,953 | |
Total Liabilities and Capital | $ 36,676,723 | $ 38,461,035 | |
[1] | Fair values of held-to-maturity securities were $196,742 and $211,837 at March 31, 2021, and December 31, 2020, respectively. | ||
[2] | Excludes accrued interest receivable of $25.1 million and $25.8 million at March 31, 2021, and December 31, 2020, respectively. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Statement of Financial Position [Abstract] | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 0 | $ 0 |
Held-to-maturity securities - pledged as collateral that may be repledged (a) | 0 | 0 |
Mortgage loans - allowance for credit losses | 1,900 | 3,100 |
Held-to-maturity fair value | $ 196,742 | $ 211,837 |
Common Class B [Member] | ||
Common Stock, Class B, putable shares issued | 11,817 | 12,672 |
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Common Stock, Class B, putable shares outstanding | 11,817 | 12,672 |
Statements of Operations (unaud
Statements of Operations (unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | ||
INTEREST INCOME | |||
Advances | $ 49,552 | $ 168,659 | |
Prepayment fees on advances, net | 7,733 | 838 | |
Interest-bearing deposits | 84 | 4,969 | |
Securities purchased under agreements to resell | 124 | 14,361 | |
Federal funds sold | 614 | 16,717 | |
Investment securities: | |||
Trading securities | 17,308 | 17,580 | |
Available-for-sale securities | 22,995 | 12,361 | |
Held-to-maturity securities | 767 | 10,138 | |
Total investment securities | 41,070 | 40,079 | |
Mortgage loans held for portfolio | 25,137 | 36,846 | |
Other | 0 | 47 | |
Total interest income | 124,314 | 282,516 | |
Consolidated obligations: | |||
Bonds | 61,601 | 123,547 | |
Discount notes | 2,402 | 127,482 | |
Total consolidated obligations | 64,003 | 251,029 | |
Deposits | 25 | 838 | |
Mandatorily redeemable capital stock | 24 | 74 | |
Other borrowings | 4 | 224 | |
Total interest expense | 64,056 | 252,165 | |
NET INTEREST INCOME | 60,258 | 30,351 | |
Reduction of provision for credit losses | (1,226) | (684) | |
NET INTEREST INCOME AFTER REDUCTION OF PROVISION FOR CREDIT LOSSES | 61,484 | 31,035 | |
OTHER INCOME (LOSS) | |||
Loss on early extinguishment of debt | (3,425) | 0 | |
Service fees | 2,696 | 3,322 | |
Net unrealized (losses) gains on trading securities | (14,843) | 46,120 | |
Net losses on derivatives | (848) | (52,558) | |
Realized net gain from sale of held-to-maturity securities | [1] | 0 | 40,733 |
Other, net | 657 | (20) | |
Total other (loss) income | (15,763) | 37,597 | |
OTHER EXPENSE | |||
Compensation and benefits | 10,238 | 12,139 | |
Other operating expenses | 5,852 | 5,983 | |
Federal Housing Finance Agency (the FHFA) | 957 | 947 | |
Office of Finance | 1,089 | 1,097 | |
Other | 4,377 | 2,175 | |
Total other expense | 22,513 | 22,341 | |
INCOME BEFORE ASSESSMENTS | 23,208 | 46,291 | |
AHP assessments | 2,323 | 4,636 | |
NET INCOME | $ 20,885 | $ 41,655 | |
[1] | The securities sold 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 did not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates. |
Statements of Comprehensive Inc
Statements of Comprehensive Income (unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 20,885 | $ 41,655 |
Other comprehensive income: | ||
Net unrealized losses on available-for-sale securities | (1,919) | (85,737) |
Net noncredit portion of other-than-temporary impairment gains on held-to-maturity securities | 0 | 23,044 |
Net unrealized gains relating to hedging activities | 6,743 | 632 |
Pension and postretirement benefits | 260 | 796 |
Total other comprehensive income (loss) | 5,084 | (61,265) |
Comprehensive income (loss) | $ 25,969 | $ (19,610) |
Statements of Capital (unaudite
Statements of Capital (unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | $ 2,781,953 | $ 3,145,312 |
Comprehensive income (loss) | 25,969 | (19,610) |
Proceeds from issuance of capital stock | 39,837 | 1,466,215 |
Repurchase of capital stock | (125,344) | (1,068,710) |
Shares reclassified to mandatorily redeemable capital stock | (306) | |
Cash dividends on capital stock | (5,351) | (24,130) |
Period end | 2,717,064 | 3,491,241 |
Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2016-13 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | (7,530) | |
Retained Earnings, Unrestricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 1,130,222 | 1,114,337 |
Comprehensive income (loss) | 20,885 | 33,324 |
Cash dividends on capital stock | (5,351) | (24,130) |
Period end | 1,145,756 | 1,116,001 |
Retained Earnings, Unrestricted | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2016-13 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | (7,530) | |
Retained Earnings, Restricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 368,420 | 348,817 |
Comprehensive income (loss) | 0 | 8,331 |
Period end | 368,420 | 357,148 |
Retained Earnings, Restricted | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2016-13 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 0 | |
Retained Earnings, Total | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 1,498,642 | 1,463,154 |
Comprehensive income (loss) | 20,885 | 41,655 |
Cash dividends on capital stock | (5,351) | (24,130) |
Period end | 1,514,176 | 1,473,149 |
Retained Earnings, Total | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2016-13 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | (7,530) | |
Accumulated Other Comprehensive (Loss) Income | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 16,139 | (186,972) |
Comprehensive income (loss) | 5,084 | (61,265) |
Period end | $ 21,223 | (248,237) |
Accumulated Other Comprehensive (Loss) Income | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2016-13 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | $ 0 | |
Common Class B [Member] | Capital Stock Class B - Putable | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period, shares | 12,672 | 18,691 |
Beginning of period | $ 1,267,172 | $ 1,869,130 |
Proceeds from issuance of capital stock, shares | 398 | 14,662 |
Proceeds from issuance of capital stock | $ 39,837 | $ 1,466,215 |
Repurchase of capital stock, shares | (1,253) | (10,687) |
Repurchase of capital stock | $ (125,344) | $ (1,068,710) |
Shares reclassified to mandatorily redeemable capital stock, shares | (3) | |
Shares reclassified to mandatorily redeemable capital stock | $ (306) | |
Period end, shares | 11,817 | 22,663 |
Period end | $ 1,181,665 | $ 2,266,329 |
Statements of Cash Flows (unaud
Statements of Cash Flows (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | ||
OPERATING ACTIVITIES | ||||
Net Income | $ 20,885 | $ 41,655 | ||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||
Depreciation and amortization | 2,473 | 25,271 | ||
Reduction of provision for credit losses | (1,226) | (684) | ||
Change in net fair-value adjustments on derivatives and hedging activities | 189,286 | (294,892) | ||
Loss on early extinguishment of debt | 3,425 | 0 | ||
Other adjustments, net | 585 | 912 | ||
Realized net gain from sale of held-to-maturity securities | [1] | 0 | (40,733) | |
Net change in: | ||||
Market value of trading securities | 14,843 | (46,120) | ||
Accrued interest receivable | 5,166 | 2,285 | ||
Other assets | (2,884) | 4,143 | ||
Accrued interest payable | (265) | 3,533 | ||
Other liabilities | (8,584) | (9,862) | ||
Total adjustments | 202,819 | (356,147) | ||
Net cash provided by (used in) operating activities | 223,704 | (314,492) | ||
INVESTING ACTIVITIES | ||||
Interest-bearing deposits | (134,261) | 23,464 | ||
Securities purchased under agreements to resell | (750,000) | 1,500,000 | ||
Federal funds sold | 1,042,000 | (2,595,000) | ||
Trading securities: | ||||
Proceeds | 450,300 | 486 | ||
Purchases | 0 | (1,267,471) | ||
Available-for-sale securities: | ||||
Proceeds | 283,675 | 422,388 | ||
Purchases | (3,494,387) | 0 | ||
Held-to-maturity securities: | ||||
Proceeds | 15,398 | 257,384 | ||
Advances to members: | ||||
Repaid | 12,349,062 | 145,011,185 | ||
Originated | (10,378,308) | (155,343,704) | ||
Mortgage loans held for portfolio: | ||||
Proceeds | 379,118 | 181,907 | ||
Purchases | (181,267) | (215,458) | ||
Other investing activities, net | (163) | 841 | ||
Net Cash used in investing activities | (418,833) | (12,023,978) | ||
FINANCING ACTIVITIES | ||||
Net change in deposits | (800) | 186,175 | ||
Net payments on derivatives with a financing element | 54,222 | (107,123) | ||
Net proceeds from issuance of consolidated obligations: | ||||
Discount notes | 92,132,220 | 50,410,176 | ||
Bonds | 5,420,550 | 3,733,068 | ||
Payments for maturing and retiring consolidated obligations: | ||||
Discount notes | (95,082,922) | (38,412,037) | ||
Bonds | (3,906,102) | (3,107,595) | ||
Bonds transferred to other FHLBanks | (173,984) | 0 | ||
Payment of financing lease | (11) | 0 | ||
Proceeds from issuance of capital stock | 39,837 | 1,466,215 | ||
Payments for repurchase of capital stock | (125,344) | (1,068,710) | ||
Payments for redemption of mandatorily redeemable capital stock | (118) | 0 | ||
Cash dividends paid | (5,348) | (24,130) | ||
Net cash (used in) provided by financing activities | (1,647,800) | 13,076,039 | ||
Net (decrease) increase in cash and due from banks | (1,842,929) | 737,569 | ||
Cash and due from banks at beginning of the period | 2,050,028 | 69,416 | $ 69,416 | |
Cash and due from banks at end of the period | 207,099 | 806,985 | 2,050,028 | |
Supplemental disclosures: | ||||
Interest paid | 70,972 | 245,004 | ||
AHP payments | 4,753 | 4,672 | $ 21,374 | |
Noncash transfers of mortgage loans held for portfolio to other assets | $ 0 | $ 363 | ||
[1] | The securities sold 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 did not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates. |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Accounting [Text Block] | Basis of PresentationThe 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, 2021. 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, 2020, filed with the Securities and Exchange Commission (the SEC) on March 19, 2021 (the 2020 Annual Report). Unless otherwise indicated or the context requires otherwise, all references in this discussion to “the Bank,” "we," "us," "our," or similar references mean the Federal Home Loan Bank of Boston. |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 3 Months Ended |
Mar. 31, 2021 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles [Text Block] | Recently Issued and Adopted Accounting Guidance Effective Beginning in 2020 Facilitation of the Effects of Reference Rate Reform on Financial Reporting. On March 12, 2020, the Financial Accounting Standards Board (FASB) released temporary optional guidance that provides transition relief for reference rate reform. The guidance contains optional expedients and exceptions for applying generally accepted accounting principles to contract modifications, hedging relationships, and other transactions that reference London inter-bank offered rate (LIBOR) or a reference rate that is expected to be discontinued as a result of reference rate reform if certain criteria are met. In addition to the optional expedients for contract modifications and hedging relationships, this update 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 are classified as held-to-maturity before January 1, 2020. This standard was effective upon issuance and the provisions generally can be applied prospectively as of January 1, 2020 through December 31, 2022. In the third quarter of 2020, we adopted the provision of this guidance which allows a one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity. Refer to the 2020 Annual Report for additional information related to these sales and transfers. In the fourth quarter of 2020, we retrospectively elected to adopt the provision of Reference Rate Reform guidance issued by the FASB specific to the modification of interest rates used for the discounting of derivative instruments. This did not have a material effect on our financial condition, results of operations, or cash flows. We are in the process of evaluating the remaining provisions of this guidance, and the anticipated effects on our financial condition, results of operations, and cash flows have not yet been determined. |
Investments
Investments | 3 Months Ended |
Mar. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
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 March 31, 2021, none of these investments were made to counterparties or, if applicable, guaranteed by entities rated below triple-B. Securities purchased under agreements to resell are short-term and 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 March 31, 2021. The carrying value of securities purchased under agreements to resell excludes accrued interest receivable of $2 thousand and $1 thousand at March 31, 2021, and December 31, 2020, respectively. Federal funds sold are unsecured loans to banks 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 March 31, 2021, and December 31, 2020, all investments in interest-bearing demand deposits and federal funds sold were repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2021. Carrying values of interest-bearing deposits and federal funds sold exclude accrued interest receivable of $26 thousand and $2 thousand, respectively, at March 31, 2021, and $31 thousand and $5 thousand, respectively, at December 31, 2020. The effects of the COVID-19 pandemic on the global economy and financial markets could 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. We are prohibited by FHFA regulations from investing in 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, but we are not required to divest instruments that experienced credit deterioration after their purchase. Trading Securities Table 3.1 - Trading Securities by Major Security Type (dollars in thousands) March 31, 2021 December 31, 2020 Corporate bonds $ 5,410 $ 5,422 U.S. Treasury obligations 3,131,858 3,596,718 3,137,268 3,602,140 Mortgage-backed securities (MBS) U.S. government-guaranteed – single-family 2,618 2,884 Government-sponsored enterprises (GSE) – single-family 50 55 2,668 2,939 Total $ 3,139,936 $ 3,605,079 Table 3.2 - Unrealized and Realized Gains (Losses) on Trading Securities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Net unrealized (losses) gains on trading securities held at period end $ (13,382) $ 46,120 Net unrealized and realized losses on trading securities sold or matured during the period (1,461) — Net unrealized (losses) gains on trading securities $ (14,843) $ 46,120 We do not participate in speculative trading practices and typically hold these investments over a longer time horizon. Available-for-sale Securities Table 3.3 - Available-for-Sale Securities by Major Security Type (dollars in thousands) March 31, 2021 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair U.S. Treasury obligations $ 2,847,088 $ 1,599 $ (272) $ 2,848,415 State housing-finance-agency obligations (HFA securities) 110,085 5 (2,182) 107,908 Supranational institutions 424,240 57 (7,508) 416,789 U.S. government-owned corporations 315,546 — (17,856) 297,690 GSE 128,407 — (3,520) 124,887 3,825,366 1,661 (31,338) 3,795,689 MBS U.S. government guaranteed – single-family 26,479 472 — 26,951 U.S. government guaranteed – multifamily 18,162 71 — 18,233 GSE – single-family 1,207,912 26,059 (16) 1,233,955 GSE – multifamily 4,056,264 51,846 (2,106) 4,106,004 5,308,817 78,448 (2,122) 5,385,143 Total $ 9,134,183 $ 80,109 $ (33,460) $ 9,180,832 December 31, 2020 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair HFA securities $ 126,930 $ — $ (4,381) $ 122,549 Supranational institutions 442,225 — (12,156) 430,069 U.S. government-owned corporations 350,052 — (27,991) 322,061 GSE 140,136 — (5,144) 134,992 1,059,343 — (49,672) 1,009,671 MBS U.S. government guaranteed – single-family 29,148 260 — 29,408 U.S. government guaranteed – multifamily 46,829 351 — 47,180 GSE – single-family 1,442,282 26,790 (24) 1,469,048 GSE – multifamily 3,593,978 70,863 — 3,664,841 5,112,237 98,264 (24) 5,210,477 Total $ 6,171,580 $ 98,264 $ (49,696) $ 6,220,148 _______________________ (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 $21.1 million and $24.0 million at March 31, 2021, and December 31, 2020, respectively. Table 3.4 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) March 31, 2021 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasury obligations $ 945,984 $ (272) $ — $ — $ 945,984 $ (272) HFA securities — — 81,278 (2,182) 81,278 (2,182) Supranational institutions — — 401,544 (7,508) 401,544 (7,508) U.S. government-owned corporations — — 297,690 (17,856) 297,690 (17,856) GSE — — 124,887 (3,520) 124,887 (3,520) 945,984 (272) 905,399 (31,066) 1,851,383 (31,338) MBS GSE – single-family — — 9,209 (16) 9,209 (16) GSE – multifamily — — 464,948 (2,106) 464,948 (2,106) — — 474,157 (2,122) 474,157 (2,122) Total $ 945,984 $ (272) $ 1,379,556 $ (33,188) $ 2,325,540 $ (33,460) December 31, 2020 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized HFA securities $ — $ — $ 109,780 $ (4,381) $ 109,780 $ (4,381) Supranational institutions — — 430,069 (12,156) 430,069 (12,156) U.S. government-owned corporations — — 322,061 (27,991) 322,061 (27,991) GSE — — 134,992 (5,144) 134,992 (5,144) — — 996,902 (49,672) 996,902 (49,672) MBS GSE – single-family — — 10,271 (24) 10,271 (24) Total $ — $ — $ 1,007,173 $ (49,696) $ 1,007,173 $ (49,696) Table 3.5 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) March 31, 2021 December 31, 2020 Year of Maturity Amortized Fair Amortized Fair Due in one year or less $ 10,600 $ 10,551 $ 10,600 $ 10,524 Due after one year through five years 165,998 163,742 169,570 166,813 Due after five years through 10 years 3,230,503 3,225,357 400,477 389,753 Due after 10 years 418,265 396,039 478,696 442,581 3,825,366 3,795,689 1,059,343 1,009,671 MBS (1) 5,308,817 5,385,143 5,112,237 5,210,477 Total $ 9,134,183 $ 9,180,832 $ 6,171,580 $ 6,220,148 _______________________ (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 3.6 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) March 31, 2021 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 5,184 $ 101 $ — $ 5,285 GSE – single-family 187,464 4,074 (81) 191,457 Total $ 192,648 $ 4,175 $ (81) $ 196,742 December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 5,388 $ 103 $ — $ 5,491 GSE – single-family 201,774 4,681 (109) 206,346 Total $ 207,162 $ 4,784 $ (109) $ 211,837 _______________________ (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 $308 thousand and $368 thousand at March 31, 2021, and December 31, 2020, respectively. 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 months ended March 31, 2021 and 2020. Table 3.7 - Proceeds and Gains (Losses) from Sales of Investment Securities (1) (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Held-to-Maturity Securities Proceeds from sale $ — $ 161,743 Less: Carrying value — 100,771 Less: Noncredit losses recorded in accumulated other comprehensive income — 20,239 Realized net gain from sale $ — $ 40,733 _______________________ (1) The securities sold 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 did not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates. 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 Item 8 — Financial Statements and Supplementary Data — Notes to Financial Statements — Note 3 — Recently Issued and Adopted Accounting Guidance in the 2020 Annual Report for information on the adoption of Financial Instruments - 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. Table 3.8 - Allowance for Credit Losses on Debt Securities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Held-to-Maturity Held-to-Maturity Balance at beginning of year $ — $ — Adjustments for cumulative effect of change in accounting principle — 5,308 Reduction of provision for credit losses due to sales of securities — (1,540) Balance at end of period $ — $ 3,768 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 Government National Mortgage Association (Ginnie Mae), Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae) that are backed by single-family or multifamily mortgage loans. We only purchase investment-grade securities. At March 31, 2021, 99.8 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 March 31, 2021, 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 available-for-sale securities at March 31, 2021. 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 March 31, 2021, we had not established an allowance for credit losses on any of our held-to-maturity securities because the securities: (1) were all highly-rated and/or had short remaining terms to maturity, (2) had not experienced, nor do we expect, any payment default on the instruments, and (3) in the case of U.S. or GSE obligations, carry an implicit or explicit government guarantee such that we consider the risk of nonpayment to be zero. |
