Cover Page
Cover Page - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Feb. 28, 2022 | Jun. 30, 2021 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 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, Postal Zip Code | 02199 | ||
Entity Address, State or Province | MA | ||
City Area Code | (617) | ||
Local Phone Number | 292-9600 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
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 | FY | ||
Entity Public Float | $ 0 | ||
Entity Incorporation, State or Country Code | X1 | ||
ICFR Auditor Attestation Flag | true | ||
Entity Current Reporting Status | Yes | ||
Common Class B [Member] | |||
Entity Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 9,762,692 |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2021 | |
Audit Information [Abstract] | |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Firm ID | 238 |
Auditor Location | Boston, Massachusetts |
Statements of Condition (audite
Statements of Condition (audited) - USD ($) shares in Thousands, $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
ASSETS | |||
Cash and due from banks | $ 204,993 | $ 2,050,028 | |
Interest-bearing deposits | 85,153 | 299,149 | |
Securities purchased under agreements to resell | 800,000 | 750,000 | |
Federal funds sold | 1,944,000 | 2,260,000 | |
Investment securities: | |||
Trading securities | 501,867 | 3,605,079 | |
Available-for-sale securities | 12,895,987 | 6,220,148 | |
Held-to-maturity securities | [1] | 145,492 | 207,162 |
Total investment securities | 13,543,346 | 10,032,389 | |
Advances | [2] | 12,340,020 | 18,817,002 |
Mortgage loans held for portfolio, net of allowance for credit losses of $1,700 and $3,100 at December 31, 2021 and 2020, respectively | 3,120,159 | 3,930,252 | |
Accrued interest receivable | 68,360 | 87,582 | |
Derivative assets, net | 378,532 | 161,238 | |
Other assets | 60,729 | 73,395 | |
Total Assets | 32,545,292 | 38,461,035 | |
Deposits | |||
Interest-bearing | 833,007 | 977,994 | |
Non-interest-bearing | 51,025 | 110,993 | |
Total deposits | 884,032 | 1,088,987 | |
Consolidated obligations (COs): | |||
Bonds | 26,613,032 | 21,471,590 | |
Discount notes | 2,275,320 | 12,878,310 | |
Total consolidated obligations | 28,888,352 | 34,349,900 | |
Mandatorily redeemable capital stock | 13,562 | 6,282 | |
Accrued interest payable | 60,968 | 61,918 | |
Affordable Housing Program (AHP) payable | 70,503 | 78,640 | |
Derivative liabilities, net | 38,944 | 24,062 | |
Other liabilities | 57,920 | 69,293 | |
Total liabilities | 30,014,281 | 35,679,082 | |
Commitments and contingencies (Note 16) | |||
Capital | |||
Capital stock – Class B – putable ($100 par value), 9,536 shares and 12,672 shares issued and outstanding at December 31, 2021 and 2020, respectively | 953,638 | 1,267,172 | |
Retained earnings: | |||
Unrestricted | 1,179,986 | 1,130,222 | |
Restricted | 368,420 | 368,420 | |
Total retained earnings | 1,548,406 | 1,498,642 | |
Accumulated other comprehensive income | 28,967 | 16,139 | |
Total capital | 2,531,011 | 2,781,953 | |
Total Liabilities and Capital | 32,545,292 | 38,461,035 | |
Allowance for credit losses - mortgage loans held for portfolio | $ 1,700 | $ 3,100 | |
Common Stock, Class B, putable shares issued | 9,536 | 12,672 | |
Common Stock, Class B, putable shares outstanding | 9,536 | 12,672 | |
Common Class B [Member] | |||
Common Stock, Class B, putable par value per share | $ 100 | $ 100 | |
[1] | Fair values of held-to-maturity securities were $148,068 and $211,837 at December 31, 2021 and 2020, respectively. | ||
[2] | Excludes accrued interest receivable of $16.3 million and $25.8 million at December 31, 2021 and 2020, respectively. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Statement of Financial Position [Abstract] | ||
Held-to-maturity fair value | $ 148,068 | $ 211,837 |
Statements of Operations (audit
Statements of Operations (audited) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
INTEREST INCOME | |||
Advances | $ 170,003 | $ 400,286 | $ 854,599 |
Prepayment fees on advances, net | 34,019 | 24,028 | 35,011 |
Interest-bearing deposits | 147 | 5,749 | 22,390 |
Securities purchased under agreements to resell | 452 | 15,049 | 123,438 |
Federal funds sold | 2,210 | 18,009 | 58,015 |
Investment securities: | |||
Trading securities | 49,809 | 83,627 | 22,037 |
Available-for-sale securities | 73,314 | 63,243 | 115,942 |
Held-to-maturity securities | 2,533 | 18,912 | 65,758 |
Total investment securities | 125,656 | 165,782 | 203,737 |
Mortgage loans held for portfolio | 93,048 | 124,828 | 147,885 |
Other | 0 | 48 | 25 |
Total interest income | 425,535 | 753,779 | 1,445,100 |
Consolidated obligations: | |||
Bonds | 210,052 | 374,449 | 598,585 |
Discount notes | 4,476 | 187,743 | 569,896 |
Total consolidated obligations | 214,528 | 562,192 | 1,168,481 |
Deposits | 98 | 919 | 6,582 |
Mandatorily redeemable capital stock | 192 | 221 | 974 |
Other borrowings | 16 | 239 | 37 |
Total interest expense | 214,834 | 563,571 | 1,176,074 |
NET INTEREST INCOME | 210,701 | 190,208 | 269,026 |
(Reduction of ) provision for credit losses | (1,462) | (4,358) | 85 |
NET INTEREST INCOME AFTER (REDUCTION OF) PROVISION FOR CREDIT LOSSES | 212,163 | 194,566 | 268,941 |
OTHER INCOME (LOSS) | |||
Litigation settlements | 505 | 26,096 | 29,361 |
Loss on early extinguishment of debt | (11,903) | (14,784) | (15,238) |
Service fees | 10,430 | 13,169 | 12,987 |
Net (losses) gains on trading securities | (46,341) | (11,936) | 1,287 |
Net (losses) gains on derivatives | (559) | (49,674) | 1,419 |
Realized net gain from sale of available-for-sale securities | 0 | 30,583 | 0 |
Realized net gain from sale of held-to-maturity securities | 283 | 47,413 | 12,031 |
Other, net | 703 | 60 | (863) |
Total other (loss) income | (46,882) | 40,927 | 40,984 |
OTHER EXPENSE | |||
Compensation and benefits | 41,804 | 47,800 | 47,263 |
Other operating expenses | 24,229 | 24,286 | 25,017 |
Federal Housing Finance Agency (the FHFA) | 3,960 | 3,797 | 3,914 |
Office of Finance | 3,693 | 3,664 | 3,468 |
AHP voluntary contribution | 4,761 | 1,614 | 0 |
Other | 9,634 | 20,696 | 18,222 |
Total other expense | 88,081 | 101,857 | 97,884 |
INCOME BEFORE ASSESSMENTS | 77,200 | 133,636 | 212,041 |
AHP assessments | 7,739 | 13,386 | 21,302 |
NET INCOME | $ 69,461 | $ 120,250 | $ 190,739 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (audited) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | |||
Net income | $ 69,461 | $ 120,250 | $ 190,739 |
Other comprehensive income: | |||
Net unrealized gains on available-for-sale securities | 9,445 | 122,490 | 79,036 |
Net noncredit portion of other-than-temporary impairment gains on held-to-maturity securities | 0 | 76,036 | 53,118 |
Net unrealized (losses) gains relating to hedging activities | (1,926) | 5,842 | (913) |
Pension and postretirement benefits | 5,309 | (1,257) | (1,531) |
Total other comprehensive income (loss) | 12,828 | 203,111 | 129,710 |
Comprehensive income | $ 82,289 | $ 323,361 | $ 320,449 |
Statements of Capital (audited)
Statements of Capital (audited) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | $ 2,781,953 | $ 3,145,312 | $ 3,607,359 |
Comprehensive income | 82,289 | 323,361 | 320,449 |
Proceeds from issuance of capital stock | 240,730 | 2,157,029 | 1,854,487 |
Repurchase of capital stock | (543,999) | (2,758,406) | (2,514,211) |
Shares reclassified to mandatorily redeemable capital stock | (10,265) | (581) | 0 |
Partial recovery of prior capital distribution to Financing Corporation | 0 | 3,726 | 0 |
Cash dividends on capital stock | (19,697) | (80,958) | (122,772) |
Period end | 2,531,011 | 2,781,953 | 3,145,312 |
Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2017-12 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 0 | ||
Period end | 0 | ||
Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2016-13 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | (7,530) | ||
Period end | (7,530) | ||
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 1,130,222 | 1,114,337 | 1,084,342 |
Comprehensive income | 69,461 | 100,647 | 152,592 |
Partial recovery of prior capital distribution to Financing Corporation | 3,726 | ||
Cash dividends on capital stock | (19,697) | (80,958) | (122,772) |
Period end | 1,179,986 | 1,130,222 | 1,114,337 |
Retained Earnings, Unrestricted | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2017-12 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 175 | ||
Period end | 175 | ||
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) | ||
Period end | (7,530) | ||
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 368,420 | 348,817 | 310,670 |
Comprehensive income | 0 | 19,603 | 38,147 |
Period end | 368,420 | 368,420 | 348,817 |
Retained Earnings, Restricted | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2017-12 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 0 | ||
Period end | 0 | ||
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 | ||
Period end | 0 | ||
Retained Earnings, Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 1,498,642 | 1,463,154 | 1,395,012 |
Comprehensive income | 69,461 | 120,250 | 190,739 |
Partial recovery of prior capital distribution to Financing Corporation | 3,726 | ||
Cash dividends on capital stock | (19,697) | (80,958) | (122,772) |
Period end | 1,548,406 | 1,498,642 | 1,463,154 |
Retained Earnings, Total | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2017-12 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 175 | ||
Period end | 175 | ||
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) | ||
Period end | (7,530) | ||
Accumulated Other Comprehensive Income (Loss) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | 16,139 | (186,972) | (316,507) |
Comprehensive income | 12,828 | 203,111 | 129,710 |
Period end | 28,967 | 16,139 | (186,972) |
Accumulated Other Comprehensive Income (Loss) | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2017-12 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | (175) | ||
Period end | $ (175) | ||
Accumulated Other Comprehensive Income (Loss) | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2016-13 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning of period | $ 0 | ||
Period end | $ 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 | 25,289 |
Beginning of period | $ 1,267,172 | $ 1,869,130 | $ 2,528,854 |
Proceeds from issuance of capital stock, shares | 2,407 | 21,570 | 18,544 |
Proceeds from issuance of capital stock | $ 240,730 | $ 2,157,029 | $ 1,854,487 |
Repurchase of capital stock, shares | (5,440) | (27,584) | (25,142) |
Repurchase of capital stock | $ (543,999) | $ (2,758,406) | $ (2,514,211) |
Shares reclassified to mandatorily redeemable capital stock, shares | (103) | (5) | |
Shares reclassified to mandatorily redeemable capital stock | $ (10,265) | $ (581) | |
Period end, shares | 9,536 | 12,672 | 18,691 |
Period end | $ 953,638 | $ 1,267,172 | $ 1,869,130 |
Statements of Cash Flows (audit
Statements of Cash Flows (audited) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
OPERATING ACTIVITIES | |||
Net Income | $ 69,461 | $ 120,250 | $ 190,739 |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Depreciation and amortization (accretion) | (10,076) | (14,310) | (19,937) |
(Reduction of ) provision for credit losses | (1,462) | (4,358) | 85 |
Change in net fair-value adjustments on derivatives and hedging activities | 255,243 | (206,394) | (284,002) |
Loss on early extinguishment of debt | 11,903 | 14,784 | 15,238 |
Other adjustments, net | 3,061 | 4,399 | 10,394 |
Realized net gain from sale of available-for sale securities | 0 | (30,583) | 0 |
Realized net gain from sale of held-to-maturity securities | (283) | (47,413) | (12,031) |
Net change in: | |||
Market value of trading securities | 46,341 | 11,936 | (1,287) |
Accrued interest receivable | 19,222 | 24,581 | 588 |
Other assets | 1,845 | (1,437) | (7,510) |
Accrued interest payable | (949) | (42,560) | (7,566) |
Other liabilities | (13,662) | (8,658) | 6,927 |
Total adjustments | 311,183 | (300,013) | (299,101) |
Net cash provided by (used in) operating activities | 380,644 | (179,763) | (108,362) |
INVESTING ACTIVITIES | |||
Interest-bearing deposits | (83,429) | 917,422 | (776,421) |
Securities purchased under agreements to resell | (50,000) | 2,750,000 | 2,999,000 |
Federal funds sold | 316,000 | (1,400,000) | 640,000 |
Trading securities: | |||
Proceeds | 3,056,871 | 1,926,330 | 177,340 |
Purchases | 0 | (3,293,082) | (2,263,279) |
Available-for-sale securities: | |||
Proceeds | 946,710 | 1,836,746 | 1,714,800 |
Purchases | (7,879,275) | 0 | (3,206,255) |
Held-to-maturity securities: | |||
Proceeds | 62,083 | 538,452 | 510,590 |
Advances to members: | |||
Repaid | 41,915,962 | 250,744,528 | 474,957,725 |
Originated | (35,555,659) | (234,864,985) | (466,272,505) |
Mortgage loans held for portfolio: | |||
Proceeds | 1,222,784 | 1,310,644 | 590,161 |
Purchases | (432,918) | (766,089) | (803,765) |
Other investing activities, net | (922) | (756) | (430) |
Net cash provided by investing activities | 3,518,207 | 19,699,210 | 8,266,961 |
FINANCING ACTIVITIES | |||
Net change in deposits | (204,955) | 414,118 | 199,521 |
Net payments on derivatives with a financing element | 31,794 | (76,415) | (48,642) |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 262,647,281 | 100,524,378 | 144,030,097 |
Bonds | 19,102,211 | 12,288,286 | 10,851,335 |
Payments for maturing and retiring consolidated obligations: | |||
Discount notes | (273,248,389) | (115,287,723) | (149,400,564) |
Bonds | (13,571,731) | (13,716,653) | (12,909,970) |
Bonds transferred to other FHLBanks | (173,984) | (1,005,990) | (12,697) |
Payment of financing lease | (162) | (122) | (136) |
Partial recovery of prior capital distribution to Financing Corporation | 0 | 3,726 | 0 |
Proceeds from issuance of capital stock | 240,730 | 2,157,029 | 1,854,487 |
Payments for repurchase of capital stock | (543,999) | (2,758,406) | (2,514,211) |
Payments for redemption of mandatorily redeemable capital stock | (2,985) | (105) | (26,062) |
Cash dividends paid | (19,697) | (80,958) | (122,772) |
Net cash used in financing activities | (5,743,886) | (17,538,835) | (8,099,614) |
Net (decrease) increase in cash and due from banks | (1,845,035) | 1,980,612 | 58,985 |
Cash and due from banks at beginning of the year | 2,050,028 | 69,416 | 10,431 |
Cash and due from banks at end of the year | 204,993 | 2,050,028 | 69,416 |
Supplemental disclosures: | |||
Interest paid | 258,113 | 677,828 | 1,224,032 |
AHP payments | 17,980 | 21,374 | 15,723 |
Noncash transfers of mortgage loans held for portfolio to other assets | 368 | 606 | 2,020 |
Noncash lease liabilities arising from obtaining right-of-use assets | 0 | 173 | 12,572 |
Noncash transfer of held-to-maturity securities to available-for-sale securities with the adoption of the reference rate reform guidance (amortized cost) | $ 0 | $ 254,217 | $ 0 |
Background Information
Background Information | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Operations [Text Block] | Background Information We are a federally-chartered corporation and one of 11 district Federal Home Loan Banks (the FHLBanks or the FHLBank System). The FHLBanks are government-sponsored enterprises (GSEs) that were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), to serve the public by enhancing the availability of credit for residential mortgages, targeted community development and economic growth. Each FHLBank operates in a specifically defined geographic territory, or district. We provide a readily available, competitively priced source of funds to our members and certain nonmember institutions located within the six New England states, which are Connecticut, Maine, Massachusetts, New Hampshire, Rhode Island, and Vermont. Certain regulated financial institutions, including community development financial institutions (CDFIs) and insurance companies with their principal places of business in New England and engaged in residential housing finance, may apply for membership. Additionally, certain nonmember institutions (referred to as housing associates) that meet applicable legal criteria may also borrow from us. While eligible to borrow, housing associates are not eligible to become members and, therefore, are not allowed to hold capital stock. As we are a cooperative, current and former members own all of our outstanding capital stock and may receive dividends on their investment. We do not have any wholly or partially owned subsidiaries, and we do not have an equity position in any partnerships, corporations, or off-balance-sheet special-purpose entities. All members must purchase our stock as a condition of membership and as a condition of engaging in certain business activities with us. The FHFA, our primary regulator, an independent agency in the executive branch of the U.S. government, supervises and regulates the FHLBanks, Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae). A purpose of the FHFA is to ensure the FHLBanks fulfill their mission by operating in a safe and sound manner, including maintenance of adequate capital and internal controls. In addition, the FHFA is responsible for ensuring that: 1) the operations and activities of each FHLBank foster liquid, efficient, competitive, and resilient national housing finance markets; 2) each FHLBank complies with the title and the rules, regulations, guidelines, and orders issued under the Housing and Economic Recovery Act (HERA) and the authorizing statutes; 3) each FHLBank carries out its statutory mission through only activities that are authorized under and consistent with HERA and the authorizing statutes, and; 4) the activities of each FHLBank and the manner in which such FHLBank is operated is consistent with the public interest. Each FHLBank is a separate legal entity with its own management, employees, and board of directors. The Office of Finance is the FHLBanks' fiscal agent and is a joint office of the FHLBanks established to facilitate the issuance and servicing of the FHLBanks' COs and to prepare the combined quarterly and annual financial reports of all the FHLBanks. As provided by the FHLBank Act, and applicable regulations, COs are backed only by the financial resources of all the FHLBanks and are our primary source of funds. Deposits, other borrowings, and the issuance of capital stock, which is principally held by our current and former members, provide other funds. We primarily use these funds to provide loans, called advances, to invest in single-family mortgage loans under the Mortgage Partnership Finance ® (MPF ® ) program, and also to fund other investments. In addition, we offer correspondent services, such as wire-transfer, securities-safekeeping, and settlement services. "Mortgage Partnership Finance", "MPF" and "MPF Xtra" are registered trademarks of the FHLBank of Chicago. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Use of Estimates These financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. The most significant of these estimates include but are not limited to, accounting for derivatives and hedging activities, estimation of fair values, and amortization of premiums and discounts associated with prepayable mortgage-backed securities. Actual results could differ from these estimates. Fair Value We determine the fair-value amounts recorded on the statement of condition and in the note disclosures for the periods presented by using available market and other pertinent information, and reflect our best judgment of appropriate valuation methods. Although we use our best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. See Note 15 — Fair Values for more information. Financial Instruments Meeting Netting Requirements We present certain financial instruments on a net basis when they are subject to a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, we have elected to offset our asset and liability positions, as well as cash collateral received or pledged, when we have met the netting requirements. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the requirements for netting, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 8 — Derivatives and Hedging Activities for additional information regarding these agreements. Securities purchased under agreements to resell are also subject to netting requirements. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting amounts related to these securities at December 31, 2021 and 2020. Credit Losses on Financial Instruments Beginning January 1, 2020, the Bank adopted, on a modified retrospective basis, new accounting guidance pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as available-for-sale securities be recorded through the allowance for credit losses. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. Key changes to our accounting policies based on this guidance are detailed below. 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. Interest-bearing deposits include bank notes not meeting the definition of a security. Securities purchased under agreements to resell are treated as short-term collateralized loans. Federal funds sold consist of short-term, unsecured loans transacted with counterparties that we consider to be of investment quality. These investments provide short-term liquidity and are carried at cost. Accrued interest receivable is recorded separately on the statements of condition. If applicable, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. Interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold are evaluated quarterly for expected credit losses if not expected to be repaid according to the contractual terms. We have not sold or repledged the collateral received on securities purchased under agreements to resell. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, we use the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which we do not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Prior to January 1, 2020, securities purchased under agreements to resell were evaluated for credit losses if there was a collateral shortfall which we did not believe the counterparty would replenish in accordance with the contractual terms. See Note 5 — Investments for details on the allowance methodologies relating to these investments. Investment Securities We classify investments as trading, available-for-sale, or held-to-maturity at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these investments through other income as net unrealized (losses) gains on trading securities. FHFA regulations prohibit trading in or the speculative use of these instruments and limit the credit risks we have from these instruments. Available-for-sale. We classify certain investments that are not classified as held-to-maturity or trading as available-for-sale and carry them at fair value. Changes in fair value of available-for-sale securities not being hedged by derivatives, or in an economic hedging relationship, are recorded in other comprehensive income. For available-for-sale securities that have been hedged under fair-value hedge designations, we record the portion of the change in the fair value of the investment related to the risk being hedged in available-for-sale interest income together with the related change in the fair value of the derivative. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, for securities classified as available-for-sale, we evaluate individual securities for impairment on a quarterly basis by comparing the security’s fair value to its amortized cost. Accrued interest receivable is recorded separately on the statements of condition and is not included in the amortized cost basis. Impairment exists when the fair value of the investment is less than its amortized cost. In assessing whether a credit loss exists on an impaired security, we consider whether there would be a shortfall in receiving all cash flows contractually due on the investment. When a shortfall is considered possible, we compare the present value of cash flows to be collected from the security with the amortized cost basis of the security. If the present value of cash flows is less than amortized cost, an allowance-for-credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance is limited to the difference between the amortized cost and the fair value on the individual security and excludes uncollectible accrued interest receivable, which is measured separately. If management intends to sell an impaired security classified as available-for-sale, or more likely than not will be required to sell the security before expected recovery of its amortized cost basis, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date with any incremental impairment reported in earnings as net gains on available-for-sale securities. If management does not intend to sell an impaired security classified as available-for-sale and it is not more likely than not that management will be required to sell the debt security, then the credit portion of the difference is recognized as an allowance for credit losses and any remaining difference between the security’s fair value and amortized cost is recorded to net unrealized gains (losses) on available-for-sale securities within other comprehensive income. See Investment Securities – Other-than-Temporary Impairment below for the accounting policy relating to credit losses in effect prior to January 1, 2020. Held-to-Maturity. Certain investments for which we have both the ability and intent to hold to maturity are classified as held-to-maturity and are carried at amortized cost, which is original cost net of periodic principal repayments and amortization of premiums and accretion of discounts using the level-yield method adjusted for other-than-temporary impairment losses recorded prior to January 1, 2020. Accrued interest receivable is recorded separately on the statement of condition. Certain changes in circumstances may cause us to change our intent to hold a security to maturity without calling into question our intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of a held-to-maturity security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for us that could not have been reasonably anticipated may cause us to sell or transfer a held-to-maturity security without necessarily calling into question our intent to hold other debt securities to maturity. In addition, sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security. • The sale occurs near enough to its maturity date (for example, within three months of maturity), or call date if exercise of the call is probable, that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security's fair value; or • The sale of a security occurs after we have already collected a substantial portion (at least 85 percent) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. Additionally, during the third quarter of 2020 we adopted a provision of the Accounting Standards Update titled Facilitation of the Effects of Reference Rate Reform on Financial Reporting which provides a one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity that reference a rate affected by reference rate reform and that were classified as held-to-maturity before January 1, 2020. See Note 5 — Investments for a summary of our transfers and sales of investment securities. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, held-to-maturity securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the held-to-maturity security carrying value. For improvements in expected future cash flows for held-to-maturity securities impaired prior to January 1, 2020, interest income continues to follow the recognition pattern pursuant to the impairment guidance in effect prior to January 1, 2020. Any additional recoveries of amounts previously written off prior to January 1, 2020, are recorded when received. For any improvements in expected future cash flows for held-to-maturity securities with an allowance for credit losses recognized after the adoption of the new guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount immediately in the current period. See Investment Securities – Other-than-Temporary Impairment below for the accounting policy relating to credit losses in effect prior to January 1, 2020. Premiums and Discounts. We amortize premiums and accrete discounts on mortgage-backed securities (MBS) using the level-yield method over the estimated lives of the securities. This method requires a retrospective adjustment of the effective yield each time we change the estimated life, based on actual prepayments received and changes in expected prepayments, as if the new estimate had been known since the original acquisition date of the securities. We estimate prepayment speeds on each individual security using the most recent three months of historical constant prepayment rates, as available, or may subscribe to third-party data services that provide estimates of future cash flows, from which we determine expected asset lives. We amortize premiums and accrete discounts on other investments using the level-yield method to the contractual maturity of the securities. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income (loss). Investment Securities – Other-than-Temporary Impairment Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. As a result, the accounting guidance related to other-than-temporary impairment accounting for investments was superseded as of that date. Prior to January 1, 2020, we evaluated individual available-for-sale and held-to-maturity securities that were in an unrealized loss position for other-than-temporary impairment each quarter. An investment was considered impaired when its fair value was less than its amortized cost. We considered other-than-temporary impairment to have occurred if we: • had an intent to sell the investment; • believed it was more likely than not that we would be required to sell the investment before the recovery of its amortized cost based on available evidence; or • did not expect to recover the entire amortized cost of the debt security. Recognition of Other-than-Temporary Impairment. If either of the first two conditions above was met, we recognized an other-than-temporary impairment charge in earnings equal to the entire difference between the security's amortized cost and its fair value as of the statement of condition date. For securities in an unrealized loss position that meet neither of the first two conditions (excluding agency MBS) and for each of our private-label MBS, we performed an analysis to determine if we would recover the entire amortized cost of each of these securities. The present value of the cash flows expected to be collected was compared with the amortized cost of the debt security to determine whether a credit loss existed. If the present value of the cash flows expected to be collected was less than the amortized cost of the debt security, the security was deemed to be other-than-temporarily impaired and the carrying value of the debt security was adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost and fair value in earnings, only the amount of the impairment representing the credit loss (that is, the credit component) was recognized in earnings, while the amount related to all other factors (that is, the noncredit component) was recognized in other comprehensive income. For a security that was determined to be other-than-temporarily impaired, in the event that the present value of the cash flows expected to be collected was less than the fair value of the security, the credit loss on the security was limited to the amount of that security's unrealized losses. In performing a detailed cash-flow analysis, we estimated the cash flows expected to be collected. If this estimate resulted in a present value of expected cash flows (discounted at the security's effective yield) that was less than the amortized cost basis of a security (that is, a credit loss exists), other-than-temporary impairment was considered to have occurred. For determining the present value of variable-rate and hybrid private-label residential MBS, we used the effective interest rate derived from a variable-rate index, such as one-month London Interbank Offered Rate (LIBOR), plus the contractual spread, plus or minus a fixed-spread adjustment when there was an existing discount or premium on the security. Because the implied forward yield curve of a selected variable-rate index changes over time, the effective interest rates derived from that index will also change over time and would therefore impact the present value of the subject security. Interest Income Recognition. Upon subsequent evaluation of a debt security when there was no additional other-than-temporary impairment, we adjusted the accretable yield on a prospective basis if there was a significant increase in the security's expected future cash flows. This adjusted yield was used to calculate the amount to be recognized into income over the remaining life of the security so as to match the amount and timing of future cash flows expected to be collected. Subsequent changes in estimated cash flows that were deemed significant would change the accretable yield on a prospective basis. For debt securities classified as held-to-maturity, the other-than-temporary impairment recognized in other comprehensive income (loss) was accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows. The estimated cash flows and accretable yield were re-evaluated each quarter. Advances Advances are carried at amortized cost, which is original cost net of periodic principal repayments, amortization of premiums and accretion of discounts, and fair value hedge adjustments, as discussed in Note 6 — Advances . We generally record our advances at par. However, we may record premiums or discounts on advances in the following cases: • Advances may be acquired from another FHLBank when one of our members acquires a member of another FHLBank. In these cases, we may purchase the advances from the other FHLBank at a price that results in a fair market yield for the acquired advance. • When the prepayment of an advance is followed by disbursement of a new advance and the transactions effectively represent a modification of the previous advance, the prepayment fee received is deferred and recorded as a discount to the modified advance. • When an advance is modified under our advance restructuring program and our analysis of the restructuring concludes that the transaction is an extinguishment of the prior advance rather than a modification, the deferred prepayment fee is recognized into income immediately and recorded as a premium on the new advance. • When we make an AHP advance, the present value of the variation in the cash flow caused by the difference in the interest rate between the AHP advance rate and our related cost of funds for comparable maturity funding is charged against the AHP liability and recorded as a discount on the AHP advance. • Advances issued under our Jobs for New England (JNE) and Helping to House New England (HHNE) programs have an interest rate at a significant discount to market rates. Due to the below market interest rate, we record a discount on the advance and an interest rate subsidy expense at the time that we transact the advance. The subsidy expense is recorded in other expense in the statement of operations. We amortize the premiums and accrete the discounts on advances to interest income using the level-yield method. We record interest on advances to interest income as earned. Accrued interest receivable is recorded separately on the statements of condition. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, advances are evaluated quarterly for expected credit losses. Prior to January 1, 2020, we evaluated advances to determine if an allowance for credit losses was necessary if it was probable an impairment occurred in our advances portfolio as of the statement of condition date and the amount of loss could be reasonably estimated. Prepayment Fees. We charge borrowers a prepayment fee when they prepay certain advances before the original maturity. We record prepayment fees net of hedging fair-value adjustments included in the carrying value of the advance as prepayment fees on advances, net in the interest income section of the statement of operations. Advance Modifications. In cases in which we fund a new advance concurrently with or within a short period of time of the prepayment of an existing advance by the same member, we evaluate whether the new advance meets the accounting criteria to qualify as a modification of the existing advance or whether it constitutes a new advance. We compare the present value of cash flows on the new advance with the present value of cash flows remaining on the existing advance. If there is at least a 10 percent difference in the present value of cash flows or if we conclude the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance's original contractual terms, the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. If a new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized to interest income over the life of the modified advance using the level-yield method. This amortization is recorded in advance interest income. If the modified advance is hedged, changes in fair value are recorded after the amortization of the basis adjustment in advance interest income. For prepaid advances that were hedged and meet the hedge-accounting requirements, we terminate the hedging relationship upon prepayment and record the prepayment fee net of the hedging fair-value adjustment in the basis of the advance as advance interest income. If we fund a new advance to a member concurrent with or within a short period of time after the prepayment of a previous advance to that member, we evaluate whether the new advance qualifies as a modification of the original hedged advance. If the new advance qualifies as a modification of the original hedged advance, the hedging fair-value adjustment and the prepayment fee are included in the carrying amount of the modified advance and are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedging criteria, the modified advance is marked to fair value after the modification, and subsequent fair-value changes are recorded in advance interest income. If a new advance does not qualify as a modification of an existing advance, prepayment of the existing advance is treated as an advance termination and any prepayment fee, net of hedging adjustments, is recorded to advance interest income in the statement of operations. Commitment Fees We record commitment fees for standby letters of credit to members as deferred fee income when received, and amortize these fees on a straight-line basis to service-fees income in other income over the term of the standby letter of credit. Based upon past experience, we believe the likelihood of standby letters of credit being drawn upon is remote. Mortgage Loans Held for Portfolio We participate in the MPF program through which we invest in conventional, residential, fixed-rate mortgage loans (conventional mortgage loans) and government-insured or -guaranteed residential fixed-rate mortgage loans (government mortgage loans) that are purchased from participating financial institutions (see Note 7 — Mortgage Loans Held for Portfolio ). We classify our investments in mortgage loans for which we have the intent and ability to hold for the foreseeable future or until maturity or payoff as held for portfolio. As of December 31, 2021, all our investments in mortgage loans are held for portfolio. Mortgage loans held for portfolio are recorded at amortized cost, which is original cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, and direct write-downs. Accrued interest receivable is recorded separately on the statements of condition. We perform a quarterly assessment of our mortgage loans held for portfolio to estimate expected credit losses. An allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We do not purchase mortgage loans with credit deterioration present at the time of purchase. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, quarterly we measure expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the allowance for credit losses, we measure the expected loss over the estimated remaining life of a mortgage loan, which also considers how our credit enhancements mitigate credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. We include estimates of expected recoveries within the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as we write off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. Prior to January 1, 2020, we recorded an allowance for credit losses on mortgage loans if it was probable an impairment had occurred in our mortgage loans held for portfolio as of the statement of condition date and the amount of loss could be reasonably estimated. A loan was considered impaired when, based on current information and events, it was probable that we would be unable to collect all amounts due according to the contractual terms of the loan agreement. Premiums and Discounts. We compute the amortization of mortgage-loan-origination fees (premiums and discounts) as interest income using the level-yield method over the contractual term to maturity of each individual loan, which results in income recognition in a manner that is effectively proportionate to the actual repayment behavior of the underlying assets and reflects the contractual terms of the assets without regard to changes in estimated prepayments based on assumptions about future borrower behavior. Credit-Enhancement Fees. For conventional mortgage loans, participating financial institutions retain a portion of the credit risk on the loans in which we invest by providing credit-enhancement protection either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide supplemental mortgage insurance. Participating financial institutions are paid a credit-enhancement fee for assuming credit risk and in some instances all or a portion of the credit-enhancement fee may be performance-based. Credit-enhancement fees are paid monthly and are determined based on the remaining unpaid principal balance of the pertinent MPF loans. The required credit-enhancement amount varies depending on the MPF product. Credit-enhancement fees are recorded as an offset to mortgage-loan-interest income. To the extent that losses in the current month exceed performance-based credit-enhancement fees accrued, the remaining losses may be recovered from future performance-based credit-enhancement fees payable to the participating financial institution. Other Fees. We record other nonorigination fees in connection with our MPF program activities in other income. Such fees include delivery-commitment-extension fees, pair-off fees, price-adjustment fees, and counterparty fees in connection with MPF products under which we facilitate third party investment in loans (non-investment MPF products) such as with the MPF Xtra ® product. Delivery-commitment-extension fees are charged when a participating financial institution requests to extend the period of the delivery commitment beyond the original stated expiration. Pair-off fees represent a make-whole provision; they are received when the amount funded under a delivery commitment is less than a certain threshold (under-delivery) of the delivery-commitment amount. Price-adjustment fees are received when the amount funded is greater than a certain threshold (over-delivery) of the delivery-commitment amount. To the extent that pair-off fees relate to under-deliveries of loans, they are recorded in service fee income. Fees related to over-deliveries represent purchase-price adjustments to the related loans acquired and are recorded as part of the carrying value of the loan. The FHLBank of Chicago pays us a counterparty fee for the costs and expenses of marketing activities for loans originated for sale under non-investment MPF products. Mortgage-Loan Participations. We may purchase and sell participations in MPF loans from other FHLBanks from time to time. References to our investments in mortgage loans throughout this report include any participation interests we own. Nonaccrual Loans. We place conventional mortgage loans on nonaccrual status when the collection of interest or principal is doubtful or contractual principal or interest is 90 days or more past due. When a conventional mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income in the current period. We generally record cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement unless we consider the collection of the remaining principal amount due to be doubtful. If we consider the collection of the remaining principal amount to be doubtful, cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual status when the collection of the contractual principal and interest is less than 90 days past due. We do not place government mortgage loans on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due because of the U.S. government guarantee of the loan and the contractual obligations of each related servicer, as more fully discussed in Note 7 – Mortgage Loans Held for Portfolio . Collateral-dependent Loans. A loan is considered collateral-dependent when the borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. A loan that is considered collateral-dependent is measured for credit loss on an individual basis based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as an allowance for credit losses or charged-off. Charge-Off Policy. A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for ac |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 12 Months Ended |