Advances
Advances | 3 Months Ended |
Mar. 31, 2021 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances General Terms. At both March 31, 2021, and December 31, 2020, we had advances outstanding with interest rates ranging from 0.00 percent to 7.72 percent. Table 4.1 - Advances Outstanding by Year of Contractual Maturity (dollars in thousands) March 31, 2021 December 31, 2020 Amount Weighted Amount Weighted Overdrawn demand-deposit accounts $ 3,979 0.57 % $ 135 0.62 % Due in one year or less 7,046,407 0.98 9,090,900 1.00 Due after one year through two years 2,552,972 1.82 2,281,047 1.78 Due after two years through three years 1,646,933 2.24 2,014,880 2.37 Due after three years through four years 2,257,892 1.64 1,685,056 1.79 Due after four years through five years 1,953,248 1.29 2,687,456 1.34 Thereafter 1,273,554 2.07 945,038 2.38 Total par value 16,734,985 1.44 % 18,704,512 1.43 % Premiums 1,016 2,248 Discounts (37,641) (37,592) Fair value of bifurcated derivatives (1) 38,072 44,534 Hedging adjustments 61,650 103,300 Total (2) $ 16,798,082 $ 18,817,002 _________________________ (1) At March 31, 2021, and December 31, 2020, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives. (2) Excludes accrued interest receivable of $25.1 million and $25.8 million at March 31, 2021, and December 31, 2020, respectively. We offer advances to members and eligible nonmembers that provide the borrower the right, based upon predetermined option exercise dates, to repay the advance prior to maturity without incurring prepayment or termination fees (callable advances). We also offer certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. Other advances may only be prepaid by paying a fee (prepayment fee) that makes us financially indifferent to the prepayment of the advance. Table 4.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date (dollars in thousands) March 31, 2021 December 31, 2020 Overdrawn demand-deposit accounts $ 3,979 $ 135 Due in one year or less 8,176,482 10,149,975 Due after one year through two years 2,267,172 2,095,247 Due after two years through three years 1,361,933 1,809,880 Due after three years through four years 2,135,817 1,392,981 Due after four years through five years 1,529,748 2,335,956 Thereafter 1,259,854 920,338 Total par value $ 16,734,985 $ 18,704,512 We currently hold putable advances that provide us with the right to require repayment prior to maturity of the advance (and thereby extinguish the advance) on predetermined exercise dates (put dates). Generally, we would exercise the put options when interest rates increase relative to contractual rates. Table 4.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date (dollars in thousands) March 31, 2021 December 31, 2020 Overdrawn demand-deposit accounts $ 3,979 $ 135 Due in one year or less 8,822,832 10,755,575 Due after one year through two years 2,018,672 2,201,797 Due after two years through three years 1,148,733 1,224,380 Due after three years through four years 1,661,467 1,593,056 Due after four years through five years 1,858,748 2,059,531 Thereafter 1,220,554 870,038 Total par value $ 16,734,985 $ 18,704,512 Table 4.4 - Advances by Current Interest Rate Terms (dollars in thousands) March 31, 2021 December 31, 2020 Fixed-rate $ 14,692,231 $ 16,742,602 Variable-rate 2,042,754 1,961,910 Total par value $ 16,734,985 $ 18,704,512 Credit Risk Exposure and Security Terms. Our advances are primarily made to member financial institutions, including commercial banks, insurance companies, savings institutions, and credit unions. 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. For additional information on credit risk exposure and security terms see Part II — Item 8 — Financial Statements and Supplementary Data — Note 6 — Advances in the 2020 Annual Report. Using a risk-based approach and taking into consideration each borrower's financial strength, we consider the types and level of collateral to be the primary indicator of credit quality on our credit products. At March 31, 2021, and December 31, 2020, we had rights to collateral, on a borrower-by-borrower basis, with an estimated value in excess of our outstanding extensions of credit. We continue to evaluate and make changes to our collateral guidelines based on market conditions. At March 31, 2021, and December 31, 2020, none of our advances were past due, on non accrual status, or considered impaired. In addition, there were no troubled debt restructurings related to advances during the three months ended March 31, 2021 and 2020. Based upon the collateral held as security, our credit extension and collateral policies, management's credit analysis, and the repayment history on advances, we have not recorded any allowance for credit losses on our advances at March 31, 2021, and December 31, 2020. Prepayment Fees. Table 4.5 - Advances Prepayment Fees (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Prepayment fees received from borrowers $ 9,417 $ 838 Hedging fair-value adjustments on prepaid advances (457) — Net premiums associated with prepaid advances (1,227) — Advance prepayment fees recognized in income, net $ 7,733 $ 838 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 3 Months Ended |
Mar. 31, 2021 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio [Text Block] | Mortgage Loans Held for Portfolio We invest in mortgage loans through the Mortgage Partnership Finance® (MPF®) program. These mortgage loans are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced, 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 5.1 - Mortgage Loans Held for Portfolio (dollars in thousands) March 31, 2021 December 31, 2020 Real estate Fixed-rate 15-year single-family mortgages $ 321,194 $ 322,713 Fixed-rate 20- and 30-year single-family mortgages 3,347,102 3,547,994 Premiums 58,059 60,050 Discounts (968) (1,094) Deferred derivative gains, net 2,856 3,689 Total mortgage loans held for portfolio (1) 3,728,243 3,933,352 Less: allowance for credit losses (1,900) (3,100) Total mortgage loans, net of allowance for credit losses $ 3,726,343 $ 3,930,252 ________________________ (1) Excludes accrued interest receivable of $18.5 million and $19.3 million at March 31, 2021, and December 31, 2020, respectively. Table 5.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands) March 31, 2021 December 31, 2020 Conventional mortgage loans $ 3,437,477 $ 3,624,557 Government mortgage loans 230,819 246,150 Total par value $ 3,668,296 $ 3,870,707 Credit-Enhancements. Our allowance for credit losses factors in the credit-enhancements associated with conventional mortgage loans under the MPF program. These credit-enhancements apply after the homeowner's equity is exhausted and can include primary and/or supplemental mortgage insurance or other kinds of credit-enhancement. The credit risk analysis of our conventional loans is performed at the individual master commitment level to determine the credit-enhancements available to recover losses on loans under each individual master commitment. For additional information on credit enhancements see Part II — Item 8 — Financial Statements and Supplementary Data — Note 7 — Mortgage Loans Held for Portfolio — Credit-Enhancements in the 2020 Annual Report. Relief to Borrowers During the COVID-19 Pandemic. We have elected to apply Section 4013 of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) to our loan modifications that qualify under the CARES Act. As a result, we have elected to suspend troubled debt restructuring accounting for eligible modifications under Section 4013 of the CARES Act. As of March 31, 2021, we had $8.2 million of these modifications outstanding. See Part II — Item 8 — Financial Statements and Supplementary Data — Note 2 — Summary of Significant Accounting Policies in the 2020 Annual Report for additional information. Servicers of our mortgage loans may grant a forbearance period to borrowers who have requested forbearance based on COVID-19 related difficulties regardless of the status of the loan at the time of the request. We continue to apply our accounting policy for past due loans and charge-offs to loans during the forbearance period unless there is a legal modification made to update the terms of the mortgage loan contract. The accrual status for loans under forbearance will be driven by the past due status of the loan based on its contractual terms. As of March 31, 2021, we held approximately $42.7 million in par value of conventional mortgage loans that were in a forbearance plan as a result of COVID-19. Of these loans, $3.1 million had a current payment status, $3.2 million were 30 to 59 days past due, $4.0 million were 60 to 89 days past due, and $32.4 million were greater than 90 days past due and in nonaccrual status. The $42.7 million of conventional mortgage loans in forbearance represents 1.1 percent of our mortgage loans held for portfolio at March 31, 2021. In addition, we had approximately $9.1 million in par value of government mortgage loans in a forbearance plan as a result of COVID-19. Payment Status of Mortgage Loans. Payment status is a key credit quality indicator for conventional mortgage loans and allows us to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure. Tables 5.3 and 5.4 present the payment status for conventional mortgage loans and other delinquency statistics for all mortgage loans at March 31, 2021, and December 31, 2020. Table 5.3 - Credit Quality Indicator for Conventional Mortgage Loans (dollars in thousands) March 31, 2021 Year of Origination Payment Status at Amortized Cost Prior to 2017 2017 to 2021 Total Past due 30-59 days delinquent $ 16,616 $ 15,409 $ 32,025 Past due 60-89 days delinquent 4,306 5,225 9,531 Past due 90 days or more delinquent 22,584 23,592 46,176 Total past due 43,506 44,226 87,732 Total current loans 1,495,629 1,909,525 3,405,154 Total mortgage loans $ 1,539,135 $ 1,953,751 $ 3,492,886 December 31, 2020 Year of Origination Payment Status at Amortized Cost Prior to 2016 2016 to 2020 Total Past due 30-59 days delinquent $ 11,743 $ 25,058 36,801 Past due 60-89 days delinquent 5,263 11,178 16,441 Past due 90 days or more delinquent 20,894 43,529 64,423 Total past due 37,900 79,765 117,665 Total current loans 1,246,691 2,317,975 3,564,666 Total mortgage loans $ 1,284,591 $ 2,397,740 3,682,331 Table 5.4 - Other Delinquency Statistics of Mortgage Loans (dollars in thousands) March 31, 2021 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 1,331 $ 1,443 $ 2,774 Serious delinquency rate (2) 1.32 % 5.13 % 1.56 % Past due 90 days or more still accruing interest $ — $ 2,308 $ 2,308 Loans on nonaccrual status (3) $ 46,176 $ 9,775 $ 55,951 December 31, 2020 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 1,762 $ 1,041 $ 2,803 Serious delinquency rate (2) 1.75 % 6.04 % 2.02 % Past due 90 days or more still accruing interest $ — $ 5,592 $ 5,592 Loans on nonaccrual status (4) $ 65,039 $ 10,101 $ 75,140 _______________________ (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) As of March 31, 2021, the conventional and government mortgage loans on non-accrual status that did not have an associated allowance for credit losses amounted to $25.2 million and $9.8 million, respectively. (4) As of December 31, 2020, the conventional and government mortgage loans on non-accrual status that did not have an associated allowance for credit losses amounted to $31.8 million and $10.1 million, respectively. Allowance for Credit Losses for Mortgage Loans. Conventional Mortgage Loans. Using Financial Instruments - Credit Losses accounting guidance, conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. We determine our allowance for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. We use a discounted cash flow model to project our expected losses. We use a third-party model to project cash flows to estimate the expected credit losses over the life of the loans. The model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior. We incorporate associated credit enhancements and expected recoveries, if any, to determine our estimate of expected credit losses. Certain conventional loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. We estimate the fair value of this collateral by using a third-party property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. We will reserve for these estimated losses or record a direct charge-off of the loan balance if certain triggering criteria are met. Table 5.5 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the quarters ended March 31, 2021 and 2020. Table 5.5 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands) For the Three Months Ended March 31, Allowance for credit losses (1) 2021 2020 Balance, beginning of period $ 3,100 $ 500 Adjustment for cumulative effect of change in accounting principle — 2,221 Recoveries (charge-offs) 26 (77) (Reduction of) provision for credit losses (1,226) 856 Balance, end of period $ 1,900 $ 3,500 _________________________ (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 below under — Government Mortgage Loans Held for Portfolio. Government Mortgage Loans Held for Portfolio. We invest in government mortgage loans secured by one- to four-family residential properties. Government mortgage loans are mortgage loans insured or guaranteed by the Federal Housing Administration (the FHA), the U.S. Department of Veterans Affairs (the VA), the Rural Housing Service of the U.S. Department of Agriculture (RHS), or by the U.S. Department of Housing and Urban Development (HUD). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable insurance or guaranty with respect to defaulted government-guaranteed mortgage loans. Any losses incurred on these loans that are not recovered from the insurer or guarantor are absorbed by the related servicer. Therefore, we only have credit risk for these loans if the servicer fails to pay for losses not covered by insurance or guarantees. 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, 2021 and |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Table 6.1 - Fair Value of Derivative Instruments (dollars in thousands) March 31, 2021 December 31, 2020 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 17,678,539 $ 12,821 $ (96,784) $ 9,960,475 $ 6,044 $ (41,000) Forward-start interest-rate swaps 637,000 197 — 17,000 — (14) Total derivatives designated as hedging instruments 18,315,539 13,018 (96,784) 9,977,475 6,044 (41,014) Derivatives not designated as hedging instruments Interest-rate swaps 3,749,800 — (40,789) 5,536,822 3,918 (47,756) CO bond firm commitments 25,000 19 — — — — Mortgage-delivery commitments (1) 19,685 28 (141) 28,386 220 — Total derivatives not designated as hedging instruments 3,794,485 47 (40,930) 5,565,208 4,138 (47,756) Total notional amount of derivatives $ 22,110,024 $ 15,542,683 Total derivatives before netting and collateral adjustments 13,065 (137,714) 10,182 (88,770) Netting adjustments and cash collateral, including related accrued interest (2) 302,190 103,835 151,056 64,708 Derivative assets and derivative liabilities $ 315,255 $ (33,879) $ 161,238 $ (24,062) _______________________ (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 including accrued interest posted was $406.0 million and $215.8 million at March 31, 2021, and December 31, 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. There was no cash collateral and related accrued interest received at March 31, 2021, and December 31, 2020. 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. Tables 6.2 presents the net gains (losses) on qualifying fair-value hedging relationships. Gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements. Table 6.2 - Net Gains (Losses) on Fair Value Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2021 Advances Available-for-sale Securities CO Bonds Total interest income (expense) in the statements of operations $ 49,552 $ 22,995 $ (61,601) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ 41,861 $ 256,503 $ (104,519) Hedged items (40,858) (248,939) 104,755 Net changes in fair value before price alignment interest 1,003 7,564 236 Price alignment interest (1) 15 49 (3) Net interest settlements on derivatives (2)(3) (15,825) (21,937) 7,470 Net (losses) gains on qualifying hedging relationships (14,807) (14,324) 7,703 Amortization/accretion of discontinued hedging relationships (699) — (645) Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (15,506) $ (14,324) $ 7,058 For the Three Months Ended March 31, 2020 Advances Available-for-sale Securities CO Bonds Total income (expense) in the statements of operations $ 168,659 $ 12,361 $ (123,547) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ (127,568) $ (376,494) $ 63,735 Hedged items 124,692 366,518 (64,058) Net changes in fair value before price alignment interest (2,876) (9,976) (323) Price alignment interest (1) 389 1,035 (177) Net interest settlements on derivatives (2)(3) (2,625) (9,098) 2,956 Net gains (losses) on qualifying hedging relationships (5,112) (18,039) 2,456 Amortization/accretion of discontinued hedging relationships (337) — (888) Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (5,449) $ (18,039) $ 1,568 _______________________ (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. (2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (3) Excludes the interest income/expense of the respective hedged items recorded in net interest income. Tables 6.3 presents the net gains (losses) on qualifying cash flow hedging relationships. Table 6.3 - Net Gains (Losses) on Cash Flow Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Forward-start interest rate swaps - CO Bonds Losses reclassified from accumulated other comprehensive income into interest expense $ (1,557) $ (1,757) Gains (losses) recognized in other comprehensive income 5,186 (1,125) For the three months ended March 31, 2021 and 2020, there were no reclassifications from accumulated other comprehensive income 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, 2021, the maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is six years. As of March 31, 2021, the amount of deferred net losses on derivatives accumulated in other comprehensive income related to cash flow hedges expected to be reclassified to earnings during the next 12 months is $5.8 million. Table 6.4 - Cumulative Basis Adjustments for Fair-Value Hedges (dollars in thousands) March 31, 2021 Line Item in Statement of Condition 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 $ 4,605,732 $ 88,078 $ 11,644 $ 99,722 Available-for-sale securities 7,543,282 251,289 — 251,289 Consolidated obligation bonds 5,798,744 (82,242) 38,321 (43,921) _______________________ (1) Includes only the portion of amortized cost representing the hedged items in fair-value hedging relationships. Table 6.5 - Net Gains and Losses on Derivatives and Hedging Activities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (186) $ (52,569) CO bond firm commitments 19 — Mortgage-delivery commitments (686) (62) Total net losses related to derivatives not designated as hedging instruments (853) (52,631) Other (1) 5 73 Net losses on derivatives $ (848) $ (52,558) ______________________ (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. Managing Credit Risk on Derivatives. We enter into derivatives that we clear (cleared derivatives) with a derivatives clearing organization (DCO), our counterparty for such derivatives. We also enter into derivatives that are not cleared (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 or S&P to a certain level, we are required to deliver additional collateral on uncleared derivatives, 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, 2021, was $132.6 million for which we had delivered collateral with a post-haircut value of $120.1 million in accordance with the terms of the master-netting agreements. Securities collateral is subject to valuation haircuts in accordance with the terms of the master-netting arrangements. Table 6.6 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, 2021. Table 6.6 - Post Haircut Value of Incremental Collateral to be Delivered as of March 31, 2021 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 183 AA- A+, A or A- — A- below A- 13,266 _______________________ (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, Chicago Mercantile Exchange Inc. (CME Inc.) and LCH Limited (LCH Ltd.). Based upon their rulebooks, we characterize variation margin payments as daily settlement payments, rather than as collateral. At both DCOs, posted initial margin is considered 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 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 or any other considerations at March 31, 2021. 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 and non-cleared derivatives and determined that those rights, rules, and regulations should result in a net claim with each of our counterparties (which, in the context of cleared derivatives is through each of our clearing members with the related DCO) upon an event of default (solely in the case of non-cleared derivatives) or the bankruptcy, insolvency or a similar proceeding involving our counterparty (and/or one of our clearing members, in the case of cleared derivatives). For this purpose, "net claim" generally means a single net amount reflecting the aggregation of all amounts owed by us to the relevant counterparty and payable to us from the relevant counterparty. Table 6.7 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, 2021, and December 31, 2020, 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 6.7 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2021 Derivative Instruments Meeting Netting Requirements Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 4,024 $ (3,614) $ 410 $ — $ 410 Cleared 8,994 305,804 314,798 — 314,798 CO bond firm commitment $ 19 19 19 Mortgage delivery commitment 28 28 28 Total $ 315,255 $ 315,255 Derivative Liabilities Interest-rate swaps Uncleared $ (136,592) $ 102,854 $ (33,738) $ 21,644 $ (12,094) Cleared (981) 981 — — — Mortgage delivery commitment $ (141) (141) (141) Total $ (33,879) $ (12,235) December 31, 2020 Derivative Instruments Meeting Netting Requirements Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 5,215 $ (4,899) $ 316 $ — $ 316 Cleared 4,747 155,955 160,702 — $ 160,702 Mortgage delivery commitment $ 220 220 220 Total $ 161,238 $ 161,238 Derivative Liabilities Interest-rate swaps Uncleared $ (82,625) $ 58,563 $ (24,062) $ 23,087 $ (975) Cleared (6,145) 6,145 — — — Total $ (24,062) $ (975) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value that cannot be sold or repledged by the counterparty. Additionally, any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2021, and December 31, 2020, we had additional net credit exposure of $34 thousand and $925 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Deposits
Deposits | 3 Months Ended |
Mar. 31, 2021 | |
Deposits [Abstract] | |
Deposits [Text Block] | Deposits We offer demand and overnight deposits for members and qualifying nonmembers, and prior to February 19, 2021, we offered term deposits to our members. Members that service mortgage loans may deposit funds collected in connection with mortgage loans pending disbursement of such funds to the owners of the mortgage loans, which we classify as "other" in the following table. Table 7.1 - Deposits (dollars in thousands) March 31, 2021 December 31, 2020 Interest-bearing Demand and overnight $ 962,070 $ 975,469 Other 1,549 2,525 Noninterest-bearing Other 124,568 110,993 Total deposits $ 1,088,187 $ 1,088,987 |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2021 | |
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 8.1 - CO Bonds Outstanding by Contractual Maturity (dollars in thousands) March 31, 2021 December 31, 2020 Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 8,203,645 0.80 % $ 10,608,465 0.81 % Due after one year through two years 4,205,475 1.19 3,956,120 1.35 Due after two years through three years 1,340,950 2.13 1,569,315 2.20 Due after three years through four years 1,883,780 1.81 1,141,430 2.43 Due after four years through five years 3,320,590 0.89 1,776,100 1.12 Thereafter 3,750,750 2.39 2,312,155 3.58 Total par value 22,705,190 1.31 % 21,363,585 1.42 % Premiums 54,298 58,537 Discounts (11,107) (12,278) Hedging adjustments (43,921) 61,746 Total $ 22,704,460 $ 21,471,590 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. Table 8.2 - CO Bonds Outstanding by Call Feature (dollars in thousands) March 31, 2021 December 31, 2020 Noncallable and nonputable $ 17,261,190 $ 19,668,585 Callable 5,444,000 1,695,000 Total par value $ 22,705,190 $ 21,363,585 Table 8.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date (dollars in thousands) March 31, 2021 December 31, 2020 Due in one year or less $ 13,247,645 $ 11,728,465 Due after one year through two years 4,360,475 4,046,120 Due after two years through three years 1,280,950 1,629,315 Due after three years through four years 1,162,780 1,011,430 Due after four years through five years 1,442,590 1,501,100 Thereafter 1,210,750 1,447,155 Total par value $ 22,705,190 $ 21,363,585 Table 8.4 - CO Bonds by Interest Rate-Payment Type (dollars in thousands) March 31, 2021 December 31, 2020 Fixed-rate $ 14,455,190 $ 12,524,585 Simple variable-rate 7,077,000 8,549,000 Step-up (1) 1,173,000 290,000 Total par value $ 22,705,190 $ 21,363,585 _______________________ (1) Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates. 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 8.5 - CO Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Rate (1) March 31, 2021 $ 9,927,167 $ 9,927,530 0.05 % December 31, 2020 $ 12,878,310 $ 12,879,765 0.10 % _______________________ (1) CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program
Affordable Housing Program | 3 Months Ended |
Mar. 31, 2021 | |
Affordable Housing Program (AHP) [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program Table 9.1 - AHP Liability (dollars in thousands) March 31, 2021 December 31, 2020 Balance at beginning of year $ 78,640 $ 86,131 AHP expense for the period 2,323 13,386 AHP voluntary contribution (1) 3,076 1,614 AHP direct grant disbursements (4,753) (21,374) AHP subsidy for AHP advance disbursements (1,711) (1,216) Return of previously disbursed grants and subsidies — 99 Balance at end of period $ 77,575 $ 78,640 _______________________ (1) Recorded in other expenses in the statement of operations. |
Capital
Capital | 3 Months Ended |
Mar. 31, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Capital [Text Block] | Capital We are subject to capital requirements under our capital plan, the FHLBank Act, and 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 calculated by multiplying permanent capital by 1.5 and adding to this product all other components of total capital. 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 10.1 - Regulatory Capital Requirements (dollars in thousands) Risk-Based Capital Requirements March 31, December 31, Permanent capital Class B capital stock $ 1,181,665 $ 1,267,172 Mandatorily redeemable capital stock 6,164 6,282 Retained earnings 1,514,176 1,498,642 Total permanent capital $ 2,702,005 $ 2,772,096 Risk-based capital requirement Credit-risk capital $ 98,186 $ 96,143 Market-risk capital 201,548 204,028 Operations-risk capital 89,920 90,052 Total risk-based capital requirement $ 389,654 $ 390,223 Permanent capital in excess of risk-based capital requirement $ 2,312,351 $ 2,381,873 March 31, 2021 December 31, 2020 Required Actual Required Actual Capital Ratio Risk-based capital $ 389,654 $ 2,702,005 $ 390,223 $ 2,772,096 Total regulatory capital 1,467,069 2,702,005 1,538,441 2,772,096 Total capital-to-asset ratio 4.0 % 7.4 % 4.0 % 7.2 % Leverage Ratio Leverage capital $ 1,833,836 $ 4,053,008 $ 1,923,052 $ 4,158,144 Leverage capital-to-assets ratio 5.0 % 11.1 % 5.0 % 10.8 % 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 or, for a small amount of capital stock held by former members, the five-year redemption period applicable to their membership stock is not yet complete. Shares of |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 3 Months Ended |
Mar. 31, 2021 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Income (Loss) [Text Block] | Accumulated Other Comprehensive Income (Loss) Table 11.1 - Accumulated Other Comprehensive Income (Loss) (dollars in thousands) Net Unrealized Gain (Loss) on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized (Loss) Gain Relating to Hedging Activities Pension and Postretirement Benefits Total Balance, December 31, 2019 $ (73,922) $ (76,036) $ (30,207) $ (6,807) $ (186,972) Other comprehensive income (loss) before reclassifications: Net unrealized losses (85,737) — (1,125) — (86,862) Noncredit losses included in basis of securities sold — 20,239 — — 20,239 Accretion of noncredit loss — 2,805 — — 2,805 Net actuarial loss — — — 501 501 Reclassifications from other comprehensive income to net income Amortization - hedging activities (1) — — 1,757 — 1,757 Amortization - pension and postretirement benefits (2) — — — 295 295 Other comprehensive (loss) income (85,737) 23,044 632 796 (61,265) Balance, March 31, 2020 $ (159,659) $ (52,992) $ (29,575) $ (6,011) $ (248,237) Balance, December 31, 2020 $ 48,568 $ — $ (24,365) $ (8,064) $ 16,139 Other comprehensive income (loss) before reclassifications: Net unrealized (losses) gains (1,919) — 5,186 — 3,267 Reclassifications from other comprehensive income to net income Amortization - hedging activities (1) — — 1,557 — 1,557 Amortization - pension and postretirement benefits (2) — — — 260 260 Other comprehensive (loss) income (1,919) — 6,743 260 5,084 Balance, March 31, 2021 $ 46,649 $ — $ (17,622) $ (7,804) $ 21,223 _______________________ (1) Recorded in CO bond interest expense. (2) Recorded in other expenses in the statement of operations. |
Fair Values
Fair Values | 3 Months Ended |
Mar. 31, 2021 | |
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 Part II — Item 8 — Financial Statements and Supplementary Data — Note 19 — Fair Values in the 2020 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, 2021. Table 12.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at March 31, 2021, and December 31, 2020. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis and certain mortgage loans, and certain other assets at fair value on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 12.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. Table 12.1 - Fair Value Summary (dollars in thousands) March 31, 2021 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 $ 207,099 $ 207,099 $ 207,099 $ — $ — $ — Interest-bearing deposits 243,150 243,150 243,150 — — — Securities purchased under agreements to resell 1,500,000 1,499,998 — 1,499,998 — — Federal funds sold 1,218,000 1,217,999 — 1,217,999 — — Trading securities (1) 3,139,936 3,139,936 — 3,139,936 — — Available-for-sale securities (1) 9,180,832 9,180,832 — 9,072,924 107,908 — Held-to-maturity securities 192,648 196,742 — 196,742 — — Advances 16,798,082 17,045,360 — 17,045,360 — — Mortgage loans, net 3,726,343 3,912,078 — 3,843,379 68,699 — Accrued interest receivable 82,416 82,416 — 82,416 — — Derivative assets (1) 315,255 315,255 — 13,065 — 302,190 Other assets (1) 38,769 38,769 14,304 24,465 — — Liabilities: Deposits (1,088,187) (1,088,187) — (1,088,187) — — COs: Bonds (22,704,460) (23,103,280) — (23,103,280) — — Discount notes (9,927,167) (9,927,432) — (9,927,432) — — Mandatorily redeemable capital stock (6,164) (6,164) (6,164) — — — Accrued interest payable (61,653) (61,653) — (61,653) — — Derivative liabilities (1) (33,879) (33,879) — (137,714) — 103,835 Other: Commitments to extend credit for advances — (53,731) — (53,731) — — Standby letters of credit (1,223) (1,223) — (1,223) — — December 31, 2020 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 $ 2,050,028 $ 2,050,028 $ 2,050,028 $ — $ — $ — Interest-bearing deposits 299,149 299,149 299,149 — — — Securities purchased under agreements to resell 750,000 749,995 — 749,995 — — Federal funds sold 2,260,000 2,259,988 — 2,259,988 — — Trading securities (1) 3,605,079 3,605,079 — 3,605,079 — — Available-for-sale securities (1) 6,220,148 6,220,148 — 6,097,599 122,549 — Held-to-maturity securities 207,162 211,837 — 211,837 — — Advances 18,817,002 19,119,220 — 19,119,220 — — Mortgage loans, net 3,930,252 4,136,004 — 4,086,757 49,247 — Accrued interest receivable 87,582 87,582 — 87,582 — — Derivative assets (1) 161,238 161,238 — 10,182 — 151,056 Other assets (1) 34,360 34,360 14,296 20,064 — — Liabilities: Deposits (1,088,987) (1,088,981) — (1,088,981) — — COs: Bonds (21,471,590) (22,062,476) — (22,062,476) — — Discount notes (12,878,310) (12,878,918) — (12,878,918) — — Mandatorily redeemable capital stock (6,282) (6,282) (6,282) — — — Accrued interest payable (61,918) (61,918) — (61,918) — — Derivative liabilities (1) (24,062) (24,062) — (88,770) — 64,708 Other: Commitments to extend credit for advances — (5,306) — (5,306) — — Standby letters of credit (1,303) (1,303) — (1,303) — — _______________________ (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 12.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands) March 31, 2021 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 $ — $ 5,410 $ — $ — $ 5,410 U.S. Treasury obligations — 3,131,858 — — 3,131,858 U.S. government-guaranteed – single-family MBS — 2,618 — — 2,618 GSE – single-family MBS — 50 — — 50 Total trading securities — 3,139,936 — — 3,139,936 Available-for-sale securities: HFA securities — — 107,908 — 107,908 Supranational institutions — 416,789 — — 416,789 U.S. Treasury obligations — 2,848,415 — — 2,848,415 U.S. government-owned corporations — 297,690 — — 297,690 GSE — 124,887 — — 124,887 U.S. government guaranteed – single-family MBS — 26,951 — — 26,951 U.S. government guaranteed – multifamily MBS — 18,233 — — 18,233 GSE – single-family MBS — 1,233,955 — — 1,233,955 GSE – multifamily MBS — 4,106,004 — — 4,106,004 Total available-for-sale securities — 9,072,924 107,908 — 9,180,832 Derivative assets: Interest-rate-exchange agreements — 13,018 — 302,190 315,208 CO bond firm commitments — 19 — — 19 Mortgage delivery commitments — 28 — — 28 Total derivative assets — 13,065 — 302,190 315,255 Other assets 14,304 24,465 — — 38,769 Total assets carried at fair value on a recurring basis $ 14,304 $ 12,250,390 $ 107,908 $ 302,190 $ 12,674,792 Carried at fair value on a nonrecurring basis (2) Mortgage loans held for portfolio $ — $ — $ 3,407 $ — $ 3,407 Total assets carried at fair value on a nonrecurring basis $ — $ — $ 3,407 $ — $ 3,407 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (137,573) $ — $ 103,835 $ (33,738) Mortgage delivery commitments — (141) — — (141) Total liabilities carried at fair value on a recurring basis $ — $ (137,714) $ — $ 103,835 $ (33,879) December 31, 2020 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 $ — $ 5,422 $ — $ — $ 5,422 U.S. Treasury obligations — 3,596,718 — — 3,596,718 U.S. government-guaranteed – single-family MBS — 2,884 — — 2,884 GSE – single-family MBS — 55 — — 55 Total trading securities — 3,605,079 — — 3,605,079 Available-for-sale securities: HFA securities — — 122,549 — 122,549 Supranational institutions — 430,069 — — 430,069 U.S. government-owned corporations — 322,061 — — 322,061 GSE — 134,992 — — 134,992 U.S. government guaranteed – single-family MBS — 29,408 — — 29,408 U.S. government guaranteed – multifamily MBS — 47,180 — — 47,180 GSE – single-family MBS — 1,469,048 — — 1,469,048 GSE – multifamily MBS — 3,664,841 — — 3,664,841 Total available-for-sale securities — 6,097,599 122,549 — 6,220,148 Derivative assets: Interest-rate-exchange agreements — 9,962 — 151,056 161,018 Mortgage delivery commitments — 220 — — 220 Total derivative assets — 10,182 — 151,056 161,238 Other assets 14,296 20,064 — — 34,360 Total assets carried at fair value on a recurring basis $ 14,296 $ 9,732,924 $ 122,549 $ 151,056 $ 10,020,825 Carried at fair value on a nonrecurring basis (2) Mortgage loans held for portfolio $ — $ — $ 10,782 $ — $ 10,782 REO — — 245 — 245 Total assets carried at fair value on a nonrecurring basis $ — $ — $ 11,027 $ — $ 11,027 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (88,770) $ — $ 64,708 $ (24,062) Total liabilities carried at fair value on a recurring basis $ — $ (88,770) $ — $ 64,708 $ (24,062) _______________________ (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. The fair values presented are as of the date the fair value adjustment was recorded. Table 12.3 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, 2021 and 2020. Table 12.3 - Roll Forward of Level 3 Available-for-Sale Securities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 HFA Securities HFA Securities Balance at beginning of period $ 122,549 $ 64,652 Total gains included in other comprehensive income Net unrealized gains 2,204 743 Maturities and settlements Maturities (16,620) — Settlements (225) — Balance at end of period $ 107,908 $ 65,395 Total amount of unrealized gains for the period included in other comprehensive income relating to securities held at period end $ 1,349 $ 743 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2021 | |
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, 2021, 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, 2021, and December 31, 2020. The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $663.8 billion and $712.5 billion at March 31, 2021, and December 31, 2020, respectively. See Note 8 — Consolidated Obligations for additional information. Off-Balance-Sheet Commitments Table 13.1 - Off-Balance Sheet Commitments (1) (dollars in thousands) March 31, 2021 December 31, 2020 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (2) $ 5,717,332 $ 218,680 $ 5,936,012 $ 6,190,479 $ 233,771 $ 6,424,250 Commitments for unused lines of credit - advances (3) 1,118,063 — 1,118,063 1,127,432 — 1,127,432 Commitments to make additional advances 61,925 90,558 152,483 69,684 93,465 163,149 Commitments to invest in mortgage loans 19,685 — 19,685 28,386 — 28,386 Unsettled CO bonds, at par 235,000 — 235,000 — — — Unsettled CO discount notes, at par 650,000 — 650,000 250,000 — 250,000 __________________________ (1) We have determined that it is unnecessary to record any liability for credit losses on these agreements. (2) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At March 31, 2021, and December 31, 2020, these amounts totaled $70.8 million and $37.1 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $25 thousand at December 31, 2020. (3) 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 state and local 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. At March 31, 2021, the terms of these standby letters of credit have original expiration periods of up to 20 years, expiring no later than 2030. Currently, we offer new standby letters of credit with terms typically up to 10 years, while terms greater than 10 years may be available on an exception basis. Unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled $1.2 million and $1.3 million at March 31, 2021, and December 31, 2020, respectively. Commitments to Invest in Mortgage Loans. Commitments to invest in mortgage loans are generally for periods not to exceed 60 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 6 — Derivatives and Hedging Activities for additional information about our pledged collateral and other credit-risk-related contingent features. Legal Proceedings . We are subject to various legal proceedings arising in the normal course of business from time to time. We would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. Management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on our financial condition, results of operations, or cash flows. |
Transactions with Shareholders
Transactions with Shareholders | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021, and December 31, 2020. At both March 31, 2021, and December 31, 2020 no shareholder had more than 10 percent of total capital stock outstanding. 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 14.1 - 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 March 31, 2021 $ 57,540 4.8 % $ 540,451 3.2 % $ 588 2.3 % December 31, 2020 60,624 4.8 582,765 3.1 651 2.5 |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent EventsOn April 23, 2021, the board of directors declared a cash dividend at an annualized rate of 1.54 percent based on daily average capital stock balances outstanding during the first quarter of 2021. The dividend, including dividends classified as interest on mandatorily redeemable capital stock, amounted to $4.7 million and was paid on May 4, 2021. |
Basis of Presentation - Summary
Basis of Presentation - Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2021 | |
Accounting Policies [Abstract] | |
Investment, Policy | Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income (loss).We 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).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. |
Credit Loss, Financial Instrument, Policy | Allowance for Credit Losses on Available-for-Sale Securities and Held-to-Maturity SecuritiesWe 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. |