Dec. 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 GAAP to contract modifications, hedging relationships, and other transactions that reference LIBOR or a reference rate that is expected to be discontinued as a result of reference rate reform if certain criteria are met. This standard was effective upon issuance and the provisions generally can be applied prospectively as of January 1, 2020, through December 31, 2022. 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 were classified as held-to-maturity before January 1, 2020. 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. See Note 5 — Investments for additional information related to these sales and transfers. In the fourth quarter of 2020, we retrospectively elected to adopt the provision of this guidance 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. |
Cash and Due From Banks
Cash and Due From Banks | 12 Months Ended |
Dec. 31, 2021 | |
Cash and Due from Banks [Abstract] | |
Cash and Cash Equivalents Disclosure [Text Block] | Cash and Due from Banks Cash and due from banks includes cash on hand, cash items in the process of collection, compensating balances, and amounts due from correspondent banks and the Federal Reserve Bank of Boston. Compensating Balances. We maintain collected cash balances with a commercial bank in return for certain services. The related agreement contains no legal restrictions on the withdrawal of funds. The average collected cash balance was $200.7 million and $176.3 million for the years ended December 31, 2021 and 2020, respectively. |
Investments
Investments | 12 Months Ended |
Dec. 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 December 31, 2021 and 2020, none of these investments were made to counterparties or, if applicable, guaranteed by entities rated below single-A. Securities purchased under agreements to resell are short-term and are structured such that they are evaluated daily to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an amount of additional securities as collateral or remit an equivalent amount of cash sufficient to comply with collateral maintenance provisions, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with our counterparties, we determined that no allowance for credit losses was needed for our securities purchased under agreements to resell at December 31, 2021 and 2020. Federal funds sold are unsecured loans that are transacted on an overnight term or short-term basis. FHFA regulations include a limit on the amount of unsecured credit we may extend to a counterparty. All investments in interest-bearing deposits and federal funds sold outstanding as of December 31, 2021 and 2020, have been repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at December 31, 2021 and 2020. 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 experience credit deterioration after their purchase. Trading Securities Table 5.1 - Trading Securities by Major Security Type (dollars in thousands) December 31, 2021 December 31, 2020 Corporate bonds $ 1,442 $ 5,422 U.S. Treasury obligations 500,425 3,596,718 501,867 3,602,140 MBS U.S. government-guaranteed – single-family — 2,884 GSE – single-family — 55 — 2,939 Total $ 501,867 $ 3,605,079 Table 5.2 - Unrealized and Realized Gains (Losses) on Trading Securities (dollars in thousands) For the Year Ended December 31, 2021 2020 2019 Net unrealized (losses) gains on trading securities held at year end $ (9,049) $ (8,392) $ 1,379 Net unrealized and realized losses on trading securities sold or matured during the year (37,292) (3,544) (92) Net (losses) gains on trading securities $ (46,341) $ (11,936) $ 1,287 We do not participate in speculative trading practices and typically hold these investments over a longer time horizon. Available-for-sale Securities Table 5.3 - Available-for-Sale Securities by Major Security Type (dollars in thousands) December 31, 2021 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair U.S. Treasury obligations $ 5,081,536 $ 3,380 $ (370) $ 5,084,546 State housing-finance-agency obligations (HFA securities) 63,330 2 (1,067) 62,265 Supranational institutions 409,337 96 (5,668) 403,765 U.S. government-owned corporations 325,567 — (18,703) 306,864 GSE 130,143 — (3,671) 126,472 6,009,913 3,478 (29,479) 5,983,912 MBS U.S. government guaranteed – single-family 21,435 100 — 21,535 U.S. government guaranteed – multifamily 541,238 219 (52) 541,405 GSE – single-family 1,093,890 9,945 (121) 1,103,714 GSE – multifamily 5,171,498 99,119 (25,196) 5,245,421 6,828,061 109,383 (25,369) 6,912,075 Total $ 12,837,974 $ 112,861 $ (54,848) $ 12,895,987 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 $31.6 million and $24.0 million at December 31, 2021 and 2020, respectively. Table 5.4 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) December 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 $ 1,212,443 $ (370) $ — $ — $ 1,212,443 $ (370) HFA securities — — 50,053 (1,067) 50,053 (1,067) Supranational institutions — — 389,180 (5,668) 389,180 (5,668) U.S. government-owned corporations — — 306,864 (18,703) 306,864 (18,703) GSE — — 126,472 (3,671) 126,472 (3,671) 1,212,443 (370) 872,569 (29,109) 2,085,012 (29,479) MBS U.S. government guaranteed – multifamily 187,437 (52) — — 187,437 (52) GSE – single-family 93,020 (121) — — 93,020 (121) GSE – multifamily 1,507,051 (25,196) — — 1,507,051 (25,196) 1,787,508 (25,369) — — 1,787,508 (25,369) Total $ 2,999,951 $ (25,739) $ 872,569 $ (29,109) $ 3,872,520 $ (54,848) 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 5.5 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) December 31, 2021 December 31, 2020 Year of Maturity Amortized Fair Amortized Fair Due in one year or less $ 27,000 $ 26,780 $ 10,600 $ 10,524 Due after one year through five years 1,898,894 1,898,308 169,570 166,813 Due after five years through 10 years 3,674,762 3,671,798 400,477 389,753 Due after 10 years 409,257 387,026 478,696 442,581 6,009,913 5,983,912 1,059,343 1,009,671 MBS (1) 6,828,061 6,912,075 5,112,237 5,210,477 Total $ 12,837,974 $ 12,895,987 $ 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 5.6 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) December 31, 2021 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 4,320 $ 88 $ — $ 4,408 GSE – single-family 141,172 2,605 (117) 143,660 Total $ 145,492 $ 2,693 $ (117) $ 148,068 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 $200 thousand and $368 thousand at December 31, 2021 and 2020, respectively. Transfers and Sales of Available-for-Sale Securities and Held-to-Maturity Securities During the years ended December 31, 2021, 2020, and 2019, we sold held-to-maturity MBS that had less than 15 percent of the acquired principal outstanding at the time of the sale. Such sales are treated as maturities for the purposes of security classification. These sales do not impact our ability and intent to hold the remaining investments classified as held-to-maturity through their stated maturity dates. These sales were as follows: • In 2021, we sold securities with an amortized cost of $5.6 million and a realized gain of $283 thousand. • In 2020, we sold securities with an amortized cost of $133.2 million and realized a gain of $41.2 million. • In 2019, we sold securities with an amortized cost of $173.2 million and realized a gain of $12.0 million. As discussed in Note 3 - Recently Issued and Adopted Accounting Guidance , during 2020 we adopted a provision of the Accounting Standards Update titled Facilitation of the Effects of Reference Rate Reform on Financial Reporting which provides a one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity that reference a rate affected by reference rate reform and that were classified as held-to-maturity before January 1, 2020. Upon adopting this provision, we: • sold certain held-to-maturity private-label MBS which had an amortized cost of $82.2 million and realized a net gain of $6.2 million; and • transferred from held-to-maturity to available-for-sale certain securities which, on the date of transfer, were comprised of the following: Table 5.7 - Transfer of Held-to-Maturity Securities to Available-for-Sale Securities in 2020 (dollars in thousands) Amortized Cost Allowance for Credit Losses Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Income Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value HFA securities $ 77,470 $ — $ — $ 77,470 $ — $ (6,230) $ 71,240 MBS GSE – single-family 17,802 — — 17,802 89 — 17,891 MBS - Private-label 158,945 (634) (31,502) 126,809 53,953 (248) 180,514 Total $ 254,217 $ (634) $ (31,502) $ 222,081 $ 54,042 $ (6,478) $ 269,645 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 years ended December 31, 2021, 2020, and 2019. Table 5.8 - Proceeds and Gains (Losses) from Sales of Investment Securities (dollars in thousands) For the Years Ended December 31, 2021 2020 2019 Available-for-Sale Securities Proceeds from sale $ — $ 187,366 $ — Amortized cost, net of allowance for credit losses — 156,783 — Gross realized gains from sale $ — $ 30,948 $ — Gross realized losses from sale — (365) — Realized net gain from sale $ — $ 30,583 $ — Held-to-Maturity Securities Proceeds from sale $ 5,883 $ 262,850 $ 185,177 Carrying value 5,600 176,293 143,629 Noncredit losses recorded in accumulated other comprehensive income — 39,144 29,517 Realized net gain from sale $ 283 $ 47,413 $ 12,031 Allowance for Credit Losses on Available-for-Sale Securities and Held-to-Maturity Securities Table 5.9 - Allowance for Credit Losses on Debt Securities (dollars in thousands) For the Year Ended December 31, 2020 Available-for-Sale Held-to-Maturity Balance at beginning of year $ — $ — Adjustments for cumulative effect of change in accounting principle (1) — 5,308 Transfers 634 (634) Reduction of provision for credit losses due to sales of securities (126) (3,205) Reduction of provision for credit losses (143) (1,469) Charge-offs (365) — Balance at end of year $ — $ — _________________________ (1) We adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. Upon adoption 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. To evaluate investment securities for credit loss at December 31, 2021, we employed the following methodologies, based on the type of security. 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. Our available-for-sale and held-to-maturity securities are principally debt securities of GSE or U.S. government-owned corporations, supranational institutions, and state or local housing finance agency obligations, and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. We only purchase investment-grade securities. At December 31, 2021 and 2020, all available-for-sale securities and held-to-maturity securities were rated triple-B, or above, by an NRSRO, based on the lowest long-term credit rating for each security. We evaluate 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 December 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 material 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 December 31, 2021. See Table 5.9 for the allowance for credit losses on available-for-sale securities at December 31, 2020. We evaluate 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 December 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 to experience, 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. Table 5.10 presents a roll forward of the amount of credit losses recognized in earnings prior to January 1, 2020, for which a portion of other-than-temporary impairment was recognized in other comprehensive income. Table 5.10 - Roll Forward of the Amounts Related to Credit Loss Recognized into Earnings (dollars in thousands) For the Years Ended December 31, 2020 2019 Balance at beginning of year $ 339,630 $ 422,035 Additions: Credit losses for which other-than-temporary impairment was not previously recognized — 128 Additional credit losses for which an other-than-temporary impairment charge was previously recognized — 1,084 Reductions: Securities sold or matured during the year (332,290) (56,710) Portion of increase in cash flows expected to be collected over the remaining life of the security that are recognized in the current period as interest income (7,340) (26,907) Balance at end of year $ — $ 339,630 |
Advances
Advances | 12 Months Ended |
Dec. 31, 2021 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances General Terms. We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics, and optionality. Advances have maturities ranging from one day to 30 years or longer with the approval of our credit committee. At both December 31, 2021 and 2020, we had advances outstanding with interest rates ranging from 0.00 percent to 7.72 percent. Additionally, certain advances contain embedded interest-rate features that have met the requirements to be separated from the host contract and are recorded as stand-alone derivatives, and which we economically hedge with derivatives containing offsetting interest-rate features. Table 6.1 - Advances Outstanding by Year of Contractual Maturity (dollars in thousands) December 31, 2021 December 31, 2020 Amount Weighted Amount Weighted Overdrawn demand-deposit accounts $ 64 0.60 % $ 135 0.62 % Due in one year or less 5,064,776 0.76 9,090,900 1.00 Due after one year through two years 1,354,297 2.26 2,281,047 1.78 Due after two years through three years 1,541,076 1.64 2,014,880 2.37 Due after three years through four years 2,173,238 1.43 1,685,056 1.79 Due after four years through five years 1,310,971 1.07 2,687,456 1.34 Due after five years through fifteen years 871,692 2.11 924,498 2.40 Thereafter 31,591 1.33 20,540 1.46 Total par value 12,347,705 1.28 % 18,704,512 1.43 % Premiums — 2,248 Discounts (34,926) (37,592) Fair value of bifurcated derivatives (1) 11,890 44,534 Hedging adjustments 15,351 103,300 Total (2) $ 12,340,020 $ 18,817,002 _________________________ (1) At December 31, 2021 and 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 $16.3 million and $25.8 million at December 31, 2021 and 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 6.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date (dollars in thousands) December 31, 2021 December 31, 2020 Overdrawn demand-deposit accounts $ 64 $ 135 Due in one year or less 6,116,251 10,149,975 Due after one year through two years 1,354,297 2,095,247 Due after two years through three years 1,249,001 1,809,880 Due after three years through four years 2,106,238 1,392,981 Due after four years through five years 632,271 2,335,956 Due after five years through fifteen years 857,992 899,798 Thereafter 31,591 20,540 Total par value $ 12,347,705 $ 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 6.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date (dollars in thousands) December 31, 2021 December 31, 2020 Overdrawn demand-deposit accounts $ 64 $ 135 Due in one year or less 6,088,201 10,755,575 Due after one year through two years 908,797 2,201,797 Due after two years through three years 1,497,076 1,224,380 Due after three years through four years 1,709,313 1,593,056 Due after four years through five years 1,277,471 2,059,531 Due after five years through fifteen years 835,192 849,498 Thereafter 31,591 20,540 Total par value $ 12,347,705 $ 18,704,512 Table 6.4 - Advances by Current Interest Rate Terms (dollars in thousands) December 31, 2021 December 31, 2020 Fixed-rate Due in one year or less $ 3,803,476 $ 8,224,435 Due after one year 6,195,290 8,518,167 Total fixed-rate 9,998,766 16,742,602 Variable-rate Due in one year or less 1,261,364 866,600 Due after one year 1,087,575 1,095,310 Total variable-rate 2,348,939 1,961,910 Total par value $ 12,347,705 $ 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. In addition, we lend to eligible borrowers in accordance with federal law and FHFA regulations. Specifically, we are required to obtain sufficient collateral to fully secure credit products up to the counterparty’s total outstanding credit obligations plus unused credit lines. Collateral eligible to secure new or renewed advances includes: • fully disbursed, first-mortgage loans on improved residential property (provided that the borrower is not in arrears by two or more payments), or securities representing a whole interest in such mortgages; • securities issued, insured, or guaranteed by the U.S. government or any agency thereof (including without limitation, MBS issued or guaranteed by Freddie Mac, Fannie Mae, and Ginnie Mae); • cash or deposits in a collateral account with us; and • other real-estate-related collateral acceptable to us if such collateral has a readily ascertainable value and we can perfect our security interest in the collateral. In addition, in the case of any community financial institution, as defined in accordance with the FHLBank Act, we may accept as collateral secured loans for small-business and agriculture, or securities representing a whole interest in such secured loans. Residential mortgage loans are the principal form of collateral for advances. The estimated value of the collateral pledged to secure each borrower's credit products is calculated by applying collateral discounts, or haircuts, to the market value or unpaid principal balance of the collateral, as applicable. We require all borrowers that pledge securities collateral to place physical possession of such securities collateral with our safekeeping agent, the borrower's approved designated agent, or the borrower's securities corporation, subject to a control agreement giving us appropriate control over such collateral. In addition, community financial institutions are eligible to use expanded statutory collateral provisions for small-business and agriculture loans. The Bank has a lien on and holds the stock of a member in the Bank as further collateral security for all indebtedness of the member to the Bank. Collateral arrangements may vary depending upon borrower credit quality, financial condition, performance, borrowing capacity, and our overall credit exposure to the borrower. We can call for additional or substitute collateral to further safeguard our security interest. We also have policies and procedures for validating the reasonableness of our collateral valuations. In addition, we perform collateral verifications based on the risk profile of the borrower and other considerations. Management believes that these policies effectively manage our credit risk from advances. We either allow the borrower to retain possession of loan collateral pledged to us while agreeing to hold such collateral for our benefit or require the borrower to specifically assign or place physical possession of such loan collateral with us or a third-party custodian under a tri-party collateral control agreement that we approve. We are provided an additional safeguard for our security interests by Section 10(e) of the FHLBank Act, which generally affords any security interest granted by a borrower to the Bank priority over the claims and rights of any other party. The exceptions to this prioritization are limited to claims that would be entitled to priority under otherwise applicable law and are held by bona fide purchasers for value or by secured parties with higher priority perfected security interests. The priority granted to our security interests under Section 10(e) of the FHLBank Act may not apply when lending to insurance company members due to the anti-preemption provision contained in the McCarran-Ferguson Act, which provides that federal law does not preempt state insurance law unless the federal law expressly regulates the business of insurance. Thus, if state law conflicts with Section 10(e) of the FHLBank Act, the protection afforded by this provision may not be available to us. However, we perfect our security interests in the collateral pledged by our members, including insurance company members, by filing Uniform Commercial Code (UCC)-1 financing statements, taking possession or control of such collateral, or taking other appropriate steps. Using a risk-based approach and taking into consideration each borrower's financial strength, we consider the types and level of collateral to be the primary indicator of credit quality on our credit products. At December 31, 2021 and 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 December 31, 2021 and 2020, none of our advances were past due, on nonaccrual status, or considered impaired. In addition, there were no troubled debt restructurings related to advances during the years ended December 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 December 31, 2021, and 2020. Prepayment Fees. We record prepayment fees received from borrowers on certain prepaid advances net of any associated basis adjustments related to hedging activities on those advances and net of deferred prepayment fees on advance prepayments considered to be loan modifications. Additionally, for certain advances products, the prepayment-fee provisions of the advance agreement could result in either a payment from the borrower or to the borrower when such an advance is prepaid, based upon market conditions at the time of prepayment (referred to as a symmetrical prepayment fee). Advances with a symmetrical prepayment fee provision are hedged with derivatives containing offsetting terms, so that we are financially indifferent to the borrower's decision to prepay such advances. The net amount of prepayment fees is reflected as interest income in the statement of operations. We also offer an advance restructuring program under which the prepayment fee on prepaid advances may be satisfied by the borrower's agreement to pay an interest rate on a new advance sufficient to amortize the prepayment fee by the maturity date of the new advance, rather than paying the fee in immediately available funds to us. If we conclude an advance restructuring is an extinguishment of the prior loan rather than a modification, the deferred prepayment fee is recognized into income immediately. Table 6.5 - Advances Prepayment Fees (dollars in thousands) For the Year Ended December 31, 2021 2020 2019 Prepayment fees received from borrowers $ 54,537 $ 32,340 $ 33,809 Hedging fair-value adjustments on prepaid advances (6,356) (8,013) 1,923 Net (premiums) discounts associated with prepaid advances (14,162) (299) 157 Deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications — — (1,793) Prepayment fees recognized in income on advance restructurings deemed to be extinguishments — — 915 Advance prepayment fees recognized in income, net $ 34,019 $ 24,028 $ 35,011 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 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. The mortgage loans are typically originated and credit-enhanced by the related participating financial institution. The majority of these loans are serviced by the originating institution or an affiliate thereof. However, a portion of these loans are sold servicing-released by the participating financial institution and serviced by a third-party servicer. Table 7.1 - Mortgage Loans Held for Portfolio (dollars in thousands) December 31, 2021 December 31, 2020 Real estate Fixed-rate 15-year single-family mortgages $ 278,393 $ 322,713 Fixed-rate 20- and 30-year single-family mortgages 2,793,682 3,547,994 Premiums 48,043 60,050 Discounts (671) (1,094) Deferred derivative gains, net 2,412 3,689 Total mortgage loans held for portfolio (1) 3,121,859 3,933,352 Less: allowance for credit losses (1,700) (3,100) Total mortgage loans, net of allowance for credit losses $ 3,120,159 $ 3,930,252 ________________________ (1) Excludes accrued interest receivable of $15.7 million and $19.3 million at December 31, 2021 and 2020, respectively. Table 7.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands) December 31, 2021 December 31, 2020 Conventional mortgage loans $ 2,880,354 $ 3,624,557 Government mortgage loans 191,721 246,150 Total par value $ 3,072,075 $ 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. The credit-enhancement amounts estimated to protect us against credit losses are determined through the use of a model. Any incurred losses that would be recovered from the credit- enhancements are not reserved as part of our allowance for loan losses. In such cases, a receivable is generally established to reflect the expected recovery from credit-enhancement arrangements. Assets delivered to us must be credit enhanced to an equivalent of a single-A-minus rated MBS. We share the risk of credit losses on our investments in mortgage loans with the related participating financial institution by structuring potential losses on these investments into layers with respect to each master commitment. We analyze the risk characteristics of our mortgage loans using a third-party model to determine the credit-enhancement amount at the time of purchase. This credit-enhancement amount is broken into two parts: the Bank's first-loss account and the participating financial institution's credit-enhancement obligation, which may be calculated based on the risk analysis to equal the difference between the amounts needed for the master commitment to have a rating equivalent to a single-A-minus rated MBS and our initial first-loss account exposure. The first-loss account represents the first layer or portion of credit losses that we absorb with respect to our investments in mortgage loans after considering the borrower's equity and primary mortgage insurance. The participating financial institution is required to cover the next layer of losses up to an agreed-upon credit-enhancement obligation amount, which may consist of a direct liability of the participating financial institution to pay credit losses up to a specified amount, a contractual obligation of a participating financial institution to provide supplemental mortgage insurance, or a combination of both. We absorb any remaining unallocated losses. Credit and special hazard losses that are not covered by the liquidation value of the real property or primary mortgage insurance are first charged to us, with a corresponding reduction of the first-loss account for that master commitment up to the amount in the first-loss account at that time. Over time, the first-loss account may cover the credit losses on a master commitment, although excessive losses might not be so covered. In that case, the excess losses would be charged to the participating financial institution's credit-enhancement amount, then to us after the participating financial institution's credit-enhancement amount has been exhausted. For loans in which we buy or sell participations from or to other FHLBanks that participate in the MPF program (MPF Banks), the amount of the first-loss account remaining to absorb losses for loans that we own is partly dependent on the percentage of our participation in such loans. Assuming losses occur on a proportional basis between loans that we own and loans owned by other MPF Banks, at December 31, 2021 and 2020, the amount of first-loss account remaining for losses allocable to us was $31.9 million and $30.4 million, respectively. Participating financial institutions are paid a credit-enhancement fee for assuming credit risk and in some instances all or a portion of the credit-enhancement fee may be performance based. For certain MPF products, our losses incurred under the first-loss account can be mitigated by withholding future performance-based credit-enhancement fees that would otherwise be payable to the participating financial institutions. We record credit-enhancement fees paid to participating financial institutions as a reduction to mortgage-loan-interest income. Withheld performance-based credit-enhancement fees can mitigate losses from our investments in mortgage loans and therefore we consider our expectations for each master commitment for such withheld fees in determining the allowance for loan losses. More specifically, we determine the amount of credit-enhancement fees available to mitigate losses as follows: accrued credit-enhancement fees to be paid to participating financial institutions; plus projected credit-enhancement fees to be paid to the participating financial institutions using the weighted average life of the loans within each relevant master commitment; minus any losses incurred or expected to be incurred. 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 December 31, 2021, we had $37.1 million of these modifications outstanding. See Note 2 — Summary of Significant Accounting Policies for additional information. Servicers of our mortgage loans granted a forbearance period to eligible borrowers who have requested forbearance based on COVID-19 related difficulties so long as the loan is current or no more than 31 days delinquent 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 December 31, 2021, we held approximately $15.7 million in par value of conventional mortgage loans that were in a forbearance plan as a result of COVID-19. Of these loans, $2.5 million had a current payment status, $1.1 million were 30 to 59 days past due, $1.1 million were 60 to 89 days past due, and $11.0 million were greater than 90 days past due and in nonaccrual status. The $15.7 million of conventional mortgage loans in forbearance represents 0.5 percent of our mortgage loans held for portfolio at December 31, 2021. In addition, we had approximately $2.2 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 borrower performance. A past due loan is one where the borrower has failed to make a full payment of principal and interest within 30 days of its due date. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. Tables 7.3 and 7.4 present the payment status for conventional mortgage loans and other delinquency statistics for all mortgage loans at December 31, 2021 and 2020. Table 7.3 - Credit Quality Indicator for Conventional Mortgage Loans (dollars in thousands) December 31, 2021 Year of Origination Payment Status at Amortized Cost (1) Prior to 2017 2017 to 2021 Total Past due 30-59 days delinquent $ 7,719 $ 8,053 $ 15,772 Past due 60-89 days delinquent 3,312 2,660 5,972 Past due 90 days or more delinquent 11,932 9,196 21,128 Total past due 22,963 19,909 42,872 Total current loans 1,153,115 1,730,438 2,883,553 Total conventional mortgage loans $ 1,176,078 $ 1,750,347 $ 2,926,425 December 31, 2020 Year of Origination Payment Status at Amortized Cost (1) 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 conventional mortgage loans $ 1,284,591 $ 2,397,740 $ 3,682,331 _________________________ (1) Amortized cost excludes accrued interest receivable. Table 7.4 - Other Delinquency Statistics of Mortgage Loans (dollars in thousands) December 31, 2021 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 786 $ 935 $ 1,721 Serious delinquency rate (2) 0.74 % 2.24 % 0.83 % Past due 90 days or more still accruing interest $ — $ 4,383 $ 4,383 Loans on nonaccrual status (3) $ 21,529 $ — $ 21,529 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. There were foreclosure moratoriums enacted in many areas during 2020 that expired on July 31, 2021, but an eviction moratorium was extended by the FHFA to September 30, 2021. (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 December 31, 2021, $11.8 million of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. (4) As of December 31, 2020, $31.8 million of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. As of December 31, 2020, $10.1 million of government nonaccrual loans did not have an associated allowance due to government guarantees or insurance. Allowance for Credit Losses for Mortgage Loans. Conventional Mortgage Loans. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other loans 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 when the borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. 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 7.5 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the years ended December 31, 2021, 2020, and 2019. As required by prior accounting guidance for determining the allowance for credit losses on mortgage loans, Table 7.5 also presents the recorded investment in mortgage loans by impairment methodology at December 31, 2019. The recorded investment in a loan is the par amount of the loan, adjusted for accrued interest, unamortized premiums or discounts, deferred derivative gains and losses, and direct write-downs. The recorded investment is net of any valuation allowance. Table 7.5 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands) 2021 2020 2019 (1) Allowance for credit losses (2) Balance, beginning of year $ 3,100 $ 500 $ 500 Adjustment for cumulative effect of change in accounting principle — 2,221 — Recoveries (charge-offs) 62 (207) (85) (Reduction of) provision for credit losses (1,462) 586 85 Balance, end of year $ 1,700 $ 3,100 $ 500 Ending balance, individually evaluated for impairment $ — Ending balance, collectively evaluated for impairment $ 500 Recorded investment, end of year Individually evaluated for impairment $ 13,395 Collectively evaluated for impairment $ 4,212,224 _________________________ (1) Prior to the adoption of the Financial Instruments - Credit Loss accounting guidance, our allowance for credit losses on mortgage loans consisted of an estimate of incurred losses for individually evaluated mortgage loans, including collateral dependent mortgage loans; and an estimate additional credit losses on mortgage loans. (2) 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, but in such instances we would have recourse against the servicer for such failure. 