Loans and Leases Receivable, Troubled Debt Restructuring, Policy | Relief to Borrowers During the COVID-19 Pandemic. We have elected to apply Section 4013 of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) to our loan modifications that qualify under the CARES Act. |
Derivatives, Policy | 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.We enter into derivatives that we clear (cleared derivatives) with a derivatives clearing organization (DCO), our counterparty for such derivatives. We also enter into derivatives that are not cleared (uncleared derivatives) under master-netting agreements.We utilize two DCOs, for all cleared derivative transactions, Chicago Mercantile Exchange Inc. (CME Inc.) and LCH Limited (LCH Ltd.). Based upon their rulebooks, we characterize variation margin payments as daily settlement payments, rather than as collateral. At both DCOs, posted initial margin is considered collateral. |
Fair Value of Financial Instruments, Policy [Policy Text Block] | We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis and certain mortgage loans, and certain other assets at fair value on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. |
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. |
Investments (Tables)
Investments (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Debt Securities, Trading, and Equity Securities, FV-NI [Table Text Block] | Table 3.1 - Trading Securities by Major Security Type (dollars in thousands) March 31, 2021 December 31, 2020 Corporate bonds $ 5,410 $ 5,422 U.S. Treasury obligations 3,131,858 3,596,718 3,137,268 3,602,140 Mortgage-backed securities (MBS) U.S. government-guaranteed – single-family 2,618 2,884 Government-sponsored enterprises (GSE) – single-family 50 55 2,668 2,939 Total $ 3,139,936 $ 3,605,079 |
Gain (Loss) on Securities [Table Text Block] | Table 3.2 - Unrealized and Realized Gains (Losses) on Trading Securities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Net unrealized (losses) gains on trading securities held at period end $ (13,382) $ 46,120 Net unrealized and realized losses on trading securities sold or matured during the period (1,461) — Net unrealized (losses) gains on trading securities $ (14,843) $ 46,120 |
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Table 3.3 - Available-for-Sale Securities by Major Security Type (dollars in thousands) March 31, 2021 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair U.S. Treasury obligations $ 2,847,088 $ 1,599 $ (272) $ 2,848,415 State housing-finance-agency obligations (HFA securities) 110,085 5 (2,182) 107,908 Supranational institutions 424,240 57 (7,508) 416,789 U.S. government-owned corporations 315,546 — (17,856) 297,690 GSE 128,407 — (3,520) 124,887 3,825,366 1,661 (31,338) 3,795,689 MBS U.S. government guaranteed – single-family 26,479 472 — 26,951 U.S. government guaranteed – multifamily 18,162 71 — 18,233 GSE – single-family 1,207,912 26,059 (16) 1,233,955 GSE – multifamily 4,056,264 51,846 (2,106) 4,106,004 5,308,817 78,448 (2,122) 5,385,143 Total $ 9,134,183 $ 80,109 $ (33,460) $ 9,180,832 December 31, 2020 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair HFA securities $ 126,930 $ — $ (4,381) $ 122,549 Supranational institutions 442,225 — (12,156) 430,069 U.S. government-owned corporations 350,052 — (27,991) 322,061 GSE 140,136 — (5,144) 134,992 1,059,343 — (49,672) 1,009,671 MBS U.S. government guaranteed – single-family 29,148 260 — 29,408 U.S. government guaranteed – multifamily 46,829 351 — 47,180 GSE – single-family 1,442,282 26,790 (24) 1,469,048 GSE – multifamily 3,593,978 70,863 — 3,664,841 5,112,237 98,264 (24) 5,210,477 Total $ 6,171,580 $ 98,264 $ (49,696) $ 6,220,148 _______________________ (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 $21.1 million and $24.0 million at March 31, 2021, and December 31, 2020, respectively. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] | Table 3.4 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) March 31, 2021 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasury obligations $ 945,984 $ (272) $ — $ — $ 945,984 $ (272) HFA securities — — 81,278 (2,182) 81,278 (2,182) Supranational institutions — — 401,544 (7,508) 401,544 (7,508) U.S. government-owned corporations — — 297,690 (17,856) 297,690 (17,856) GSE — — 124,887 (3,520) 124,887 (3,520) 945,984 (272) 905,399 (31,066) 1,851,383 (31,338) MBS GSE – single-family — — 9,209 (16) 9,209 (16) GSE – multifamily — — 464,948 (2,106) 464,948 (2,106) — — 474,157 (2,122) 474,157 (2,122) Total $ 945,984 $ (272) $ 1,379,556 $ (33,188) $ 2,325,540 $ (33,460) December 31, 2020 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized HFA securities $ — $ — $ 109,780 $ (4,381) $ 109,780 $ (4,381) Supranational institutions — — 430,069 (12,156) 430,069 (12,156) U.S. government-owned corporations — — 322,061 (27,991) 322,061 (27,991) GSE — — 134,992 (5,144) 134,992 (5,144) — — 996,902 (49,672) 996,902 (49,672) MBS GSE – single-family — — 10,271 (24) 10,271 (24) Total $ — $ — $ 1,007,173 $ (49,696) $ 1,007,173 $ (49,696) |
Investments Classified by Contractual Maturity Date [Table Text Block] | Table 3.5 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) March 31, 2021 December 31, 2020 Year of Maturity Amortized Fair Amortized Fair Due in one year or less $ 10,600 $ 10,551 $ 10,600 $ 10,524 Due after one year through five years 165,998 163,742 169,570 166,813 Due after five years through 10 years 3,230,503 3,225,357 400,477 389,753 Due after 10 years 418,265 396,039 478,696 442,581 3,825,366 3,795,689 1,059,343 1,009,671 MBS (1) 5,308,817 5,385,143 5,112,237 5,210,477 Total $ 9,134,183 $ 9,180,832 $ 6,171,580 $ 6,220,148 _______________________ (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. |
Debt Securities, Held-to-maturity [Table Text Block] | Table 3.6 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) March 31, 2021 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 5,184 $ 101 $ — $ 5,285 GSE – single-family 187,464 4,074 (81) 191,457 Total $ 192,648 $ 4,175 $ (81) $ 196,742 December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 5,388 $ 103 $ — $ 5,491 GSE – single-family 201,774 4,681 (109) 206,346 Total $ 207,162 $ 4,784 $ (109) $ 211,837 _______________________ (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 $308 thousand and $368 thousand at March 31, 2021, and December 31, 2020, respectively. |
Realized Gain (Loss) on Investments [Table Text Block] | Table 3.7 - Proceeds and Gains (Losses) from Sales of Investment Securities (1) (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Held-to-Maturity Securities Proceeds from sale $ — $ 161,743 Less: Carrying value — 100,771 Less: Noncredit losses recorded in accumulated other comprehensive income — 20,239 Realized net gain from sale $ — $ 40,733 _______________________ (1) The securities sold 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 did not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates. |
Debt Securities, Held-to-maturity, Allowance for Credit Loss | Table 3.8 - Allowance for Credit Losses on Debt Securities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Held-to-Maturity Held-to-Maturity Balance at beginning of year $ — $ — Adjustments for cumulative effect of change in accounting principle — 5,308 Reduction of provision for credit losses due to sales of securities — (1,540) Balance at end of period $ — $ 3,768 |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Advances [Abstract] | |
Advances [Table Text Block] | Table 4.1 - Advances Outstanding by Year of Contractual Maturity (dollars in thousands) March 31, 2021 December 31, 2020 Amount Weighted Amount Weighted Overdrawn demand-deposit accounts $ 3,979 0.57 % $ 135 0.62 % Due in one year or less 7,046,407 0.98 9,090,900 1.00 Due after one year through two years 2,552,972 1.82 2,281,047 1.78 Due after two years through three years 1,646,933 2.24 2,014,880 2.37 Due after three years through four years 2,257,892 1.64 1,685,056 1.79 Due after four years through five years 1,953,248 1.29 2,687,456 1.34 Thereafter 1,273,554 2.07 945,038 2.38 Total par value 16,734,985 1.44 % 18,704,512 1.43 % Premiums 1,016 2,248 Discounts (37,641) (37,592) Fair value of bifurcated derivatives (1) 38,072 44,534 Hedging adjustments 61,650 103,300 Total (2) $ 16,798,082 $ 18,817,002 _________________________ (1) At March 31, 2021, and December 31, 2020, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives. (2) Excludes accrued interest receivable of $25.1 million and $25.8 million at March 31, 2021, and December 31, 2020, respectively. Table 4.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date (dollars in thousands) March 31, 2021 December 31, 2020 Overdrawn demand-deposit accounts $ 3,979 $ 135 Due in one year or less 8,176,482 10,149,975 Due after one year through two years 2,267,172 2,095,247 Due after two years through three years 1,361,933 1,809,880 Due after three years through four years 2,135,817 1,392,981 Due after four years through five years 1,529,748 2,335,956 Thereafter 1,259,854 920,338 Total par value $ 16,734,985 $ 18,704,512 Table 4.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date (dollars in thousands) March 31, 2021 December 31, 2020 Overdrawn demand-deposit accounts $ 3,979 $ 135 Due in one year or less 8,822,832 10,755,575 Due after one year through two years 2,018,672 2,201,797 Due after two years through three years 1,148,733 1,224,380 Due after three years through four years 1,661,467 1,593,056 Due after four years through five years 1,858,748 2,059,531 Thereafter 1,220,554 870,038 Total par value $ 16,734,985 $ 18,704,512 Table 4.4 - Advances by Current Interest Rate Terms (dollars in thousands) March 31, 2021 December 31, 2020 Fixed-rate $ 14,692,231 $ 16,742,602 Variable-rate 2,042,754 1,961,910 Total par value $ 16,734,985 $ 18,704,512 Table 4.5 - Advances Prepayment Fees (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Prepayment fees received from borrowers $ 9,417 $ 838 Hedging fair-value adjustments on prepaid advances (457) — Net premiums associated with prepaid advances (1,227) — Advance prepayment fees recognized in income, net $ 7,733 $ 838 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | Table 5.1 - Mortgage Loans Held for Portfolio (dollars in thousands) March 31, 2021 December 31, 2020 Real estate Fixed-rate 15-year single-family mortgages $ 321,194 $ 322,713 Fixed-rate 20- and 30-year single-family mortgages 3,347,102 3,547,994 Premiums 58,059 60,050 Discounts (968) (1,094) Deferred derivative gains, net 2,856 3,689 Total mortgage loans held for portfolio (1) 3,728,243 3,933,352 Less: allowance for credit losses (1,900) (3,100) Total mortgage loans, net of allowance for credit losses $ 3,726,343 $ 3,930,252 ________________________ (1) Excludes accrued interest receivable of $18.5 million and $19.3 million at March 31, 2021, and December 31, 2020, respectively. Table 5.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands) March 31, 2021 December 31, 2020 Conventional mortgage loans $ 3,437,477 $ 3,624,557 Government mortgage loans 230,819 246,150 Total par value $ 3,668,296 $ 3,870,707 |
Financing Receivable Credit Quality Indicators [Table Text Block] | Table 5.3 - Credit Quality Indicator for Conventional Mortgage Loans (dollars in thousands) March 31, 2021 Year of Origination Payment Status at Amortized Cost Prior to 2017 2017 to 2021 Total Past due 30-59 days delinquent $ 16,616 $ 15,409 $ 32,025 Past due 60-89 days delinquent 4,306 5,225 9,531 Past due 90 days or more delinquent 22,584 23,592 46,176 Total past due 43,506 44,226 87,732 Total current loans 1,495,629 1,909,525 3,405,154 Total mortgage loans $ 1,539,135 $ 1,953,751 $ 3,492,886 December 31, 2020 Year of Origination Payment Status at Amortized Cost Prior to 2016 2016 to 2020 Total Past due 30-59 days delinquent $ 11,743 $ 25,058 36,801 Past due 60-89 days delinquent 5,263 11,178 16,441 Past due 90 days or more delinquent 20,894 43,529 64,423 Total past due 37,900 79,765 117,665 Total current loans 1,246,691 2,317,975 3,564,666 Total mortgage loans $ 1,284,591 $ 2,397,740 3,682,331 |
Amortized Cost/Recorded Investment in Delinquent Mortgage Loans [Table Text Block] | Table 5.4 - Other Delinquency Statistics of Mortgage Loans (dollars in thousands) March 31, 2021 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 1,331 $ 1,443 $ 2,774 Serious delinquency rate (2) 1.32 % 5.13 % 1.56 % Past due 90 days or more still accruing interest $ — $ 2,308 $ 2,308 Loans on nonaccrual status (3) $ 46,176 $ 9,775 $ 55,951 December 31, 2020 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 1,762 $ 1,041 $ 2,803 Serious delinquency rate (2) 1.75 % 6.04 % 2.02 % Past due 90 days or more still accruing interest $ — $ 5,592 $ 5,592 Loans on nonaccrual status (4) $ 65,039 $ 10,101 $ 75,140 _______________________ (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) As of March 31, 2021, the conventional and government mortgage loans on non-accrual status that did not have an associated allowance for credit losses amounted to $25.2 million and $9.8 million, respectively. |
Rollforward of Allowance for Credit Losses on Mortgage Loans [Table Text Block] | Table 5.5 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the quarters ended March 31, 2021 and 2020. Table 5.5 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands) For the Three Months Ended March 31, Allowance for credit losses (1) 2021 2020 Balance, beginning of period $ 3,100 $ 500 Adjustment for cumulative effect of change in accounting principle — 2,221 Recoveries (charge-offs) 26 (77) (Reduction of) provision for credit losses (1,226) 856 Balance, end of period $ 1,900 $ 3,500 _________________________ (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 below under — Government Mortgage Loans Held for Portfolio. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments [Table Text Block] | Table 6.1 - Fair Value of Derivative Instruments (dollars in thousands) March 31, 2021 December 31, 2020 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 17,678,539 $ 12,821 $ (96,784) $ 9,960,475 $ 6,044 $ (41,000) Forward-start interest-rate swaps 637,000 197 — 17,000 — (14) Total derivatives designated as hedging instruments 18,315,539 13,018 (96,784) 9,977,475 6,044 (41,014) Derivatives not designated as hedging instruments Interest-rate swaps 3,749,800 — (40,789) 5,536,822 3,918 (47,756) CO bond firm commitments 25,000 19 — — — — Mortgage-delivery commitments (1) 19,685 28 (141) 28,386 220 — Total derivatives not designated as hedging instruments 3,794,485 47 (40,930) 5,565,208 4,138 (47,756) Total notional amount of derivatives $ 22,110,024 $ 15,542,683 Total derivatives before netting and collateral adjustments 13,065 (137,714) 10,182 (88,770) Netting adjustments and cash collateral, including related accrued interest (2) 302,190 103,835 151,056 64,708 Derivative assets and derivative liabilities $ 315,255 $ (33,879) $ 161,238 $ (24,062) _______________________ (1) Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. (2) |
Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block] | Tables 6.2 presents the net gains (losses) on qualifying fair-value hedging relationships. Gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements. Table 6.2 - Net Gains (Losses) on Fair Value Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2021 Advances Available-for-sale Securities CO Bonds Total interest income (expense) in the statements of operations $ 49,552 $ 22,995 $ (61,601) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ 41,861 $ 256,503 $ (104,519) Hedged items (40,858) (248,939) 104,755 Net changes in fair value before price alignment interest 1,003 7,564 236 Price alignment interest (1) 15 49 (3) Net interest settlements on derivatives (2)(3) (15,825) (21,937) 7,470 Net (losses) gains on qualifying hedging relationships (14,807) (14,324) 7,703 Amortization/accretion of discontinued hedging relationships (699) — (645) Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (15,506) $ (14,324) $ 7,058 For the Three Months Ended March 31, 2020 Advances Available-for-sale Securities CO Bonds Total income (expense) in the statements of operations $ 168,659 $ 12,361 $ (123,547) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ (127,568) $ (376,494) $ 63,735 Hedged items 124,692 366,518 (64,058) Net changes in fair value before price alignment interest (2,876) (9,976) (323) Price alignment interest (1) 389 1,035 (177) Net interest settlements on derivatives (2)(3) (2,625) (9,098) 2,956 Net gains (losses) on qualifying hedging relationships (5,112) (18,039) 2,456 Amortization/accretion of discontinued hedging relationships (337) — (888) Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (5,449) $ (18,039) $ 1,568 _______________________ (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. (2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (3) Excludes the interest income/expense of the respective hedged items recorded in net interest income. Tables 6.3 presents the net gains (losses) on qualifying cash flow hedging relationships. Table 6.3 - Net Gains (Losses) on Cash Flow Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Forward-start interest rate swaps - CO Bonds Losses reclassified from accumulated other comprehensive income into interest expense $ (1,557) $ (1,757) Gains (losses) recognized in other comprehensive income 5,186 (1,125) Table 6.5 - Net Gains and Losses on Derivatives and Hedging Activities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (186) $ (52,569) CO bond firm commitments 19 — Mortgage-delivery commitments (686) (62) Total net losses related to derivatives not designated as hedging instruments (853) (52,631) Other (1) 5 73 Net losses on derivatives $ (848) $ (52,558) ______________________ (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. |
Gains (Losses) By Type of Hedged Item [Table Text Block] | Table 6.4 - Cumulative Basis Adjustments for Fair-Value Hedges (dollars in thousands) March 31, 2021 Line Item in Statement of Condition 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 $ 4,605,732 $ 88,078 $ 11,644 $ 99,722 Available-for-sale securities 7,543,282 251,289 — 251,289 Consolidated obligation bonds 5,798,744 (82,242) 38,321 (43,921) _______________________ (1) Includes only the portion of amortized cost representing the hedged items in fair-value hedging relationships. |
Derivatives Not Designated as Hedging Instruments [Table Text Block] | Table 6.5 - Net Gains and Losses on Derivatives and Hedging Activities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (186) $ (52,569) CO bond firm commitments 19 — Mortgage-delivery commitments (686) (62) Total net losses related to derivatives not designated as hedging instruments (853) (52,631) Other (1) 5 73 Net losses on derivatives $ (848) $ (52,558) ______________________ (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. |
Post-haircut Value of Incremental Collateral Based on Incremental Credit Rating Downgrades [Table Text Block] | Table 6.6 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, 2021. Table 6.6 - Post Haircut Value of Incremental Collateral to be Delivered as of March 31, 2021 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ 183 AA- A+, A or A- — A- below A- 13,266 _______________________ (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 6.7 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, 2021, and December 31, 2020, 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 6.7 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2021 Derivative Instruments Meeting Netting Requirements Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 4,024 $ (3,614) $ 410 $ — $ 410 Cleared 8,994 305,804 314,798 — 314,798 CO bond firm commitment $ 19 19 19 Mortgage delivery commitment 28 28 28 Total $ 315,255 $ 315,255 Derivative Liabilities Interest-rate swaps Uncleared $ (136,592) $ 102,854 $ (33,738) $ 21,644 $ (12,094) Cleared (981) 981 — — — Mortgage delivery commitment $ (141) (141) (141) Total $ (33,879) $ (12,235) December 31, 2020 Derivative Instruments Meeting Netting Requirements Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 5,215 $ (4,899) $ 316 $ — $ 316 Cleared 4,747 155,955 160,702 — $ 160,702 Mortgage delivery commitment $ 220 220 220 Total $ 161,238 $ 161,238 Derivative Liabilities Interest-rate swaps Uncleared $ (82,625) $ 58,563 $ (24,062) $ 23,087 $ (975) Cleared (6,145) 6,145 — — — Total $ (24,062) $ (975) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value that cannot be sold or repledged by the counterparty. Additionally, any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2021, and December 31, 2020, we had additional net credit exposure of $34 thousand and $925 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Offsetting Liabilities [Table Text Block] | Table 6.7 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, 2021, and December 31, 2020, 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 6.7 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2021 Derivative Instruments Meeting Netting Requirements Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 4,024 $ (3,614) $ 410 $ — $ 410 Cleared 8,994 305,804 314,798 — 314,798 CO bond firm commitment $ 19 19 19 Mortgage delivery commitment 28 28 28 Total $ 315,255 $ 315,255 Derivative Liabilities Interest-rate swaps Uncleared $ (136,592) $ 102,854 $ (33,738) $ 21,644 $ (12,094) Cleared (981) 981 — — — Mortgage delivery commitment $ (141) (141) (141) Total $ (33,879) $ (12,235) December 31, 2020 Derivative Instruments Meeting Netting Requirements Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 5,215 $ (4,899) $ 316 $ — $ 316 Cleared 4,747 155,955 160,702 — $ 160,702 Mortgage delivery commitment $ 220 220 220 Total $ 161,238 $ 161,238 Derivative Liabilities Interest-rate swaps Uncleared $ (82,625) $ 58,563 $ (24,062) $ 23,087 $ (975) Cleared (6,145) 6,145 — — — Total $ (24,062) $ (975) _______________________ (1) Includes gross amounts of netting adjustments and cash collateral. (2) Includes non-cash collateral at fair value that cannot be sold or repledged by the counterparty. Additionally, any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2021, and December 31, 2020, we had additional net credit exposure of $34 thousand and $925 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Deposits (Tables)
Deposits (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Deposits [Abstract] | |
Interest-bearing and Non-interest-bearing Deposits [Table Text Block] | Table 7.1 - Deposits (dollars in thousands) March 31, 2021 December 31, 2020 Interest-bearing Demand and overnight $ 962,070 $ 975,469 Other 1,549 2,525 Noninterest-bearing Other 124,568 110,993 Total deposits $ 1,088,187 $ 1,088,987 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Debt Disclosure [Abstract] | |
CO Bonds by Year of Contractual Maturity [Table Text Block] | Table 8.1 - CO Bonds Outstanding by Contractual Maturity (dollars in thousands) March 31, 2021 December 31, 2020 Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 8,203,645 0.80 % $ 10,608,465 0.81 % Due after one year through two years 4,205,475 1.19 3,956,120 1.35 Due after two years through three years 1,340,950 2.13 1,569,315 2.20 Due after three years through four years 1,883,780 1.81 1,141,430 2.43 Due after four years through five years 3,320,590 0.89 1,776,100 1.12 Thereafter 3,750,750 2.39 2,312,155 3.58 Total par value 22,705,190 1.31 % 21,363,585 1.42 % Premiums 54,298 58,537 Discounts (11,107) (12,278) Hedging adjustments (43,921) 61,746 Total $ 22,704,460 $ 21,471,590 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. Table 8.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date (dollars in thousands) March 31, 2021 December 31, 2020 Due in one year or less $ 13,247,645 $ 11,728,465 Due after one year through two years 4,360,475 4,046,120 Due after two years through three years 1,280,950 1,629,315 Due after three years through four years 1,162,780 1,011,430 Due after four years through five years 1,442,590 1,501,100 Thereafter 1,210,750 1,447,155 Total par value $ 22,705,190 $ 21,363,585 |
CO Bonds Long-term Debt Instruments [Table Text Block] | Table 8.2 - CO Bonds Outstanding by Call Feature (dollars in thousands) March 31, 2021 December 31, 2020 Noncallable and nonputable $ 17,261,190 $ 19,668,585 Callable 5,444,000 1,695,000 Total par value $ 22,705,190 $ 21,363,585 Table 8.4 - CO Bonds by Interest Rate-Payment Type (dollars in thousands) March 31, 2021 December 31, 2020 Fixed-rate $ 14,455,190 $ 12,524,585 Simple variable-rate 7,077,000 8,549,000 Step-up (1) 1,173,000 290,000 Total par value $ 22,705,190 $ 21,363,585 _______________________ (1) Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates. |
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 8.5 - CO Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Rate (1) March 31, 2021 $ 9,927,167 $ 9,927,530 0.05 % December 31, 2020 $ 12,878,310 $ 12,879,765 0.10 % _______________________ (1) CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Affordable Housing Program (AHP) [Abstract] | |
Roll-forward of the AHP Liability[Table Text Block] | Table 9.1 - AHP Liability (dollars in thousands) March 31, 2021 December 31, 2020 Balance at beginning of year $ 78,640 $ 86,131 AHP expense for the period 2,323 13,386 AHP voluntary contribution (1) 3,076 1,614 AHP direct grant disbursements (4,753) (21,374) AHP subsidy for AHP advance disbursements (1,711) (1,216) Return of previously disbursed grants and subsidies — 99 Balance at end of period $ 77,575 $ 78,640 _______________________ (1) Recorded in other expenses in the statement of operations. |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Compliance with Regulatory Capital Requirements [Table Text Block] | Table 10.1 - Regulatory Capital Requirements (dollars in thousands) Risk-Based Capital Requirements March 31, December 31, Permanent capital Class B capital stock $ 1,181,665 $ 1,267,172 Mandatorily redeemable capital stock 6,164 6,282 Retained earnings 1,514,176 1,498,642 Total permanent capital $ 2,702,005 $ 2,772,096 Risk-based capital requirement Credit-risk capital $ 98,186 $ 96,143 Market-risk capital 201,548 204,028 Operations-risk capital 89,920 90,052 Total risk-based capital requirement $ 389,654 $ 390,223 Permanent capital in excess of risk-based capital requirement $ 2,312,351 $ 2,381,873 March 31, 2021 December 31, 2020 Required Actual Required Actual Capital Ratio Risk-based capital $ 389,654 $ 2,702,005 $ 390,223 $ 2,772,096 Total regulatory capital 1,467,069 2,702,005 1,538,441 2,772,096 Total capital-to-asset ratio 4.0 % 7.4 % 4.0 % 7.2 % Leverage Ratio Leverage capital $ 1,833,836 $ 4,053,008 $ 1,923,052 $ 4,158,144 Leverage capital-to-assets ratio 5.0 % 11.1 % 5.0 % 10.8 % |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Loss (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Accumulated Other Comprehensive Loss [Table Text Block] | Accumulated Other Comprehensive Income (Loss) Table 11.1 - Accumulated Other Comprehensive Income (Loss) (dollars in thousands) Net Unrealized Gain (Loss) on Available-for-sale Securities Noncredit Portion of Other-than-temporary Impairment Losses on Held-to-maturity Securities Net Unrealized (Loss) Gain Relating to Hedging Activities Pension and Postretirement Benefits Total Balance, December 31, 2019 $ (73,922) $ (76,036) $ (30,207) $ (6,807) $ (186,972) Other comprehensive income (loss) before reclassifications: Net unrealized losses (85,737) — (1,125) — (86,862) Noncredit losses included in basis of securities sold — 20,239 — — 20,239 Accretion of noncredit loss — 2,805 — — 2,805 Net actuarial loss — — — 501 501 Reclassifications from other comprehensive income to net income Amortization - hedging activities (1) — — 1,757 — 1,757 Amortization - pension and postretirement benefits (2) — — — 295 295 Other comprehensive (loss) income (85,737) 23,044 632 796 (61,265) Balance, March 31, 2020 $ (159,659) $ (52,992) $ (29,575) $ (6,011) $ (248,237) Balance, December 31, 2020 $ 48,568 $ — $ (24,365) $ (8,064) $ 16,139 Other comprehensive income (loss) before reclassifications: Net unrealized (losses) gains (1,919) — 5,186 — 3,267 Reclassifications from other comprehensive income to net income Amortization - hedging activities (1) — — 1,557 — 1,557 Amortization - pension and postretirement benefits (2) — — — 260 260 Other comprehensive (loss) income (1,919) — 6,743 260 5,084 Balance, March 31, 2021 $ 46,649 $ — $ (17,622) $ (7,804) $ 21,223 _______________________ (1) Recorded in CO bond interest expense. (2) Recorded in other expenses in the statement of operations. |
Fair Values (Tables)
Fair Values (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments [Table Text Block] | Table 12.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at March 31, 2021, and December 31, 2020. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis and certain mortgage loans, and certain other assets at fair value on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 12.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. Table 12.1 - Fair Value Summary (dollars in thousands) March 31, 2021 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 $ 207,099 $ 207,099 $ 207,099 $ — $ — $ — Interest-bearing deposits 243,150 243,150 243,150 — — — Securities purchased under agreements to resell 1,500,000 1,499,998 — 1,499,998 — — Federal funds sold 1,218,000 1,217,999 — 1,217,999 — — Trading securities (1) 3,139,936 3,139,936 — 3,139,936 — — Available-for-sale securities (1) 9,180,832 9,180,832 — 9,072,924 107,908 — Held-to-maturity securities 192,648 196,742 — 196,742 — — Advances 16,798,082 17,045,360 — 17,045,360 — — Mortgage loans, net 3,726,343 3,912,078 — 3,843,379 68,699 — Accrued interest receivable 82,416 82,416 — 82,416 — — Derivative assets (1) 315,255 315,255 — 13,065 — 302,190 Other assets (1) 38,769 38,769 14,304 24,465 — — Liabilities: Deposits (1,088,187) (1,088,187) — (1,088,187) — — COs: Bonds (22,704,460) (23,103,280) — (23,103,280) — — Discount notes (9,927,167) (9,927,432) — (9,927,432) — — Mandatorily redeemable capital stock (6,164) (6,164) (6,164) — — — Accrued interest payable (61,653) (61,653) — (61,653) — — Derivative liabilities (1) (33,879) (33,879) — (137,714) — 103,835 Other: Commitments to extend credit for advances — (53,731) — (53,731) — — Standby letters of credit (1,223) (1,223) — (1,223) — — December 31, 2020 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 $ 2,050,028 $ 2,050,028 $ 2,050,028 $ — $ — $ — Interest-bearing deposits 299,149 299,149 299,149 — — — Securities purchased under agreements to resell 750,000 749,995 — 749,995 — — Federal funds sold 2,260,000 2,259,988 — 2,259,988 — — Trading securities (1) 3,605,079 3,605,079 — 3,605,079 — — Available-for-sale securities (1) 6,220,148 6,220,148 — 6,097,599 122,549 — Held-to-maturity securities 207,162 211,837 — 211,837 — — Advances 18,817,002 19,119,220 — 19,119,220 — — Mortgage loans, net 3,930,252 4,136,004 — 4,086,757 49,247 — Accrued interest receivable 87,582 87,582 — 87,582 — — Derivative assets (1) 161,238 161,238 — 10,182 — 151,056 Other assets (1) 34,360 34,360 14,296 20,064 — — Liabilities: Deposits (1,088,987) (1,088,981) — (1,088,981) — — COs: Bonds (21,471,590) (22,062,476) — (22,062,476) — — Discount notes (12,878,310) (12,878,918) — (12,878,918) — — Mandatorily redeemable capital stock (6,282) (6,282) (6,282) — — — Accrued interest payable (61,918) (61,918) — (61,918) — — Derivative liabilities (1) (24,062) (24,062) — (88,770) — 64,708 Other: Commitments to extend credit for advances — (5,306) — (5,306) — — Standby letters of credit (1,303) (1,303) — (1,303) — — _______________________ (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 Recurring and Nonrecurring Basis [Table Text Block] | Table 12.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands) March 31, 2021 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 $ — $ 5,410 $ — $ — $ 5,410 U.S. Treasury obligations — 3,131,858 — — 3,131,858 U.S. government-guaranteed – single-family MBS — 2,618 — — 2,618 GSE – single-family MBS — 50 — — 50 Total trading securities — 3,139,936 — — 3,139,936 Available-for-sale securities: HFA securities — — 107,908 — 107,908 Supranational institutions — 416,789 — — 416,789 U.S. Treasury obligations — 2,848,415 — — 2,848,415 U.S. government-owned corporations — 297,690 — — 297,690 GSE — 124,887 — — 124,887 U.S. government guaranteed – single-family MBS — 26,951 — — 26,951 U.S. government guaranteed – multifamily MBS — 18,233 — — 18,233 GSE – single-family MBS — 1,233,955 — — 1,233,955 GSE – multifamily MBS — 4,106,004 — — 4,106,004 Total available-for-sale securities — 9,072,924 107,908 — 9,180,832 Derivative assets: Interest-rate-exchange agreements — 13,018 — 302,190 315,208 CO bond firm commitments — 19 — — 19 Mortgage delivery commitments — 28 — — 28 Total derivative assets — 13,065 — 302,190 315,255 Other assets 14,304 24,465 — — 38,769 Total assets carried at fair value on a recurring basis $ 14,304 $ 12,250,390 $ 107,908 $ 302,190 $ 12,674,792 Carried at fair value on a nonrecurring basis (2) Mortgage loans held for portfolio $ — $ — $ 3,407 $ — $ 3,407 Total assets carried at fair value on a nonrecurring basis $ — $ — $ 3,407 $ — $ 3,407 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (137,573) $ — $ 103,835 $ (33,738) Mortgage delivery commitments — (141) — — (141) Total liabilities carried at fair value on a recurring basis $ — $ (137,714) $ — $ 103,835 $ (33,879) December 31, 2020 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 $ — $ 5,422 $ — $ — $ 5,422 U.S. Treasury obligations — 3,596,718 — — 3,596,718 U.S. government-guaranteed – single-family MBS — 2,884 — — 2,884 GSE – single-family MBS — 55 — — 55 Total trading securities — 3,605,079 — — 3,605,079 Available-for-sale securities: HFA securities — — 122,549 — 122,549 Supranational institutions — 430,069 — — 430,069 U.S. government-owned corporations — 322,061 — — 322,061 GSE — 134,992 — — 134,992 U.S. government guaranteed – single-family MBS — 29,408 — — 29,408 U.S. government guaranteed – multifamily MBS — 47,180 — — 47,180 GSE – single-family MBS — 1,469,048 — — 1,469,048 GSE – multifamily MBS — 3,664,841 — — 3,664,841 Total available-for-sale securities — 6,097,599 122,549 — 6,220,148 Derivative assets: Interest-rate-exchange agreements — 9,962 — 151,056 161,018 Mortgage delivery commitments — 220 — — 220 Total derivative assets — 10,182 — 151,056 161,238 Other assets 14,296 20,064 — — 34,360 Total assets carried at fair value on a recurring basis $ 14,296 $ 9,732,924 $ 122,549 $ 151,056 $ 10,020,825 Carried at fair value on a nonrecurring basis (2) Mortgage loans held for portfolio $ — $ — $ 10,782 $ — $ 10,782 REO — — 245 — 245 Total assets carried at fair value on a nonrecurring basis $ — $ — $ 11,027 $ — $ 11,027 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (88,770) $ — $ 64,708 $ (24,062) Total liabilities carried at fair value on a recurring basis $ — $ (88,770) $ — $ 64,708 $ (24,062) _______________________ (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. The fair values presented are as of the date the fair value adjustment was recorded. |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | Table 12.3 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, 2021 and 2020. Table 12.3 - Roll Forward of Level 3 Available-for-Sale Securities (dollars in thousands) For the Three Months Ended March 31, 2021 2020 HFA Securities HFA Securities Balance at beginning of period $ 122,549 $ 64,652 Total gains included in other comprehensive income Net unrealized gains 2,204 743 Maturities and settlements Maturities (16,620) — Settlements (225) — Balance at end of period $ 107,908 $ 65,395 Total amount of unrealized gains for the period included in other comprehensive income relating to securities held at period end $ 1,349 $ 743 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Table 13.1 - Off-Balance Sheet Commitments (1) (dollars in thousands) March 31, 2021 December 31, 2020 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (2) $ 5,717,332 $ 218,680 $ 5,936,012 $ 6,190,479 $ 233,771 $ 6,424,250 Commitments for unused lines of credit - advances (3) 1,118,063 — 1,118,063 1,127,432 — 1,127,432 Commitments to make additional advances 61,925 90,558 152,483 69,684 93,465 163,149 Commitments to invest in mortgage loans 19,685 — 19,685 28,386 — 28,386 Unsettled CO bonds, at par 235,000 — 235,000 — — — Unsettled CO discount notes, at par 650,000 — 650,000 250,000 — 250,000 __________________________ (1) We have determined that it is unnecessary to record any liability for credit losses on these agreements. (2) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At March 31, 2021, and December 31, 2020, these amounts totaled $70.8 million and $37.1 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $25 thousand at December 31, 2020. (3) 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, 2021 | |
Transactions with Shareholders [Abstract] | |
Schedule of Transactions with Shareholders, Transactions with Directors' Financial Institutions [Table Text Block] | 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 14.1 - 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 March 31, 2021 $ 57,540 4.8 % $ 540,451 3.2 % $ 588 2.3 % December 31, 2020 60,624 4.8 582,765 3.1 651 2.5 |
Investments Trading Securities
Investments Trading Securities by Major Security Type (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 3,139,936 | $ 3,605,079 |
Corporate bonds [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 5,410 | 5,422 |
US Treasury obligations [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 3,131,858 | 3,596,718 |
Other Than MBS [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 3,137,268 | 3,602,140 |
U.S. government guaranteed - single-family MBS [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 2,618 | 2,884 |
GSE – MBS [Member] | Single Family [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 50 | 55 |
MBS [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 2,668 | $ 2,939 |
Unrealized and Realized Gains (
Unrealized and Realized Gains (Losses) on Trading Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||
Net unrealized (losses) gains on trading securities held at period end | $ (13,382) | $ 46,120 |
Net unrealized and realized losses on trading securities sold or matured during the period | (1,461) | 0 |
Net unrealized (losses) gains on trading securities | $ (14,843) | $ 46,120 |
Available-for-Sale Securities b
Available-for-Sale Securities by Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 9,134,183 | $ 6,171,580 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 80,109 | 98,264 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (33,460) | (49,696) | |
Available-for-sale securities Fair Value | 9,180,832 | 6,220,148 | |
Available-for-sale securities - accrued interest receivable | 21,100 | 24,000 | |
US Treasury Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 2,847,088 | |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 1,599 | ||
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (272) | ||
Available-for-sale securities Fair Value | 2,848,415 | ||
State housing-finance-agency obligations (HFA securities) [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 110,085 | 126,930 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 5 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,182) | (4,381) | |
Available-for-sale securities Fair Value | 107,908 | 122,549 | |
Supranational institutions [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 424,240 | 442,225 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 57 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (7,508) | (12,156) | |
Available-for-sale securities Fair Value | 416,789 | 430,069 | |
U.S. government-owned corporations [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 315,546 | 350,052 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (17,856) | (27,991) | |
Available-for-sale securities Fair Value | 297,690 | 322,061 | |
GSE [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 128,407 | 140,136 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (3,520) | (5,144) | |
Available-for-sale securities Fair Value | 124,887 | 134,992 | |
Other Than MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 3,825,366 | 1,059,343 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 1,661 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (31,338) | (49,672) | |
Available-for-sale securities Fair Value | 3,795,689 | 1,009,671 | |
U.S. government guaranteed - single-family MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 26,479 | 29,148 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 472 | 260 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Available-for-sale securities Fair Value | 26,951 | 29,408 | |
U.S. government guaranteed-multifamily MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 18,162 | 46,829 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 71 | 351 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Available-for-sale securities Fair Value | 18,233 | 47,180 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 5,308,817 | 5,112,237 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 78,448 | 98,264 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,122) | (24) | |