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 December 31, 2021 and 2020. Additionally, government mortgage loans are not placed on nonaccrual status due to the government guarantee or insurance on these loans and the contractual obligation of the loan servicers to repurchase their related loans when certain criteria are met. Troubled Debt Restructurings. Excluding loans subject to forbearance under the CARES Act, we consider a troubled debt restructuring of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties, except for troubled debt restructurings meeting the provisions of the CARES Act as described in Note 2 – Summary of Significant Accounting Policies. We have granted a concession when we do not expect to collect all amounts due to us under the original contract as a result of the restructuring. A mortgage loan considered to be a troubled debt restructuring is individually evaluated for impairment when determining its related allowance for credit losses. At December 31, 2021 and 2020, the recorded investment of mortgage loans classified as troubled debt restructurings were $8.0 million and $7.7 million, respectively. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging ActivitiesNature of Business Activity We are exposed to interest-rate risk primarily from the effects of interest-rate changes on interest-earning assets and interest-bearing liabilities that finance these assets. The goal of our interest-rate risk-management strategy is to manage interest-rate risk within appropriate limits. As part of our effort to mitigate the risk of loss, we have established policies and procedures, which include guidelines on the amount of exposure to interest-rate changes we will accept. In addition, we monitor the risk to our interest income, net interest margin, and average maturity of interest-earning assets and interest-bearing liabilities. Consistent with FHFA regulations, we enter into derivatives to manage the interest-rate-risk exposures inherent in otherwise unhedged assets and liabilities and achieve our risk-management objectives. FHFA regulation prohibits us from the speculative use of these derivative instruments. The use of derivatives is an integral part of our financial and risk management strategy. We may enter into derivatives that do not qualify for hedge accounting provided that we document a non-speculative use. We reevaluate our hedging strategies periodically and may change the hedging techniques we use or may adopt new strategies. The most common ways in which we use derivatives are to: • effectively change the coupon repricing characteristics of assets and liabilities from fixed-rate to floating-rate; • hedge the mark-to-market sensitivity of existing assets or liabilities; • offset or neutralize embedded options in assets and liabilities; and • hedge the potential yield variability of anticipated asset or liability transactions. Application of Derivatives We formally document at inception all relationships between derivatives designated as hedging instruments and hedged items, as well as our risk-management objectives and strategies for undertaking various hedge transactions and our method of assessing hedge effectiveness. This process includes linking all derivatives that are designated as fair-value or cash-flow hedges to specific assets or liabilities on the statement of condition, firm commitments, or forecasted transactions. We may use derivatives to adjust the effective maturity, repricing frequency, or option characteristics of our financial instruments, including our advances products, investments, and COs to achieve risk-management objectives. Derivative instruments are designated by us as: • a qualifying fair-value hedge of a non-derivative financial instrument or a cash-flow hedge of a forecasted transaction; and • a non-qualifying economic hedge in general asset-liability management where derivatives serve a documented risk-mitigation purpose but do not qualify for hedge accounting. These hedges are primarily used to manage certain mismatches between the coupon features of our assets and liabilities. We transact all of our derivatives with counterparties who are major banks or securities firms, and in a few instances, with their affiliates with unconditional guarantees provided by the respective major bank or securities firm. Some of these derivative counterparties and their affiliates buy, sell, and distribute COs, and may be affiliates of members of the Bank. Derivative transactions may be either over-the-counter with a counterparty (uncleared derivatives) or cleared through a futures commission merchant (clearing member) with a DCO as the counterparty (cleared derivatives). Once a derivative transaction has been accepted for clearing by a DCO, the executing counterparty is replaced with the DCO. We are not a derivatives dealer and do not trade derivatives for short-term profit. Types of Derivatives We primarily use the following derivatives instruments to reduce funding costs and/or to manage our interest-rate risks: • Interest-Rate Swaps. An interest-rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be exchanged and the manner in which the cash flows will be calculated. One of the simplest forms of an interest-rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional amount at a predetermined fixed rate for a given period of time to the counterparty. In return for this promise, this party receives cash flows equivalent to the interest on the same notional amount at a variable-rate index for the same period of time from the counterparty. The variable-rate indices we utilize in our derivative transactions are LIBOR, the overnight-index swap (OIS) rate based on the federal funds effective rate, and the Secured Overnight Financing Rate (SOFR). • Optional Termination Interest-Rate Swaps. In an optional termination interest-rate swap, one counterparty has the right, but not the obligation, to terminate the interest-rate swap prior to its stated maturity date. We use optional termination interest-rate swaps to hedge callable CO bonds and putable advances. In most cases, we own an option to terminate the hedged item, that is, redeem a callable bond or demand repayment of a putable advance on specified dates, and the counterparty to the optional termination interest-rate swap owns the option to terminate the interest-rate swap on those same dates. • Forward-Start Interest-Rate Swaps. A forward-start interest-rate swap is an interest-rate swap (as described above) with a deferred effective date. We designate forward-start interest-rate swaps as cash-flow hedges of expected debt issuances. • Interest-Rate Cap and Floor Agreements. In an interest-rate cap agreement, a cash flow is generated if the price or rate of an underlying variable rises above a certain threshold or cap price. In an interest-rate floor agreement, a cash flow is generated if the price or rate of an underlying variable falls below a certain threshold or floor price. These agreements are intended to serve as protection against the interest rate on a variable-rate asset or liability falling below or rising above a certain level. Types of Assets and Liabilities Hedged Investments. We use derivatives to manage the interest-rate and prepayment risk associated with certain investment securities that are classified either as available-for-sale or as trading securities. We may also manage the risk arising from changing market prices or cash flows of certain investment securities classified as trading securities by entering into economic hedges that offset the changes in fair value or cash flows of the securities. These economic hedges are not specifically designated as hedges of individual assets, but rather are collectively managed to provide an offset to the changes in the fair values of the assets. The market-value changes of trading securities are included in net unrealized (losses) gains on trading securities in the statement of operations, while the changes in fair value of the associated derivatives are included in other income as net (losses) gains on derivatives. Advances. We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. We may use interest-rate swaps to manage the repricing and/or options characteristics of advances to more closely match the characteristics of our funding liabilities. Typically, we hedge the fair value of fixed-rate advances with interest-rate swaps where we pay a fixed-rate coupon and receive a variable-rate coupon, effectively converting the advance to a floating-rate advance. We also hedge the fair value of certain floating-rate advances that contain either an interest-rate cap or floor, or both a cap and a floor, with a derivative containing an offsetting cap and/or floor. With each issuance of a putable advance, we effectively purchase from the borrower an embedded put option that enables us to terminate a fixed-rate advance on predetermined put dates, and offer, subject to certain conditions, replacement funding at then-current advances rates. We may hedge a putable advance by entering into a derivative that is cancelable by the derivative counterparty, where we pay a fixed-rate coupon and receive a variable-rate coupon. This type of hedge is treated as a fair-value hedge. The swap counterparty would normally exercise its option to cancel the derivative at par on any defined exercise date if interest rates had risen, and at that time, we could, at our option, require immediate repayment of the advance. Additionally, the borrower's option to prepay an advance can create interest-rate risk. When a borrower prepays an advance, we could suffer lower future income if the principal portion of the prepaid advance were invested in lower-yielding assets that continue to be funded by higher-cost debt. To protect against this risk, we generally charge a prepayment fee that makes us financially indifferent to a borrower's decision to prepay an advance. If the advance is hedged with a derivative instrument, the prepayment fee will generally offset the cost of terminating the designated hedge. When we offer advances (other than short-term advances) that a borrower may prepay without a prepayment fee, we usually finance such advances with callable debt with an interest-rate swap cancellable by us. COs. We may enter into derivatives to hedge (or partially hedge, depending on the risk strategy) the interest-rate risk associated with our specific debt issuances, including using derivatives to change the effective interest-rate sensitivity of debt to better match the characteristics of funded assets. We endeavor to manage the risk arising from changing market prices and volatility of a CO by matching the cash inflow on the derivative with the cash outflow on the CO. As an example of such a hedging strategy, when fixed-rate COs are issued, we may simultaneously enter into a matching derivative in which we receive a fixed-interest cash flows designed to mirror in timing and amount the interest cash outflows we pay on the CO. At the same time, we may pay variable cash flows that closely match the interest payments we receive on short-term or variable-rate assets. In some cases, the hedged CO may have a nonstatic coupon that is subject to fair-value risk and that is matched by the receivable coupon on the hedging interest-rate swap. These transactions are treated as fair-value hedges. In a typical cash-flow hedge of anticipated CO issuance, we may enter into interest-rate swaps to hedge the cost of anticipated future issuance of fixed-rate CO bonds against potential rising interest rates. The interest-rate swap is terminated upon issuance of the fixed-rate CO bond. Changes in fair value of the hedging derivative, to the extent that the hedge is effective, will be recorded in accumulated other comprehensive income and reclassified into earnings in the period or periods during which the cash flows of the fixed-rate CO bond affects earnings (beginning upon issuance and continuing over the life of the CO bond). Firm Commitments. Mortgage loan purchase commitments are considered derivatives. When the mortgage loan purchase commitment derivative settles, the current market value of the commitment is included in the basis of the mortgage loan. The basis adjustments on the resulting performing loans are then amortized into net interest income over the life of the loans. We may also hedge a firm commitment for a forward-starting advance through the use of an interest-rate swap. In this case, the interest-rate swap functions as the hedging instrument for both the firm commitment and the subsequent advance and is treated as a fair value hedge. The fair-value change associated with the firm commitment is recorded as a basis adjustment of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment is then amortized into interest income over the life of the advance. Financial Statement Impact and Additional Financial Information. The notional amount of derivatives is a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives reflects our involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor our overall exposure to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the tenor of the derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged. Table 8.1 - Fair Value of Derivative Instruments (dollars in thousands) December 31, 2021 December 31, 2020 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 26,589,956 $ 362 $ (163,457) $ 9,960,475 $ 6,044 $ (41,000) Forward-start interest-rate swaps 1,391,000 48 (428) 17,000 — (14) Total derivatives designated as hedging instruments 27,980,956 410 (163,885) 9,977,475 6,044 (41,014) Derivatives not designated as hedging instruments Interest-rate swaps 900,425 3,440 (13,663) 5,536,822 3,918 (47,756) CO bond firm commitments 55,000 54 (30) — — — Mortgage-delivery commitments (1) 3,164 68 — 28,386 220 — Total derivatives not designated as hedging instruments 958,589 3,562 (13,693) 5,565,208 4,138 (47,756) Total notional amount of derivatives $ 28,939,545 $ 15,542,683 Total derivatives before netting and collateral adjustments 3,972 (177,578) 10,182 (88,770) Netting adjustments and cash collateral, including related accrued interest (2) 374,560 138,634 151,056 64,708 Derivative assets and derivative liabilities $ 378,532 $ (38,944) $ 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 posted, including accrued interest, was $513.2 million and $215.8 million at December 31, 2021, and 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Tables 8.2 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 8.2 - Net Gains (Losses) on Fair Value Hedging Relationships (dollars in thousands) For the Year Ended December 31, 2021 Advances Available-for-sale Securities CO Bonds Total interest income (expense) in the statements of operations $ 170,003 $ 73,314 $ (210,052) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ 85,265 $ 280,707 $ (197,016) Hedged items (84,296) (273,132) 197,116 Net changes in fair value before price alignment interest 969 7,575 100 Price alignment interest (1) 20 66 (4) Net interest settlements on derivatives (2)(3) (60,285) (120,524) 67,028 Net (losses) gains on qualifying hedging relationships (59,296) (112,883) 67,124 Amortization/accretion of discontinued hedging relationships (2,064) — (3,145) Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (61,360) $ (112,883) $ 63,979 For the Year Ended December 31, 2020 Advances Available-for-sale Securities CO Bonds Total income (expense) in the statements of operations $ 400,286 $ 63,243 $ (374,449) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ (82,885) $ (270,047) $ 25,811 Hedged items 81,859 263,226 (27,353) Net changes in fair value before price alignment interest (1,026) (6,821) (1,542) Price alignment interest (1) 484 1,373 (204) Net interest settlements on derivatives (2)(3) (53,615) (70,317) 23,843 Net (losses) gains on qualifying hedging relationships (54,157) (75,765) 22,097 Amortization/accretion of discontinued hedging relationships (1,937) — (3,707) Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (56,094) $ (75,765) $ 18,390 For the Year Ended December 31, 2019 Advances Available-for-sale Securities CO Bonds Total income (expense) in the statements of operations $ 854,599 $ 115,942 $ (598,585) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ (72,488) $ (24,274) $ 55,777 Hedged items 73,530 21,329 (56,091) Net changes in fair value before price alignment interest 1,042 (2,945) (314) Price alignment interest (1) 1,316 3,769 (786) Net interest settlements on derivatives (2)(3) 39,085 (22,249) (17,482) Net gains (losses) on qualifying hedging relationships 41,443 (21,425) (18,582) Amortization/accretion of discontinued hedging relationships (1,934) — (2,567) Net gains (losses) on derivatives and hedging activities recorded in net interest income $ 39,509 $ (21,425) $ (21,149) _______________________ (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 8.3 presents the net gains (losses) on qualifying cash flow hedging relationships. Table 8.3 - Net Gains (Losses) on Cash Flow Hedging Relationships (dollars in thousands) For the Year Ended December 31, 2021 2020 2019 Forward-start interest rate swaps - CO Bonds Losses reclassified from accumulated other comprehensive loss into interest expense $ (5,949) $ (7,029) $ (5,218) Losses recognized in other comprehensive income (7,875) (1,187) (6,131) For the years ended December 31, 2021, 2020, and 2019, 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 December 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 nine years. As of December 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 $5.5 million. Table 8.4 - Cumulative Basis Adjustments for Fair-Value Hedges (dollars in thousands) December 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 $ 2,708,546 $ 6,477 $ 8,874 $ 15,351 Available-for-sale securities 10,953,242 220,621 — 220,621 Consolidated obligation bonds 12,957,832 (174,983) 31,595 (143,388) _______________________ (1) Includes only the amortized cost of hedged items in fair-value hedging relationships. Table 8.5 - Net Gains and Losses on Derivatives and Hedging Activities (dollars in thousands) For the Year Ended December 31, 2021 2020 2019 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (2,183) $ (51,187) $ (614) CO Bond firm commitments 1,734 — — Mortgage-delivery commitments (118) 1,405 1,945 Total net (losses) gains related to derivatives not designated as hedging instruments (567) (49,782) 1,331 Other (1) 8 108 88 Net (losses) gains on derivatives and hedging activities $ (559) $ (49,674) $ 1,419 ______________________ (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. Impacts on Statement of Cash Flows. Cash paid or received for cleared derivatives variation margin is included on the statement of cash flows in either net change in derivatives and hedging activities as an operating activity or net payments on derivatives with a financing element, as a financing activity. The table below shows the impact of variation margin for cleared derivatives on the statement of cash flows: Table 8.6 - Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows (dollars in thousands) Increase (decrease) on Cash Flow Statement For the Year Ended December 31, 2021 2020 2019 Operating activity - net change in derivatives and hedging activities $ 257,727 $ (321,862) $ (274,542) Financing activity - net payments on derivatives with a financing element 69,021 (53,832) (41,152) Total variation margin received (posted) on cleared derivatives $ 326,748 $ (375,694) $ (315,694) Managing Credit Risk on Derivatives. We are subject to credit risk on our hedging activities due to the risk of nonperformance by nonmember counterparties (including DCOs and their clearing members acting as agent to the DCOs as well as uncleared counterparties) to the derivative agreements. We manage credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies, U.S. Commodity Futures Trading Commission (the CFTC) regulations, and FHFA regulations. Uncleared Derivatives. All counterparties must execute master-netting agreements prior to entering into any uncleared derivative with us. Our master-netting agreements for uncleared derivatives contain bilateral-collateral exchange agreements that require that credit exposure be secured by readily marketable, U.S. Treasury, U.S. Government-guaranteed, or GSE securities, or cash. Credit exposures are measured daily and adjustments to collateral positions are made in accordance with the terms of the master-netting agreements. These master-netting agreements also contain bilateral ratings-tied termination events permitting us to terminate all outstanding derivatives transactions with a counterparty in the event of a specified rating downgrade by Moody's or S&P. Based on credit analyses and collateral requirements, we do not anticipate any credit losses on our derivative agreements. We execute uncleared derivatives with nonmember counterparties rated in at least the third-highest internal rating category on a scale of FHFA-1 through FHFA-7 at the time of the transaction, although risk-reducing trades may be permitted for counterparties whose ratings have fallen below these ratings. The internal rating scale of FHFA-1 through FHFA-7 reflects progressively lower credit quality, with FHFA-1 through FHFA-4 considered to be investment quality. Some of these counterparties or their affiliates buy, sell, and distribute COs. See Note 10 — Consolidated Obligations for additional information. Currently derivatives that contain any optionality are not eligible for clearing. Accordingly, such derivatives, including the derivatives used to hedge issuance of callable CO bonds, are executed with our uncleared derivatives counterparties. Certain of our uncleared derivatives master-netting agreements contain provisions that require us to post additional collateral with our uncleared derivatives counterparties if our credit ratings are lowered. Under the terms that govern such agreements, if our credit rating is lowered by Moody's or S&P to a certain level, we are required to deliver additional collateral on uncleared derivatives. In the event of a split between such credit ratings, the lower rating governs. The aggregate fair value of all uncleared derivatives with these provisions that were in a net-liability position (before cash collateral and related accrued interest) at December 31, 2021, was $171.0 million for which we had delivered collateral with a post-haircut value of $159.3 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 8.7 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at December 31, 2021. Table 8.7 - Post Haircut Value of Incremental Collateral to be Delivered as of December 31, 2021 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ — AA- A+, A or A- — A- below A- 29,440 _______________________ (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 one of two DCOs, for each cleared derivative transaction, CME Inc. or 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 of the DCO which clears our trades, acts as our agent to the DCO and 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. Our clearing members, which are CFTC-registered futures commission merchants, 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 December 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 uncleared 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 of our counterparty (solely in the case of uncleared 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 8.8 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of December 31, 2021 and 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 8.8 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) December 31, 2021 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 327 $ (103) $ 224 $ — $ 224 Cleared 3,523 374,663 378,186 — 378,186 CO bond firm commitments $ 54 54 54 Mortgage delivery commitments 68 68 68 Total $ 378,532 $ 378,532 Derivative Liabilities Interest-rate swaps Uncleared $ (171,374) $ 132,460 $ (38,914) $ 28,374 $ (10,540) Cleared (6,175) 6,175 — — — CO bond firm commitments $ (30) (30) (30) Total $ (38,944) $ (10,570) December 31, 2020 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) 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. |
Deposits
Deposits | 12 Months Ended |
Dec. 31, 2021 | |
Deposits [Abstract] | |
Deposits [Text Block] | Deposits We offer demand and overnight deposits for members and qualifying nonmembers. Members that service mortgage loans may deposit funds collected in connection with mortgage loans pending disbursement of such funds to the owners of the mortgage loans, which we classify as "other" in the following table. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. The average interest rate paid on average deposits during 2021 and 2020 was 0.01 percent and 0.10 percent, respectively. Table 9.1 - Deposits (dollars in thousands) December 31, 2021 December 31, 2020 Interest-bearing Demand and overnight $ 831,009 $ 975,469 Other 1,998 2,525 Noninterest-bearing Other 51,025 110,993 Total deposits $ 884,032 $ 1,088,987 |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated ObligationsCOs consist of CO bonds and CO discount notes. CO bonds may be issued to raise short-, intermediate-, and long-term funds and are not subject to any statutory or regulatory limits on maturity. CO discount notes are issued to raise short-term funds and have original maturities of up to one year. These notes sell at less than their face amount and are redeemed at par value when they mature. Although we are primarily liable for the portion of COs issued for which we received issuance proceeds, we are also jointly and severally liable with the other FHLBanks for the payment of principal and interest on all COs. The FHFA, at its discretion, may require any FHLBank to make principal or interest payments due on any CO whether or not the CO represents a primary liability of such FHLBank. Although an FHLBank has never paid the principal or interest payments due on a CO on behalf of another FHLBank, if that event should occur, FHFA regulations provide that the paying FHLBank is entitled to reimbursement from the noncomplying FHLBank for any payments made on its behalf and other associated costs, including interest to be determined by the FHFA. If, however, the FHFA determines that the noncomplying FHLBank is unable to satisfy its repayment obligations, the FHFA may allocate the outstanding liabilities of the noncomplying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank's participation in all COs outstanding or in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. See Note 16 – Commitments and Contingencies for additional information regarding the FHLBanks' joint and several liability. The par values of the FHLBanks' outstanding COs, including COs on which other FHLBanks are primarily liable, were $652.9 billion and $746.8 billion at December 31, 2021 and 2020, respectively. Regulations require each FHLBank to maintain unpledged qualifying assets equal to outstanding COs for which it is primarily liable. Such qualifying assets include cash; secured advances; obligations of or fully guaranteed by the U.S.; obligations, participations, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations, or other securities which are or ever have been sold by Freddie Mac; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issues of COs are treated as if they were free from lien or pledge for purposes of compliance with these regulations. CO Bonds. Table 10.1 - CO Bonds Outstanding by Contractual Maturity (dollars in thousands) December 31, 2021 December 31, 2020 Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 6,919,220 0.79 % $ 10,608,465 0.81 % Due after one year through two years 3,069,155 1.18 3,956,120 1.35 Due after two years through three years 3,514,735 1.09 1,569,315 2.20 Due after three years through four years 3,029,600 0.88 1,141,430 2.43 Due after four years through five years 5,735,605 0.91 1,776,100 1.12 Thereafter 4,456,865 1.91 2,312,155 3.58 Total par value 26,725,180 1.10 % 21,363,585 1.42 % Premiums 40,251 58,537 Discounts (9,011) (12,278) Hedging adjustments (143,388) 61,746 Total $ 26,613,032 $ 21,471,590 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. CO bonds outstanding were issued with either fixed-rate coupon-payment terms or variable-rate coupon-payment terms that may use a variety of indices for interest-rate resets, such as SOFR. To meet the expected specific needs of certain investors in CO bonds, both fixed-rate CO bonds and variable-rate CO bonds may contain features which may result in complex coupon-payment terms and call options. When these CO bonds are issued, we may enter into derivatives containing features that offset the terms and embedded options, if any, of the CO bonds. Table 10.2 - CO Bonds Outstanding by Call Feature (dollars in thousands) December 31, 2021 December 31, 2020 Noncallable and nonputable $ 13,924,180 $ 19,668,585 Callable 12,801,000 1,695,000 Total par value $ 26,725,180 $ 21,363,585 Table 10.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date (dollars in thousands) December 31, 2021 December 31, 2020 Due in one year or less $ 19,150,220 $ 11,728,465 Due after one year through two years 3,461,155 4,046,120 Due after two years through three years 1,044,735 1,629,315 Due after three years through four years 1,544,600 1,011,430 Due after four years through five years 539,605 1,501,100 Thereafter 984,865 1,447,155 Total par value $ 26,725,180 $ 21,363,585 Table 10.4 - CO Bonds by Interest Rate-Payment Type (dollars in thousands) December 31, 2021 December 31, 2020 Fixed-rate $ 17,707,180 $ 12,524,585 Simple variable-rate 4,803,000 8,549,000 Step-up (1) 4,215,000 290,000 Total par value $ 26,725,180 $ 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 10.5 - CO Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Rate (1) December 31, 2021 $ 2,275,320 $ 2,275,519 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 | 12 Months Ended |
Dec. 31, 2021 | |
Affordable Housing Program AHP [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing ProgramThe FHLBank Act requires each FHLBank to establish and maintain an AHP to provide subsidies in the form of direct grants or below-market interest-rate advances (AHP advances). These funds are intended to assist in the purchase, construction, or rehabilitation of housing for very low and low- or moderate-income households. Each FHLBank is required to contribute to its AHP the greater of 10 percent of its previous year's net income before interest expense associated with mandatorily redeemable capital stock and the assessment for AHP (AHP earnings), or the prorated sum required to ensure the aggregate contribution by the FHLBanks is no less than $100 million for each year. We accrue this expense monthly based on our AHP earnings, and the accruals are accumulated into our AHP payable account. We may elect to voluntarily contribute amounts in addition to the required accruals. We reduce our AHP payable account as we disburse the funds either in the form of direct grants to member institutions or as a discount on below-market-rate AHP advances. If we experience a net loss during a quarter, but still have AHP earnings for the year, our obligation to the AHP would be calculated based on our AHP earnings for that calendar year. In annual periods where our AHP earnings are zero or less, our required AHP assessment is zero since our required annual contribution is limited to our annual AHP earnings. If the result of the aggregate 10 percent calculation described above is less than $100 million for all the FHLBanks, then each FHLBank would be required to contribute such prorated sums as may be required to ensure that the aggregate contributions by the FHLBanks equals $100 million. The proration would be made on the basis of the income of the FHLBanks for the year, except that the required annual AHP contribution for an FHLBank cannot exceed its AHP earnings for the year pursuant to an FHFA regulation. Each FHLBank's required annual AHP contribution is limited to its annual net earnings. Our required AHP expense for 2021, 2020, and 2019 was $7.7 million, $13.4 million, and $21.3 million, respectively. Additionally, in 2021 and 2020 we voluntarily contributed $4.8 million and $1.6 million, respectively, to our AHP, resulting in total combined contribution amounts of $12.5 million for 2021 and $15.0 million for 2020. There was no shortfall, as described above, in 2021, 2020, or 2019. If an FHLBank is experiencing financial instability and finds that its required AHP contributions are contributing to the financial instability, the FHLBank may apply to the FHFA for a temporary suspension of its contributions. We did not make such an application in 2021, 2020, or 2019. Table 11.1 - AHP Liability (dollars in thousands) 2021 2020 Balance at beginning of year $ 78,640 $ 86,131 AHP expense for the period 7,739 13,386 AHP voluntary contribution 4,761 1,614 AHP direct grant disbursements (17,980) (21,374) AHP subsidy for AHP advance disbursements (5,806) (1,216) Return of previously disbursed grants and subsidies 3,149 99 Balance at end of year $ 70,503 $ 78,640 |
Capital
Capital | 12 Months Ended |
Dec. 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 operational-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 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. 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 12.1 - Regulatory Capital Requirements (dollars in thousands) Risk-Based Capital Requirements December 31, December 31, Permanent capital Class B capital stock $ 953,638 $ 1,267,172 Mandatorily redeemable capital stock 13,562 6,282 Retained earnings 1,548,406 1,498,642 Total permanent capital $ 2,515,606 $ 2,772,096 Risk-based capital requirement Credit-risk capital $ 84,301 $ 96,143 Market-risk capital 213,467 204,028 Operations-risk capital 89,330 90,052 Total risk-based capital requirement $ 387,098 $ 390,223 Permanent capital in excess of risk-based capital requirement $ 2,128,508 $ 2,381,873 December 31, 2021 December 31, 2020 Required Actual Required Actual Capital Ratio Risk-based capital $ 387,098 $ 2,515,606 $ 390,223 $ 2,772,096 Total regulatory capital $ 1,301,812 $ 2,515,606 $ 1,538,441 $ 2,772,096 Total capital-to-asset ratio 4.0 % 7.7 % 4.0 % 7.2 % Leverage Ratio Leverage capital $ 1,627,265 $ 3,773,409 $ 1,923,052 $ 4,158,144 Leverage capital-to-assets ratio 5.0 % 11.6 % 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, until the five-year redemption period applicable to their membership stock is complete. Shares of capital stock cannot be purchased or sold except between us and our members at $100 per share par value. For the periods presented in these financial statements, each member is required to purchase Class B stock equal to the sum of 0.20 percent of certain member assets eligible to secure advances under the FHLBank Act, provided that this amount is neither less than $10 thousand nor more than $10 million (the membership stock investment requirement), and 3.00 percent for overnight advances, 4.00 percent for all other advances, 0.25 percent for outstanding letters of credit, and 4.50 percent of the unpaid principal balance of certain mortgage we purchased through the MPF program (collectively, the activity-based stock-investment requirement). The sum of the membership stock investment requirement and the activity-based stock investment requirement, rounded up to the nearest whole share, represents the total stock investment requirement. Members may redeem Class B stock after no sooner than five years' notice provided in accordance with our capital plan (the redemption-notice period). The effective date of termination of membership for any member that voluntarily withdraws from membership is the end of the redemption-notice period, at which time any stock that is held as a condition of membership shall be divested, subject to any other applicable restrictions. At that time, any stock held pursuant to activity-based stock investment requirements shall remain outstanding until such requirements are eliminated by disposition of the related business activity. Any member that withdraws from membership, or otherwise has had its membership terminated, may not be readmitted to membership in any FHLBank until five years from the divestiture date for all capital stock that is held as a condition of membership. This restriction does not apply if the member is transferring its membership from one FHLBank to another on an uninterrupted basis. The redemption-notice period can also be triggered by the involuntary termination of membership of a member by our board of directors or by the FHFA, the merger or acquisition of a member into a nonmember institution, or the relocation of a member to a principal location outside our district. At the end of the redemption-notice period, if the former member's activity-based stock investment requirement is greater than zero, we may require the associated remaining obligations to us to be satisfied in full prior to allowing the member to redeem the remaining shares. Because our Class B stock is subject to redemption in certain instances, we can experience a reduction in our capital, particularly due to membership terminations due to merger and acquisition activity. However, there are several mitigants to this risk, including, but not limited to, the following: • the activity-based stock-investment requirement allows us to retain stock beyond the redemption-notice period if the associated member-related activity is still outstanding, until the obligations are paid in full; • the redemption notice period allows for a significant period in which we can restructure our balance sheet to accommodate a reduction in capital; • our board of directors may modify the membership stock-investment requirement (MSIR) or the activity-based stock-investment requirement (ABSIR), or both, to address expected shortfalls in capitalization due to membership termination; • our board of directors or the FHFA may suspend redemptions in the event that such redemptions would cause us not to meet our minimum regulatory capital requirements; and • the growth in our retained earnings, which are included in our equity capital, helps offset the risk that our capital could be reduced by redemptions. Our board of directors may declare and pay dividends in either cash or capital stock, subject to limitations in applicable law and our capital plan. Restricted Retained Earnings. At December 31, 2021, our restricted retained earnings totaled $368.4 million and exceeded the contribution requirement of $299.5 million. Restricted retained earnings are not available to pay dividends. Mandatorily Redeemable Capital Stock. We will reclassify capital stock subject to redemption from equity to liability once a member exercises a written notice of redemption, gives notice of intent to withdraw from membership, or attains nonmember status by merger or acquisition, charter termination, or involuntary termination from membership. Dividends related to capital stock classified as a liability are accrued at the expected dividend rate and reported as interest expense in the statement of operations. If a member cancels its written notice of redemption or notice of withdrawal, we will reclassify mandatorily redeemable capital stock from a liability to equity. After the reclassification, dividends on the capital stock would no longer be classified as interest expense. Redemption of capital stock is subject to the redemption-notice period and our satisfaction of applicable minimum capital requirements. For the years ended December 31, 2021, 2020, and 2019, dividends on mandatorily redeemable capital stock of $192 thousand, $221 thousand, and $974 thousand, respectively, were recorded as interest expense. Table 12.2 - Mandatorily Redeemable Capital Stock (dollars in thousands) 2021 2020 2019 Balance at beginning of year $ 6,282 $ 5,806 $ 31,868 Capital stock subject to mandatory redemption reclassified from capital 10,265 581 — Redemption/repurchase of mandatorily redeemable capital stock (2,985) (105) (26,062) Balance at end of year $ 13,562 $ 6,282 $ 5,806 The number of stockholders holding mandatorily redeemable capital stock was fourteen, twelve, and nine at December 31, 2021, 2020, and 2019, respectively. Table 12.3 - Mandatorily Redeemable Capital Stock by Expiry of Redemption Notice Period (dollars in thousands) December 31, 2021 December 31, 2020 Past redemption date (1) $ 3,138 $ 5,558 Due in one year or less 92 — Due after one year through two years 30 93 Due after two years through three years — 40 Due after three years through four years 581 — Due after four years through five years 9,721 581 Thereafter (2) — 10 Total $ 13,562 $ 6,282 _______________________ (1) Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption-notice period but the member-related activity (for example, advances) remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding. (2) The December 31, 2020 amount represents reclassifications to mandatorily redeemable capital stock resulting from an FHFA rule effective February 19, 2016, that makes captive insurance companies ineligible for membership. Captive insurance company members that were admitted as members prior to September 12, 2014, had their memberships terminated on February 19, 2021. A member may cancel or revoke its written notice of redemption or its notice of withdrawal from membership prior to the end of the redemption-notice period. Our capital plan provides that we will charge the member a cancellation fee in the amount of 2.0 percent of the par amount of the shares of Class B stock that is the subject of the redemption notice. We will assess a redemption-cancellation fee unless the board of directors decides that it has a bona fide business purpose for waiving the imposition of the fee, and such a waiver is consistent with the FHLBank Act. Excess Capital Stock Repurchases. Our capital plan provides us with the sole discretion to repurchase capital stock from a member at par value that is in excess of the amount required to meet the member's total stock investment requirement (excess capital stock) subject to all applicable limitations. In conducting any repurchases, we repurchase any shares that are the subject of an outstanding redemption notice from the member from whom we are repurchasing prior to repurchasing any other shares that are in excess of the member's total stock-investment requirement (TSIR). We generally repurchase excess stock held by any shareholder whose excess stock exceeds the lesser of $3.0 million or 3.00 percent of the shareholder’s total stock investment requirement, subject to a minimum repurchase of $100,000. We plan to continue with this practice, subject to regulatory requirements and our anticipated liquidity or capital management needs, although continued repurchases remain at our sole discretion, and we retain authority to suspend repurchases of excess stock from any shareholder or all shareholders without prior notice. In addition to these daily repurchases, subject to our sole discretion shareholders may request that we voluntarily repurchase excess stock shares at any time. We may also allow the member to sell the excess capital stock at par value to another one of our members. At December 31, 2021 and 2020, members and nonmembers with capital stock outstanding held excess capital stock totaling $32.6 million and $90.8 million, respectively, representing approximately 3.4 percent and 7.1 percent, respectively, of total capital stock outstanding. FHFA rules limit our ability to create member excess capital stock under certain circumstances. We may not pay dividends in the form of capital stock or issue new excess capital stock to members if our excess capital stock exceeds one percent of our total assets or if the issuance of excess capital stock would cause our excess capital stock to exceed one percent of our total assets. At December 31, 2021, we had excess capital stock outstanding totaling 0.1 percent of our total assets. For the year ended December 31, 2021, we complied with the FHFA's excess capital stock rule. Capital Classification Determination. We are subject to the FHFA's regulation on FHLBank capital classification and critical capital levels (the Capital Rule). The Capital Rule, among other things, defines criteria for four capital classifications and corrective action requirements for FHLBanks that are classified in any classification other than adequately capitalized. An adequately capitalized FHLBank is one that has sufficient permanent and total capital to satisfy its risk-based and minimum capital requirements. We satisfied these requirements at December 31, 2021. However, pursuant to the Capital Rule, the FHFA has discretion to reclassify an FHLBank and modify or add to corrective action requirements for a particular capital classification. If we become classified into a capital classification other than adequately capitalized, we will be subject to the corrective action requirements for that capital classification in addition to being subject to prohibitions on declaring dividends |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Loss | 12 Months Ended |