Available-for-sale securities Fair Value | 5,385,143 | 5,210,477 | |
Single Family [Member] | GSE – MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 1,207,912 | 1,442,282 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 26,059 | 26,790 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (16) | (24) | |
Available-for-sale securities Fair Value | 1,233,955 | 1,469,048 | |
Multifamily [Member] | GSE – MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 4,056,264 | 3,593,978 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 51,846 | 70,863 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,106) | 0 | |
Available-for-sale securities Fair Value | $ 4,106,004 | $ 3,664,841 | |
[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 $21.1 million and $24.0 million at March 31, 2021, and December 31, 2020, respectively |
Available-for-Sale Securities S
Available-for-Sale Securities Securities in a Continuous Unrealized Loss Position (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | $ 945,984 | $ 0 |
Less than 12 Months, Unrealized Losses | (272) | 0 |
12 Months or More, Fair Value | 1,379,556 | 1,007,173 |
12 Months or More, Unrealized Losses | (33,188) | (49,696) |
Total Fair Value | 2,325,540 | 1,007,173 |
Total Unrealized Losses | (33,460) | (49,696) |
US Treasury Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 945,984 | |
Less than 12 Months, Unrealized Losses | (272) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Fair Value | 945,984 | |
Total Unrealized Losses | (272) | |
HFA securities [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 | 81,278 | 109,780 |
12 Months or More, Unrealized Losses | (2,182) | (4,381) |
Total Fair Value | 81,278 | 109,780 |
Total Unrealized Losses | (2,182) | (4,381) |
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 | 401,544 | 430,069 |
12 Months or More, Unrealized Losses | (7,508) | (12,156) |
Total Fair Value | 401,544 | 430,069 |
Total Unrealized Losses | (7,508) | (12,156) |
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 | 297,690 | 322,061 |
12 Months or More, Unrealized Losses | (17,856) | (27,991) |
Total Fair Value | 297,690 | 322,061 |
Total Unrealized Losses | (17,856) | (27,991) |
GSE [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 | 124,887 | 134,992 |
12 Months or More, Unrealized Losses | (3,520) | (5,144) |
Total Fair Value | 124,887 | 134,992 |
Total Unrealized Losses | (3,520) | (5,144) |
Other Than MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 945,984 | 0 |
Less than 12 Months, Unrealized Losses | (272) | 0 |
12 Months or More, Fair Value | 905,399 | 996,902 |
12 Months or More, Unrealized Losses | (31,066) | (49,672) |
Total Fair Value | 1,851,383 | 996,902 |
Total Unrealized Losses | (31,338) | (49,672) |
MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | |
Less than 12 Months, Unrealized Losses | 0 | |
12 Months or More, Fair Value | 474,157 | |
12 Months or More, Unrealized Losses | (2,122) | |
Total Fair Value | 474,157 | |
Total Unrealized Losses | (2,122) | |
GSEs - single-family [Member] | GSE – 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 | 9,209 | 10,271 |
12 Months or More, Unrealized Losses | (16) | (24) |
Total Fair Value | 9,209 | 10,271 |
Total Unrealized Losses | (16) | $ (24) |
GSEs - multifamily [Member] | GSE – MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | |
Less than 12 Months, Unrealized Losses | 0 | |
12 Months or More, Fair Value | 464,948 | |
12 Months or More, Unrealized Losses | (2,106) | |
Total Fair Value | 464,948 | |
Total Unrealized Losses | $ (2,106) |
Available-for-Sale Securities_2
Available-for-Sale Securities by Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 9,134,183 | $ 6,171,580 |
Fair Value | 9,180,832 | 6,220,148 | |
Other Than MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in one year or less, amortized cost | 10,600 | 10,600 | |
Due in one year or less, fair value | 10,551 | 10,524 | |
Due after one year through five years, amortized cost | 165,998 | 169,570 | |
Due after one year through five years, fair value | 163,742 | 166,813 | |
Due after five years through 10 years, amortized cost | 3,230,503 | 400,477 | |
Due after five years through 10 years, fair value | 3,225,357 | 389,753 | |
Due after 10 years, amortized cost | 418,265 | 478,696 | |
Due after 10 years, fair value | 396,039 | 442,581 | |
Amortized Cost | [1] | 3,825,366 | 1,059,343 |
Fair Value | 3,795,689 | 1,009,671 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 5,308,817 | 5,112,237 |
Fair Value | 5,385,143 | 5,210,477 | |
Amortized Cost MBS | [2] | 5,308,817 | 5,112,237 |
Fair Value MBS | [2] | $ 5,385,143 | $ 5,210,477 |
[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 $21.1 million and $24.0 million at March 31, 2021, and December 31, 2020, respectively | ||
[2] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities by
Held-to-Maturity Securities by Major Security Type (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity fair value | $ 196,742 | $ 211,837 | |
Held-to-maturity securities - accrued interest receivable | 308 | 368 | |
U.S. government guaranteed - single-family MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 5,184 | 5,388 |
Gross Unrecognized Holding Gains | 101 | 103 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity fair value | 5,285 | 5,491 | |
GSE – MBS [Member] | Single Family [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 187,464 | 201,774 |
Gross Unrecognized Holding Gains | 4,074 | 4,681 | |
Gross Unrecognized Holding Losses | (81) | (109) | |
Held-to-maturity fair value | 191,457 | 206,346 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 192,648 | 207,162 |
Gross Unrecognized Holding Gains | 4,175 | 4,784 | |
Gross Unrecognized Holding Losses | (81) | (109) | |
Held-to-maturity fair value | $ 196,742 | $ 211,837 | |
[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 $308 thousand and $368 thousand at March 31, 2021, and December 31, 2020, respectively. |
Proceeds and Gains (Losses) fro
Proceeds and Gains (Losses) from Sales of Investment Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | ||
Debt Securities, Held-to-maturity, Sale [Abstract] | |||
Proceeds from sale | [1] | $ 0 | $ 161,743 |
Less: Carrying value | [1] | 0 | 100,771 |
Less: Noncredit losses recorded in accumulated other comprehensive income | [1] | 0 | 20,239 |
Realized net gain from sale | [1] | $ 0 | $ 40,733 |
[1] | The securities sold 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 did not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates. |
Allowance for Credit Losses on
Allowance for Credit Losses on Debt Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Held-to-maturity, Allowance for Credit Loss | ||
Balance at beginning of year | $ 0 | $ 0 |
Adjustments for cumulative effect of change in accounting principle | 0 | 5,308 |
Reduction of provision for credit losses due to sales of securities | 0 | (1,540) |
Balance at end of period | $ 0 | $ 3,768 |
Investments Narrative (Details)
Investments Narrative (Details) - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Percentage of short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold assets rated below triple-B | 0.00% | ||||
Allowance for credit losses for securities purchased under agreements to resell | $ 0 | ||||
Available for-Sale securities, rated single-A or above, based on amortized cost | 99.80% | ||||
Allowance for credit losses on Available-for-Sale securities | $ 0 | ||||
Allowance for credit losses on held-to-maturity securities | $ 0 | $ 0 | $ 3,768,000 | $ 0 | |
Held -to-maturity securities, rated single-A or above, based on amortized cost | 100.00% | ||||
Securities Borrowed Or Purchased Under Agreement To Resell [Member] | |||||
Accrued interests receivable | $ 2,000 | 1,000 | |||
Interest Bearing Deposits and Federal Funds Sold [Member] | |||||
Allowance for credit loss | 0 | ||||
Interest-bearing Deposits [Member] | |||||
Accrued interests receivable | 26,000 | 31,000 | |||
Federal Funds Sold [Member] | |||||
Accrued interests receivable | $ 2,000 | $ 5,000 | |||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Held-to-maturity Securities [Member] | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2016-13 | |||||
Cumulative effect of change in accounting principle | $ 5,300,000 |
Advances - Outstanding by Year
Advances - Outstanding by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | $ 3,979 | $ 135 | |
Due in one year or less | 7,046,407 | 9,090,900 | |
Due after one year through two years | 2,552,972 | 2,281,047 | |
Due after two years through three years | 1,646,933 | 2,014,880 | |
Due after three years through four years | 2,257,892 | 1,685,056 | |
Due after four years through five years | 1,953,248 | 2,687,456 | |
Thereafter | 1,273,554 | 945,038 | |
Total par value | 16,734,985 | 18,704,512 | |
Premiums | 1,016 | 2,248 | |
Discounts | (37,641) | (37,592) | |
Fair value of bifurcated derivatives | [1] | 38,072 | 44,534 |
Hedging adjustments | 61,650 | 103,300 | |
Total Advances | [2] | $ 16,798,082 | $ 18,817,002 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand-deposit accounts, Weighted average rate | 0.57% | 0.62% | |
Due in one year or less, Weighted average rate | 0.98% | 1.00% | |
Due after one year through two years, Weighted average rate | 1.82% | 1.78% | |
Due after two years through three years, Weighted average rate | 2.24% | 2.37% | |
Due after three years through four years, Weighted average rate | 1.64% | 1.79% | |
Due after four years through five years, Weighted average rate | 1.29% | 1.34% | |
Thereafter, Weighted average rate | 2.07% | 2.38% | |
Total Weighted average rate | 1.44% | 1.43% | |
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Advances accrued interest receivable | $ 25,100 | $ 25,800 | |
[1] | At March 31, 2021, and December 31, 2020, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives. | ||
[2] | Excludes accrued interest receivable of $25.1 million and $25.8 million at March 31, 2021, and December 31, 2020, respectively. |
Advances - Outstanding by Yea_2
Advances - Outstanding by Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand-deposit accounts | $ 3,979 | $ 135 |
Due in one year or less | 8,176,482 | 10,149,975 |
Due after one year through two years | 2,267,172 | 2,095,247 |
Due after two years through three years | 1,361,933 | 1,809,880 |
Due after three years through four years | 2,135,817 | 1,392,981 |
Due after four years through five years | 1,529,748 | 2,335,956 |
Thereafter | 1,259,854 | 920,338 |
Total par value | $ 16,734,985 | $ 18,704,512 |
Advances - Outstanding by Yea_3
Advances - Outstanding by Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand-deposit accounts | $ 3,979 | $ 135 |
Due in one year or less | 8,822,832 | 10,755,575 |
Due after one year through two years | 2,018,672 | 2,201,797 |
Due after two years through three years | 1,148,733 | 1,224,380 |
Due after three years through four years | 1,661,467 | 1,593,056 |
Due after four years through five years | 1,858,748 | 2,059,531 |
Thereafter | 1,220,554 | 870,038 |
Total par value | $ 16,734,985 | $ 18,704,512 |
Advances - by Current Interest
Advances - by Current Interest Rate Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Fixed-rate | $ 14,692,231 | $ 16,742,602 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Variable-rate | 2,042,754 | 1,961,910 |
Total par value | $ 16,734,985 | $ 18,704,512 |
Advances - Prepayment Fees (Det
Advances - Prepayment Fees (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Federal Home Loan Bank Advances Prepayment Fees [Abstract] | ||
Prepayment fees received from borrowers | $ 9,417 | $ 838 |
Hedging fair-value adjustments on prepaid advances | (457) | 0 |
Net premiums associated with prepaid advances | (1,227) | 0 |
Advance prepayment fees recognized in income, net | $ 7,733 | $ 838 |
Advances - Narratives (Details)
Advances - Narratives (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Past due advances | $ 0 | $ 0 | |
Nonaccrual status on advances | 0 | 0 | |
Impaired advances | 0 | 0 | |
Troubled debt restructuring related to advances | 0 | $ 0 | |
Allowance for credit loss on advances | $ 0 | $ 0 | |
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% |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Dec. 31, 2020 | ||
Loans and Leases Receivable Disclosure [Line Items] | |||
Par Value | $ 3,668,296 | $ 3,870,707 | |
Premiums | 58,059 | 60,050 | |
Discounts | (968) | (1,094) | |
Deferred derivative gains, net | 2,856 | 3,689 | |
Total mortgage loans held for portfolio | [1] | 3,728,243 | 3,933,352 |
Less: Allowance for credit losses | (1,900) | (3,100) | |
Total mortgage loans, net of allowance for credit losses | $ 3,726,343 | 3,930,252 | |
Fixed-rate 15-year single-family mortgages | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Original contractual terms | 15 years | ||
Fixed-rate 20- and 30-year single-family mortgages | Minimum [Member] | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Original contractual terms | 20 years | ||
Fixed-rate 20- and 30-year single-family mortgages | Maximum [Member] | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Original contractual terms | 30 years | ||
Single Family [Member] | Fixed-rate 15-year single-family mortgages | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Par Value | $ 321,194 | 322,713 | |
Single Family [Member] | Fixed-rate 20- and 30-year single-family mortgages | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Par Value | 3,347,102 | 3,547,994 | |
Real Estate Loan | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Mortgage loans held for portfolio, accrued interest receivable | $ 18,500 | $ 19,300 | |
[1] | Excludes accrued interest receivable of $18.5 million and $19.3 million at March 31, 2021, and December 31, 2020, respectively. |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Loans and Leases Receivable Disclosure [Line Items] | ||
Par Value | $ 3,668,296 | $ 3,870,707 |
Government Mortgage Loans [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Par Value | 230,819 | 246,150 |
Conventional Mortgage Loans [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Par Value | $ 3,437,477 | $ 3,624,557 |
Credit Quality Indicator for Co
Credit Quality Indicator for Conventional Mortgage Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Total amortized cost | [1] | $ 3,728,243 | $ 3,933,352 |
Conventional Mortgage Loans [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | 1,539,135 | 1,284,591 | |
Originated current fiscal year and preceeding four fiscal years | 1,953,751 | 2,397,740 | |
Total amortized cost | 3,492,886 | 3,682,331 | |
Conventional Mortgage Loans [Member] | Nonperforming Financial Instruments | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | 43,506 | 37,900 | |
Originated current fiscal year and preceeding four fiscal years | 44,226 | 79,765 | |
Total amortized cost | 87,732 | 117,665 | |
Conventional Mortgage Loans [Member] | Performing Financial Instruments | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | 1,495,629 | 1,246,691 | |
Originated current fiscal year and preceeding four fiscal years | 1,909,525 | 2,317,975 | |
Total amortized cost | 3,405,154 | 3,564,666 | |
Conventional Mortgage Loans [Member] | Past due 30-59 days delinquent [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | 16,616 | 11,743 | |
Originated current fiscal year and preceeding four fiscal years | 15,409 | 25,058 | |
Total amortized cost | 32,025 | 36,801 | |
Conventional Mortgage Loans [Member] | Past due 60-89 days delinquent [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | 4,306 | 5,263 | |
Originated current fiscal year and preceeding four fiscal years | 5,225 | 11,178 | |
Total amortized cost | 9,531 | 16,441 | |
Conventional Mortgage Loans [Member] | Past due 90 days or more delinquent [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | 22,584 | 20,894 | |
Originated current fiscal year and preceeding four fiscal years | 23,592 | 43,529 | |
Total amortized cost | $ 46,176 | $ 64,423 | |
[1] | Excludes accrued interest receivable of $18.5 million and $19.3 million at March 31, 2021, and December 31, 2020, respectively. |
Other Delinquency Statistics of
Other Delinquency Statistics of Mortgage Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |||
Mortgage Loans Past Due [Line Items] | |||||
In process of foreclosure | [1] | $ 2,774 | $ 2,803 | ||
Serious delinquency rate | [2] | 1.56% | 2.02% | ||
Recorded Investment in Government Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
In process of foreclosure | [1] | $ 1,443 | $ 1,041 | ||
Serious delinquency rate | [2] | 5.13% | 6.04% | ||
Past due 90 days or more still accruing interest | $ 2,308 | $ 5,592 | |||
Loans on nonaccrual status | 9,775 | [3] | 10,101 | [4] | |
Mortgage loans on non-accrual status with no allowance for credit losses | 9,800 | 10,100 | |||
Recorded Investment in Conventional Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
In process of foreclosure | [1] | $ 1,331 | $ 1,762 | ||
Serious delinquency rate | [2] | 1.32% | 1.75% | ||
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |||
Loans on nonaccrual status | 46,176 | [3] | 65,039 | [4] | |
Mortgage loans on non-accrual status with no allowance for credit losses | 25,200 | 31,800 | |||
Real Estate Loan | |||||
Mortgage Loans Past Due [Line Items] | |||||
Past due 90 days or more still accruing interest | 2,308 | 5,592 | |||
Loans on nonaccrual status | $ 55,951 | [3] | $ 75,140 | [4] | |
[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] | of March 31, 2021, the conventional and government mortgage loans on non-accrual status that did not have an associated allowance for credit losses amounted to $25.2 million and $9.8 million, respectively. (4) As of December 31, 2020, the conventional and government mortgage loans on non-accrual status that did not have an associated allowance for credit losses amounted to $31.8 million and $10.1 million, respectively. | ||||
[4] | As of December 31, 2020, the conventional and government mortgage loans on non-accrual status that did not have an associated allowance for credit losses amounted to $31.8 million and $10.1 million, respectively. |
Allowance for Credit Losses o_2
Allowance for Credit Losses on Conventional Mortgage Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Balance, beginning of period | $ 3,100 | ||
(Reduction of) provision for credit losses | (1,226) | $ (684) | |
Balance, end of period | 1,900 | ||
Conventional Mortgage Loans [Member] | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Balance, beginning of period | [1] | 3,100 | 500 |
Adjustment for cumulative effect of change in accounting principle | [1] | 0 | 2,221 |
Recoveries (charge-offs) | [1] | 26 | (77) |
(Reduction of) provision for credit losses | [1] | (1,226) | 856 |
Balance, end of period | [1] | $ 1,900 | $ 3,500 |
[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 below under — Government Mortgage Loans Held for Portfolio |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio Narrative (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | |
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
TDRs suspended under CARES Act Relief | $ 8,200 | ||||
Par Value | 3,668,296 | $ 3,870,707 | |||
Allowance for credit losses - mortgage loans held for portfolio | 1,900 | 3,100 | |||
Government Mortgage Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Par Value | 230,819 | 246,150 | |||
Allowance for credit losses - mortgage loans held for portfolio | 0 | 0 | |||
COVID19 Forbearance Plan Member | Government Mortgage Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Par Value | 9,100 | ||||
Conventional Mortgage Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Par Value | 3,437,477 | 3,624,557 | |||
Allowance for credit losses - mortgage loans held for portfolio | [1] | 1,900 | $ 3,100 | $ 3,500 | $ 500 |
Conventional Mortgage Loans [Member] | COVID19 Forbearance Plan Member | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Par Value | 42,700 | ||||
Total current loans | $ 3,100 | ||||
Conventional Mortgage Loans in forbearance as a percentage of mortgage loans held for portfolio | 1.10% | ||||
Conventional Mortgage Loans [Member] | COVID19 Forbearance Plan Member | Past due 30-59 days delinquent [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Par Value | $ 3,200 | ||||
Conventional Mortgage Loans [Member] | COVID19 Forbearance Plan Member | Past due 60-89 days delinquent [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Par Value | 4,000 | ||||