Dec. 31, 2021 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Income (Loss) [Text Block] | Accumulated Other Comprehensive Income (Loss) Table 13.1 - 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 Relating to Hedging Activities Pension and Postretirement Benefits Total Balance, December 31, 2018 $ (152,958) $ (129,154) $ (29,119) $ (5,276) $ (316,507) Cumulative effect of change in accounting principle — — (175) — (175) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 79,036 — (6,131) — 72,905 Noncredit other-than-temporary impairment losses — (181) — — (181) Noncredit losses included in basis of securities sold — 29,517 — — 29,517 Accretion of noncredit loss — 22,806 — — 22,806 Net actuarial loss — — — (2,195) (2,195) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 976 — — 976 Amortization - hedging activities (2) — — 5,218 — 5,218 Amortization - pension and postretirement benefits (3) — — — 664 664 Other comprehensive income (loss) 79,036 53,118 (913) (1,531) 129,710 Balance, December 31, 2019 (73,922) (76,036) (30,207) (6,807) (186,972) Other comprehensive income (loss) before reclassifications: Adjustment for transfer of securities from held-to-maturity to available-for-sale 16,062 31,502 — — 47,564 Net unrealized gains (losses) 137,011 — (1,187) — 135,824 Noncredit losses included in basis of securities sold — 39,144 — — 39,144 Accretion of noncredit loss — 5,390 — — 5,390 Net actuarial loss — — — (2,386) (2,386) Reclassifications from other comprehensive income to net income Reclassification of realized net gains included in net income (30,583) — — — (30,583) Amortization - hedging activities (2) — — 7,029 — 7,029 Amortization - pension and postretirement benefits (3) — — — 1,129 1,129 Other comprehensive income (loss) 122,490 76,036 5,842 (1,257) 203,111 Balance, December 31, 2020 48,568 — (24,365) (8,064) 16,139 Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 9,445 — (7,875) — 1,570 Net actuarial gain — — — 4,059 4,059 Reclassifications from other comprehensive income to net income Amortization - hedging activities (2) — — 5,949 — 5,949 Amortization - pension and postretirement benefits (3) — — — 1,250 1,250 Other comprehensive income (loss) 9,445 — (1,926) 5,309 12,828 Balance, December 31, 2021 $ 58,013 $ — $ (26,291) $ (2,755) $ 28,967 _______________________ (1) Recorded in other income (loss) in the statement of operations. (2) Recorded in CO bond interest expense. |
Employee Retirement Plans
Employee Retirement Plans | 12 Months Ended |
Dec. 31, 2021 | |
Retirement Benefits [Abstract] | |
Employee Retirement Plans [Text Block] | Employee Retirement Plans Qualified Defined Benefit Multiemployer Plan. We participate in the Pentegra Defined Benefit Plan for Financial Institutions (the Pentegra Defined Benefit Plan), a funded, tax-qualified, noncontributory defined-benefit pension plan. The Pentegra Defined Benefit Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974, as amended (ERISA), and the Internal Revenue Code. Accordingly, certain multiemployer plan disclosures are not applicable to the Pentegra Defined Benefit Plan. Under the Pentegra Defined Benefit Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers since assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The plan covers substantially all of our employees. For each of the years ended December 31, 2020 and 2019, in addition to our required contribution, we made voluntary contributions of $6.0 million to the Pentegra Defined Benefit Plan. For the year ended December 31, 2021, we did not make a voluntary contribution. We were not required to nor did we pay a funding improvement surcharge to the plan for the years ended December 31, 2021, 2020, and 2019. The Pentegra Defined Benefit Plan operates on a fiscal year from July 1 through June 30. The Pentegra Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 and the three-digit plan number is 333. We do not have any collective bargaining agreements in place. The Pentegra Defined Benefit Plan's annual valuation process includes calculating the plan's funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of assets divided by the funding target (100 percent of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Pentegra Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. Accordingly, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30. The most recent Form 5500 available for the Pentegra Defined Benefit Plan is for the plan year ended June 30, 2020. For the Pentegra Defined Benefit Plan plan years ended June 30, 2019 and 2018, our contributions did not represent more than five percent of the total contributions to the Pentegra Defined Benefit Plan. On November 30, 2020, the board of directors elected to freeze the Pentegra Defined Benefit Plan. The Pentegra Defined Benefit Plan will be frozen to employees hired on or after January 1, 2021, and on January 1, 2024, future benefit accruals under the plan will cease for all employees that were hired before January 1, 2021. Table 14.1 - Pentegra Defined Benefit Plan Net Pension Cost and Funded Status (dollars in thousands) For the Years Ended December 31, 2021 2020 2019 Net pension cost $ 883 $ 6,843 $ 6,559 Pentegra Defined Benefit Plan funded status as of July 1 (1) 129.6 % (2) 108.5 % (3) 108.6 % Our funded status as of July 1 (1) 136.4 % 110.2 % 113.9 % ______________________ (1) The funded status is calculated in accordance with a provision contained in the Highway and Transportation Funding Act of 2014 (HATFA), which was signed into law on August 8, 2014, and which modifies the interest rates that had been set by the Moving Ahead for Progress in the 21st Century Act (MAP-21). MAP-21, signed into law in 2012, changed the calculation of the discount rate used in measuring the pension plan liability. MAP-21 allows plan sponsors to measure the pension plan liability using a 25-year average of interest rates plus or minus a corridor. Prior to MAP-21, the discount rate used in measuring the pension plan liability was based on the 24-month average of interest rates. HATFA amended MAP-21 by extending the time period and reducing the rate at which the 25-year corridors widen. Over time, the pension funding stabilization effect of MAP-21 will decline because the 24-month smoothed segment rates and the amended 25-year corridors are likely to converge. (2) The funded status as of July 1, 2021, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2021, through March 15, 2022. Contributions made on or before March 15, 2022, and designated for the plan year ended June 30, 2021, will be included in the final valuation as of July 1, 2021. The final funded status as of July 1, 2021, will not be available until the Form 5500 for the plan year July 1, 2021, through June 30, 2022 is filed. This Form 5500 is due to be filed no later than April 2023. (3) The funded status as of July 1, 2020, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020, through March 15, 2021. Contributions made on or before March 15, 2021, and designated for the plan year ended June 30, 2020, will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020, will not be available until the Form 5500 for the plan year July 1, 2020, through June 30, 2021 is filed. This Form 5500 is due to be filed no later than April 2022. Qualified Defined Contribution Plan. We also participate in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The plan covers substantially all of our employees. We contribute a percentage of the participants' compensation by making a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. Our matching contributions are charged to compensation and benefits expense and are not considered to be material. On November 30, 2020, the board of directors adopted changes to the Pentegra Defined Contribution Plan to add, subject to certain limitations of the Internal Revenue Code, a non-elective, non-matching contribution from the Bank of six percent of each eligible employee’s salary for employees who are ineligible to accrue benefits under the Pentegra Defined Benefit Plan, either because they were hired on or after January 1, 2021, or because benefit accruals have ceased on January 1, 2024. Nonqualified Defined Contribution Plan. We also maintain the Thrift Benefit Equalization Plan, a nonqualified, unfunded deferred compensation plan covering certain of our senior officers and directors. The plan's liability consists of the accumulated compensation deferrals and the accumulated earnings on these deferrals. Our obligation from this plan was $13.5 million and $14.1 million at December 31, 2021 and 2020, respectively, which is recorded in other liabilities on the statement of condition. We maintain a rabbi trust, which is recorded in other assets on the statement of condition, intended to satisfy future benefit obligations. Our matching contributions are charged to compensation and benefits expense and are not considered to be material. On November 30, 2020, the board of directors adopted changes to the Thrift Benefit Equalization Plan to add, subject to certain limitations of the Internal Revenue Code, a non-elective, non-matching contribution from the Bank of six percent of each eligible executive participant's salary for certain senior officers who are ineligible to accrue benefits under the Nonqualified Supplemental Defined Benefit Retirement Plan, either because they were hired on or after January 1, 2021, or because benefit accruals have ceased on January 1, 2024. Nonqualified Supplemental Defined Benefit Retirement Plan. We also maintain a nonqualified, single-employer unfunded defined-benefit plan covering certain senior officers, for which our obligation is detailed below. We maintain a rabbi trust which is recorded in other assets on the statement of condition, intended to satisfy future benefit obligations. On November 30, 2020, the board of directors elected to freeze this plan. The plan will be frozen to senior officers hired on or after January 1, 2021, and on January 1, 2024, future benefit accruals under the plan will cease for all senior officers. Postretirement Benefits. We sponsor a fully insured postretirement benefit program that includes life insurance benefits for eligible retirees. We provide life insurance to all employees who retire on or after age 55 after completing six years of service. No contributions are required from the retirees. There are no funded plan assets that have been designated to provide postretirement benefits. Table 14.2 - Pension and Postretirement Benefit Obligation, Fair Value of Plan Assets, and Funded Status (dollars in thousands) Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Change in benefit obligation (1) Benefit obligation at beginning of year $ 28,028 $ 26,123 $ 1,690 $ 1,339 Service cost 1,347 1,487 45 44 Interest cost 407 551 43 44 Actuarial (gain) loss (3,960) 3,048 (99) 282 Benefits paid (137) (138) (21) (19) Settlements (5,857) (3,043) — — Benefit obligation at end of year 19,828 28,028 1,658 1,690 Change in plan assets Fair value of plan assets at beginning of year — — — — Employer contribution 5,994 3,181 21 19 Benefits paid (137) (138) (21) (19) Settlements (5,857) (3,043) — — Fair value of plan assets at end of year — — — — Funded status at end of year $ (19,828) $ (28,028) $ (1,658) $ (1,690) ______________________ (1) Represents the projected benefit obligation for the nonqualified supplemental defined benefit retirement plan and the accumulated postretirement benefit obligation for postretirement benefits. Table 14.3 - Pension and Postretirement Benefits Recognized in Accumulated Other Comprehensive Income (dollars in thousands) Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Net actuarial loss $ 2,218 $ 7,375 $ 537 $ 689 The accumulated benefit obligation for the nonqualified supplemental defined benefit retirement plan was $19.7 million and $25.3 million at December 31, 2021 and 2020, respectively. Table 14.4 - Net Periodic Benefit Cost and Other Amounts Recognized in Other Comprehensive Income (dollars in thousands) Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2021 2020 2019 2021 2020 2019 Net Periodic Benefit Cost Service cost $ 1,347 $ 1,487 $ 1,235 $ 45 $ 44 $ 38 Interest cost 407 551 699 43 44 42 Amortization of prior service cost — 79 86 — — — Amortization of net actuarial loss 543 1,020 571 52 30 7 Curtailment charge — 69 — — — — Settlement charge 655 875 — — — — Net periodic benefit cost 2,952 4,081 2,591 140 118 87 Other Changes in Benefit Obligations Recognized in Accumulated Other Comprehensive Income (Loss) Amortization of prior service cost — (79) (86) — — — Amortization of net actuarial loss (543) (1,020) (571) (52) (30) (7) Net actuarial (gain) loss (3,960) 3,048 1,874 (99) 282 321 Curtailment charge — (69) — — — — Settlement charge (655) (875) — — — — Total amount recognized in other comprehensive income (5,158) 1,005 1,217 (151) 252 314 Total amount recognized in net periodic benefit cost and other comprehensive income $ (2,206) $ 5,086 $ 3,808 $ (11) $ 370 $ 401 Table 14.5 - Pension and Postretirement Benefit Plan Key Assumptions Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement 2021 2020 2021 2020 Benefit obligation Discount rate 2.32 % 1.73 % 2.85 % 2.55 % Salary increases 5.50 % 5.50 % — — Net periodic benefit cost Discount rate 1.73 % 1.74 % 2.55 % 3.25 % Salary increases 5.50 % 5.50 % — — The discount rate for the nonqualified supplemental defined benefit retirement plan was determined by using a discounted cash-flow analysis using the FTSE Pension Discount Curve as of December 31, 2021. Our nonqualified supplemental defined benefit retirement plan and postretirement benefits are not funded; therefore, no contributions will be made in 2022 other than the payment of benefits. Table 14.6 - Estimated Future Benefit Payments (dollars in thousands) Estimated Future Payments Nonqualified Supplemental Defined Benefit Postretirement 2022 $ 1,639 $ 23 2023 2,615 25 2024 1,572 28 2025 5,675 30 2026 2,595 32 2027-2031 1,762 202 |
Fair Values
Fair Values | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value [Text Block] | Fair Values Fair-Value Methodologies and Techniques We have determined the fair-value amounts below using available market and other pertinent information and our best judgment of appropriate valuation methods. Fair value is the price in an orderly transaction between market participants to sell an asset or transfer a liability in the principal (or advantageous) market for the asset or liability at the measurement date (an exit price). Although we use our best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of our financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. Therefore, these fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect our judgment of how a market participant would estimate the fair values. Additionally, these values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account, among other things, future business opportunities and the net profitability of assets and liabilities. Fair-Value Hierarchy. GAAP establishes a fair-value hierarchy and requires an entity to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the fair-value measurement is determined. This overall level is an indication of market observability of the fair-value measurement for the asset or liability. An entity must disclose the level within the fair value hierarchy in which the measurements are classified. The fair-value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transaction for the asset or liability occurs with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified or contractual term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, volatilities, and prepayment speeds); and (4) inputs that are derived principally from or corroborated by observable market data (e.g., implied spreads). Level 3 Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. We review the fair-value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. There were no such transfers into or out of Level 3 of the fair value hierarchy during the years ended December 31, 2021 and 2020. Table 15.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at December 31, 2021 and 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 15.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. Table 15.1 - Fair Value Summary (dollars in thousands) December 31, 2021 Carrying Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 204,993 $ 204,993 $ 204,993 $ — $ — $ — Interest-bearing deposits 85,153 85,153 85,153 — — — Securities purchased under agreements to resell 800,000 799,998 — 799,998 — — Federal funds sold 1,944,000 1,943,998 — 1,943,998 — — Trading securities (1) 501,867 501,867 — 501,867 — — Available-for-sale securities (1) 12,895,987 12,895,987 — 12,833,722 62,265 — Held-to-maturity securities 145,492 148,068 — 148,068 — — Advances 12,340,020 12,440,985 — 12,440,985 — — Mortgage loans, net 3,120,159 3,234,829 — 3,204,222 30,607 — Accrued interest receivable 68,360 68,360 — 68,360 — — Derivative assets (1) 378,532 378,532 — 3,972 — 374,560 Other assets (1) 32,570 32,570 13,937 18,633 — — Liabilities: Deposits (884,032) (884,029) — (884,029) — — COs: Bonds (26,613,032) (26,882,036) — (26,882,036) — — Discount notes (2,275,320) (2,275,276) — (2,275,276) — — Mandatorily redeemable capital stock (13,562) (13,562) (13,562) — — — Accrued interest payable (60,968) (60,968) — (60,968) — — Derivative liabilities (1) (38,944) (38,944) — (177,578) — 138,634 Other: Commitments to extend credit for advances — (6,196) — (6,196) — — Standby letters of credit (1,146) (1,146) — (1,146) — — December 31, 2020 Carrying Total Fair 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. Summary of Valuation Methodologies and Primary Inputs The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are listed below. The fair values and level within the fair value hierarchy of these assets and liabilities are reported in Table 15.2. Investment Securities. We determine the fair values of our investment securities, other than HFA floating-rate securities, based on prices obtained for each of these securities that we request from multiple designated third-party pricing vendors. The fair value of each such security is the average of such vendor prices that are within a cluster pricing tolerance range. A cluster is defined as a group of available vendor prices for a given security that is within a defined price tolerance range of the median vendor price depending on the security type. An outlier is any vendor price that is outside of the defined cluster and is evaluated for reasonableness. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Vendor prices that are outside of a defined cluster are identified as outliers and are subject to additional review including, but not limited to, comparison to prices provided by an additional third-party valuation vendor, prices for similar securities, and/or nonbinding dealer estimates, or the use of internal model prices, which we believe reflect the facts and circumstances that a market participant would consider. We also perform this analysis in those limited instances where no third-party vendor price or only one third-party vendor price is available to determine fair value. If the analysis indicates that an outlier is not representative of fair value and that the average of the vendor prices within the tolerance threshold of the median price is the best estimate, then we use the average of the vendor prices within the tolerance threshold of the median price as the final price. If, on the other hand, we determine that an outlier (or some other price identified in the analysis) is a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price. In all cases, the final price is used to determine the fair value of the security. As of December 31, 2021, multiple vendor prices were received for substantially all of our investment securities and the final prices for substantially all of those securities were computed by averaging the prices received. The relative proximity of the prices received supports our conclusion that the final computed prices are reasonable estimates of fair value. Based on the current low level of market activity for private-label residential MBS, the nonrecurring fair-value measurements for such securities during 2020 fell within Level 3 of the fair-value hierarchy. Our fixed-rate HFA securities fall within Level 3 of the fair-value hierarchy due to the current lack of market activities for these bonds. Investment Securities – HFA Floating Rate Securities. The fair value is determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Our floating rate HFA securities fall within Level 3 of the fair-value hierarchy due to the current lack of market activity for these bonds. Mortgage Loans. The fair value of impaired conventional mortgage loans is based on the lower of the carrying value of the loans or fair value of the collateral less estimated costs to sell. The fair value of impaired government mortgage loans is equal to the unpaid principal balance. REO. Fair value is derived from third-party valuations of the property, which fall within Level 3 of the fair-value hierarchy. Derivative Assets/Liabilities - Interest-Rate-Exchange Agreements . We base the fair values of interest-rate-exchange agreements on available market prices of derivatives having similar terms, including accrued interest receivable and payable. The fair-value methodology uses standard valuation techniques for derivatives such as discounted cash-flow analysis and comparisons with similar instruments. The fair values of all interest-rate-exchange agreements are netted by clearing member and/or by counterparty, including cash collateral received from or delivered to the counterparty. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. We generally use a midmarket pricing convention based on the bid-ask spread as a practical expedient for fair-value measurements. Because these estimates are made at a specific point in time, they are susceptible to material near-term changes. We have evaluated the potential for the fair value of the instruments to be affected by counterparty risk and our own credit risk and have determined that no adjustments were significant to the overall fair-value measurements. The discounted cash-flow model uses market-observable inputs (inputs that are actively quoted and can be validated to external sources), including the following: • Discount rate assumption . For all derivatives cleared through a DCO the discount rate used is SOFR. For our bilateral, non-cleared interest-rate derivatives the discount rate used is either SOFR, the OIS rate based on the federal funds effective rate curve or the LIBOR swap curve depending on the terms of the International Swaps and Derivatives Association (ISDA) agreement we have with each derivative counterparty. • Forward interest-rate assumption . Forward rates implied by the LIBOR swap curve, forward federal funds rates based on the OIS swap curve or forward rates implied by the SOFR swap curve. • Volatility assumption . Market-based expectations of future interest-rate volatility implied from current market prices for similar options. Derivative Assets/Liabilities – Commitments to Invest in Mortgage Loans . Commitments to invest in mortgage loans are recorded as derivatives in the statement of condition. The fair values of such commitments are based on the end-of-day delivery commitment prices provided by the FHLBank of Chicago and a spread, derived from MBS TBA delivery commitment prices with adjustment for the contractual features of the MPF program, such as servicing and credit-enhancement features. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methodologies described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest-rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair-value estimates. Since these estimates are made as of a specific point in time, they are susceptible to material near-term changes. Fair Value Measured on a Recurring and Nonrecurring Basis. Table 15.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands) December 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 $ — $ 1,442 $ — $ — $ 1,442 U.S. Treasury obligations — 500,425 — — 500,425 Total trading securities — 501,867 — — 501,867 Available-for-sale securities: HFA securities — — 62,265 — 62,265 U.S. Treasury obligations — 5,084,546 — — 5,084,546 Supranational institutions — 403,765 — — 403,765 U.S. government-owned corporations — 306,864 — — 306,864 GSE — 126,472 — — 126,472 U.S. government guaranteed – single-family MBS — 21,535 — — 21,535 U.S. government guaranteed – multifamily MBS — 541,405 — — 541,405 GSE – single-family MBS — 1,103,714 — — 1,103,714 GSE – multifamily MBS — 5,245,421 — — 5,245,421 Total available-for-sale securities — 12,833,722 62,265 — 12,895,987 Derivative assets: Interest-rate-exchange agreements — 3,850 — 374,560 378,410 CO Bond firm commitments — 54 — — 54 Mortgage delivery commitments — 68 — — 68 Total derivative assets — 3,972 — 374,560 378,532 Other assets 13,937 18,633 — — 32,570 Total assets carried at fair value on a recurring basis $ 13,937 $ 13,358,194 $ 62,265 $ 374,560 $ 13,808,956 Carried at fair value on a nonrecurring basis (2) Mortgage loans held for portfolio $ — $ — $ 3,860 $ — $ 3,860 REO — — 59 — 59 Total assets carried at fair value on a nonrecurring basis $ — $ — $ 3,919 $ — $ 3,919 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (177,548) $ — $ 138,634 $ (38,914) CO Bond firm commitments — (30) — — (30) Total liabilities carried at fair value on a recurring basis $ — $ (177,578) $ — $ 138,634 $ (38,944) December 31, 2020 Level 1 Level 2 Level 3 Netting (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 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 15.3 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 years ended December 31, 2021, 2020, and 2019. Table 15.3 - Roll Forward of Level 3 Available-for-Sale Securities (dollars in thousands) For the Year ended December 31, 2021 2020 2019 HFA Securities HFA Securities Private-label MBS HFA Securities Balance at beginning of year $ 122,549 $ 64,652 $ — $ 49,601 Transfer of securities from held-to-maturity to available-for-sale — 71,240 180,514 — Total gains included in earnings Net gains on sale — — 30,583 — Reduction of provision for credit losses — — 269 — Accretion — — 353 — Total gains (losses) included in other comprehensive income Net unrealized gains (losses) 3,316 6,517 (22,203) 1,231 Purchases — — — 13,820 Sales, maturities, and settlements Sales — — (187,366) — Maturities (61,320) (18,685) — — Settlements (2,280) (1,175) (2,150) — Balance at end of year $ 62,265 $ 122,549 $ — $ 64,652 Total amount of unrealized gains (losses) for the period included in other comprehensive income relating to securities held at period end $ 124 $ 5,823 $ — $ 1,231 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 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 December 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 December 31, 2021 and 2020. The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $623.9 billion and $712.5 billion at December 31, 2021 and 2020, respectively. See Note 10 — Consolidated Obligations for additional information. Off-Balance-Sheet Commitments Table 16.1 - Off-Balance Sheet Commitments (1) (dollars in thousands) December 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) $ 5,369,701 $ 132,096 $ 5,501,797 $ 6,190,479 $ 233,771 $ 6,424,250 Commitments for unused lines of credit - advances (3) 1,095,844 — 1,095,844 1,127,432 — 1,127,432 Commitments to make additional advances 40,917 66,318 107,235 69,684 93,465 163,149 Commitments to invest in mortgage loans 3,164 — 3,164 28,386 — 28,386 Unsettled CO bonds, at par 260,000 — 260,000 — — — Unsettled CO discount notes, at par — — — 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 December 31, 2021 and 2020, these amounts totaled $16.1 million and $37.1 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $125 thousand and $25 thousand at December 31, 2021 and 2020, respectively. (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 generally subject to the same collateralization and borrowing limits that are applicable to advances. Standby letters of credit may be offered to assist members and nonmember housing associates 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 December 31, 2021, the terms of these standby letters of credit have original expiration periods of up to 20 years, expiring no later than 2031. 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 $1.1 million and $1.3 million at December 31, 2021 and 2020, respectively. We monitor the creditworthiness of our members and housing associates that have standby letter of credit agreements outstanding based on our evaluations of the financial condition of the member or housing associate. We review available financial data, which can include regulatory call reports filed by depository institution members, regulatory financial statements filed with the appropriate state insurance department by insurance company members, audited financial statements of housing associates, SEC filings, and rating-agency reports to ensure that potentially troubled members are identified as soon as possible. In addition, we have access to most members' regulatory examination reports. We analyze this information on a regular basis. Standby letters of credit are fully collateralized at the time of issuance. Based on our credit analyses and collateral requirements, we have not deemed it necessary to record any additional liability on these commitments. Commitments to Invest in Mortgage Loans. Commitments to invest in mortgage loans are generally for periods not to exceed 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 8 — 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. Other commitments and contingencies are discussed in Note 6 — Advances , Note 8 — Derivatives and Hedging Activities , Note 10 — Consolidated Obligations , Note 11 — Affordable Housing Program , Note 12 — Capital , and Note 14 — Employee Retirement Plans . |
Transactions with Shareholders
Transactions with Shareholders | 12 Months Ended |
Dec. 31, 2021 | |
Transactions with Shareholders [Abstract] | |
Transactions with Shareholders [Text Block] | Transactions with Shareholders We are a cooperative whose members own our capital stock and may receive dividends on their investment in our capital stock. In addition, certain former members and nonmembers that still have outstanding transactions with us are required to maintain their investment in our capital stock until the transactions mature or are paid off. All advances are issued to members or housing associates, and mortgage loans held for portfolio are generally acquired from our members or housing associates. We also maintain demand-deposit accounts for members and housing associates primarily to facilitate settlement activities that are directly related to advances, mortgage-loan purchases, and other transactions between us and the member or housing associate. In instances where the member has an officer or director who serves as a director of the Bank, those transactions are subject to the same eligibility and credit criteria, as well as the same terms and conditions, as transactions with all other members. Related Parties. We define related parties as members who owned 10 percent or more of the voting interests of our capital stock outstanding at year end. Each member eligible to vote is entitled to cast by ballot one vote for each share of stock that it was required to hold as of the record date, which is December 31, of the year prior to each election, subject to the limitation that no member may cast more votes than the average number of shares of our stock that is required to be held by all members located in such member's state. Under the FHLBank Act and FHFA regulations, each member directorship is designated to one of the six states in our district. Eligible members are permitted to vote all their eligible shares for one candidate for each open member directorship in the state in which the member is located and for each open independent directorship. A nonmember stockholder is not entitled to cast votes for the election of directors unless it was a member as of the record date. At December 31, 2021 and 2020, no shareholder owned more than 10 percent of the total voting interests due to statutory limits on members' voting rights, therefore, we did not have any related parties. Shareholder Concentrations. We consider shareholder concentrations as members or nonmembers whose capital stock holdings (including mandatorily redeemable capital stock) are in excess of 10 percent of total capital stock outstanding at December 31, 2021 and 2020. At December 31, 2021 and 2020, no shareholder has 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 17.1 - Transactions with Directors' Institutions (dollars in thousands) Capital Stock Percent Par Percent of Total Par Value Total Accrued Percent of Total December 31, 2021 $ 48,104 5.0 % $ 416,542 3.4 % $ 466 2.8 % December 31, 2020 60,624 4.8 582,765 3.1 651 2.5 |
Transactions with Other FHLBank
Transactions with Other FHLBanks | 12 Months Ended |
Dec. 31, 2021 | |
Transactions with Other FHLBanks [Abstract] | |
Transactions with Other FHLBanks [Text Block] | Transactions with Other FHLBanks We may occasionally enter into transactions with other FHLBanks. These transactions are summarized below. Overnight Funds . We may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included within other interest income and interest expense from other borrowings in the statement of operations. During the year ended December 31, 2021, there were no interest income nor interest expense on/for loans to/from other FHLBanks. Interest income on loans to other FHLBanks was $48 thousand and $25 thousand for the years ended December 31, 2020 and 2019, respectively. Interest expense for loans from other FHLBanks was $218 thousand and $20 thousand for the years ended December 31, 2020 and 2019, respectively. MPF Mortgage Loans. We pay a transaction-services fee and a membership fee to the FHLBank of Chicago for our participation in the MPF program. For the years ended December 31, 2021, 2020, and 2019, we recorded $2.4 million, $2.9 million, and $2.8 million, respectively in MPF transaction-services fee expense to the FHLBank of Chicago which has been recorded in the statement of operations as other expense. The membership fee has been recorded in the statement of operations as an operating expense, and totaled $600 thousand for each of the years ended December 31, 2021, 2020, and 2019. In addition, beginning in 2020, we receive an MPF performance fee from the FHLBank of Chicago. The MPF performance fee for the years ended December 31, 2021 and 2020 amounted to $125 thousand and $50 thousand, respectively, and was recorded in the statement of operations as other income. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent EventsOn February 18, 2022, the board of directors declared a cash dividend at an annualized rate of 2.05 percent based on daily average capital stock balances outstanding during the fourth quarter of 2021. The dividend, including dividends classified as interest on mandatorily redeemable capital stock, amounted to $5.2 million and was paid on March 2, 2022. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Use of Estimates, Policy | These financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. The most significant of these estimates include but are not limited to, accounting for derivatives and hedging activities, estimation of fair values, and amortization of premiums and discounts associated with prepayable mortgage-backed securities. Actual results could differ from these estimates. |