Conventional Mortgage Loans [Member] | COVID19 Forbearance Plan Member | Past due 90 days or more delinquent [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Par Value | $ 32,400 | ||||
[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 below under — Government Mortgage Loans Held for Portfolio |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | $ 22,110,024 | $ 15,542,683 | |
Derivative Assets, before netting and collateral adjustments | 13,065 | 10,182 | |
Derivative Liabilities, before netting and collateral adjustments | (137,714) | (88,770) | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2] | 302,190 | 151,056 |
Derivative Liability, netting adjustments and cash collateral including related accrued interest | [1],[2] | 103,835 | 64,708 |
Derivative assets | 315,255 | 161,238 | |
Derivative liabilities | (33,879) | (24,062) | |
Cash collateral and related accrued interest posted | 406,000 | 215,800 | |
Cash collateral and related accrued interest received | 0 | 0 | |
COs - bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Assets, before netting and collateral adjustments | 19 | ||
Derivative assets | 19 | ||
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 18,315,539 | 9,977,475 | |
Derivative Assets, before netting and collateral adjustments | 13,018 | 6,044 | |
Derivative Liabilities, before netting and collateral adjustments | (96,784) | (41,014) | |
Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 17,678,539 | 9,960,475 | |
Derivative Assets, before netting and collateral adjustments | 12,821 | 6,044 | |
Derivative Liabilities, before netting and collateral adjustments | (96,784) | (41,000) | |
Designated as Hedging Instrument [Member] | Forward-start interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 637,000 | 17,000 | |
Derivative Assets, before netting and collateral adjustments | 197 | 0 | |
Derivative Liabilities, before netting and collateral adjustments | 0 | (14) | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 3,794,485 | 5,565,208 | |
Derivative Assets, before netting and collateral adjustments | 47 | 4,138 | |
Derivative Liabilities, before netting and collateral adjustments | (40,930) | (47,756) | |
Not Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 3,749,800 | 5,536,822 | |
Derivative Assets, before netting and collateral adjustments | 0 | 3,918 | |
Derivative Liabilities, before netting and collateral adjustments | (40,789) | (47,756) | |
Not Designated as Hedging Instrument [Member] | COs - bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 25,000 | 0 | |
Derivative Assets, before netting and collateral adjustments | 19 | 0 | |
Derivative Liabilities, before netting and collateral adjustments | 0 | 0 | |
Mortgage Receivable [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative assets | 28 | 220 | |
Derivative liabilities | (141) | ||
Mortgage Receivable [Member] | Not Designated as Hedging Instrument [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | [3] | 19,685 | 28,386 |
Derivative Assets, before netting and collateral adjustments | [3] | 28 | 220 |
Derivative Liabilities, before netting and collateral adjustments | [3] | $ (141) | $ 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 including accrued interest posted was $406.0 million and $215.8 million at March 31, 2021, and December 31, 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. There was no cash collateral and related accrued interest received at March 31, 2021, and December 31, 2020. | ||
[2] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[3] | Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest Income/Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Interest income on advances | $ 49,552 | $ 168,659 | |
Interest income on available-for-sale securities | 22,995 | 12,361 | |
Interest expense on consolidated obligations bonds | (61,601) | (123,547) | |
Advances [Member] | Interest Rate Contract [Member] | Interest Income [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivatives | 41,861 | (127,568) | |
Hedged items | (40,858) | 124,692 | |
Net changes in fair value before price alignment interest | 1,003 | (2,876) | |
Price alignment interest | [1] | 15 | 389 |
Net interest settlements on derivatives | [2],[3] | (15,825) | (2,625) |
Net gains (losses) on qualifying hedging relationships | (14,807) | (5,112) | |
Amortization/accretion of discontinued hedging relationships | (699) | (337) | |
Net (losses) gains on derivatives and hedging activities recorded in net interest income | (15,506) | (5,449) | |
Available-for-sale Securities [Member] | Interest Rate Contract [Member] | Interest Income [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivatives | 256,503 | (376,494) | |
Hedged items | (248,939) | 366,518 | |
Net changes in fair value before price alignment interest | 7,564 | (9,976) | |
Price alignment interest | [1] | 49 | 1,035 |
Net interest settlements on derivatives | [2],[3] | (21,937) | (9,098) |
Net gains (losses) on qualifying hedging relationships | (14,324) | (18,039) | |
Amortization/accretion of discontinued hedging relationships | 0 | 0 | |
Net (losses) gains on derivatives and hedging activities recorded in net interest income | (14,324) | (18,039) | |
COs - bonds [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivatives | (104,519) | 63,735 | |
Hedged items | 104,755 | (64,058) | |
Net changes in fair value before price alignment interest | 236 | (323) | |
Price alignment interest | [1] | (3) | (177) |
Net interest settlements on derivatives | [2],[3] | 7,470 | 2,956 |
Net gains (losses) on qualifying hedging relationships | 7,703 | 2,456 | |
Amortization/accretion of discontinued hedging relationships | (645) | (888) | |
Net (losses) gains on derivatives and hedging activities recorded in net interest income | $ 7,058 | $ 1,568 | |
[1] | Relates to derivatives for which variation margin payments are characterized as daily settled contracts. | ||
[2] | Excludes the interest income/expense of the respective hedged items recorded in net interest income. | ||
[3] | Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Net Gains (Losses) on Cash Flow Hedging Relationships (Details) - Forward-start interest rate swaps [Member] - COs - bonds [Member] - Designated as Hedging Instrument [Member] - Cash Flow Hedging [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Interest Expense [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Losses reclassified from accumulated other comprehensive loss into interest expense | $ (1,557) | $ (1,757) |
Other Comprehensive Income (Loss) [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Gains (losses) recognized in other comprehensive income | $ 5,186 | $ (1,125) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) $ in Thousands | Mar. 31, 2021USD ($) | |
Advances [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | $ 4,605,732 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | 88,078 | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 11,644 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | 99,722 | |
Available-for-sale Securities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | 7,543,282 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | 251,289 | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 0 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | 251,289 | |
COs - bonds [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | 5,798,744 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | (82,242) | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 38,321 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | $ (43,921) | |
[1] | Includes only the portion of amortized cost representing the hedged items in fair-value hedging relationships. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Other Income/Loss (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net losses related to derivatives not designated as hedging instruments | $ (848) | $ (52,558) | |
Gain (Loss) on Derivative Instruments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net losses related to derivatives not designated as hedging instruments | (853) | (52,631) | |
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Other | [1] | 5 | 73 |
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net losses on derivatives | (848) | (52,558) | |
Interest-rate swaps [Member] | Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net losses related to derivatives not designated as hedging instruments | (186) | (52,569) | |
COs - bonds [Member] | Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net losses related to derivatives not designated as hedging instruments | 19 | 0 | |
Mortgage Receivable [Member] | Mortgage-delivery commitments [Member] | Gain (Loss) on Derivative Instruments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net losses related to derivatives not designated as hedging instruments | $ (686) | $ (62) | |
[1] | Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities Narratives (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | ||
Derivative [Line Items] | |||
Reclassifications from accumulated other comprehensive loss into earnings as a result of the discontinuance of cash-flow hedges | $ 0 | $ 0 | |
Maximum length of time which we are hedging our exposure to the variability in future cash flows for forecasted transactions | 6 years | ||
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 | $ 5,800,000 | ||
Aggregate fair value of all uncleared derivatives in a net-liability position (before cash collateral and related accrued interest) | 132,600,000 | ||
Post-haircut value of collateral already posted | 120,100,000 | ||
Rating Downgrade from AAPlus to AA or AAMinus [Member] | |||
Derivative [Line Items] | |||
Incremental collateral | [1] | 183,000 | |
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] | $ 13,266,000 | |
[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_9
Derivatives and Hedging Activities Fair Value of Derivative Instruments With or Without Legal Rights of Offset (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Offsetting Assets [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | $ 302,190 | $ 151,056 |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 103,835 | 64,708 |
Derivative Asset, CO bond firm commitment | 13,065 | 10,182 | |
Derivative assets | 315,255 | 161,238 | |
Derivative liabilities | (33,879) | (24,062) | |
Derivative Asset, Fair value, amount offset against collateral | 315,255 | 161,238 | |
Derivative Liability, Fair value, amount offset against collateral | (12,235) | (975) | |
Derivative Liabilities, additional net exposure, collateral pledged to counterparties in excess of net liabilities | 34 | 925 | |
COs - bonds [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, CO bond firm commitment | 19 | ||
Derivative assets | 19 | ||
Derivative Asset, Fair value, amount offset against collateral | 19 | ||
Uncleared derivatives [Member] | Interest-rate swaps [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, total gross recognized amount | 4,024 | 5,215 | |
Derivative Liability, total gross recognized amount | (136,592) | (82,625) | |
Derivative Assets, Netting Adjustments and Cash Collateral | [3] | (3,614) | (4,899) |
Derivative liability, Netting Adjustments and Cash Collateral | [3] | 102,854 | 58,563 |
Derivative assets | 410 | 316 | |
Derivative liabilities | (33,738) | (24,062) | |
Derivative Assets, fair value of securities pledged as collateral that cannot be sold or repledged | [4] | 0 | 0 |
Derivative Liabilities, fair value of securities pledged as collateral that cannot be sold or repledged | [4] | 21,644 | 23,087 |
Derivative Asset, Fair value, amount offset against collateral | 410 | 316 | |
Derivative Liability, Fair value, amount offset against collateral | (12,094) | (975) | |
Cleared derivatives [Member] | Interest-rate swaps [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, total gross recognized amount | 8,994 | 4,747 | |
Derivative Liability, total gross recognized amount | (981) | (6,145) | |
Derivative Assets, Netting Adjustments and Cash Collateral | [3] | 305,804 | 155,955 |
Derivative liability, Netting Adjustments and Cash Collateral | [3] | 981 | 6,145 |
Derivative assets | 314,798 | 160,702 | |
Derivative liabilities | 0 | 0 | |
Derivative Assets, fair value of securities pledged as collateral that cannot be sold or repledged | [4] | 0 | 0 |
Derivative Liabilities, fair value of securities pledged as collateral that cannot be sold or repledged | [4] | 0 | 0 |
Derivative Asset, Fair value, amount offset against collateral | 314,798 | 160,702 | |
Derivative Liability, Fair value, amount offset against collateral | 0 | 0 | |
Mortgage Receivable [Member] | Mortgage-delivery commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Mortgage delivery commitments | 28 | 220 | |
Derivative Liabilities, Mortgage delivery commitments | (141) | ||
Derivative assets | 28 | 220 | |
Derivative liabilities | (141) | ||
Derivative Asset, Fair value, amount offset against collateral | 28 | $ 220 | |
Derivative Liability, Fair value, amount offset against collateral | $ (141) | ||
[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 including accrued interest posted was $406.0 million and $215.8 million at March 31, 2021, and December 31, 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. There was no cash collateral and related accrued interest received at March 31, 2021, and December 31, 2020. | ||
[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. | ||
[3] | Includes gross amounts of netting adjustments and cash collateral. | ||
[4] | Includes non-cash collateral at fair value that cannot be sold or repledged by the counterparty. Additionally, any overcollateralization with a counterparty is not included in the determination of the net amount. At March 31, 2021, and December 31, 2020, we had additional net credit exposure of $34 thousand and $925 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
Deposits Narratives (Details)
Deposits Narratives (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Deposits [Abstract] | ||
Interest-bearing deposits demand and overnight | $ 962,070 | $ 975,469 |
Interest-bearing deposits other | 1,549 | 2,525 |
Non-interest bearing deposits other | 124,568 | 110,993 |
Total deposits | $ 1,088,187 | $ 1,088,987 |
CO Bonds Outstanding by Contrac
CO Bonds Outstanding by Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less | $ 8,203,645 | $ 10,608,465 | |
Due in one year or less, weighted average rate | [1] | 0.80% | 0.81% |
Due after one year through two years | $ 4,205,475 | $ 3,956,120 | |
Due after one year through two years, weighted average rate | [1] | 1.19% | 1.35% |
Due after two years through three years | $ 1,340,950 | $ 1,569,315 | |
Due after two years through three years, weighted average rate | [1] | 2.13% | 2.20% |
Due after three years through four years | $ 1,883,780 | $ 1,141,430 | |
Due after three years through four years, weighted average rate | [1] | 1.81% | 2.43% |
Due after four years through five years | $ 3,320,590 | $ 1,776,100 | |
Due after four years through five years, weighted average rate | [1] | 0.89% | 1.12% |
Thereafter | $ 3,750,750 | $ 2,312,155 | |
Thereafter, weighted average rate | [1] | 2.39% | 3.58% |
Total par value | $ 22,705,190 | $ 21,363,585 | |
Hedging adjustments | (43,921) | 61,746 | |
Total | $ 22,704,460 | $ 21,471,590 | |
COs - bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Total par value, weighted average rate | [1] | 1.31% | 1.42% |
Premiums | $ 54,298 | $ 58,537 | |
Discounts | $ (11,107) | $ (12,278) | |
[1] | The CO bonds' weighted-average rate excludes concession fees. |
CO Bonds Outstanding by Call Fe
CO Bonds Outstanding by Call Feature (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Total par value | $ 22,705,190 | $ 21,363,585 |
Noncallable and nonputable | ||
Debt Instrument [Line Items] | ||
Total par value | 17,261,190 | 19,668,585 |
Callable | ||
Debt Instrument [Line Items] | ||
Total par value | $ 5,444,000 | $ 1,695,000 |
CO Bonds Outstanding by Contr_2
CO Bonds Outstanding by Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Due in one year or less | $ 8,203,645 | $ 10,608,465 |
Due after one year through two years | 4,205,475 | 3,956,120 |
Due after two years through three years | 1,340,950 | 1,569,315 |
Due after three years through four years | 1,883,780 | 1,141,430 |
Due after four years through five years | 3,320,590 | 1,776,100 |
Thereafter | 3,750,750 | 2,312,155 |
Total par value | 22,705,190 | 21,363,585 |
Earlier Of Contractual Maturity Or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Due in one year or less | 13,247,645 | 11,728,465 |
Due after one year through two years | 4,360,475 | 4,046,120 |
Due after two years through three years | 1,280,950 | 1,629,315 |
Due after three years through four years | 1,162,780 | 1,011,430 |
Due after four years through five years | 1,442,590 | 1,501,100 |
Thereafter | 1,210,750 | 1,447,155 |
Total par value | $ 22,705,190 | $ 21,363,585 |
CO Bonds by Interest Rate-Payme
CO Bonds by Interest Rate-Payment Type (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | |||
Total par value | $ 22,705,190 | $ 21,363,585 | |
Fixed-rate [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | 14,455,190 | 12,524,585 | |
Simple variable-rate [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | 7,077,000 | 8,549,000 | |
Step-up [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | [1] | $ 1,173,000 | $ 290,000 |
[1] | Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates. |
CO Discount Notes Outstanding (
CO Discount Notes Outstanding (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 9,927,167 | $ 12,878,310 | |
Par value | $ 9,927,530 | $ 12,879,765 | |
Weighted Average Rate | [1] | 0.05% | 0.10% |
[1] | 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, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | ||
Affordable Housing Program (AHP) [Abstract] | ||||
Balance at beginning of year | $ 78,640 | $ 86,131 | $ 86,131 | |
AHP expense for the period | 2,323 | 4,636 | 13,386 | |
AHP voluntary contribution | [1] | 3,076 | 1,614 | |
AHP direct grant disbursements | (4,753) | $ (4,672) | (21,374) | |
AHP subsidy for AHP advance disbursements | (1,711) | (1,216) | ||
Return of previously disbursed grants and subsidies | 0 | 99 | ||
Balance at end of period | $ 77,575 | $ 78,640 | ||
[1] | Recorded in other expenses in the statement of operations. |
Regulatory Capital Requirements
Regulatory Capital Requirements (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Banking Regulation, Total Capital [Abstract] | ||
Capital-to-asset ratio, Required | 4.00% | 4.00% |
Leverage capital-to-assets ratio, Required | 5.00% | 5.00% |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
Class B capital stock | $ 1,181,665 | $ 1,267,172 |
Mandatorily redeemable capital stock | 6,164 | 6,282 |
Retained earnings | 1,514,176 | 1,498,642 |
Total permanent capital | 2,702,005 | 2,772,096 |
Credit-risk capital | 98,186 | 96,143 |
Market-risk capital | 201,548 | 204,028 |
Operations-risk capital | 89,920 | 90,052 |
Total risk-based capital requirement | 389,654 | 390,223 |
Permanent capital in excess of risk-based capital requirement | 2,312,351 | 2,381,873 |
Regulatory capital, Required | 1,467,069 | 1,538,441 |
Leverage capital, Required | 1,833,836 | 1,923,052 |
Risk-based capital, Actual | 2,702,005 | 2,772,096 |
Regulatory capital, Actual | $ 2,702,005 | $ 2,772,096 |
Capital-to-asset ratio, Actual | 7.40% | 7.20% |
Leverage capital, Actual | $ 4,053,008 | $ 4,158,144 |
Leverage capital-to-assets ratio, Actual | 11.10% | 10.80% |
Capital Narratives (Details)
Capital Narratives (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Restricted retained earnings | $ 368,420 | $ 368,420 |
Contribution requirement - Restricted Retained Earnings | $ 326,600 | |
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% | |
Unpaid principal balance of mortgage purchased through MPF program | ||
Class B stock purchase requirement | 4.50% | |
Common Class B [Member] | ||
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Minimum [Member] | ||
Class B Stock Purchase Requirement Amount | $ 10 | |
Maximum [Member] | ||
Class B Stock Purchase Requirement Amount | $ 10,000 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Loss (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning of period | $ 2,781,953 | $ 3,145,312 | |
Noncredit losses included in basis of securities sold | [1] | 0 | 20,239 |
Total other comprehensive income (loss) | 5,084 | (61,265) | |
Period end | 2,717,064 | 3,491,241 | |