Fair Value Measurement, Policy | We determine the fair-value amounts recorded on the statement of condition and in the note disclosures for the periods presented by using available market and other pertinent information, and reflect our best judgment of appropriate valuation methods. Although we use our best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. |
Derivatives, Offsetting Fair Value Amounts, Policy | We present certain financial instruments on a net basis when they are subject to a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, we have elected to offset our asset and liability positions, as well as cash collateral received or pledged, when we have met the netting requirements. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the requirements for netting, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 8 — Derivatives and Hedging Activities for additional information regarding these agreements. |
Credit Loss, Financial Instrument, Policy | Beginning January 1, 2020, the Bank adopted, on a modified retrospective basis, new accounting guidance pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as available-for-sale securities be recorded through the allowance for credit losses. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting.Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, we evaluate our off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses on these off-balance sheet exposures is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. |
Investment, Policy | 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. Interest-bearing deposits include bank notes not meeting the definition of a security. Securities purchased under agreements to resell are treated as short-term collateralized loans. Federal funds sold consist of short-term, unsecured loans transacted with counterparties that we consider to be of investment quality. These investments provide short-term liquidity and are carried at cost. Accrued interest receivable is recorded separately on the statements of condition. If applicable, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. Interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold are evaluated quarterly for expected credit losses if not expected to be repaid according to the contractual terms. We have not sold or repledged the collateral received on securities purchased under agreements to resell. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, we use the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which we do not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Prior to January 1, 2020, securities purchased under agreements to resell were evaluated for credit losses if there was a collateral shortfall which we did not believe the counterparty would replenish in accordance with the contractual terms. Investment Securities We classify investments as trading, available-for-sale, or held-to-maturity at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these investments through other income as net unrealized (losses) gains on trading securities. FHFA regulations prohibit trading in or the speculative use of these instruments and limit the credit risks we have from these instruments. Available-for-sale. We classify certain investments that are not classified as held-to-maturity or trading as available-for-sale and carry them at fair value. Changes in fair value of available-for-sale securities not being hedged by derivatives, or in an economic hedging relationship, are recorded in other comprehensive income. For available-for-sale securities that have been hedged under fair-value hedge designations, we record the portion of the change in the fair value of the investment related to the risk being hedged in available-for-sale interest income together with the related change in the fair value of the derivative. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, for securities classified as available-for-sale, we evaluate individual securities for impairment on a quarterly basis by comparing the security’s fair value to its amortized cost. Accrued interest receivable is recorded separately on the statements of condition and is not included in the amortized cost basis. Impairment exists when the fair value of the investment is less than its amortized cost. In assessing whether a credit loss exists on an impaired security, we consider whether there would be a shortfall in receiving all cash flows contractually due on the investment. When a shortfall is considered possible, we compare the present value of cash flows to be collected from the security with the amortized cost basis of the security. If the present value of cash flows is less than amortized cost, an allowance-for-credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance is limited to the difference between the amortized cost and the fair value on the individual security and excludes uncollectible accrued interest receivable, which is measured separately. If management intends to sell an impaired security classified as available-for-sale, or more likely than not will be required to sell the security before expected recovery of its amortized cost basis, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date with any incremental impairment reported in earnings as net gains on available-for-sale securities. If management does not intend to sell an impaired security classified as available-for-sale and it is not more likely than not that management will be required to sell the debt security, then the credit portion of the difference is recognized as an allowance for credit losses and any remaining difference between the security’s fair value and amortized cost is recorded to net unrealized gains (losses) on available-for-sale securities within other comprehensive income. Held-to-Maturity. Certain investments for which we have both the ability and intent to hold to maturity are classified as held-to-maturity and are carried at amortized cost, which is original cost net of periodic principal repayments and amortization of premiums and accretion of discounts using the level-yield method adjusted for other-than-temporary impairment losses recorded prior to January 1, 2020. Accrued interest receivable is recorded separately on the statement of condition. Certain changes in circumstances may cause us to change our intent to hold a security to maturity without calling into question our intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of a held-to-maturity security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for us that could not have been reasonably anticipated may cause us to sell or transfer a held-to-maturity security without necessarily calling into question our intent to hold other debt securities to maturity. In addition, sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security. • The sale occurs near enough to its maturity date (for example, within three months of maturity), or call date if exercise of the call is probable, that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security's fair value; or • The sale of a security occurs after we have already collected a substantial portion (at least 85 percent) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, held-to-maturity securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the held-to-maturity security carrying value. For improvements in expected future cash flows for held-to-maturity securities impaired prior to January 1, 2020, interest income continues to follow the recognition pattern pursuant to the impairment guidance in effect prior to January 1, 2020. Any additional recoveries of amounts previously written off prior to January 1, 2020, are recorded when received. For any improvements in expected future cash flows for held-to-maturity securities with an allowance for credit losses recognized after the adoption of the new guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount immediately in the current period. Premiums and Discounts. We amortize premiums and accrete discounts on mortgage-backed securities (MBS) using the level-yield method over the estimated lives of the securities. This method requires a retrospective adjustment of the effective yield each time we change the estimated life, based on actual prepayments received and changes in expected prepayments, as if the new estimate had been known since the original acquisition date of the securities. We estimate prepayment speeds on each individual security using the most recent three months of historical constant prepayment rates, as available, or may subscribe to third-party data services that provide estimates of future cash flows, from which we determine expected asset lives. We amortize premiums and accrete discounts on other investments using the level-yield method to the contractual maturity of the securities. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income (loss). Prior to January 1, 2020, we evaluated individual available-for-sale and held-to-maturity securities that were in an unrealized loss position for other-than-temporary impairment each quarter. An investment was considered impaired when its fair value was less than its amortized cost. We considered other-than-temporary impairment to have occurred if we: • had an intent to sell the investment; • believed it was more likely than not that we would be required to sell the investment before the recovery of its amortized cost based on available evidence; or • did not expect to recover the entire amortized cost of the debt security. Recognition of Other-than-Temporary Impairment. If either of the first two conditions above was met, we recognized an other-than-temporary impairment charge in earnings equal to the entire difference between the security's amortized cost and its fair value as of the statement of condition date. For securities in an unrealized loss position that meet neither of the first two conditions (excluding agency MBS) and for each of our private-label MBS, we performed an analysis to determine if we would recover the entire amortized cost of each of these securities. The present value of the cash flows expected to be collected was compared with the amortized cost of the debt security to determine whether a credit loss existed. If the present value of the cash flows expected to be collected was less than the amortized cost of the debt security, the security was deemed to be other-than-temporarily impaired and the carrying value of the debt security was adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost and fair value in earnings, only the amount of the impairment representing the credit loss (that is, the credit component) was recognized in earnings, while the amount related to all other factors (that is, the noncredit component) was recognized in other comprehensive income. For a security that was determined to be other-than-temporarily impaired, in the event that the present value of the cash flows expected to be collected was less than the fair value of the security, the credit loss on the security was limited to the amount of that security's unrealized losses. In performing a detailed cash-flow analysis, we estimated the cash flows expected to be collected. If this estimate resulted in a present value of expected cash flows (discounted at the security's effective yield) that was less than the amortized cost basis of a security (that is, a credit loss exists), other-than-temporary impairment was considered to have occurred. For determining the present value of variable-rate and hybrid private-label residential MBS, we used the effective interest rate derived from a variable-rate index, such as one-month London Interbank Offered Rate (LIBOR), plus the contractual spread, plus or minus a fixed-spread adjustment when there was an existing discount or premium on the security. Because the implied forward yield curve of a selected variable-rate index changes over time, the effective interest rates derived from that index will also change over time and would therefore impact the present value of the subject security. Interest Income Recognition. Upon subsequent evaluation of a debt security when there was no additional other-than-temporary impairment, we adjusted the accretable yield on a prospective basis if there was a significant increase in the security's expected future cash flows. This adjusted yield was used to calculate the amount to be recognized into income over the remaining life of the security so as to match the amount and timing of future cash flows expected to be collected. Subsequent changes in estimated cash flows that were deemed significant would change the accretable yield on a prospective basis. For debt securities classified as held-to-maturity, the other-than-temporary impairment recognized in other comprehensive income (loss) was accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows. The estimated cash flows and accretable yield were re-evaluated each quarter. |
Federal Home Loan Bank Advances , Policy | Advances Advances are carried at amortized cost, which is original cost net of periodic principal repayments, amortization of premiums and accretion of discounts, and fair value hedge adjustments, as discussed in Note 6 — Advances . We generally record our advances at par. However, we may record premiums or discounts on advances in the following cases: • Advances may be acquired from another FHLBank when one of our members acquires a member of another FHLBank. In these cases, we may purchase the advances from the other FHLBank at a price that results in a fair market yield for the acquired advance. • When the prepayment of an advance is followed by disbursement of a new advance and the transactions effectively represent a modification of the previous advance, the prepayment fee received is deferred and recorded as a discount to the modified advance. • When an advance is modified under our advance restructuring program and our analysis of the restructuring concludes that the transaction is an extinguishment of the prior advance rather than a modification, the deferred prepayment fee is recognized into income immediately and recorded as a premium on the new advance. • When we make an AHP advance, the present value of the variation in the cash flow caused by the difference in the interest rate between the AHP advance rate and our related cost of funds for comparable maturity funding is charged against the AHP liability and recorded as a discount on the AHP advance. • Advances issued under our Jobs for New England (JNE) and Helping to House New England (HHNE) programs have an interest rate at a significant discount to market rates. Due to the below market interest rate, we record a discount on the advance and an interest rate subsidy expense at the time that we transact the advance. The subsidy expense is recorded in other expense in the statement of operations. We amortize the premiums and accrete the discounts on advances to interest income using the level-yield method. We record interest on advances to interest income as earned. Accrued interest receivable is recorded separately on the statements of condition. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, advances are evaluated quarterly for expected credit losses. Prior to January 1, 2020, we evaluated advances to determine if an allowance for credit losses was necessary if it was probable an impairment occurred in our advances portfolio as of the statement of condition date and the amount of loss could be reasonably estimated. Prepayment Fees. We charge borrowers a prepayment fee when they prepay certain advances before the original maturity. We record prepayment fees net of hedging fair-value adjustments included in the carrying value of the advance as prepayment fees on advances, net in the interest income section of the statement of operations. Advance Modifications. In cases in which we fund a new advance concurrently with or within a short period of time of the prepayment of an existing advance by the same member, we evaluate whether the new advance meets the accounting criteria to qualify as a modification of the existing advance or whether it constitutes a new advance. We compare the present value of cash flows on the new advance with the present value of cash flows remaining on the existing advance. If there is at least a 10 percent difference in the present value of cash flows or if we conclude the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance's original contractual terms, the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. If a new advance qualifies as a modification of the existing advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized to interest income over the life of the modified advance using the level-yield method. This amortization is recorded in advance interest income. If the modified advance is hedged, changes in fair value are recorded after the amortization of the basis adjustment in advance interest income. For prepaid advances that were hedged and meet the hedge-accounting requirements, we terminate the hedging relationship upon prepayment and record the prepayment fee net of the hedging fair-value adjustment in the basis of the advance as advance interest income. If we fund a new advance to a member concurrent with or within a short period of time after the prepayment of a previous advance to that member, we evaluate whether the new advance qualifies as a modification of the original hedged advance. If the new advance qualifies as a modification of the original hedged advance, the hedging fair-value adjustment and the prepayment fee are included in the carrying amount of the modified advance and are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedging criteria, the modified advance is marked to fair value after the modification, and subsequent fair-value changes are recorded in advance interest income. If a new advance does not qualify as a modification of an existing advance, prepayment of the existing advance is treated as an advance termination and any prepayment fee, net of hedging adjustments, is recorded to advance interest income in the statement of operations. |
Commitment Fees, Policy | Commitment Fees We record commitment fees for standby letters of credit to members as deferred fee income when received, and amortize these fees on a straight-line basis to service-fees income in other income over the term of the standby letter of credit. Based upon past experience, we believe the likelihood of standby letters of credit being drawn upon is remote. |
Loans and Leases Receivables, Held For Portfolio, Policy | We classify our investments in mortgage loans for which we have the intent and ability to hold for the foreseeable future or until maturity or payoff as held for portfolio.Mortgage loans held for portfolio are recorded at amortized cost, which is original cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, and direct write-downs. Accrued interest receivable is recorded separately on the statements of condition. We perform a quarterly assessment of our mortgage loans held for portfolio to estimate expected credit losses. An allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We do not purchase mortgage loans with credit deterioration present at the time of purchase. Beginning January 1, 2020, we adopted the Financial Instruments - Credit Losses accounting guidance. Under this new guidance, quarterly we measure expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the allowance for credit losses, we measure the expected loss over the estimated remaining life of a mortgage loan, which also considers how our credit enhancements mitigate credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. We include estimates of expected recoveries within the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as we write off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. Prior to January 1, 2020, we recorded an allowance for credit losses on mortgage loans if it was probable an impairment had occurred in our mortgage loans held for portfolio as of the statement of condition date and the amount of loss could be |
Loans and Leases Receivable, Origination Fees, Discounts or Premiums, and Direct Costs to Acquire Loans, Policy | We compute the amortization of mortgage-loan-origination fees (premiums and discounts) as interest income using the level-yield method over the contractual term to maturity of each individual loan, which results in income recognition in a manner that is effectively proportionate to the actual repayment behavior of the underlying assets and reflects the contractual terms of the assets without regard to changes in estimated prepayments based on assumptions about future borrower behavior.Credit-enhancement fees are recorded as an offset to mortgage-loan-interest income.We record other nonorigination fees in connection with our MPF program activities in other income. Such fees include delivery-commitment-extension fees, pair-off fees, price-adjustment fees, and counterparty fees in connection with MPF products under which we facilitate third party investment in loans (non-investment MPF products) such as with the MPF Xtra® product. Delivery-commitment-extension fees are charged when a participating financial institution requests to extend the period of the delivery commitment beyond the original stated expiration. Pair-off fees represent a make-whole provision; they are received when the amount funded under a delivery commitment is less than a certain threshold (under-delivery) of the delivery-commitment amount. Price-adjustment fees are received when the amount funded is greater than a certain threshold (over-delivery) of the delivery-commitment amount. To the extent that pair-off fees relate to under-deliveries of loans, they are recorded in service fee income. Fees related to over-deliveries represent purchase-price adjustments to the related loans acquired and are recorded as part of the carrying value of the loan. |
Loans and Leases Receivable, Nonaccrual Loan and Lease Status, Policy | We place conventional mortgage loans on nonaccrual status when the collection of interest or principal is doubtful or contractual principal or interest is 90 days or more past due. When a conventional mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income in the current period. We generally record cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement unless we consider the collection of the remaining principal amount due to be doubtful. If we consider the collection of the remaining principal amount to be doubtful, cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual status when the collection of the contractual principal and interest is less than 90 days past due. We do not place government mortgage loans on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due because of the U.S. government guarantee of the loan and the contractual obligations of each related servicer, |
Impaired Financing Receivable, Policy | Collateral-dependent Loans. A loan is considered collateral-dependent when the borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. A loan that is considered collateral-dependent is measured for credit loss on an individual basis based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as an allowance for credit losses or charged-off. Charge-Off Policy. A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, hedging adjustments, and direct write-downs. We evaluate whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit-enhancements. We charge off the portion of outstanding conventional mortgage loan balances in excess of fair value of the underlying property less estimated |
Loans and Leases Receivable, Troubled Debt Restructuring, Policy | Troubled Debt Restructurings. We consider a troubled debt restructuring (TDR) of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties. We place conventional mortgage loans that are deemed to be TDRs as a result of our modification program on nonaccrual when payments are 60 days or more past due. Section 4013 of the Coronavirus, Aid, Relief, and Economic Security Act (the CARES Act) provided optional temporary relief from the accounting and reporting requirements for TDRs for certain loan modifications related the adverse effects of Coronavirus Disease 2019 (COVID-19). On December 27, 2020, the Consolidated Appropriations Act, 2021, was signed into law amending the CARES Act. Specifically, the CARES Act, as amended, provided that a qualifying financial institution may elect to suspend (1) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR, and (2) any determination that such loan modifications would be considered a TDR, including the related impairment for accounting purposes. Section 4013 of the CARES Act applied to any modification related to an economic hardship as a result of the COVID-19 pandemic, including an interest rate modification, a repayment plan, or any similar arrangement that defers or delays payment of principal or interest, for a loan that was not more than 30 days past due as of December 31, 2019, and that occurs during the period beginning on March 1, 2020, and ending on the earlier of January 1, 2022, or the date that is 60 days following the termination of the national emergency related to the COVID-19 pandemic declared by the President of the United States. Beginning in the second quarter of 2020, we elected to apply the TDR relief provided by the CARES Act. As such, all COVID-related modifications meeting the provisions of the CARES Act were excluded from TDR classification and accounting. We consider these loans to have a current payment status as long as payments are being made in accordance with the new terms. Alternatively, COVID-related modifications that did not meet the provisions of the CARES Act continued to be assessed for TDR classification under our existing accounting policies. Additionally, we continue to apply our delinquency, nonaccrual and charge-off policies during the forbearance period. We estimate the allowance for credit losses for COVID-related modifications in the same manner as other mortgage loans held for portfolio. Troubled Debt Restructurings. Excluding loans subject to forbearance under the CARES Act, we consider a troubled debt restructuring of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties, except for troubled debt restructurings meeting the provisions of the CARES Act as described in Note 2 – Summary of Significant Accounting Policies. We have granted a concession when we do not expect to collect all amounts due to us under the original contract as a result of the restructuring. |
Derivatives, Policy | Derivatives and Hedging Activities All derivatives are recognized on the statement of condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral and accrued interest received from or pledged to clearing members and/or counterparties. We offset fair-value amounts recognized for derivatives and fair-value amounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from derivatives recognized at fair value executed with the same clearing member and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Derivative assets and derivative liabilities reported on the statement of condition also include net accrued interest. Cash flows associated with derivatives are reflected as cash flows from operating activities in the statement of cash flows unless the derivative meets the criteria to be a financing derivative. Each derivative is designated as one of the following: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); • a qualifying hedge of a forecasted transaction (a cash-flow hedge); or • a nonqualifying hedge of an asset or liability (an economic hedge) for asset-liability-management purposes. We utilize two derivatives clearing organizations (DCOs), for all cleared derivative transactions, Chicago Mercantile Exchange, Inc. (CME Inc.) and LCH Limited (LCH Ltd.). At both DCOs, variation margin is characterized as daily settlement payments and initial margin is considered collateral. Accounting for Fair-Value and Cash-Flow Hedges. If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective, they qualify for fair-value or cash-flow hedge accounting. For cash-flow hedges, we measure effectiveness using the hypothetical derivative method, which compares the cumulative change in fair value of the actual derivative designated as the hedging instrument to the cumulative change in fair value of a hypothetical derivative having terms that identically match the critical terms of the hedged forecasted transaction. Derivatives that are used in fair-value hedges are typically executed at the same time as the hedged items, and we designate the hedged item in a qualifying hedging relationship as of the trade date. We then record the changes in fair value of the derivative and the hedged item beginning on the trade date. Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. Changes in the fair value of a derivative that is designated and qualifies as a cash-flow hedge are recorded in other comprehensive income, a component of capital, until the hedged transaction affects earnings. Accounting for Economic Hedges. An economic hedge is defined as a derivative hedging specific or nonspecific assets, liabilities, or firm commitments that does not qualify or was not designated for fair-value or cash-flow hedge accounting, but is an acceptable hedging strategy under our risk-management policy. These economic hedging strategies also comply with FHFA regulatory requirements prohibiting speculative derivative transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in income but not offset by corresponding changes in the fair value of the economically hedged assets, liabilities, or firm commitments. As a result, we recognize only the net interest and the change in fair value of these derivatives in other income (loss) as net gains (losses) on derivatives with no offsetting fair-value adjustments for the economically hedged assets, liabilities, or firm commitments. Accrued Interest Receivable and Payable. The differential between accrual of interest receivable and payable on derivatives designated as a fair-value hedge or as a cash-flow hedge is recognized through adjustments to the interest income or interest expense of the designated hedged investment securities, advances, COs, or other financial instruments. The differential between accrual of interest receivable and payable on economic hedges is recognized in other income (loss), along with changes in fair value of these derivatives, as net gains (losses) on derivatives. Discontinuance of Hedge Accounting. We may discontinue hedge accounting prospectively when: • we determine that the derivative is no longer highly effective in offsetting changes in the fair value or cash flows of a hedged item attributable to the hedged risk (including hedged items such as firm commitments or forecasted transactions); • the derivative and/or the hedged item expires or is sold, terminated, or exercised; • it is no longer probable that the forecasted transaction in a cash-flow hedge will occur in the originally expected period or within the following two months; • a hedged firm commitment in a fair-value hedge no longer meets the definition of a firm commitment; or • we determine that designating the derivative as a hedging instrument is no longer appropriate. If hedge accounting is discontinued because we determine that the derivative no longer qualifies as an effective fair-value hedge of an existing hedged item, we either terminate the derivative or continue to carry the derivative on the statement of condition at its fair value and cease to adjust the hedged asset or liability for changes in fair value. We will then begin to amortize the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using the level-yield method. If hedge accounting is discontinued because we determine that the derivative no longer qualifies as an effective cash-flow hedge of an existing hedged item, we will continue to carry the derivative on the statement of condition at its fair value and amortize the cumulative other comprehensive income adjustment to earnings when earnings are affected by the existing hedged item. If it is no longer probable that a forecasted transaction will occur by the end of the originally expected period or within two months thereafter, we immediately recognize in earnings the gain or loss that was in accumulated other comprehensive income. If hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, we will continue to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. Managing Credit Risk on Derivatives. We are subject to credit risk on our hedging activities due to the risk of nonperformance by nonmember counterparties (including DCOs and their clearing members acting as agent to the DCOs as well as uncleared counterparties) to the derivative agreements. We manage credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies, U.S. Commodity Futures Trading Commission (the CFTC) regulations, and FHFA regulations. |
Derivatives, Embedded Derivatives, Policy | Embedded Derivatives. We may issue debt, make advances, or purchase financial instruments in which a derivative is embedded. Upon execution of these transactions, we assess whether the economic characteristics of the embedded derivative |
Property, Plant and Equipment, Policy [Policy Text Block] | Premises, Software, Equipment and LeasesWe record premises, software, and equipment at cost less accumulated depreciation and amortization and compute depreciation on a straight-line basis over estimated useful lives ranging from three years to 10 years. We amortize leasehold improvements on a straight-line basis over the shorter of the estimated useful life of the improvement or the remaining term of the lease. We capitalize improvements and major renewals but expense ordinary maintenance and repairs when incurred. We include gains and losses on disposal of premises, software, and equipment in other income (loss) on the statement of operations. |
Internal Use Software, Policy [Policy Text Block] | The cost of purchased software and certain costs incurred in developing computer software for internal use are capitalized and amortized over future periods. |
Lessee, Leases [Policy Text Block] | For leases with a term of 12 months or less, we have made an accounting policy election to not recognize lease right-of-use assets and lease liabilities. |
Debt, Policy | Consolidated Obligations We record COs at amortized cost. Discounts and Premiums. We accrete discounts and amortize premiums on COs to interest expense using the level-yield method over the contractual term to maturity of the CO. Concessions on COs. We pay concessions to dealers in connection with the issuance of certain COs. The Office of Finance prorates the amounts paid to dealers based upon the percentage of debt issued that we assumed. We record concessions paid on COs as a direct reduction from their carrying amounts, consistent with the presentation of discounts on COs. These dealer concessions are amortized using the level-yield method over the contractual term to maturity of the COs. The amortization of those concessions is included in CO interest expense on the statement of operations. |
Shares Subject to Mandatory Redemption, Changes in Redemption Value, Policy | Mandatorily Redeemable Capital Stock We reclassify stock subject to redemption from equity to a liability after a member exercises a written redemption request, gives notice of intent to withdraw from membership, or attains nonmember status by merger or acquisition, charter termination, or other involuntary termination from membership, since the shares meet the definition of a mandatorily redeemable financial instrument upon such instances. Member shares meeting this definition are reclassified to a liability at fair value. Dividends declared on mandatorily redeemable capital stock are accrued at the expected dividend rate for Class B stock and reflected as interest expense on the statement of operations. The repayment of these mandatorily redeemable financial instruments is reflected as cash outflows in the financing activities section of the statement of cash flows once settled. We do not take into consideration our members' right to cancel a redemption request in determining when shares of capital stock should be classified as a liability because such cancellation would be subject to a cancellation fee equal to two percent of the par amount of the shares of Class B stock that is the subject of the redemption notice. If a member cancels its written notice of redemption or notice of withdrawal, we will reclassify mandatorily redeemable capital stock from a liability to equity. After the reclassification, dividends on the capital stock will no longer be classified as interest expense. Mandatorily Redeemable Capital Stock. We will reclassify capital stock subject to redemption from equity to liability once a member exercises a written notice of redemption, gives notice of intent to withdraw from membership, or attains nonmember status by merger or acquisition, charter termination, or involuntary termination from membership. Dividends related to capital stock classified as a liability are accrued at the expected dividend rate and reported as interest expense in the statement of operations. If a member cancels its written notice of redemption or notice of withdrawal, we will reclassify mandatorily redeemable capital stock from a liability to equity. After the reclassification, dividends on the capital stock would no longer be classified as interest expense. A member may cancel or revoke its written notice of redemption or its notice of withdrawal from membership prior to the end of the redemption-notice period. Our capital plan provides that we will charge the member a cancellation fee in the amount of 2.0 percent of the par amount of the shares of Class B stock that is the subject of the redemption notice. We will assess a redemption-cancellation fee unless the board of directors decides that it has a bona fide business purpose for waiving the imposition of the fee, and such a waiver is consistent with the FHLBank Act. Excess Capital Stock Repurchases. Our capital plan provides us with the sole discretion to repurchase capital stock from a member at par value that is in excess of the amount required to meet the member's total stock investment requirement (excess capital stock) subject to all applicable limitations. In conducting any repurchases, we repurchase any shares that are the subject of an outstanding redemption notice from the member from whom we are repurchasing prior to repurchasing any other shares that are in excess of the member's total stock-investment requirement (TSIR). We generally repurchase excess stock held by any shareholder whose excess stock exceeds the lesser of $3.0 million or 3.00 percent of the shareholder’s total stock investment requirement, subject to a minimum repurchase of $100,000. We plan to continue with this practice, subject to regulatory requirements and our anticipated liquidity or capital management needs, although continued repurchases remain at our sole discretion, and we retain authority to suspend repurchases of excess stock from any shareholder or all shareholders without prior notice. In addition to these daily repurchases, subject to our sole discretion shareholders may request that we voluntarily repurchase excess stock shares at any time. We may also allow the member to sell the excess capital stock at par value to another one of our members. |
Restricted Retained Earnings [Policy Text Block] | Restricted Retained EarningsThe joint capital enhancement agreement, as amended (the Joint Capital Agreement), provides that each FHLBank will, on a quarterly basis, contribute 20 percent of its net income to a separate restricted retained earnings account until the balance of that account, calculated as of the last day of each calendar quarter, equals at least 1 percent of that FHLBank's average balance of outstanding COs (excluding fair-value adjustments) for the calendar quarter. |
Gains On Litigation Settlements, Policy | Litigation Settlements Litigation settlement gains, net of related legal expenses, are recorded in other income (loss). A litigation settlement gain is considered realized and recorded when we receive cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when we enter into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, we consider potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the statement of operations. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain. |
Regulator Expenses Cost Assessed On Federal Home Loan Bank [Policy Text Block] | FHFA Expenses We fund a portion of the costs of operating the FHFA. The portion of the FHFA's expenses and working capital fund paid by the FHLBanks is allocated among the FHLBanks based on the ratio of each FHLBank's minimum required regulatory capital to the aggregate minimum required regulatory capital of every FHLBank. We must pay an amount equal to one-half of our annual assessment twice each year. |
Office Of Finance Cost Assessed on Federal Home Loan Bank [Policy Text Block] | Office of Finance ExpensesEach FHLBank's proportionate share of Office of Finance operating and capital expenditures has been calculated using a formula based upon the following components: (1) two-thirds based upon each FHLBank's share of total COs outstanding and (2) one-third divided equally among the FHLBanks. |
Federal Home Loan Bank Assessments, Policy | AssessmentsAffordable Housing Program. The FHLBank Act requires us to establish and fund an AHP based on positive annual net earnings, providing grants to members to assist in the purchase, construction, or rehabilitation of housing for very low and low- or moderate-income households. We charge the required funding as well as any discretionary funding for the AHP to earnings and establish a liability, except when annual net earnings are zero or negative, in which case there is no requirement to fund an AHP. We also issue AHP advances at interest rates below the customary interest rate for nonsubsidized advances. A discount on the AHP advance and charge against the AHP liability is recorded for the present value of the variation in the cash flow caused by the difference in the interest rate between the AHP advance rate and our related cost of funds for comparable maturity funding. The discount on AHP advances is accreted to interest income on advances using the level-yield method over the life of the advance. |
Cash and Cash Equivalents, Policy | Cash FlowsIn the statement of cash flows, we consider noninterest bearing cash and due from banks as cash and cash equivalents. Federal funds sold and interest-bearing deposits are not treated as cash equivalents for purposes of the statement of cash flows, but are instead treated as short-term investments and are reflected in the investing activities section of the statement of cash flows. |
Segment Reporting, Policy [Policy Text Block] | Segment Reporting We report on an enterprise-wide basis. The enterprise-wide method of evaluating our financial information reflects the manner in which the chief operating decision-maker manages the business. |
Reclassification, Policy | ReclassificationCertain amounts in the 2020 and 2019 financial statements have been reclassified to conform to the financial statement presentation for the year ended December 31, 2021 |
Federal Home Loan Bank Advances, Prepayment Fees, Policy [Policy Text Block] | We record prepayment fees received from borrowers on certain prepaid advances net of any associated basis adjustments related to hedging activities on those advances and net of deferred prepayment fees on advance prepayments considered to be loan modifications. Additionally, for certain advances products, the prepayment-fee provisions of the advance agreement could result in either a payment from the borrower or to the borrower when such an advance is prepaid, based upon market conditions at the time of prepayment (referred to as a symmetrical prepayment fee). Advances with a symmetrical prepayment fee provision are hedged with derivatives containing offsetting terms, so that we are financially indifferent to the borrower's decision to prepay such advances. The net amount of prepayment fees is reflected as interest income in the statement of operations. |
Fair Value of Financial Instruments, Policy [Policy Text Block] | Summary of Valuation Methodologies and Primary Inputs The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are listed below. The fair values and level within the fair value hierarchy of these assets and liabilities are reported in Table 15.2. Investment Securities. We determine the fair values of our investment securities, other than HFA floating-rate securities, based on prices obtained for each of these securities that we request from multiple designated third-party pricing vendors. The fair value of each such security is the average of such vendor prices that are within a cluster pricing tolerance range. A cluster is defined as a group of available vendor prices for a given security that is within a defined price tolerance range of the median vendor price depending on the security type. An outlier is any vendor price that is outside of the defined cluster and is evaluated for reasonableness. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Vendor prices that are outside of a defined cluster are identified as outliers and are subject to additional review including, but not limited to, comparison to prices provided by an additional third-party valuation vendor, prices for similar securities, and/or nonbinding dealer estimates, or the use of internal model prices, which we believe reflect the facts and circumstances that a market participant would consider. We also perform this analysis in those limited instances where no third-party vendor price or only one third-party vendor price is available to determine fair value. If the analysis indicates that an outlier is not representative of fair value and that the average of the vendor prices within the tolerance threshold of the median price is the best estimate, then we use the average of the vendor prices within the tolerance threshold of the median price as the final price. If, on the other hand, we determine that an outlier (or some other price identified in the analysis) is a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price. In all cases, the final price is used to determine the fair value of the security. As of December 31, 2021, multiple vendor prices were received for substantially all of our investment securities and the final prices for substantially all of those securities were computed by averaging the prices received. The relative proximity of the prices received supports our conclusion that the final computed prices are reasonable estimates of fair value. Based on the current low level of market activity for private-label residential MBS, the nonrecurring fair-value measurements for such securities during 2020 fell within Level 3 of the fair-value hierarchy. Our fixed-rate HFA securities fall within Level 3 of the fair-value hierarchy due to the current lack of market activities for these bonds. Investment Securities – HFA Floating Rate Securities. The fair value is determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Our floating rate HFA securities fall within Level 3 of the fair-value hierarchy due to the current lack of market activity for these bonds. Mortgage Loans. The fair value of impaired conventional mortgage loans is based on the lower of the carrying value of the loans or fair value of the collateral less estimated costs to sell. The fair value of impaired government mortgage loans is equal to the unpaid principal balance. REO. Fair value is derived from third-party valuations of the property, which fall within Level 3 of the fair-value hierarchy. Derivative Assets/Liabilities - Interest-Rate-Exchange Agreements . We base the fair values of interest-rate-exchange agreements on available market prices of derivatives having similar terms, including accrued interest receivable and payable. The fair-value methodology uses standard valuation techniques for derivatives such as discounted cash-flow analysis and comparisons with similar instruments. The fair values of all interest-rate-exchange agreements are netted by clearing member and/or by counterparty, including cash collateral received from or delivered to the counterparty. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. We generally use a midmarket pricing convention based on the bid-ask spread as a practical expedient for fair-value measurements. Because these estimates are made at a specific point in time, they are susceptible to material near-term changes. We have evaluated the potential for the fair value of the instruments to be affected by counterparty risk and our own credit risk and have determined that no adjustments were significant to the overall fair-value measurements. The discounted cash-flow model uses market-observable inputs (inputs that are actively quoted and can be validated to external sources), including the following: • Discount rate assumption . For all derivatives cleared through a DCO the discount rate used is SOFR. For our bilateral, non-cleared interest-rate derivatives the discount rate used is either SOFR, the OIS rate based on the federal funds effective rate curve or the LIBOR swap curve depending on the terms of the International Swaps and Derivatives Association (ISDA) agreement we have with each derivative counterparty. • Forward interest-rate assumption . Forward rates implied by the LIBOR swap curve, forward federal funds rates based on the OIS swap curve or forward rates implied by the SOFR swap curve. • Volatility assumption . Market-based expectations of future interest-rate volatility implied from current market prices for similar options. Derivative Assets/Liabilities – Commitments to Invest in Mortgage Loans . Commitments to invest in mortgage loans are recorded as derivatives in the statement of condition. The fair values of such commitments are based on the end-of-day delivery commitment prices provided by the FHLBank of Chicago and a spread, derived from MBS TBA delivery commitment prices with adjustment for the contractual features of the MPF program, such as servicing and credit-enhancement features. |
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) | 12 Months Ended |
Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Debt Securities, Trading, and Equity Securities, FV-NI [Table Text Block] | Table 5.1 - Trading Securities by Major Security Type (dollars in thousands) December 31, 2021 December 31, 2020 Corporate bonds $ 1,442 $ 5,422 U.S. Treasury obligations 500,425 3,596,718 501,867 3,602,140 MBS U.S. government-guaranteed – single-family — 2,884 GSE – single-family — 55 — 2,939 Total $ 501,867 $ 3,605,079 |
Gain (Loss) on Securities [Table Text Block] | Table 5.2 - Unrealized and Realized Gains (Losses) on Trading Securities (dollars in thousands) For the Year Ended December 31, 2021 2020 2019 Net unrealized (losses) gains on trading securities held at year end $ (9,049) $ (8,392) $ 1,379 Net unrealized and realized losses on trading securities sold or matured during the year (37,292) (3,544) (92) Net (losses) gains on trading securities $ (46,341) $ (11,936) $ 1,287 |
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Table 5.3 - Available-for-Sale Securities by Major Security Type (dollars in thousands) December 31, 2021 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair U.S. Treasury obligations $ 5,081,536 $ 3,380 $ (370) $ 5,084,546 State housing-finance-agency obligations (HFA securities) 63,330 2 (1,067) 62,265 Supranational institutions 409,337 96 (5,668) 403,765 U.S. government-owned corporations 325,567 — (18,703) 306,864 GSE 130,143 — (3,671) 126,472 6,009,913 3,478 (29,479) 5,983,912 MBS U.S. government guaranteed – single-family 21,435 100 — 21,535 U.S. government guaranteed – multifamily 541,238 219 (52) 541,405 GSE – single-family 1,093,890 9,945 (121) 1,103,714 GSE – multifamily 5,171,498 99,119 (25,196) 5,245,421 6,828,061 109,383 (25,369) 6,912,075 Total $ 12,837,974 $ 112,861 $ (54,848) $ 12,895,987 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 $31.6 million and $24.0 million at December 31, 2021 and 2020, respectively. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] | Table 5.4 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) December 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 $ 1,212,443 $ (370) $ — $ — $ 1,212,443 $ (370) HFA securities — — 50,053 (1,067) 50,053 (1,067) Supranational institutions — — 389,180 (5,668) 389,180 (5,668) U.S. government-owned corporations — — 306,864 (18,703) 306,864 (18,703) GSE — — 126,472 (3,671) 126,472 (3,671) 1,212,443 (370) 872,569 (29,109) 2,085,012 (29,479) MBS U.S. government guaranteed – multifamily 187,437 (52) — — 187,437 (52) GSE – single-family 93,020 (121) — — 93,020 (121) GSE – multifamily 1,507,051 (25,196) — — 1,507,051 (25,196) 1,787,508 (25,369) — — 1,787,508 (25,369) Total $ 2,999,951 $ (25,739) $ 872,569 $ (29,109) $ 3,872,520 $ (54,848) 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 5.5 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) December 31, 2021 December 31, 2020 Year of Maturity Amortized Fair Amortized Fair Due in one year or less $ 27,000 $ 26,780 $ 10,600 $ 10,524 Due after one year through five years 1,898,894 1,898,308 169,570 166,813 Due after five years through 10 years 3,674,762 3,671,798 400,477 389,753 Due after 10 years 409,257 387,026 478,696 442,581 6,009,913 5,983,912 1,059,343 1,009,671 MBS (1) 6,828,061 6,912,075 5,112,237 5,210,477 Total $ 12,837,974 $ 12,895,987 $ 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 5.6 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) December 31, 2021 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 4,320 $ 88 $ — $ 4,408 GSE – single-family 141,172 2,605 (117) 143,660 Total $ 145,492 $ 2,693 $ (117) $ 148,068 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 $200 thousand and $368 thousand at December 31, 2021 and 2020, respectively. |
Schedule of Transfers of Securities, Held-to-maturity to Available-for-sale | Table 5.7 - Transfer of Held-to-Maturity Securities to Available-for-Sale Securities in 2020 (dollars in thousands) Amortized Cost Allowance for Credit Losses Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Income Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value HFA securities $ 77,470 $ — $ — $ 77,470 $ — $ (6,230) $ 71,240 MBS GSE – single-family 17,802 — — 17,802 89 — 17,891 MBS - Private-label 158,945 (634) (31,502) 126,809 53,953 (248) 180,514 Total $ 254,217 $ (634) $ (31,502) $ 222,081 $ 54,042 $ (6,478) $ 269,645 |
Realized Gain (Loss) on Investments [Table Text Block] | Table 5.8 - Proceeds and Gains (Losses) from Sales of Investment Securities (dollars in thousands) For the Years Ended December 31, 2021 2020 2019 Available-for-Sale Securities Proceeds from sale $ — $ 187,366 $ — Amortized cost, net of allowance for credit losses — 156,783 — Gross realized gains from sale $ — $ 30,948 $ — Gross realized losses from sale — (365) — Realized net gain from sale $ — $ 30,583 $ — Held-to-Maturity Securities Proceeds from sale $ 5,883 $ 262,850 $ 185,177 Carrying value 5,600 176,293 143,629 Noncredit losses recorded in accumulated other comprehensive income — 39,144 29,517 Realized net gain from sale $ 283 $ 47,413 $ 12,031 |
Debt Securities, Held-to-maturity, Allowance for Credit Loss | Table 5.9 - Allowance for Credit Losses on Debt Securities (dollars in thousands) For the Year Ended December 31, 2020 Available-for-Sale Held-to-Maturity Balance at beginning of year $ — $ — Adjustments for cumulative effect of change in accounting principle (1) — 5,308 Transfers 634 (634) Reduction of provision for credit losses due to sales of securities (126) (3,205) Reduction of provision for credit losses (143) (1,469) Charge-offs (365) — Balance at end of year $ — $ — _________________________ |
Debt Securities, Available-for-sale, Allowance for Credit Loss | Table 5.9 - Allowance for Credit Losses on Debt Securities (dollars in thousands) For the Year Ended December 31, 2020 Available-for-Sale Held-to-Maturity Balance at beginning of year $ — $ — Adjustments for cumulative effect of change in accounting principle (1) — 5,308 Transfers 634 (634) Reduction of provision for credit losses due to sales of securities (126) (3,205) Reduction of provision for credit losses (143) (1,469) Charge-offs (365) — Balance at end of year $ — $ — _________________________ |
Rollforward of the Amounts Related to Credit Losses Recognized into Earnings [Table Text Block] | Table 5.10 - Roll Forward of the Amounts Related to Credit Loss Recognized into Earnings (dollars in thousands) For the Years Ended December 31, 2020 2019 Balance at beginning of year $ 339,630 $ 422,035 Additions: Credit losses for which other-than-temporary impairment was not previously recognized — 128 Additional credit losses for which an other-than-temporary impairment charge was previously recognized — 1,084 Reductions: Securities sold or matured during the year (332,290) (56,710) Portion of increase in cash flows expected to be collected over the remaining life of the security that are recognized in the current period as interest income (7,340) (26,907) Balance at end of year $ — $ 339,630 |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Advances [Abstract] | |
Advances [Table Text Block] | Table 6.1 - Advances Outstanding by Year of Contractual Maturity (dollars in thousands) December 31, 2021 December 31, 2020 Amount Weighted Amount Weighted Overdrawn demand-deposit accounts $ 64 0.60 % $ 135 0.62 % Due in one year or less 5,064,776 0.76 9,090,900 1.00 Due after one year through two years 1,354,297 2.26 2,281,047 1.78 Due after two years through three years 1,541,076 1.64 2,014,880 2.37 Due after three years through four years 2,173,238 1.43 1,685,056 1.79 Due after four years through five years 1,310,971 1.07 2,687,456 1.34 Due after five years through fifteen years 871,692 2.11 924,498 2.40 Thereafter 31,591 1.33 20,540 1.46 Total par value 12,347,705 1.28 % 18,704,512 1.43 % Premiums — 2,248 Discounts (34,926) (37,592) Fair value of bifurcated derivatives (1) 11,890 44,534 Hedging adjustments 15,351 103,300 Total (2) $ 12,340,020 $ 18,817,002 _________________________ (1) At December 31, 2021 and 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 $16.3 million and $25.8 million at December 31, 2021 and 2020, respectively. Table 6.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date (dollars in thousands) December 31, 2021 December 31, 2020 Overdrawn demand-deposit accounts $ 64 $ 135 Due in one year or less 6,116,251 10,149,975 Due after one year through two years 1,354,297 2,095,247 Due after two years through three years 1,249,001 1,809,880 Due after three years through four years 2,106,238 1,392,981 Due after four years through five years 632,271 2,335,956 Due after five years through fifteen years 857,992 899,798 Thereafter 31,591 20,540 Total par value $ 12,347,705 $ 18,704,512 Table 6.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date (dollars in thousands) December 31, 2021 December 31, 2020 Overdrawn demand-deposit accounts $ 64 $ 135 Due in one year or less 6,088,201 10,755,575 Due after one year through two years 908,797 2,201,797 Due after two years through three years 1,497,076 1,224,380 Due after three years through four years 1,709,313 1,593,056 Due after four years through five years 1,277,471 2,059,531 Due after five years through fifteen years 835,192 849,498 Thereafter 31,591 20,540 Total par value $ 12,347,705 $ 18,704,512 Table 6.4 - Advances by Current Interest Rate Terms (dollars in thousands) December 31, 2021 December 31, 2020 Fixed-rate Due in one year or less $ 3,803,476 $ 8,224,435 Due after one year 6,195,290 8,518,167 Total fixed-rate 9,998,766 16,742,602 Variable-rate Due in one year or less 1,261,364 866,600 Due after one year 1,087,575 1,095,310 Total variable-rate 2,348,939 1,961,910 Total par value $ 12,347,705 $ 18,704,512 Table 6.5 - Advances Prepayment Fees (dollars in thousands) For the Year Ended December 31, 2021 2020 2019 Prepayment fees received from borrowers $ 54,537 $ 32,340 $ 33,809 Hedging fair-value adjustments on prepaid advances (6,356) (8,013) 1,923 Net (premiums) discounts associated with prepaid advances (14,162) (299) 157 Deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications — — (1,793) Prepayment fees recognized in income on advance restructurings deemed to be extinguishments — — 915 Advance prepayment fees recognized in income, net $ 34,019 $ 24,028 $ 35,011 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | Table 7.1 - Mortgage Loans Held for Portfolio (dollars in thousands) December 31, 2021 December 31, 2020 Real estate Fixed-rate 15-year single-family mortgages $ 278,393 $ 322,713 Fixed-rate 20- and 30-year single-family mortgages 2,793,682 3,547,994 Premiums 48,043 60,050 Discounts (671) (1,094) Deferred derivative gains, net 2,412 3,689 Total mortgage loans held for portfolio (1) 3,121,859 3,933,352 Less: allowance for credit losses (1,700) (3,100) Total mortgage loans, net of allowance for credit losses $ 3,120,159 $ 3,930,252 ________________________ (1) Excludes accrued interest receivable of $15.7 million and $19.3 million at December 31, 2021 and 2020, respectively. Table 7.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands) December 31, 2021 December 31, 2020 Conventional mortgage loans $ 2,880,354 $ 3,624,557 Government mortgage loans 191,721 246,150 Total par value $ 3,072,075 $ 3,870,707 |
Financing Receivable Credit Quality Indicators | Table 7.3 - Credit Quality Indicator for Conventional Mortgage Loans (dollars in thousands) December 31, 2021 Year of Origination Payment Status at Amortized Cost (1) Prior to 2017 2017 to 2021 Total Past due 30-59 days delinquent $ 7,719 $ 8,053 $ 15,772 Past due 60-89 days delinquent 3,312 2,660 5,972 Past due 90 days or more delinquent 11,932 9,196 21,128 Total past due 22,963 19,909 42,872 Total current loans 1,153,115 1,730,438 2,883,553 Total conventional mortgage loans $ 1,176,078 $ 1,750,347 $ 2,926,425 December 31, 2020 Year of Origination Payment Status at Amortized Cost (1) 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 conventional mortgage loans $ 1,284,591 $ 2,397,740 $ 3,682,331 _________________________ |
Amortized Cost/Recorded Investment in Delinquent Mortgage Loans [Table Text Block] | Table 7.4 - Other Delinquency Statistics of Mortgage Loans (dollars in thousands) December 31, 2021 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 786 $ 935 $ 1,721 Serious delinquency rate (2) 0.74 % 2.24 % 0.83 % Past due 90 days or more still accruing interest $ — $ 4,383 $ 4,383 Loans on nonaccrual status (3) $ 21,529 $ — $ 21,529 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. There were foreclosure moratoriums enacted in many areas during 2020 that expired on July 31, 2021, but an eviction moratorium was extended by the FHFA to September 30, 2021. (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 December 31, 2021, $11.8 million of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. (4) As of December 31, 2020, $31.8 million of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. As of December 31, 2020, $10.1 million of government nonaccrual loans did not have an associated allowance due to government guarantees or insurance. |
Rollforward of Allowance for Credit Losses on Mortgage Loans [Table Text Block] | Table 7.5 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the years ended December 31, 2021, 2020, and 2019. As required by prior accounting guidance for determining the allowance for credit losses on mortgage loans, Table 7.5 also presents the recorded investment in mortgage loans by impairment methodology at December 31, 2019. The recorded investment in a loan is the par amount of the loan, adjusted for accrued interest, unamortized premiums or discounts, deferred derivative gains and losses, and direct write-downs. The recorded investment is net of any valuation allowance. Table 7.5 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands) 2021 2020 2019 (1) Allowance for credit losses (2) Balance, beginning of year $ 3,100 $ 500 $ 500 Adjustment for cumulative effect of change in accounting principle — 2,221 — Recoveries (charge-offs) 62 (207) (85) (Reduction of) provision for credit losses (1,462) 586 85 Balance, end of year $ 1,700 $ 3,100 $ 500 Ending balance, individually evaluated for impairment $ — Ending balance, collectively evaluated for impairment $ 500 Recorded investment, end of year Individually evaluated for impairment $ 13,395 Collectively evaluated for impairment $ 4,212,224 _________________________ (1) Prior to the adoption of the Financial Instruments - Credit Loss accounting guidance, our allowance for credit losses on mortgage loans consisted of an estimate of incurred losses for individually evaluated mortgage loans, including collateral dependent mortgage loans; and an estimate additional credit losses on mortgage loans. (2) 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) | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments [Table Text Block] | Table 8.1 - Fair Value of Derivative Instruments (dollars in thousands) December 31, 2021 December 31, 2020 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 26,589,956 $ 362 $ (163,457) $ 9,960,475 $ 6,044 $ (41,000) Forward-start interest-rate swaps 1,391,000 48 (428) 17,000 — (14) Total derivatives designated as hedging instruments 27,980,956 410 (163,885) 9,977,475 6,044 (41,014) Derivatives not designated as hedging instruments Interest-rate swaps 900,425 3,440 (13,663) 5,536,822 3,918 (47,756) CO bond firm commitments 55,000 54 (30) — — — Mortgage-delivery commitments (1) 3,164 68 — 28,386 220 — Total derivatives not designated as hedging instruments 958,589 3,562 (13,693) 5,565,208 4,138 (47,756) Total notional amount of derivatives $ 28,939,545 $ 15,542,683 Total derivatives before netting and collateral adjustments 3,972 (177,578) 10,182 (88,770) Netting adjustments and cash collateral, including related accrued interest (2) 374,560 138,634 151,056 64,708 Derivative assets and derivative liabilities $ 378,532 $ (38,944) $ 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 posted, including accrued interest, was $513.2 million and $215.8 million at |
Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block] | Tables 8.2 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 8.2 - Net Gains (Losses) on Fair Value Hedging Relationships (dollars in thousands) For the Year Ended December 31, 2021 Advances Available-for-sale Securities CO Bonds Total interest income (expense) in the statements of operations $ 170,003 $ 73,314 $ (210,052) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ 85,265 $ 280,707 $ (197,016) Hedged items (84,296) (273,132) 197,116 Net changes in fair value before price alignment interest 969 7,575 100 Price alignment interest (1) 20 66 (4) Net interest settlements on derivatives (2)(3) (60,285) (120,524) 67,028 Net (losses) gains on qualifying hedging relationships (59,296) (112,883) 67,124 Amortization/accretion of discontinued hedging relationships (2,064) — (3,145) Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (61,360) $ (112,883) $ 63,979 For the Year Ended December 31, 2020 Advances Available-for-sale Securities CO Bonds Total income (expense) in the statements of operations $ 400,286 $ 63,243 $ (374,449) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ (82,885) $ (270,047) $ 25,811 Hedged items 81,859 263,226 (27,353) Net changes in fair value before price alignment interest (1,026) (6,821) (1,542) Price alignment interest (1) 484 1,373 (204) Net interest settlements on derivatives (2)(3) (53,615) (70,317) 23,843 Net (losses) gains on qualifying hedging relationships (54,157) (75,765) 22,097 Amortization/accretion of discontinued hedging relationships (1,937) — (3,707) Net (losses) gains on derivatives and hedging activities recorded in net interest income $ (56,094) $ (75,765) $ 18,390 For the Year Ended December 31, 2019 Advances Available-for-sale Securities CO Bonds Total income (expense) in the statements of operations $ 854,599 $ 115,942 $ (598,585) Gains (losses) on hedging relationships Changes in fair value: Derivatives $ (72,488) $ (24,274) $ 55,777 Hedged items 73,530 21,329 (56,091) Net changes in fair value before price alignment interest 1,042 (2,945) (314) Price alignment interest (1) 1,316 3,769 (786) Net interest settlements on derivatives (2)(3) 39,085 (22,249) (17,482) Net gains (losses) on qualifying hedging relationships 41,443 (21,425) (18,582) Amortization/accretion of discontinued hedging relationships (1,934) — (2,567) Net gains (losses) on derivatives and hedging activities recorded in net interest income $ 39,509 $ (21,425) $ (21,149) _______________________ (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 8.3 presents the net gains (losses) on qualifying cash flow hedging relationships. Table 8.3 - Net Gains (Losses) on Cash Flow Hedging Relationships (dollars in thousands) For the Year Ended December 31, 2021 2020 2019 Forward-start interest rate swaps - CO Bonds Losses reclassified from accumulated other comprehensive loss into interest expense $ (5,949) $ (7,029) $ (5,218) Losses recognized in other comprehensive income (7,875) (1,187) (6,131) |
Gains (Losses) By Type of Hedged Item [Table Text Block] | Table 8.4 - Cumulative Basis Adjustments for Fair-Value Hedges (dollars in thousands) December 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 $ 2,708,546 $ 6,477 $ 8,874 $ 15,351 Available-for-sale securities 10,953,242 220,621 — 220,621 Consolidated obligation bonds 12,957,832 (174,983) 31,595 (143,388) _______________________ (1) Includes only the amortized cost of hedged items in fair-value hedging relationships. |
Derivatives Not Designated as Hedging Instruments [Table Text Block] | Table 8.5 - Net Gains and Losses on Derivatives and Hedging Activities (dollars in thousands) For the Year Ended December 31, 2021 2020 2019 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (2,183) $ (51,187) $ (614) CO Bond firm commitments 1,734 — — Mortgage-delivery commitments (118) 1,405 1,945 Total net (losses) gains related to derivatives not designated as hedging instruments (567) (49,782) 1,331 Other (1) 8 108 88 Net (losses) gains on derivatives and hedging activities $ (559) $ (49,674) $ 1,419 ______________________ (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. |
Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows | Table 8.6 - Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows (dollars in thousands) Increase (decrease) on Cash Flow Statement For the Year Ended December 31, 2021 2020 2019 Operating activity - net change in derivatives and hedging activities $ 257,727 $ (321,862) $ (274,542) Financing activity - net payments on derivatives with a financing element 69,021 (53,832) (41,152) Total variation margin received (posted) on cleared derivatives $ 326,748 $ (375,694) $ (315,694) |
Post-haircut Value of Incremental Collateral Based on Incremental Credit Rating Downgrades [Table Text Block] | Table 8.7 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at December 31, 2021. Table 8.7 - Post Haircut Value of Incremental Collateral to be Delivered as of December 31, 2021 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ — AA- A+, A or A- — A- below A- 29,440 _______________________ (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 8.8 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of December 31, 2021 and 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 8.8 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) December 31, 2021 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 327 $ (103) $ 224 $ — $ 224 Cleared 3,523 374,663 378,186 — 378,186 CO bond firm commitments $ 54 54 54 Mortgage delivery commitments 68 68 68 Total $ 378,532 $ 378,532 Derivative Liabilities Interest-rate swaps Uncleared $ (171,374) $ 132,460 $ (38,914) $ 28,374 $ (10,540) Cleared (6,175) 6,175 — — — CO bond firm commitments $ (30) (30) (30) Total $ (38,944) $ (10,570) December 31, 2020 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) 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. |
Offsetting Liabilities [Table Text Block] | Table 8.8 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of December 31, 2021 and 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 8.8 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) December 31, 2021 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) Net Amount Derivative Assets Interest-rate swaps Uncleared $ 327 $ (103) $ 224 $ — $ 224 Cleared 3,523 374,663 378,186 — 378,186 CO bond firm commitments $ 54 54 54 Mortgage delivery commitments 68 68 68 Total $ 378,532 $ 378,532 Derivative Liabilities Interest-rate swaps Uncleared $ (171,374) $ 132,460 $ (38,914) $ 28,374 $ (10,540) Cleared (6,175) 6,175 — — — CO bond firm commitments $ (30) (30) (30) Total $ (38,944) $ (10,570) December 31, 2020 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments (1) Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Non-cash Collateral (Received) or Pledged Not Offset (2) 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. |
Deposits (Tables)
Deposits (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Deposits [Abstract] | |
Interest-bearing and Non-interest-bearing Deposits [Table Text Block] | Table 9.1 - Deposits (dollars in thousands) December 31, 2021 December 31, 2020 Interest-bearing Demand and overnight $ 831,009 $ 975,469 Other 1,998 2,525 Noninterest-bearing Other 51,025 110,993 Total deposits $ 884,032 $ 1,088,987 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Debt Disclosure [Abstract] | |
CO Bonds by Year of Contractual Maturity [Table Text Block] | Table 10.1 - CO Bonds Outstanding by Contractual Maturity (dollars in thousands) December 31, 2021 December 31, 2020 Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 6,919,220 0.79 % $ 10,608,465 0.81 % Due after one year through two years 3,069,155 1.18 3,956,120 1.35 Due after two years through three years 3,514,735 1.09 1,569,315 2.20 Due after three years through four years 3,029,600 0.88 1,141,430 2.43 Due after four years through five years 5,735,605 0.91 1,776,100 1.12 Thereafter 4,456,865 1.91 2,312,155 3.58 Total par value 26,725,180 1.10 % 21,363,585 1.42 % Premiums 40,251 58,537 Discounts (9,011) (12,278) Hedging adjustments (143,388) 61,746 Total $ 26,613,032 $ 21,471,590 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. Table 10.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date (dollars in thousands) December 31, 2021 December 31, 2020 Due in one year or less $ 19,150,220 $ 11,728,465 Due after one year through two years 3,461,155 4,046,120 Due after two years through three years 1,044,735 1,629,315 Due after three years through four years 1,544,600 1,011,430 Due after four years through five years 539,605 1,501,100 Thereafter 984,865 1,447,155 Total par value $ 26,725,180 $ 21,363,585 |
CO Bonds Long-term Debt Instruments [Table Text Block] | Table 10.2 - CO Bonds Outstanding by Call Feature (dollars in thousands) December 31, 2021 December 31, 2020 Noncallable and nonputable $ 13,924,180 $ 19,668,585 Callable 12,801,000 1,695,000 Total par value $ 26,725,180 $ 21,363,585 Table 10.4 - CO Bonds by Interest Rate-Payment Type (dollars in thousands) December 31, 2021 December 31, 2020 Fixed-rate $ 17,707,180 $ 12,524,585 Simple variable-rate 4,803,000 8,549,000 Step-up (1) 4,215,000 290,000 Total par value $ 26,725,180 $ 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 10.5 - CO Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Rate (1) December 31, 2021 $ 2,275,320 $ 2,275,519 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) | 12 Months Ended |
Dec. 31, 2021 | |
Affordable Housing Program AHP [Abstract] | |
Roll-forward of the AHP Liability[Table Text Block] | Table 11.1 - AHP Liability (dollars in thousands) 2021 2020 Balance at beginning of year $ 78,640 $ 86,131 AHP expense for the period 7,739 13,386 AHP voluntary contribution 4,761 1,614 AHP direct grant disbursements (17,980) (21,374) AHP subsidy for AHP advance disbursements (5,806) (1,216) Return of previously disbursed grants and subsidies 3,149 99 Balance at end of year $ 70,503 $ 78,640 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Compliance with Regulatory Capital Requirements [Table Text Block] | Table 12.1 - Regulatory Capital Requirements (dollars in thousands) Risk-Based Capital Requirements December 31, December 31, Permanent capital Class B capital stock $ 953,638 $ 1,267,172 Mandatorily redeemable capital stock 13,562 6,282 Retained earnings 1,548,406 1,498,642 Total permanent capital $ 2,515,606 $ 2,772,096 Risk-based capital requirement Credit-risk capital $ 84,301 $ 96,143 Market-risk capital 213,467 204,028 Operations-risk capital 89,330 90,052 Total risk-based capital requirement $ 387,098 $ 390,223 Permanent capital in excess of risk-based capital requirement $ 2,128,508 $ 2,381,873 December 31, 2021 December 31, 2020 Required Actual Required Actual Capital Ratio Risk-based capital $ 387,098 $ 2,515,606 $ 390,223 $ 2,772,096 Total regulatory capital $ 1,301,812 $ 2,515,606 $ 1,538,441 $ 2,772,096 Total capital-to-asset ratio 4.0 % 7.7 % 4.0 % 7.2 % Leverage Ratio Leverage capital $ 1,627,265 $ 3,773,409 $ 1,923,052 $ 4,158,144 Leverage capital-to-assets ratio 5.0 % 11.6 % 5.0 % 10.8 % |