Net Unrealized Loss Relating to Hedging Activities [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning of period | (24,365) | (30,207) | |
Net Unrealized Gains (Losses) | 5,186 | (1,125) | |
Amortization - hedging activities | [2] | (1,557) | (1,757) |
Total other comprehensive income (loss) | 6,743 | 632 | |
Period end | (17,622) | (29,575) | |
Pension and Postretirement Benefits [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning of period | (8,064) | (6,807) | |
Net actuarial loss | 501 | ||
Amortization - pension and postretirement benefits | [3] | 260 | 295 |
Total other comprehensive income (loss) | 260 | 796 | |
Period end | (7,804) | (6,011) | |
Total [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning of period | 16,139 | (186,972) | |
Net Unrealized Gains (Losses) | 3,267 | (86,862) | |
Noncredit losses included in basis of securities sold | 20,239 | ||
Accretion of noncredit loss | 2,805 | ||
Net actuarial loss | 501 | ||
Amortization - hedging activities | [2] | (1,557) | (1,757) |
Amortization - pension and postretirement benefits | [3] | 260 | 295 |
Total other comprehensive income (loss) | 5,084 | (61,265) | |
Period end | 21,223 | (248,237) | |
Available-for-sale Securities [Member] | Net Unrealized Loss on Available-for-Sale Securities [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning of period | 48,568 | (73,922) | |
Net Unrealized Gains (Losses) | (1,919) | (85,737) | |
Total other comprehensive income (loss) | (1,919) | (85,737) | |
Period end | 46,649 | (159,659) | |
Held-to-maturity Securities [Member] | Noncredit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Beginning of period | 0 | (76,036) | |
Noncredit losses included in basis of securities sold | 20,239 | ||
Accretion of noncredit loss | 2,805 | ||
Total other comprehensive income (loss) | 0 | 23,044 | |
Period end | $ 0 | $ (52,992) | |
[1] | The securities sold 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 did not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates. | ||
[2] | Recorded in CO bond interest expense. | ||
[3] | Recorded in other expenses in the statement of operations. |
Fair Values Carrying Value and
Fair Values Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | $ 207,099 | $ 2,050,028 | |
Trading securities | 3,139,936 | 3,605,079 | |
Available-for-sale securities Fair Value | 9,180,832 | 6,220,148 | |
Held-to-Maturity Securities Carrying Value | [1] | 192,648 | 207,162 |
Held-to-maturity fair value | 196,742 | 211,837 | |
Accrued interest receivable | 82,416 | 87,582 | |
Derivative assets | 315,255 | 161,238 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [2],[3] | 302,190 | 151,056 |
Mandatorily redeemable capital stock | (6,164) | (6,282) | |
Accrued interest payable | (61,653) | (61,918) | |
Derivative liabilities | (33,879) | (24,062) | |
Derivative liability, Netting Adjustments and Cash Collateral | [2],[3] | 103,835 | 64,708 |
Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 207,099 | 2,050,028 | |
Interest-bearing deposits | 243,150 | 299,149 | |
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 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] | 14,304 | 14,296 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | (6,164) | (6,282) | |
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 | 1,499,998 | 749,995 | |
Federal funds sold | 1,217,999 | 2,259,988 | |
Trading securities | [4] | 3,139,936 | 3,605,079 |
Available-for-sale securities Fair Value | [4] | 9,072,924 | 6,097,599 |
Held-to-maturity fair value | 196,742 | 211,837 | |
Advances | 17,045,360 | 19,119,220 | |
Mortgage loans, net | 3,843,379 | 4,086,757 | |
Accrued interest receivable | 82,416 | 87,582 | |
Derivative assets | [4] | 13,065 | 10,182 |
Other assets | [4] | 24,465 | 20,064 |
Deposits | (1,088,187) | (1,088,981) | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | (61,653) | (61,918) | |
Derivative liabilities | [4] | (137,714) | (88,770) |
Level 2 [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (53,731) | (5,306) | |
Level 2 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,223) | (1,303) | |
Level 2 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (9,927,432) | (12,878,918) | |
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] | 107,908 | 122,549 |
Held-to-maturity fair value | 0 | 0 | |
Advances | 0 | 0 | |
Mortgage loans, net | 68,699 | 49,247 | |
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 | 207,099 | 2,050,028 | |
Interest-bearing deposits | 243,150 | 299,149 | |
Securities purchased under agreements to resell | 1,500,000 | 750,000 | |
Federal funds sold | 1,218,000 | 2,260,000 | |
Trading securities | [4] | 3,139,936 | 3,605,079 |
Available-for-sale securities Fair Value | [4] | 9,180,832 | 6,220,148 |
Held-to-Maturity Securities Carrying Value | 192,648 | 207,162 | |
Advances | 16,798,082 | 18,817,002 | |
Mortgage loans, net | 3,726,343 | 3,930,252 | |
Accrued interest receivable | 82,416 | 87,582 | |
Derivative assets | [4] | 315,255 | 161,238 |
Other assets | [4] | 38,769 | 34,360 |
Deposits | (1,088,187) | (1,088,987) | |
Mandatorily redeemable capital stock | (6,164) | (6,282) | |
Accrued interest payable | (61,653) | (61,918) | |
Derivative liabilities | [4] | (33,879) | (24,062) |
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 | (1,223) | (1,303) | |
Carrying Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (9,927,167) | (12,878,310) | |
Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 207,099 | 2,050,028 | |
Interest-bearing deposits | 243,150 | 299,149 | |
Securities purchased under agreements to resell | 1,499,998 | 749,995 | |
Federal funds sold | 1,217,999 | 2,259,988 | |
Trading securities | [4] | 3,139,936 | 3,605,079 |
Available-for-sale securities Fair Value | [4] | 9,180,832 | 6,220,148 |
Held-to-maturity fair value | 196,742 | 211,837 | |
Advances | 17,045,360 | 19,119,220 | |
Mortgage loans, net | 3,912,078 | 4,136,004 | |
Accrued interest receivable | 82,416 | 87,582 | |
Derivative assets | [4] | 315,255 | 161,238 |
Other assets | [4] | 38,769 | 34,360 |
Deposits | (1,088,187) | (1,088,981) | |
Mandatorily redeemable capital stock | (6,164) | (6,282) | |
Accrued interest payable | (61,653) | (61,918) | |
Derivative liabilities | [4] | (33,879) | (24,062) |
Total Fair Value [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (53,731) | (5,306) | |
Total Fair Value [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,223) | (1,303) | |
Total Fair Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (9,927,432) | (12,878,918) | |
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 | (23,103,280) | (22,062,476) | |
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 | (22,704,460) | (21,471,590) | |
COs - bonds [Member] | Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | $ (23,103,280) | $ (22,062,476) | |
[1] | Fair values of held-to-maturity securities were $196,742 and $211,837 at March 31, 2021, and December 31, 2020, respectively. | ||
[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 including accrued interest posted was $406.0 million and $215.8 million at March 31, 2021, and December 31, 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. There was no cash collateral and related accrued interest received at March 31, 2021, and December 31, 2020. | ||
[3] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[4] | Carried at fair value and measured on a recurring basis. |
Fair Values Fair Value of Asset
Fair Values Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | $ 3,139,936 | $ 3,605,079 | |
Available-for-sale securities Fair Value | 9,180,832 | 6,220,148 | |
Derivative assets | 315,255 | 161,238 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | 302,190 | 151,056 |
Derivative liabilities | (33,879) | (24,062) | |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 103,835 | 64,708 |
COs - bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 19 | ||
Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 0 | 0 |
Available-for-sale securities Fair Value | [3] | 0 | 0 |
Derivative assets | [3] | 0 | 0 |
Other assets | [3] | 14,304 | 14,296 |
Mortgage loans held for portfolio | 0 | 0 | |
Derivative liabilities | [3] | 0 | 0 |
Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 3,139,936 | 3,605,079 |
Available-for-sale securities Fair Value | [3] | 9,072,924 | 6,097,599 |
Derivative assets | [3] | 13,065 | 10,182 |
Other assets | [3] | 24,465 | 20,064 |
Mortgage loans held for portfolio | 3,843,379 | 4,086,757 | |
Derivative liabilities | [3] | (137,714) | (88,770) |
Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 0 | 0 |
Available-for-sale securities Fair Value | [3] | 107,908 | 122,549 |
Derivative assets | [3] | 0 | 0 |
Other assets | [3] | 0 | 0 |
Mortgage loans held for portfolio | 68,699 | 49,247 | |
Derivative liabilities | [3] | 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] | 302,190 | 151,056 |
Derivative liability, Netting Adjustments and Cash Collateral | [4] | 103,835 | 64,708 |
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] | 302,190 | 151,056 |
Derivative liability, Netting Adjustments and Cash Collateral | [4] | 103,835 | 64,708 |
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 | 14,304 | 14,296 | |
Total assets carried at fair value | 14,304 | 14,296 | |
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 1 [Member] | COs - bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | ||
Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 3,139,936 | 3,605,079 | |
Available-for-sale securities Fair Value | 9,072,924 | 6,097,599 | |
Derivative assets | 13,065 | 10,182 | |
Other assets | 24,465 | 20,064 | |
Total assets carried at fair value | 12,250,390 | 9,732,924 | |
Total liabilities carried at fair value | (137,714) | (88,770) | |
Recurring [Member] | Level 2 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 13,018 | 9,962 | |
Derivative liabilities | (137,573) | (88,770) | |
Recurring [Member] | Level 2 [Member] | COs - bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 19 | ||
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 | 107,908 | 122,549 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets carried at fair value | 107,908 | 122,549 | |
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 | |
Recurring [Member] | Level 3 [Member] | COs - bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 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 | [5] | 0 | 0 |
Mortgage loans held for portfolio | [5] | 0 | 0 |
REO | [5] | 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 | [5] | 0 | 0 |
Mortgage loans held for portfolio | [5] | 0 | 0 |
REO | [5] | 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] | 3,407 | 11,027 |
Mortgage loans held for portfolio | [5] | 3,407 | 10,782 |
REO | [5] | 245 | |
Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 3,139,936 | 3,605,079 |
Available-for-sale securities Fair Value | [3] | 9,180,832 | 6,220,148 |
Derivative assets | [3] | 315,255 | 161,238 |
Other assets | [3] | 38,769 | 34,360 |
Mortgage loans held for portfolio | 3,912,078 | 4,136,004 | |
Derivative liabilities | [3] | (33,879) | (24,062) |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 3,139,936 | 3,605,079 | |
Available-for-sale securities Fair Value | 9,180,832 | 6,220,148 | |
Derivative assets | 315,255 | 161,238 | |
Other assets | 38,769 | 34,360 | |
Total assets carried at fair value | 12,674,792 | 10,020,825 | |
Total liabilities carried at fair value | (33,879) | (24,062) | |
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 | 315,208 | 161,018 | |
Derivative liabilities | (33,738) | (24,062) | |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | COs - bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 19 | ||
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] | 3,407 | 11,027 |
Mortgage loans held for portfolio | [5] | 3,407 | 10,782 |
REO | [5] | 245 | |
Corporate bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 5,410 | 5,422 | |
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 | 5,410 | 5,422 | |
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 | 5,410 | 5,422 | |
US Treasury Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 3,131,858 | 3,596,718 | |
Available-for-sale securities Fair Value | 2,848,415 | ||
US Treasury Securities [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 | ||
US Treasury Securities [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 3,131,858 | 3,596,718 | |
Available-for-sale securities Fair Value | 2,848,415 | ||
US Treasury Securities [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 | ||
US Treasury Securities [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 3,131,858 | 3,596,718 | |
Available-for-sale securities Fair Value | 2,848,415 | ||
U.S. government guaranteed - single-family MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 2,618 | 2,884 | |
Available-for-sale securities Fair Value | 26,951 | 29,408 | |
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 | 2,618 | 2,884 | |
Available-for-sale securities Fair Value | 26,951 | 29,408 | |
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 | 2,618 | 2,884 | |
Available-for-sale securities Fair Value | 26,951 | 29,408 | |
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 | 18,233 | 47,180 | |
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 | 18,233 | 47,180 | |
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 | 18,233 | 47,180 | |
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 | 28 | 220 | |
Derivative liabilities | (141) | ||
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 | 28 | 220 | |
Derivative liabilities | (141) | ||
HFA securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 107,908 | 122,549 | |
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 | 107,908 | 122,549 | |
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 | 107,908 | 122,549 | |
Supranational institutions [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 416,789 | 430,069 | |
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 | 416,789 | 430,069 | |
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 | 416,789 | 430,069 | |
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 | 297,690 | 322,061 | |
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 | 297,690 | 322,061 | |
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 | 297,690 | 322,061 | |
GSE [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 124,887 | 134,992 | |
GSE [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 | |
GSE [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 | 124,887 | 134,992 | |
GSE [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 | |
GSE [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 | 124,887 | 134,992 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 50 | 55 | |
Available-for-sale securities Fair Value | 1,233,955 | 1,469,048 | |
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 | 50 | 55 | |
Available-for-sale securities Fair Value | 1,233,955 | 1,469,048 | |
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 | 50 | 55 | |
Available-for-sale securities Fair Value | 1,233,955 | 1,469,048 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 4,106,004 | 3,664,841 | |
Multifamily [Member] | Government Sponsored Enterprises [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 | |
Multifamily [Member] | Government Sponsored Enterprises [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 | 4,106,004 | 3,664,841 | |
Multifamily [Member] | Government Sponsored Enterprises [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 | |
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] | |||
Available-for-sale securities Fair Value | $ 4,106,004 | $ 3,664,841 | |
[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 including accrued interest posted was $406.0 million and $215.8 million at March 31, 2021, and December 31, 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. There was no cash collateral and related accrued interest received at March 31, 2021, and December 31, 2020. | ||
[2] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[3] | Carried at fair value and measured on a recurring basis. | ||
[4] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[5] | We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances. The fair values presented are as of the date the fair value adjustment was recorded. |
Estimated Fair Value Level 3 Re
Estimated Fair Value Level 3 Reconciliation - Roll Forward (Details) - HFA securities [Member] - Level 3 [Member] - Recurring [Member] - Available-for-sale Securities [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of year | $ 122,549 | $ 64,652 |
Net unrealized gains | 2,204 | 743 |
Maturities | (16,620) | 0 |
Settlements | (225) | 0 |
Balance at end of year | 107,908 | 65,395 |
Total amount of unrealized gains (losses) for the period included in other comprehensive income relating to securities held at period end | $ 1,349 | $ 743 |
Off-Balance Sheet Commitments (
Off-Balance Sheet Commitments (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Dec. 31, 2020 | ||
Loss Contingencies [Line Items] | |||
Value of the guarantees related to standby letters of credit | $ 60,574 | $ 69,293 | |
Maximum term of commitments to invest in mortgage loans | 60 days | ||
Other FHLBanks [Member] | |||
Loss Contingencies [Line Items] | |||
Par value of other FHLBanks' outstanding COs for which we are jointly and severally liable | $ 663,800,000 | 712,500,000 | |
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],[2] | $ 5,717,332 | 6,190,479 |
Off-balance-sheet Commitments Expiring After One Year | [1],[2] | 218,680 | 233,771 |
Total Off-balance Sheet Commitments | [1],[2] | 5,936,012 | 6,424,250 |
Value of the guarantees related to standby letters of credit | 1,200 | 1,300 | |
Commitments of unused lines of credit - advances [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2],[3] | 1,118,063 | 1,127,432 |
Off-balance-sheet Commitments Expiring After One Year | [2],[3] | 0 | 0 |
Total Off-balance Sheet Commitments | [2],[3] | $ 1,118,063 | 1,127,432 |
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 | [2] | $ 61,925 | 69,684 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 90,558 | 93,465 |
Total Off-balance Sheet Commitments | [2] | 152,483 | 163,149 |
Unsettled CO bonds, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 235,000 | 0 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | 235,000 | 0 |
Unsettled CO discount notes, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 650,000 | 250,000 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | 650,000 | 250,000 |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 70,800 | 37,100 | |
Off-balance-sheet Commitments Expiring After One Year | 25 | ||
Mortgage Receivable [Member] | Commitments to invest in mortgage loans [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 19,685 | 28,386 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | $ 19,685 | $ 28,386 |
[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, 2021, and December 31, 2020, these amounts totaled $70.8 million and $37.1 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $25 thousand at December 31, 2020. | ||
[2] | We have determined that it is unnecessary to record any liability for credit losses on these agreements. | ||
[3] | Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. |
Transactions with Shareholder_2
Transactions with Shareholders (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Transactions with Shareholders [Line Items] | ||
Shareholders with more than 10 percent of total capital stock outstanding | $ 0 | $ 0 |
Capital Stock Outstanding | 1,181,665 | 1,267,172 |
Par Value of Advances | 16,734,985 | 18,704,512 |
Total Accrued Interest Receivable | 82,416 | 87,582 |
Directors' Financial Institutions [Member] | ||
Transactions with Shareholders [Line Items] | ||
Capital Stock Outstanding | $ 57,540 | $ 60,624 |
Percent of Total Capital Stock | 4.80% | 4.80% |
Par Value of Advances | $ 540,451 | $ 582,765 |
Percentage of Total Par Value of Advances | 3.20% | 3.10% |
Total Accrued Interest Receivable | $ 588 | $ 651 |
Percent of Total Accrued Interest Receivable on Advances | 2.30% | 2.50% |
Minimum [Member] | ||
Transactions with Shareholders [Line Items] | ||
Definition of shareholder concentration, minimum percent | 10.00% |
Subsequent Events (Details)
Subsequent Events (Details) - Common Class B [Member] - Subsequent Event [Member] - USD ($) $ in Millions | May 04, 2021 | Apr. 23, 2021 |
Subsequent Event [Line Items] | ||
Annualized rate of cash dividend | 1.54% | |
Dividend, including dividends on mandatorily redeemable capital stock | $ 4.7 |