Mandatorily redeemable capital stock [Table Text Block] | Table 12.2 - Mandatorily Redeemable Capital Stock (dollars in thousands) 2021 2020 2019 Balance at beginning of year $ 6,282 $ 5,806 $ 31,868 Capital stock subject to mandatory redemption reclassified from capital 10,265 581 — Redemption/repurchase of mandatorily redeemable capital stock (2,985) (105) (26,062) Balance at end of year $ 13,562 $ 6,282 $ 5,806 Table 12.3 - Mandatorily Redeemable Capital Stock by Expiry of Redemption Notice Period (dollars in thousands) December 31, 2021 December 31, 2020 Past redemption date (1) $ 3,138 $ 5,558 Due in one year or less 92 — Due after one year through two years 30 93 Due after two years through three years — 40 Due after three years through four years 581 — Due after four years through five years 9,721 581 Thereafter (2) — 10 Total $ 13,562 $ 6,282 _______________________ (1) Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption-notice period but the member-related activity (for example, advances) remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding. (2) The December 31, 2020 amount represents reclassifications to mandatorily redeemable capital stock resulting from an FHFA rule effective February 19, 2016, that makes captive insurance companies ineligible for membership. Captive insurance company members that were admitted as members prior to September 12, 2014, had their memberships terminated on February 19, 2021. |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Loss (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Accumulated Other Comprehensive Loss [Table Text Block] | Accumulated Other Comprehensive Income (Loss) Table 13.1 - 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 Relating to Hedging Activities Pension and Postretirement Benefits Total Balance, December 31, 2018 $ (152,958) $ (129,154) $ (29,119) $ (5,276) $ (316,507) Cumulative effect of change in accounting principle — — (175) — (175) Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 79,036 — (6,131) — 72,905 Noncredit other-than-temporary impairment losses — (181) — — (181) Noncredit losses included in basis of securities sold — 29,517 — — 29,517 Accretion of noncredit loss — 22,806 — — 22,806 Net actuarial loss — — — (2,195) (2,195) Reclassifications from other comprehensive income to net income Noncredit other-than-temporary impairment losses reclassified to credit loss (1) — 976 — — 976 Amortization - hedging activities (2) — — 5,218 — 5,218 Amortization - pension and postretirement benefits (3) — — — 664 664 Other comprehensive income (loss) 79,036 53,118 (913) (1,531) 129,710 Balance, December 31, 2019 (73,922) (76,036) (30,207) (6,807) (186,972) Other comprehensive income (loss) before reclassifications: Adjustment for transfer of securities from held-to-maturity to available-for-sale 16,062 31,502 — — 47,564 Net unrealized gains (losses) 137,011 — (1,187) — 135,824 Noncredit losses included in basis of securities sold — 39,144 — — 39,144 Accretion of noncredit loss — 5,390 — — 5,390 Net actuarial loss — — — (2,386) (2,386) Reclassifications from other comprehensive income to net income Reclassification of realized net gains included in net income (30,583) — — — (30,583) Amortization - hedging activities (2) — — 7,029 — 7,029 Amortization - pension and postretirement benefits (3) — — — 1,129 1,129 Other comprehensive income (loss) 122,490 76,036 5,842 (1,257) 203,111 Balance, December 31, 2020 48,568 — (24,365) (8,064) 16,139 Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) 9,445 — (7,875) — 1,570 Net actuarial gain — — — 4,059 4,059 Reclassifications from other comprehensive income to net income Amortization - hedging activities (2) — — 5,949 — 5,949 Amortization - pension and postretirement benefits (3) — — — 1,250 1,250 Other comprehensive income (loss) 9,445 — (1,926) 5,309 12,828 Balance, December 31, 2021 $ 58,013 $ — $ (26,291) $ (2,755) $ 28,967 _______________________ (1) Recorded in other income (loss) in the statement of operations. (2) Recorded in CO bond interest expense. |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Retirement Benefits [Abstract] | |
Schedule of Net Funded Status [Table Text Block] | Table 14.1 - Pentegra Defined Benefit Plan Net Pension Cost and Funded Status (dollars in thousands) For the Years Ended December 31, 2021 2020 2019 Net pension cost $ 883 $ 6,843 $ 6,559 Pentegra Defined Benefit Plan funded status as of July 1 (1) 129.6 % (2) 108.5 % (3) 108.6 % Our funded status as of July 1 (1) 136.4 % 110.2 % 113.9 % ______________________ (1) The funded status is calculated in accordance with a provision contained in the Highway and Transportation Funding Act of 2014 (HATFA), which was signed into law on August 8, 2014, and which modifies the interest rates that had been set by the Moving Ahead for Progress in the 21st Century Act (MAP-21). MAP-21, signed into law in 2012, changed the calculation of the discount rate used in measuring the pension plan liability. MAP-21 allows plan sponsors to measure the pension plan liability using a 25-year average of interest rates plus or minus a corridor. Prior to MAP-21, the discount rate used in measuring the pension plan liability was based on the 24-month average of interest rates. HATFA amended MAP-21 by extending the time period and reducing the rate at which the 25-year corridors widen. Over time, the pension funding stabilization effect of MAP-21 will decline because the 24-month smoothed segment rates and the amended 25-year corridors are likely to converge. (2) The funded status as of July 1, 2021, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2021, through March 15, 2022. Contributions made on or before March 15, 2022, and designated for the plan year ended June 30, 2021, will be included in the final valuation as of July 1, 2021. The final funded status as of July 1, 2021, will not be available until the Form 5500 for the plan year July 1, 2021, through June 30, 2022 is filed. This Form 5500 is due to be filed no later than April 2023. (3) The funded status as of July 1, 2020, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020, through March 15, 2021. Contributions made on or before March 15, 2021, and designated for the plan year ended June 30, 2020, will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020, will not be available until the Form 5500 for the plan year July 1, 2020, through June 30, 2021 is filed. This Form 5500 is due to be filed no later than April 2022. |
Change in Benefit Obligation [Table Text Block] | Table 14.2 - Pension and Postretirement Benefit Obligation, Fair Value of Plan Assets, and Funded Status (dollars in thousands) Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Change in benefit obligation (1) Benefit obligation at beginning of year $ 28,028 $ 26,123 $ 1,690 $ 1,339 Service cost 1,347 1,487 45 44 Interest cost 407 551 43 44 Actuarial (gain) loss (3,960) 3,048 (99) 282 Benefits paid (137) (138) (21) (19) Settlements (5,857) (3,043) — — Benefit obligation at end of year 19,828 28,028 1,658 1,690 Change in plan assets Fair value of plan assets at beginning of year — — — — Employer contribution 5,994 3,181 21 19 Benefits paid (137) (138) (21) (19) Settlements (5,857) (3,043) — — Fair value of plan assets at end of year — — — — Funded status at end of year $ (19,828) $ (28,028) $ (1,658) $ (1,690) ______________________ (1) Represents the projected benefit obligation for the nonqualified supplemental defined benefit retirement plan and the accumulated postretirement benefit obligation for postretirement benefits. |
Schedule of Net Periodic Benefit Cost Not yet Recognized [Table Text Block] | Table 14.3 - Pension and Postretirement Benefits Recognized in Accumulated Other Comprehensive Income (dollars in thousands) Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement December 31, 2021 December 31, 2020 December 31, 2021 December 31, 2020 Net actuarial loss $ 2,218 $ 7,375 $ 537 $ 689 |
Net Periodic Benefit Cost [Table Text Block] | Table 14.4 - Net Periodic Benefit Cost and Other Amounts Recognized in Other Comprehensive Income (dollars in thousands) Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2021 2020 2019 2021 2020 2019 Net Periodic Benefit Cost Service cost $ 1,347 $ 1,487 $ 1,235 $ 45 $ 44 $ 38 Interest cost 407 551 699 43 44 42 Amortization of prior service cost — 79 86 — — — Amortization of net actuarial loss 543 1,020 571 52 30 7 Curtailment charge — 69 — — — — Settlement charge 655 875 — — — — Net periodic benefit cost 2,952 4,081 2,591 140 118 87 Other Changes in Benefit Obligations Recognized in Accumulated Other Comprehensive Income (Loss) Amortization of prior service cost — (79) (86) — — — Amortization of net actuarial loss (543) (1,020) (571) (52) (30) (7) Net actuarial (gain) loss (3,960) 3,048 1,874 (99) 282 321 Curtailment charge — (69) — — — — Settlement charge (655) (875) — — — — Total amount recognized in other comprehensive income (5,158) 1,005 1,217 (151) 252 314 Total amount recognized in net periodic benefit cost and other comprehensive income $ (2,206) $ 5,086 $ 3,808 $ (11) $ 370 $ 401 |
Schedule of Amounts Recognized in Other Comprehensive Income (Loss) [Table Text Block] | Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement Benefits 2021 2020 2019 2021 2020 2019 Net Periodic Benefit Cost Service cost $ 1,347 $ 1,487 $ 1,235 $ 45 $ 44 $ 38 Interest cost 407 551 699 43 44 42 Amortization of prior service cost — 79 86 — — — Amortization of net actuarial loss 543 1,020 571 52 30 7 Curtailment charge — 69 — — — — Settlement charge 655 875 — — — — Net periodic benefit cost 2,952 4,081 2,591 140 118 87 Other Changes in Benefit Obligations Recognized in Accumulated Other Comprehensive Income (Loss) Amortization of prior service cost — (79) (86) — — — Amortization of net actuarial loss (543) (1,020) (571) (52) (30) (7) Net actuarial (gain) loss (3,960) 3,048 1,874 (99) 282 321 Curtailment charge — (69) — — — — Settlement charge (655) (875) — — — — Total amount recognized in other comprehensive income (5,158) 1,005 1,217 (151) 252 314 Total amount recognized in net periodic benefit cost and other comprehensive income $ (2,206) $ 5,086 $ 3,808 $ (11) $ 370 $ 401 |
Defined Benefit Plan, Assumptions [Table Text Block] | Table 14.5 - Pension and Postretirement Benefit Plan Key Assumptions Nonqualified Supplemental Defined Benefit Retirement Plan Postretirement 2021 2020 2021 2020 Benefit obligation Discount rate 2.32 % 1.73 % 2.85 % 2.55 % Salary increases 5.50 % 5.50 % — — Net periodic benefit cost Discount rate 1.73 % 1.74 % 2.55 % 3.25 % Salary increases 5.50 % 5.50 % — — |
Schedule of Expected Benefit Payments [Table Text Block] | Table 14.6 - Estimated Future Benefit Payments (dollars in thousands) Estimated Future Payments Nonqualified Supplemental Defined Benefit Postretirement 2022 $ 1,639 $ 23 2023 2,615 25 2024 1,572 28 2025 5,675 30 2026 2,595 32 2027-2031 1,762 202 |
Fair Values (Tables)
Fair Values (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments [Table Text Block] | Table 15.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at December 31, 2021 and 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 15.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. Table 15.1 - Fair Value Summary (dollars in thousands) December 31, 2021 Carrying Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 204,993 $ 204,993 $ 204,993 $ — $ — $ — Interest-bearing deposits 85,153 85,153 85,153 — — — Securities purchased under agreements to resell 800,000 799,998 — 799,998 — — Federal funds sold 1,944,000 1,943,998 — 1,943,998 — — Trading securities (1) 501,867 501,867 — 501,867 — — Available-for-sale securities (1) 12,895,987 12,895,987 — 12,833,722 62,265 — Held-to-maturity securities 145,492 148,068 — 148,068 — — Advances 12,340,020 12,440,985 — 12,440,985 — — Mortgage loans, net 3,120,159 3,234,829 — 3,204,222 30,607 — Accrued interest receivable 68,360 68,360 — 68,360 — — Derivative assets (1) 378,532 378,532 — 3,972 — 374,560 Other assets (1) 32,570 32,570 13,937 18,633 — — Liabilities: Deposits (884,032) (884,029) — (884,029) — — COs: Bonds (26,613,032) (26,882,036) — (26,882,036) — — Discount notes (2,275,320) (2,275,276) — (2,275,276) — — Mandatorily redeemable capital stock (13,562) (13,562) (13,562) — — — Accrued interest payable (60,968) (60,968) — (60,968) — — Derivative liabilities (1) (38,944) (38,944) — (177,578) — 138,634 Other: Commitments to extend credit for advances — (6,196) — (6,196) — — Standby letters of credit (1,146) (1,146) — (1,146) — — December 31, 2020 Carrying Total Fair 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 15.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands) December 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 $ — $ 1,442 $ — $ — $ 1,442 U.S. Treasury obligations — 500,425 — — 500,425 Total trading securities — 501,867 — — 501,867 Available-for-sale securities: HFA securities — — 62,265 — 62,265 U.S. Treasury obligations — 5,084,546 — — 5,084,546 Supranational institutions — 403,765 — — 403,765 U.S. government-owned corporations — 306,864 — — 306,864 GSE — 126,472 — — 126,472 U.S. government guaranteed – single-family MBS — 21,535 — — 21,535 U.S. government guaranteed – multifamily MBS — 541,405 — — 541,405 GSE – single-family MBS — 1,103,714 — — 1,103,714 GSE – multifamily MBS — 5,245,421 — — 5,245,421 Total available-for-sale securities — 12,833,722 62,265 — 12,895,987 Derivative assets: Interest-rate-exchange agreements — 3,850 — 374,560 378,410 CO Bond firm commitments — 54 — — 54 Mortgage delivery commitments — 68 — — 68 Total derivative assets — 3,972 — 374,560 378,532 Other assets 13,937 18,633 — — 32,570 Total assets carried at fair value on a recurring basis $ 13,937 $ 13,358,194 $ 62,265 $ 374,560 $ 13,808,956 Carried at fair value on a nonrecurring basis (2) Mortgage loans held for portfolio $ — $ — $ 3,860 $ — $ 3,860 REO — — 59 — 59 Total assets carried at fair value on a nonrecurring basis $ — $ — $ 3,919 $ — $ 3,919 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (177,548) $ — $ 138,634 $ (38,914) CO Bond firm commitments — (30) — — (30) Total liabilities carried at fair value on a recurring basis $ — $ (177,578) $ — $ 138,634 $ (38,944) December 31, 2020 Level 1 Level 2 Level 3 Netting (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 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 15.3 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 years ended December 31, 2021, 2020, and 2019. Table 15.3 - Roll Forward of Level 3 Available-for-Sale Securities (dollars in thousands) For the Year ended December 31, 2021 2020 2019 HFA Securities HFA Securities Private-label MBS HFA Securities Balance at beginning of year $ 122,549 $ 64,652 $ — $ 49,601 Transfer of securities from held-to-maturity to available-for-sale — 71,240 180,514 — Total gains included in earnings Net gains on sale — — 30,583 — Reduction of provision for credit losses — — 269 — Accretion — — 353 — Total gains (losses) included in other comprehensive income Net unrealized gains (losses) 3,316 6,517 (22,203) 1,231 Purchases — — — 13,820 Sales, maturities, and settlements Sales — — (187,366) — Maturities (61,320) (18,685) — — Settlements (2,280) (1,175) (2,150) — Balance at end of year $ 62,265 $ 122,549 $ — $ 64,652 Total amount of unrealized gains (losses) for the period included in other comprehensive income relating to securities held at period end $ 124 $ 5,823 $ — $ 1,231 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Table 16.1 - Off-Balance Sheet Commitments (1) (dollars in thousands) December 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) $ 5,369,701 $ 132,096 $ 5,501,797 $ 6,190,479 $ 233,771 $ 6,424,250 Commitments for unused lines of credit - advances (3) 1,095,844 — 1,095,844 1,127,432 — 1,127,432 Commitments to make additional advances 40,917 66,318 107,235 69,684 93,465 163,149 Commitments to invest in mortgage loans 3,164 — 3,164 28,386 — 28,386 Unsettled CO bonds, at par 260,000 — 260,000 — — — Unsettled CO discount notes, at par — — — 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 December 31, 2021 and 2020, these amounts totaled $16.1 million and $37.1 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $125 thousand and $25 thousand at December 31, 2021 and 2020, respectively. (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) | 12 Months Ended |
Dec. 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 17.1 - Transactions with Directors' Institutions (dollars in thousands) Capital Stock Percent Par Percent of Total Par Value Total Accrued Percent of Total December 31, 2021 $ 48,104 5.0 % $ 416,542 3.4 % $ 466 2.8 % December 31, 2020 60,624 4.8 582,765 3.1 651 2.5 |
Background Information Narrativ
Background Information Narratives (Details) | Dec. 31, 2021 |
Background Information [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Number of states we conduct business | 6 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies Narratives (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Accounting Policies [Line Items] | ||
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible List] | Other assets | Other assets |
Finance Lease, Right-of-Use Asset, Statement of Financial Position [Extensible List] | Other assets | Other assets |
Operating Lease, Liability, Statement of Financial Position [Extensible List] | Other liabilities | Other liabilities |
Finance Lease, Liability, Statement of Financial Position [Extensible List] | Other liabilities | Other liabilities |
Quarterly percentage of net income contributed to restricted retained earnings per the Joint Capital Enhancement Agreement | 20.00% | |
Percent of average balance of outstanding consolidated obligations prescribed per the Joint Capital Enhancement Agreement for each previous quarter | 1.00% | |
Minimum [Member] | ||
Accounting Policies [Line Items] | ||
Premises, software, and equipment, useful life | 3 years | |
Definition of related party, minimum percent | 10.00% | |
Maximum [Member] | ||
Accounting Policies [Line Items] | ||
Premises, software, and equipment, useful life | 10 years | |
Accounting Standards Update 2016-02 [Member] | ||
Accounting Policies [Line Items] | ||
Lease Right Of Use Asset | $ 5.4 | $ 8 |
Lease Liability | 5.3 | 8 |
Other Expense [Member] | ||
Accounting Policies [Line Items] | ||
Operating lease cost | $ 2.6 | $ 2.6 |
Cash and Due From Bank - Narrat
Cash and Due From Bank - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Cash and Due from Banks [Abstract] | ||
Average collected cash balances with commercial banks | $ 200.7 | $ 176.3 |
Investments Trading Securities
Investments Trading Securities by Major Security Type (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 501,867 | $ 3,605,079 |
Corporate bonds [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 1,442 | 5,422 |
US Treasury obligations [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 500,425 | 3,596,718 |
Other Than MBS [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 501,867 | 3,602,140 |
U.S. government guaranteed - single-family MBS [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 0 | 2,884 |
GSE – MBS [Member] | Single Family [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 0 | 55 |
MBS [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 0 | $ 2,939 |
Unrealized and Realized Gains (
Unrealized and Realized Gains (Losses) on Trading Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |||
Net unrealized (losses) gains on trading securities held at year-end | $ (9,049) | $ (8,392) | $ 1,379 |
Net unrealized and realized losses on trading securities sold or matured during the year | (37,292) | (3,544) | (92) |
Net (losses) gains on trading securities | $ (46,341) | $ (11,936) | $ 1,287 |
Available-for-Sale Securities M
Available-for-Sale Securities Major Security Types (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 12,837,974 | $ 6,171,580 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 112,861 | 98,264 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (54,848) | (49,696) | |
Available-for-sale securities Fair Value | 12,895,987 | 6,220,148 | |
Available-for-sale securities - accrued interest receivable | 31,600 | 24,000 | |
US Treasury Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 5,081,536 | ||
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 3,380 | ||
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (370) | ||
Available-for-sale securities Fair Value | 5,084,546 | ||
State housing-finance-agency obligations (HFA securities) [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 63,330 | 126,930 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 2 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (1,067) | (4,381) | |
Available-for-sale securities Fair Value | 62,265 | 122,549 | |
Supranational institutions [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 409,337 | 442,225 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 96 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (5,668) | (12,156) | |
Available-for-sale securities Fair Value | 403,765 | 430,069 | |
U.S. government-owned corporations [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 325,567 | 350,052 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (18,703) | (27,991) | |
Available-for-sale securities Fair Value | 306,864 | 322,061 | |
GSE [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 130,143 | 140,136 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (3,671) | (5,144) | |
Available-for-sale securities Fair Value | 126,472 | 134,992 | |
Other Than MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 6,009,913 | 1,059,343 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 3,478 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (29,479) | (49,672) | |
Available-for-sale securities Fair Value | 5,983,912 | 1,009,671 | |
U.S. government guaranteed - single-family MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 21,435 | 29,148 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 100 | 260 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Available-for-sale securities Fair Value | 21,535 | 29,408 | |
U.S. government guaranteed-multifamily MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 541,238 | 46,829 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 219 | 351 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (52) | 0 | |
Available-for-sale securities Fair Value | 541,405 | 47,180 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 6,828,061 | 5,112,237 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 109,383 | 98,264 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (25,369) | (24) | |
Available-for-sale securities Fair Value | 6,912,075 | 5,210,477 | |
Single Family [Member] | GSE – MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 1,093,890 | 1,442,282 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 9,945 | 26,790 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (121) | (24) | |
Available-for-sale securities Fair Value | 1,103,714 | 1,469,048 | |
Multifamily [Member] | GSE – MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 5,171,498 | 3,593,978 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 99,119 | 70,863 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (25,196) | 0 | |
Available-for-sale securities Fair Value | $ 5,245,421 | $ 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 $31.6 million and $24.0 million at December 31, 2021 and 2020, respectively |
Available-for-Sale Securities S
Available-for-Sale Securities Securities in a Continuous Unrealized Loss Position (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | $ 2,999,951 | $ 0 |
Less than 12 Months, Unrealized Losses | (25,739) | 0 |
12 Months or More, Fair Value | 872,569 | 1,007,173 |
12 Months or More, Unrealized Losses | (29,109) | (49,696) |
Total Fair Value | 3,872,520 | 1,007,173 |
Total Unrealized Losses | (54,848) | (49,696) |
US Treasury Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 1,212,443 | |
Less than 12 Months, Unrealized Losses | (370) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Fair Value | 1,212,443 | |
Total Unrealized Losses | (370) | |
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 | 50,053 | 109,780 |
12 Months or More, Unrealized Losses | (1,067) | (4,381) |
Total Fair Value | 50,053 | 109,780 |
Total Unrealized Losses | (1,067) | (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 | 389,180 | 430,069 |
12 Months or More, Unrealized Losses | (5,668) | (12,156) |
Total Fair Value | 389,180 | 430,069 |
Total Unrealized Losses | (5,668) | (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 | 306,864 | 322,061 |
12 Months or More, Unrealized Losses | (18,703) | (27,991) |
Total Fair Value | 306,864 | 322,061 |
Total Unrealized Losses | (18,703) | (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 | 126,472 | 134,992 |
12 Months or More, Unrealized Losses | (3,671) | (5,144) |
Total Fair Value | 126,472 | 134,992 |
Total Unrealized Losses | (3,671) | (5,144) |
Other Than MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 1,212,443 | 0 |
Less than 12 Months, Unrealized Losses | (370) | 0 |
12 Months or More, Fair Value | 872,569 | 996,902 |
12 Months or More, Unrealized Losses | (29,109) | (49,672) |
Total Fair Value | 2,085,012 | 996,902 |
Total Unrealized Losses | (29,479) | (49,672) |
U.S. government guaranteed-multifamily MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 187,437 | |
Less than 12 Months, Unrealized Losses | (52) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Fair Value | 187,437 | |
Total Unrealized Losses | (52) | |
MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 1,787,508 | |
Less than 12 Months, Unrealized Losses | (25,369) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Fair Value | 1,787,508 | |
Total Unrealized Losses | (25,369) | |
GSEs - single-family [Member] | GSE – MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 93,020 | 0 |
Less than 12 Months, Unrealized Losses | (121) | 0 |
12 Months or More, Fair Value | 0 | 10,271 |
12 Months or More, Unrealized Losses | 0 | (24) |
Total Fair Value | 93,020 | 10,271 |
Total Unrealized Losses | (121) | $ (24) |
Multifamily [Member] | GSE – MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 1,507,051 | |
Less than 12 Months, Unrealized Losses | (25,196) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Fair Value | 1,507,051 | |
Total Unrealized Losses | $ (25,196) |
Available-for-Sale Securities b
Available-for-Sale Securities by Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 12,837,974 | $ 6,171,580 |
Fair Value | 12,895,987 | 6,220,148 | |
Other Than MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in one year or less, amortized cost | 27,000 | 10,600 | |
Due in one year or less, fair value | 26,780 | 10,524 | |
Due after one year through five years, amortized cost | 1,898,894 | 169,570 | |
Due after one year through five years, fair value | 1,898,308 | 166,813 | |
Due after five years through 10 years, amortized cost | 3,674,762 | 400,477 | |
Due after five years through 10 years, fair value | 3,671,798 | 389,753 | |
Due after 10 years, amortized cost | 409,257 | 478,696 | |
Due after 10 years, fair value | 387,026 | 442,581 | |
Amortized Cost | [1] | 6,009,913 | 1,059,343 |
Fair Value | 5,983,912 | 1,009,671 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 6,828,061 | 5,112,237 |
Fair Value | 6,912,075 | 5,210,477 | |
Amortized Cost MBS | [2] | 6,828,061 | 5,112,237 |
Fair Value MBS | [2] | $ 6,912,075 | $ 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 $31.6 million and $24.0 million at December 31, 2021 and 2020, respectively | ||
[2] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities by
Held-to-Maturity Securities by Major Security Type (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity fair value | $ 148,068 | $ 211,837 | |
Held-to-maturity securities - accrued interest receivable | 200 | 368 | |
U.S. government guaranteed - single-family MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 4,320 | 5,388 |
Gross Unrecognized Holding Gains | 88 | 103 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity fair value | 4,408 | 5,491 | |
GSE – MBS [Member] | Single Family [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 141,172 | 201,774 |
Gross Unrecognized Holding Gains | 2,605 | 4,681 | |
Gross Unrecognized Holding Losses | (117) | (109) | |
Held-to-maturity fair value | 143,660 | 206,346 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 145,492 | 207,162 |
Gross Unrecognized Holding Gains | 2,693 | 4,784 | |
Gross Unrecognized Holding Losses | (117) | (109) | |
Held-to-maturity fair value | $ 148,068 | $ 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 $200 thousand and $368 thousand at December 31, 2021 and 2020, respectively. |
Transfer of Held-to-Maturity Se
Transfer of Held-to-Maturity Securities to Available-for-Sale Securities in 2020 (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Sep. 30, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized cost of held -to-maturity securities transferred to available-for-sale securities | $ 0 | $ 254,217 | $ 0 | ||
Allowance for credit losses | 0 | 0 | $ 0 | ||
Held-to-Maturity Securities Carrying Value | [1] | 145,492 | 207,162 | ||
Accounting Standards Update 2020-04 [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized cost of held -to-maturity securities transferred to available-for-sale securities | $ 254,217 | ||||
Allowance for credit losses | (634) | ||||
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (31,502) | ||||
Held-to-Maturity Securities Carrying Value | 222,081 | ||||
Gross Unrecognized Holding Gains | 54,042 | ||||
Gross Unrecognized Holding Losses | (6,478) | ||||
Fair Value | 269,645 | ||||
HFA securities [Member] | Accounting Standards Update 2020-04 [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized cost of held -to-maturity securities transferred to available-for-sale securities | 77,470 | ||||
Allowance for credit losses | 0 | ||||
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | ||||
Held-to-Maturity Securities Carrying Value | 77,470 | ||||
Gross Unrecognized Holding Gains | 0 | ||||
Gross Unrecognized Holding Losses | (6,230) | ||||
Fair Value | 71,240 | ||||
GSE – MBS [Member] | Single Family [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Gross Unrecognized Holding Gains | 2,605 | 4,681 | |||
Gross Unrecognized Holding Losses | $ (117) | $ (109) | |||
GSE – MBS [Member] | Accounting Standards Update 2020-04 [Member] | Single Family [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized cost of held -to-maturity securities transferred to available-for-sale securities | 17,802 | ||||
Allowance for credit losses | 0 | ||||
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | ||||
Held-to-Maturity Securities Carrying Value | 17,802 | ||||
Gross Unrecognized Holding Gains | 89 | ||||
Gross Unrecognized Holding Losses | 0 | ||||
Fair Value | 17,891 | ||||
Private-label residential [Member] | Accounting Standards Update 2020-04 [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized cost of held -to-maturity securities transferred to available-for-sale securities | 158,945 | ||||
Allowance for credit losses | (634) | ||||
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | (31,502) | ||||
Held-to-Maturity Securities Carrying Value | 126,809 | ||||
Gross Unrecognized Holding Gains | 53,953 | ||||
Gross Unrecognized Holding Losses | (248) | ||||
Fair Value | $ 180,514 | ||||
[1] | Fair values of held-to-maturity securities were $148,068 and $211,837 at December 31, 2021 and 2020, respectively. |
Proceeds and Gains (Losses) fro
Proceeds and Gains (Losses) from Sales of Investment Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale, Sale [Abstract] | |||
Proceeds from sale | $ 0 | $ 187,366 | $ 0 |
Amortized cost, net of allowance for credit losses | 0 | 156,783 | 0 |
Gross realized gains from sale | 0 | 30,948 | 0 |
Gross realized losses from sale | 0 | (365) | 0 |
Realized net gain from sale | 0 | 30,583 | 0 |
Debt Securities, Held-to-maturity, Sale [Abstract] | |||
Proceeds from sale | 5,883 | 262,850 | 185,177 |
Carrying value | 5,600 | 176,293 | 143,629 |
Noncredit losses recorded in accumulated other comprehensive income | 0 | 39,144 | 29,517 |
Realized net gain from sale | $ 283 | $ 47,413 | $ 12,031 |
Allowance for Credit Losses on
Allowance for Credit Losses on Debt Securities (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($) | ||
Available-for-Sale, Allowance for Credit Loss | ||
Balance at beginning of year | $ 0 | |
Adjustments for cumulative effect of change in accounting principle | 0 | [1] |
Transfers | 634 | |
Reduction of provision for credit losses due to sales of securities | (126) | |
Reduction of provision for credit losses | (143) | |
Charge-offs | (365) | |
Balance at end of year | 0 | |
Held-to-maturity, Allowance for Credit Loss | ||
Balance at beginning of year | 0 | |
Adjustments for cumulative effect of change in accounting principle | 5,308 | [1] |
Transfer | (634) | |
Reduction of provision for credit losses due to sales of securities | (3,205) | |
Reduction of provision for credit losses | (1,469) | |
Charge-offs | 0 | |
Balance at end of year | $ 0 | |
[1] | We adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. Upon adoption 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. |
Roll Forward of the Amounts Rel
Roll Forward of the Amounts Related to Credit Loss Recognized into Earnings (Details) - Held-to-maturity Securities [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | ||
Balance at beginning of year | $ 339,630 | $ 422,035 |
Credit losses for which other-than-temporary impairment was not previously recognized | 0 | 128 |
Additional credit losses for which an other-than-temporary impairment charge was previously recognized | 0 | 1,084 |
Securities sold or matured during the year | (332,290) | (56,710) |
Portion of increase in cash flows expected to be collected over the remaining life of the security that are recognized in the current period as interest income | (7,340) | (26,907) |
Balance at end of year | $ 0 | $ 339,630 |
Investments Narrative (Details)
Investments Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Sep. 30, 2020 | Dec. 31, 2021 | Dec. 31, 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% | 0.00% | ||
Allowance for credit losses for securities purchased under agreements to resell | $ 0 | $ 0 | ||
Held-to-maturity securities sold, amortized cost | 5,600 | 176,293 | $ 143,629 | |
Realized net gain from sale | $ 283 | 47,413 | 12,031 | |
Available for-Sale securities, rated single-A or above, based on amortized cost | 100.00% | |||
Held -to-maturity securities, rated single-A or above, based on amortized cost | 100.00% | |||
Allowance for credit losses on Available-for-Sale securities | $ 0 | 0 | 0 | |
Allowance for credit losses on held-to-maturity securities | 0 | 0 | 0 | |
Accounting Standards Update 2020-04 [Member] | ||||
Allowance for credit losses on held-to-maturity securities | $ 634 | |||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Accounting Standards Update 2020-04 [Member] | ||||
Held-to-maturity securities sold, amortized cost | 82,200 | |||
Realized net gain from sale | 6,200 | |||
Held-to-maturity Securities [Member] | ||||
Held-to-maturity securities sold, amortized cost | 5,600 | 133,200 | 173,200 | |
Realized net gain from sale | 283 | 41,200 | $ 12,000 | |
Interest Bearing Deposits and Federal Funds Sold [Member] | ||||
Allowance for credit loss | $ 0 | $ 0 | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Accounting Standards Update 2020-04 [Member] | ||||
Allowance for credit losses on held-to-maturity securities | $ 634 |
Advances - Outstanding by Year
Advances - Outstanding by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | $ 64 | $ 135 | |
Due in one year or less | 5,064,776 | 9,090,900 | |
Due after one year through two years | 1,354,297 | 2,281,047 | |
Due after two years through three years | 1,541,076 | 2,014,880 | |
Due after three years through four years | 2,173,238 | 1,685,056 | |
Due after four years through five years | 1,310,971 | 2,687,456 | |
Due after five years through fifteen years | 871,692 | 924,498 | |
Thereafter | 31,591 | 20,540 | |
Total par value | 12,347,705 | 18,704,512 | |
Premiums | 0 | 2,248 | |
Discounts | (34,926) | (37,592) | |
Fair value of bifurcated derivatives | [1] | 11,890 | 44,534 |
Hedging adjustments | 15,351 | 103,300 | |
Total Advances | [2] | $ 12,340,020 | $ 18,817,002 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand-deposit accounts, Weighted average rate | 0.60% | 0.62% | |
Due in one year or less, Weighted average rate | 0.76% | 1.00% | |
Due after one year through two years, Weighted average rate | 2.26% | 1.78% | |
Due after two years through three years, Weighted average rate | 1.64% | 2.37% | |
Due after three years through four years, Weighted average rate | 1.43% | 1.79% | |
Due after four years through five years, Weighted average rate | 1.07% | 1.34% | |
Due after five years through fifteen years, Weighted average rate | 2.11% | 2.40% | |
Thereafter, Weighted average rate | 1.33% | 1.46% | |
Total Weighted average rate | 1.28% | 1.43% | |
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Advances accrued interest receivable | $ 16,300 | $ 25,800 | |
[1] | At December 31, 2021 and 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 $16.3 million and $25.8 million at December 31, 2021 and 2020, respectively. |
Advances - Outstanding by Yea_2
Advances - Outstanding by Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Dec. 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 | $ 64 | $ 135 |
Due in one year or less | 6,116,251 | 10,149,975 |
Due after one year through two years | 1,354,297 | 2,095,247 |
Due after two years through three years | 1,249,001 | 1,809,880 |
Due after three years through four years | 2,106,238 | 1,392,981 |
Due after four years through five years | 632,271 | 2,335,956 |
Due after five years through fifteen years | 857,992 | 899,798 |
Thereafter | 31,591 | 20,540 |
Total par value | $ 12,347,705 | $ 18,704,512 |
Advances - Outstanding by Yea_3
Advances - Outstanding by Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Dec. 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 | $ 64 | $ 135 |
Due in one year or less | 6,088,201 | 10,755,575 |
Due after one year through two years | 908,797 | 2,201,797 |
Due after two years through three years | 1,497,076 | 1,224,380 |
Due after three years through four years | 1,709,313 | 1,593,056 |
Due after four years through five years | 1,277,471 | 2,059,531 |
Due after five years through fifteen years | 835,192 | 849,498 |
Thereafter | 31,591 | 20,540 |
Total par value | $ 12,347,705 | $ 18,704,512 |
Advances - by Current Interest
Advances - by Current Interest Rate Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Due in one year or less - fixed rate | $ 3,803,476 | $ 8,224,435 |
Due after one year - fixed rate | 6,195,290 | 8,518,167 |
Total fixed-rate | 9,998,766 | 16,742,602 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Due in one year or less - variable rate | 1,261,364 | 866,600 |
Due after one year - variable rate | 1,087,575 | 1,095,310 |
Total variable-rate | 2,348,939 | 1,961,910 |
Total par value | $ 12,347,705 | $ 18,704,512 |
Advances - Prepayment Fees (Det
Advances - Prepayment Fees (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Federal Home Loan Bank Advances Prepayment Fees [Abstract] | |||
Prepayment fees received from borrowers | $ 54,537 | $ 32,340 | $ 33,809 |
Hedging fair-value adjustments on prepaid advances | (6,356) | (8,013) | 1,923 |
Net (premiums) discounts associated with prepaid advances | (14,162) | (299) | 157 |
Deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications | 0 | 0 | (1,793) |
Prepayment fees recognized in income on advance restructurings deemed to be extinguishments | 0 | 0 | 915 |
Advance prepayment fees recognized in income, net | $ 34,019 | $ 24,028 | $ 35,011 |
Advances - Narratives (Details)
Advances - Narratives (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Federal Home Loan Bank, Advances [Line Items] | ||
Nonaccrual status on advances | $ 0 | $ 0 |
Impaired advances | 0 | 0 |
Federal Home Loan Bank Advances Receivable | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Past due 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] | ||
Federal Home Loan Bank Advances Maturities | 1 day | |
Interest rates of advances outstanding | 0.00% | 0.00% |
Maximum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank Advances Maturities | 30 years | |
Interest rates of advances outstanding | 7.72% | 7.72% |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | ||
Loans and Leases Receivable Disclosure [Line Items] | |||
Par Value | $ 3,072,075 | $ 3,870,707 | |
Premiums | 48,043 | 60,050 | |
Discounts | (671) | (1,094) | |
Deferred derivative gains, net | 2,412 | 3,689 | |
Total mortgage loans held for portfolio | [1] | 3,121,859 | 3,933,352 |
Less: Allowance for credit losses | (1,700) | (3,100) | |
Total mortgage loans, net of allowance for credit losses | $ 3,120,159 | 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 | $ 278,393 | 322,713 | |
Single Family [Member] | Fixed-rate 20- and 30-year single-family mortgages | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Par Value | 2,793,682 | 3,547,994 | |
Real Estate Loan | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Mortgage loans held for portfolio, accrued interest receivable | $ 15,700 | $ 19,300 | |
[1] | Excludes accrued interest receivable of $15.7 million and $19.3 million at December 31, 2021 and 2020, respectively. |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Loans and Leases Receivable Disclosure [Line Items] | ||
Par Value | $ 3,072,075 | $ 3,870,707 |
Government Mortgage Loans [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Par Value | 191,721 | 246,150 |
Conventional Mortgage Loans [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Par Value | $ 2,880,354 | $ 3,624,557 |
Credit Quality Indicator for Co
Credit Quality Indicator for Conventional Mortgage Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||
Total amortized cost | [1] | $ 3,121,859 | $ 3,933,352 | |
Conventional Mortgage Loans [Member] | ||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||
Originated five or more years before latest fiscal year | [2] | 1,176,078 | 1,284,591 | |
Originated current fiscal year and preceding four fiscal years | 1,750,347 | [2] | 2,397,740 | |
Total amortized cost | 2,926,425 | [2] | 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 | [2] | 22,963 | 37,900 | |
Originated current fiscal year and preceding four fiscal years | 19,909 | [2] | 79,765 | |
Total amortized cost | 42,872 | [2] | 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 | [2] | 1,153,115 | 1,246,691 | |
Originated current fiscal year and preceding four fiscal years | 1,730,438 | [2] | 2,317,975 | |
Total amortized cost | 2,883,553 | [2] | 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 | [2] | 7,719 | 11,743 | |
Originated current fiscal year and preceding four fiscal years | 8,053 | [2] | 25,058 | |
Total amortized cost | 15,772 | [2] | 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 | [2] | 3,312 | 5,263 | |
Originated current fiscal year and preceding four fiscal years | 2,660 | [2] | 11,178 | |
Total amortized cost | 5,972 | [2] | 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 | [2] | 11,932 | 20,894 | |
Originated current fiscal year and preceding four fiscal years | 9,196 | [2] | 43,529 | |
Total amortized cost | $ 21,128 | [2] | $ 64,423 | |
[1] | Excludes accrued interest receivable of $15.7 million and $19.3 million at December 31, 2021 and 2020, respectively. | |||
[2] | Amortized cost excludes accrued interest receivable. |
Other Delinquency Statistics of
Other Delinquency Statistics of Mortgage Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |||
Mortgage Loans Past Due [Line Items] | |||||
In process of foreclosure | [1] | $ 1,721 | $ 2,803 | ||
Serious delinquency rate | [2] | 0.83% | 2.02% | ||
Loans on nonaccrual status | $ 0 | $ 0 | |||
Recorded Investment in Government Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
In process of foreclosure | [1] | $ 935 | $ 1,041 | ||
Serious delinquency rate | [2] | 2.24% | 6.04% | ||
Past due 90 days or more still accruing interest | $ 4,383 | $ 5,592 | |||
Loans on nonaccrual status | 0 | [3] | 10,101 | [4] | |
Mortgage loans on non-accrual status with no allowance for credit losses | 10,100 | ||||
Recorded Investment in Conventional Mortgage Loans [Member] | |||||
Mortgage Loans Past Due [Line Items] | |||||
In process of foreclosure | [1] | $ 786 | $ 1,762 | ||
Serious delinquency rate | [2] | 0.74% | 1.75% | ||
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |||
Loans on nonaccrual status | 21,529 | [3] | 65,039 | [4] | |
Mortgage loans on non-accrual status with no allowance for credit losses | 11,800 | 31,800 | |||
Real Estate Loan | |||||
Mortgage Loans Past Due [Line Items] | |||||
Past due 90 days or more still accruing interest | 4,383 | 5,592 | |||
Loans on nonaccrual status | $ 21,529 | [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. There were foreclosure moratoriums enacted in many areas during 2020 that expired on July 31, 2021, but an eviction moratorium was extended by the FHFA to September 30, 2021. | ||||
[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 December 31, 2021, $11.8 million of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. | ||||
[4] | As of December 31, 2020, $31.8 million of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. As of December 31, 2020, $10.1 million of government nonaccrual loans did not have an associated allowance due to government guarantees or insurance. |
Allowance for Credit Losses o_2
Allowance for Credit Losses on Conventional Mortgage Loans (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||
Balance, beginning of year | $ 3,100 | |||||
(Reduction of ) provision for credit losses | (1,462) | $ (4,358) | $ 85 | |||
Balance, end of year | 1,700 | 3,100 | ||||
Conventional Mortgage Loans [Member] | ||||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||
Balance, beginning of year | [1] | 3,100 | 500 | [2] | 500 | [2] |
Adjustment for cumulative effect of change in accounting principle | [1] | 0 | 2,221 | 0 | [2] | |
Recoveries (charge-offs) | [1] | 62 | (207) | (85) | [2] | |
(Reduction of ) provision for credit losses | [1] | (1,462) | 586 | 85 | [2] | |
Balance, end of year | [1] | $ 1,700 | $ 3,100 | 500 | [2] | |
Ending balance, individually evaluated for impairment | [1],[2] | 0 | ||||
Ending balance, collectively evaluated for impairment | [1],[2] | 500 | ||||
Recorded Investment, end of year - Individually evaluated for impairment | [1],[2] | 13,395 | ||||
Recorded Investment, end of year - Collectively evaluated for impairment | [1],[2] | $ 4,212,224 | ||||
[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. | |||||
[2] | Prior to the adoption of the Financial Instruments - Credit Loss accounting guidance, our allowance for credit losses on mortgage loans consisted of an estimate of incurred losses for individually evaluated mortgage loans, including collateral dependent mortgage loans; and an estimate additional credit losses on mortgage loans. |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio Narrative (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | [2] | Dec. 31, 2018 | [2] | |
Financing Receivable, Credit Quality Indicator [Line Items] | |||||||
Maximum Exposure Under First Loss Account | $ 31,900 | $ 30,400 | |||||
TDRs suspended under CARES Act Relief | 37,100 | ||||||
Par Value | 3,072,075 | 3,870,707 | |||||
Allowance for credit losses - mortgage loans held for portfolio | 1,700 | 3,100 | |||||
Real Estate Loan | |||||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||||
Recorded investment of trouble debt restructuring | 8,000 | 7,700 | |||||
Government Mortgage Loans [Member] | |||||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||||
Par Value | 191,721 | 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 | 2,200 | ||||||
Conventional Mortgage Loans [Member] | |||||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||||
Par Value | 2,880,354 | 3,624,557 | |||||
Allowance for credit losses - mortgage loans held for portfolio | [1] | 1,700 | $ 3,100 | $ 500 | $ 500 | ||
Conventional Mortgage Loans [Member] | COVID19 Forbearance Plan Member | |||||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||||
Par Value | $ 15,700 | ||||||
Conventional Mortgage Loans in forbearance as a percentage of mortgage loans held for portfolio | 0.50% | ||||||
Conventional Mortgage Loans [Member] | COVID19 Forbearance Plan Member | Not past due [Member] | |||||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||||
Par Value | $ 2,500 | ||||||
Conventional Mortgage Loans [Member] | COVID19 Forbearance Plan Member | Past due 30-59 days delinquent [Member] | |||||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||||
Par Value | 1,100 | ||||||
Conventional Mortgage Loans [Member] | COVID19 Forbearance Plan Member | Past due 60-89 days delinquent [Member] | |||||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||||
Par Value | 1,100 | ||||||
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 | $ 11,000 | ||||||
[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. | ||||||
[2] | Prior to the adoption of the Financial Instruments - Credit Loss accounting guidance, our allowance for credit losses on mortgage loans consisted of an estimate of incurred losses for individually evaluated mortgage loans, including collateral dependent mortgage loans; and an estimate additional credit losses on mortgage loans. |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | $ 28,939,545 | $ 15,542,683 | |
Derivative Assets, before netting and collateral adjustments | 3,972 | 10,182 | |
Derivative Liabilities, before netting and collateral adjustments | (177,578) | (88,770) | |
Derivative Asset, netting adjustments and cash collateral including related accrued interest | [1],[2] | 374,560 | 151,056 |
Derivative Liability, netting adjustments and cash collateral including related accrued interest | [1],[2] | 138,634 | 64,708 |
Derivative assets | 378,532 | 161,238 | |
Derivative liabilities | (38,944) | (24,062) | |
Cash collateral and related accrued interest posted | 513,200 | 215,800 | |
COs - bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Assets, before netting and collateral adjustments | 54 | ||
Derivative Liabilities, before netting and collateral adjustments | (30) | ||
Derivative assets | 54 | ||
Derivative liabilities | (30) | ||
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 27,980,956 | 9,977,475 | |
Derivative Assets, before netting and collateral adjustments | 410 | 6,044 | |
Derivative Liabilities, before netting and collateral adjustments | (163,885) | (41,014) | |
Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 26,589,956 | 9,960,475 | |
Derivative Assets, before netting and collateral adjustments | 362 | 6,044 | |
Derivative Liabilities, before netting and collateral adjustments | (163,457) | (41,000) | |
Designated as Hedging Instrument [Member] | Forward-start interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 1,391,000 | 17,000 | |
Derivative Assets, before netting and collateral adjustments | 48 | 0 | |
Derivative Liabilities, before netting and collateral adjustments | (428) | (14) | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 958,589 | 5,565,208 | |
Derivative Assets, before netting and collateral adjustments | 3,562 | 4,138 | |
Derivative Liabilities, before netting and collateral adjustments | (13,693) | (47,756) | |
Not Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 900,425 | 5,536,822 | |
Derivative Assets, before netting and collateral adjustments | 3,440 | 3,918 | |
Derivative Liabilities, before netting and collateral adjustments | (13,663) | (47,756) | |
Not Designated as Hedging Instrument [Member] | COs - bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 55,000 | 0 | |
Derivative Assets, before netting and collateral adjustments | 54 | 0 | |
Derivative Liabilities, before netting and collateral adjustments | (30) | 0 | |
Mortgage Receivable [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Assets, before netting and collateral adjustments | 68 | 220 | |
Derivative assets | 68 | 220 | |
Mortgage Receivable [Member] | Not Designated as Hedging Instrument [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | [3] | 3,164 | 28,386 |
Derivative Assets, before netting and collateral adjustments | [3] | 68 | 220 |
Derivative Liabilities, before netting and collateral adjustments | [3] | $ 0 | $ 0 |
[1] | Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral posted, including accrued interest, was $513.2 million and $215.8 million at December 31, 2021, and 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. | ||
[2] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[3] | Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest Income/Expense (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest income on advances | $ 170,003 | $ 400,286 | $ 854,599 | |
Interest income on available-for-sale securities | 73,314 | 63,243 | 115,942 | |
Interest expense on consolidated obligations bonds | (210,052) | (374,449) | (598,585) | |
Advances [Member] | Interest Rate Contract [Member] | Interest Income [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives | 85,265 | (82,885) | (72,488) | |
Hedged items | (84,296) | 81,859 | 73,530 | |
Net changes in fair value before price alignment interest | 969 | (1,026) | 1,042 | |
Price alignment interest | [1] | 20 | 484 | 1,316 |
Net interest settlements on derivatives | [2],[3] | (60,285) | (53,615) | 39,085 |
Net gains (losses) on qualifying fair-value hedging relationships | (59,296) | (54,157) | 41,443 | |
Amortization/accretion of discontinued hedging relationships | (2,064) | (1,937) | (1,934) | |
Net gain (losses) on derivatives and hedging activities recorded in net interest income | (61,360) | (56,094) | 39,509 | |
Available-for-sale Securities [Member] | Interest Rate Contract [Member] | Interest Income [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives | 280,707 | (270,047) | (24,274) | |
Hedged items | (273,132) | 263,226 | 21,329 | |
Net changes in fair value before price alignment interest | 7,575 | (6,821) | (2,945) | |
Price alignment interest | [1] | 66 | 1,373 | 3,769 |
Net interest settlements on derivatives | [2],[3] | (120,524) | (70,317) | (22,249) |
Net gains (losses) on qualifying fair-value hedging relationships | (112,883) | (75,765) | (21,425) | |
Amortization/accretion of discontinued hedging relationships | 0 | 0 | 0 | |
Net gain (losses) on derivatives and hedging activities recorded in net interest income | (112,883) | (75,765) | (21,425) | |
COs - bonds [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives | (197,016) | 25,811 | 55,777 | |
Hedged items | 197,116 | (27,353) | (56,091) | |
Net changes in fair value before price alignment interest | 100 | (1,542) | (314) | |
Price alignment interest | [1] | (4) | (204) | (786) |
Net interest settlements on derivatives | [2],[3] | 67,028 | 23,843 | (17,482) |
Net gains (losses) on qualifying fair-value hedging relationships | 67,124 | 22,097 | (18,582) | |
Amortization/accretion of discontinued hedging relationships | (3,145) | (3,707) | (2,567) | |
Net gain (losses) on derivatives and hedging activities recorded in net interest income | $ 63,979 | $ 18,390 | $ (21,149) | |
[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 | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Interest Expense [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Losses reclassified from accumulated other comprehensive loss into interest expense | $ (5,949) | $ (7,029) | $ (5,218) |
Other Comprehensive Income (Loss) [Member] | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Losses recognized in other comprehensive income | $ (7,875) | $ (1,187) | $ (6,131) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Basis Adjustments for Fair Value Hedges (Details) $ in Thousands | Dec. 31, 2021USD ($) | |
Advances [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | $ 2,708,546 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | 6,477 | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 8,874 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | 15,351 | |
Available-for-sale Securities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | 10,953,242 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | 220,621 | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 0 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | 220,621 | |
COs - bonds [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | 12,957,832 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | (174,983) | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 31,595 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | $ (143,388) | |
[1] | Includes only the amortized cost of 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 | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net (losses) gains related to derivatives not designated as hedging instruments | $ (559) | $ (49,674) | $ 1,419 | |
Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net (losses) gains related to derivatives not designated as hedging instruments | (567) | (49,782) | 1,331 | |
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Other | [1] | 8 | 108 | 88 |
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net (losses) gains on derivatives and hedging activities | (559) | (49,674) | 1,419 | |
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) gains related to derivatives not designated as hedging instruments | (2,183) | (51,187) | (614) | |
Unsettled CO bonds, at par [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net (losses) gains related to derivatives not designated as hedging instruments | 1,734 | 0 | 0 | |
Mortgage Receivable [Member] | Mortgage-delivery commitments [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net (losses) gains related to derivatives not designated as hedging instruments | $ (118) | $ 1,405 | $ 1,945 | |
[1] | Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settlement amount. |
Impact of Variation Margin for
Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flow (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Financing activity - net payments on derivatives with a financing element | $ 31,794 | $ (76,415) | $ (48,642) |
Cleared derivatives [Member] | |||
Derivative [Line Items] | |||
Operating activity - net change in derivatives and hedging activities | 257,727 | (321,862) | (274,542) |
Financing activity - net payments on derivatives with a financing element | 69,021 | (53,832) | (41,152) |
Total variation margin received (posted) on cleared derivatives | $ 326,748 | $ (375,694) | $ (315,694) |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities Fair Value of Derivative Instruments With or Without Legal Rights of Offset (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Offsetting Assets [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | $ 374,560 | $ 151,056 |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 138,634 | 64,708 |
Derivative Assets, before netting and collateral adjustments | 3,972 | 10,182 | |
Derivative Liabilities, before netting and collateral adjustments | (177,578) | (88,770) | |
Derivative assets | 378,532 | 161,238 | |
Derivative liabilities | (38,944) | (24,062) | |
Derivative Asset, Fair value, amount offset against collateral | 378,532 | 161,238 | |
Derivative Liability, Fair value, amount offset against collateral | (10,570) | (975) | |
Derivative Liabilities, additional net exposure, collateral pledged to counterparties in excess of net liabilities | 0 | 925 | |
Unsettled CO bonds, at par [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Assets, before netting and collateral adjustments | 54 | ||
Derivative Liabilities, before netting and collateral adjustments | (30) | ||
Derivative assets | 54 | ||
Derivative liabilities | (30) | ||
Derivative Asset, Fair value, amount offset against collateral | 54 | ||
Derivative Liability, Fair value, amount offset against collateral | (30) | ||
Uncleared derivatives [Member] | Interest-rate swaps [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, total gross recognized amount | 327 | 5,215 | |
Derivative Liability, total gross recognized amount | (171,374) | (82,625) | |
Derivative Assets, Netting Adjustments and Cash Collateral | [3] | (103) | (4,899) |
Derivative liability, Netting Adjustments and Cash Collateral | [3] | 132,460 | 58,563 |
Derivative assets | 224 | 316 | |
Derivative liabilities | (38,914) | (24,062) | |
Derivative, Collateral, Obligation To Return Securities 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] | 28,374 | 23,087 |
Derivative Asset, Fair value, amount offset against collateral | 224 | 316 | |
Derivative Liability, Fair value, amount offset against collateral | (10,540) | (975) | |
Cleared derivatives [Member] | Interest-rate swaps [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, total gross recognized amount | 3,523 | 4,747 | |
Derivative Liability, total gross recognized amount | (6,175) | (6,145) | |
Derivative Assets, Netting Adjustments and Cash Collateral | [3] | 374,663 | 155,955 |
Derivative liability, Netting Adjustments and Cash Collateral | [3] | 6,175 | 6,145 |
Derivative assets | 378,186 | 160,702 | |
Derivative liabilities | 0 | 0 | |
Derivative, Collateral, Obligation To Return Securities 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 | 378,186 | 160,702 | |
Derivative Liability, Fair value, amount offset against collateral | 0 | 0 | |
Mortgage Receivable [Member] | Mortgage-delivery commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Assets, before netting and collateral adjustments | 68 | 220 | |
Derivative assets | 68 | 220 | |
Derivative Asset, Fair value, amount offset against collateral | $ 68 | $ 220 | |
[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 posted, including accrued interest, was $513.2 million and $215.8 million at December 31, 2021, and 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. | ||
[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 December 31, 2020, we had additional net credit exposure of $925 thousand due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. There was no overcollateralization at December 31, 2021 |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities Narratives (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Derivative [Line Items] | ||||
Reclassifications from accumulated other comprehensive loss into earnings as a result of the discontinuance of cash-flow hedges | $ 0 | $ 0 | $ 0 | |
Maximum length of time which we are hedging our exposure to the variability in future cash flows for forecasted transactions | 9 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 | $ 5,500,000 | |||
Aggregate fair value of all uncleared derivatives in a net-liability position (before cash collateral and related accrued interest) | 171,000,000 | |||
Post-haircut value of collateral already posted | 159,300,000 | |||
Rating Downgrade from AAPlus to AA or AAMinus [Member] | ||||
Derivative [Line Items] | ||||
Incremental collateral | [1] | 0 | ||
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] | $ 29,440,000 | ||
[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. |
Deposits Narratives (Details)
Deposits Narratives (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Deposits [Abstract] | ||
Average interest rates paid on average deposits | 0.01% | 0.10% |
Interest-bearing deposits demand and overnight | $ 831,009 | $ 975,469 |
Interest-bearing deposits other | 1,998 | 2,525 |
Non-interest bearing deposits other | 51,025 | 110,993 |
Total deposits | $ 884,032 | $ 1,088,987 |
CO Bonds Outstanding by Contrac
CO Bonds Outstanding by Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less, weighted average rate | [1] | 0.79% | 0.81% |
Due after one year through two years, weighted average rate | [1] | 1.18% | 1.35% |
Due after two years through three years, weighted average rate | [1] | 1.09% | 2.20% |
Due after three years through four years, weighted average rate | [1] | 0.88% | 2.43% |
Due after four years through five years, weighted average rate | [1] | 0.91% | 1.12% |
Thereafter, weighted average rate | [1] | 1.91% | 3.58% |
Total par value | $ 26,725,180 | $ 21,363,585 | |
Hedging adjustments | (143,388) | 61,746 | |
Total | 26,613,032 | 21,471,590 | |
COs - bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less | 6,919,220 | 10,608,465 | |
Due after one year through two years | 3,069,155 | 3,956,120 | |
Due after two years through three years | 3,514,735 | 1,569,315 | |
Due after three years through four years | 3,029,600 | 1,141,430 | |
Due after four years through five years | 5,735,605 | 1,776,100 | |
Thereafter | 4,456,865 | 2,312,155 | |
Total par value | $ 26,725,180 | $ 21,363,585 | |
Total par value, weighted average rate | [1] | 1.10% | 1.42% |
Premiums | $ 40,251 | $ 58,537 | |
Discounts | $ (9,011) | $ (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 | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Total par value | $ 26,725,180 | $ 21,363,585 |
Noncallable and nonputable | ||
Debt Instrument [Line Items] | ||
Total par value | 13,924,180 | 19,668,585 |
Callable | ||
Debt Instrument [Line Items] | ||
Total par value | $ 12,801,000 | $ 1,695,000 |
CO Bonds Outstanding by Contr_2
CO Bonds Outstanding by Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Total par value | $ 26,725,180 | $ 21,363,585 |
Earlier Of Contractual Maturity Or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Due in one year or less | 19,150,220 | 11,728,465 |
Due after one year through two years | 3,461,155 | 4,046,120 |
Due after two years through three years | 1,044,735 | 1,629,315 |
Due after three years through four years | 1,544,600 | 1,011,430 |
Due after four years through five years | 539,605 | 1,501,100 |
Thereafter | 984,865 | 1,447,155 |
Total par value | $ 26,725,180 | $ 21,363,585 |
CO Bonds by Interest Rate-Payme
CO Bonds by Interest Rate-Payment Type (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | |||
Total par value | $ 26,725,180 | $ 21,363,585 | |
Fixed-rate [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | 17,707,180 | 12,524,585 | |
Simple variable-rate [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | 4,803,000 | 8,549,000 | |
Step-up [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | [1] | $ 4,215,000 | $ 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 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 2,275,320 | $ 12,878,310 | |
Par value | $ 2,275,519 | $ 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. |
CO Bonds - Narratives (Details)
CO Bonds - Narratives (Details) - USD ($) $ in Billions | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Disclosure [Abstract] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 652.9 | $ 746.8 |
Affordable Housing Program Narr
Affordable Housing Program Narratives (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Affordable Housing Program [Line Items] | |||
Affordable Housing Program total combined contribution | $ 12,500 | $ 15,000 | |
AHP voluntary contribution | 4,761 | 1,614 | $ 0 |
Affordable Housing Program [Roll Forward] | |||
Balance at beginning of year | 78,640 | 86,131 | |
AHP expense for the period | 7,739 | 13,386 | 21,302 |
AHP voluntary contribution | 4,761 | 1,614 | 0 |
AHP direct grant disbursements | (17,980) | (21,374) | (15,723) |
AHP subsidy for AHP advance disbursements | (5,806) | (1,216) | |
Return of previously disbursed grants and subsidies | 3,149 | 99 | |
Balance at end of year | $ 70,503 | $ 78,640 | $ 86,131 |
FHLBanks [Member] | |||
Affordable Housing Program [Line Items] | |||
Affordable Housing Program Contribution Requirement, Percent | 10.00% | ||
Affordable Housing Program Contribution Requirement, Amount | $ 100,000 |
Regulatory Capital Requirements
Regulatory Capital Requirements (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
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 | $ 953,638 | $ 1,267,172 | ||
Mandatorily redeemable capital stock | 13,562 | 6,282 | $ 5,806 | $ 31,868 |
Retained earnings | 1,548,406 | 1,498,642 | ||
Total permanent capital | 2,515,606 | 2,772,096 | ||
Credit-risk capital | 84,301 | 96,143 | ||
Market-risk capital | 213,467 | 204,028 | ||
Operations-risk capital | 89,330 | 90,052 | ||
Total risk-based capital requirement | 387,098 | 390,223 | ||
Permanent capital in excess of risk-based capital requirement | 2,128,508 | 2,381,873 | ||
Regulatory capital, Required | 1,301,812 | 1,538,441 | ||
Leverage capital, Required | 1,627,265 | 1,923,052 | ||
Risk-based capital, Actual | 2,515,606 | 2,772,096 | ||
Regulatory capital, Actual | $ 2,515,606 | $ 2,772,096 | ||
Capital-to-asset ratio, Actual | 7.70% | 7.20% | ||
Leverage capital, Actual | $ 3,773,409 | $ 4,158,144 | ||
Leverage capital-to-assets ratio, Actual | 11.60% | 10.80% |
Mandatorily Redeemable Capital
Mandatorily Redeemable Capital Stock (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Mandatorily Redeemable Capital Stock [Roll Forward] | |||
Balance at beginning of year | $ 6,282 | $ 5,806 | $ 31,868 |
Capital stock subject to mandatory redemption reclassified from capital | 10,265 | 581 | 0 |
Redemption/repurchase of mandatorily redeemable capital stock | (2,985) | (105) | (26,062) |
Balance at end of year | $ 13,562 | $ 6,282 | $ 5,806 |
Number of stockholders holding mandatorily redeemable capital stock | 14 | 12 | 9 |
Mandatorily Redeemable Capita_2
Mandatorily Redeemable Capital Stock by Expiry of Redemption Notice Period (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Banking Regulation, Total Capital [Abstract] | |||||
Past redemption date | [1] | $ 3,138 | $ 5,558 | ||
Due in one year or less | 92 | 0 | |||
Due after one year through two years | 30 | 93 | |||
Due after two years through three years | 0 | 40 | |||
Due after three years through four years | 581 | 0 | |||
Due after four years through five years | 9,721 | 581 | |||
Thereafter | [2] | 0 | 10 | ||
Total | $ 13,562 | $ 6,282 | $ 5,806 | $ 31,868 | |
Member withdrawal cancellation fee | 2.00% | ||||
[1] | Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption-notice period but the member-related activity (for example, advances) remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding. | ||||
[2] | mount represents reclassifications to mandatorily redeemable capital stock resulting from an FHFA rule effective February 19, 2016, that makes captive insurance companies ineligible for membership. Captive insurance company members that were admitted as members prior to September 12, 2014, had their memberships terminated on February 19, 2021. |
Capital Narratives (Details)
Capital Narratives (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Restricted retained earnings | $ 368,420,000 | $ 368,420,000 | |
Contribution requirement - Restricted Retained Earnings | 299,500,000 | ||
Dividends on mandatorily redeemable capital stock | 192,000 | 221,000 | $ 974,000 |
Minimum repurchase of excess capital stock | 100,000 | ||
Excess capital stock | $ 32,600,000 | $ 90,800,000 | |
Excess capital stock to total capital stock outstanding, percent | 3.40% | 7.10% | |
Excess capital stock to total assets, percent | 0.10% | ||
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 | $ 10,000 | ||
Repurchase of excess capital stock held by shareholders, excess stock exceeds, amount | $ 3,000,000 | ||
Repurchase of excess capital stock held by shareholders, excess stock exceeds, percentage | 3.00% | ||
Maximum [Member] | |||
Class B Stock Purchase Requirement Amount | $ 10,000,000 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Loss (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | $ 2,781,953 | $ 3,145,312 | $ 3,607,359 | |
Noncredit losses included in basis of securities sold | 0 | 39,144 | 29,517 | |
Total other comprehensive income (loss) | 12,828 | 203,111 | 129,710 | |
Period end | 2,531,011 | 2,781,953 | 3,145,312 | |
Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2017-12 | ||||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | 0 | |||
Period end | 0 | |||
Net Unrealized Loss Relating to Hedging Activities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | (24,365) | (30,207) | (29,119) | |
Net Unrealized Gains (Losses) | (7,875) | (1,187) | (6,131) | |
Amortization - hedging activities | [1] | 5,949 | 7,029 | 5,218 |
Total other comprehensive income (loss) | (1,926) | 5,842 | (913) | |
Period end | (26,291) | (24,365) | (30,207) | |
Net Unrealized Loss Relating to Hedging Activities [Member] | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2017-12 | ||||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | (175) | |||
Period end | (175) | |||
Pension and Postretirement Benefits [Member] | ||||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | (8,064) | (6,807) | (5,276) | |
Net actuarial loss | 4,059 | (2,386) | (2,195) | |
Amortization - pension and postretirement benefits | [2] | 1,250 | 1,129 | 664 |
Total other comprehensive income (loss) | 5,309 | (1,257) | (1,531) | |
Period end | (2,755) | (8,064) | (6,807) | |
Total [Member] | ||||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | 16,139 | (186,972) | (316,507) | |
Adjustment for transfer of securities from held-to-maturity to available-for-sale | 47,564 | |||
Net Unrealized Gains (Losses) | 1,570 | 135,824 | 72,905 | |
Noncredit other-than-temporary impairment losses | (181) | |||
Noncredit losses included in basis of securities sold | 39,144 | 29,517 | ||
Accretion of noncredit loss | 5,390 | 22,806 | ||
Net actuarial loss | 4,059 | (2,386) | (2,195) | |
Noncredit other-than-temporary impairment losses reclassified to credit loss | [3] | 976 | ||
Reclassification of realized net gains included in net income | (30,583) | |||
Amortization - hedging activities | [1] | 5,949 | 7,029 | 5,218 |
Amortization - pension and postretirement benefits | [2] | 1,250 | 1,129 | 664 |
Total other comprehensive income (loss) | 12,828 | 203,111 | 129,710 | |
Period end | 28,967 | 16,139 | (186,972) | |
Total [Member] | Cumulative Effect, Period of Adoption, Adjustment | Accounting Standards Update 2017-12 | ||||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | (175) | |||
Period end | (175) | |||
Available-for-sale Securities [Member] | Net Unrealized Loss on Available-for-Sale Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | 48,568 | (73,922) | (152,958) | |
Adjustment for transfer of securities from held-to-maturity to available-for-sale | 16,062 | |||
Net Unrealized Gains (Losses) | 9,445 | 137,011 | 79,036 | |
Reclassification of realized net gains included in net income | (30,583) | |||
Total other comprehensive income (loss) | 9,445 | 122,490 | 79,036 | |
Period end | 58,013 | 48,568 | (73,922) | |
Held-to-maturity Securities [Member] | Noncredit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | ||||
Beginning of period | 0 | (76,036) | (129,154) | |
Adjustment for transfer of securities from held-to-maturity to available-for-sale | 31,502 | |||
Noncredit other-than-temporary impairment losses | (181) | |||
Noncredit losses included in basis of securities sold | 39,144 | 29,517 | ||
Accretion of noncredit loss | 5,390 | 22,806 | ||
Noncredit other-than-temporary impairment losses reclassified to credit loss | [3] | 976 | ||
Total other comprehensive income (loss) | 0 | 76,036 | 53,118 | |
Period end | $ 0 | $ 0 | $ (76,036) | |
[1] | Recorded in CO bond interest expense. | |||
[2] | Recorded in other expenses in the statement of operations | |||
[3] | Recorded in other income (loss) in the statement of operations. |
Employee Retirement Plans - Net
Employee Retirement Plans - Net Pension Cost and Funded Status (Details) - Pentegra Defined Benefit Plan [Member] - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||||
Net pension cost | $ 883 | $ 6,843 | $ 6,559 | |||
Pentegra Defined Benefit Plan funded status as of July 1 | [2] | 129.60% | [1] | 108.50% | [3] | 108.60% |
Our funded status as of July 1 | [2] | 136.40% | 110.20% | 113.90% | ||
[1] | The funded status as of July 1, 2021, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2021, through March 15, 2022. Contributions made on or before March 15, 2022, and designated for the plan year ended June 30, 2021, will be included in the final valuation as of July 1, 2021. The final funded status as of July 1, 2021, will not be available until the Form 5500 for the plan year July 1, 2021, through June 30, 2022 is filed. This Form 5500 is due to be filed no later than April 2023. | |||||
[2] | The funded status is calculated in accordance with a provision contained in the Highway and Transportation Funding Act of 2014 (HATFA), which was signed into law on August 8, 2014, and which modifies the interest rates that had been set by the Moving Ahead for Progress in the 21st Century Act (MAP-21). MAP-21, signed into law in 2012, changed the calculation of the discount rate used in measuring the pension plan liability. MAP-21 allows plan sponsors to measure the pension plan liability using a 25-year average of interest rates plus or minus a corridor. Prior to MAP-21, the discount rate used in measuring the pension plan liability was based on the 24-month average of interest rates. HATFA amended MAP-21 by extending the time period and reducing the rate at which the 25-year corridors widen. Over time, the pension funding stabilization effect of MAP-21 will decline because the 24-month smoothed segment rates and the amended 25-year corridors are likely to converge. | |||||
[3] | The funded status as of July 1, 2020, is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020, through March 15, 2021. Contributions made on or before March 15, 2021, and designated for the plan year ended June 30, 2020, will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020, will not be available until the Form 5500 for the plan year July 1, 2020, through June 30, 2021 is filed. This Form 5500 is due to be filed no later than April 2022. |
Employee Retirement Plans - Non
Employee Retirement Plans - Nonqualified Supplemental Defined Benefit and Postretirement Benefits (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||||
Supplemental Employee Retirement Plan, Defined Benefit [Member] | ||||||
Change in benefit obligation [Roll Forward] | ||||||
Benefit obligation at beginning of year | [1] | $ 28,028 | $ 26,123 | |||
Service Cost | 1,347 | [1] | 1,487 | [1] | $ 1,235 | |
Interest Cost | 407 | [1] | 551 | [1] | 699 | |
Actuarial (gain) loss | [1] | (3,960) | 3,048 | |||
Benefits paid | [1] | (137) | (138) | |||
Settlements | [1] | (5,857) | (3,043) | |||
Benefit obligation at end of year | [1] | 19,828 | 28,028 | 26,123 | ||
Change in plan assets [Roll Forward] | ||||||
Fair value of plan assets at beginning of year | 0 | 0 | ||||
Employer contribution | 5,994 | 3,181 | ||||
Benefits paid | (137) | (138) | ||||
Settlements | (5,857) | (3,043) | ||||
Fair value of plan assets at end of year | 0 | 0 | 0 | |||
Funded status at end of year | (19,828) | (28,028) | ||||
Other Postretirement Benefit Plan, Defined Benefit [Member] | ||||||
Change in benefit obligation [Roll Forward] | ||||||
Benefit obligation at beginning of year | [1] | 1,690 | 1,339 | |||
Service Cost | 45 | [1] | 44 | [1] | 38 | |
Interest Cost | 43 | [1] | 44 | [1] | 42 | |
Actuarial (gain) loss | [1] | (99) | 282 | |||
Benefits paid | [1] | (21) | (19) | |||
Settlements | [1] | 0 | 0 | |||
Benefit obligation at end of year | [1] | 1,658 | 1,690 | 1,339 | ||
Change in plan assets [Roll Forward] | ||||||
Fair value of plan assets at beginning of year | 0 | 0 | ||||
Employer contribution | 21 | 19 | ||||
Benefits paid | (21) | (19) | ||||
Settlements | 0 | 0 | ||||
Fair value of plan assets at end of year | 0 | 0 | $ 0 | |||
Funded status at end of year | $ (1,658) | $ (1,690) | ||||
[1] | Represents the projected benefit obligation for the nonqualified supplemental defined benefit retirement plan and the accumulated postretirement benefit obligation for postretirement benefits. |
Employee Retirement Plans - Amo
Employee Retirement Plans - Amounts Recognized in Accumulated Other Comprehensive Loss (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Supplemental Employee Retirement Plan, Defined Benefit [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net actuarial loss | $ 2,218 | $ 7,375 |
Other Postretirement Benefit Plan, Defined Benefit [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net actuarial loss | $ 537 | $ 689 |
Employees Retirement Plans - Co
Employees Retirement Plans - Components of net periodic benefit cost and other amounts recognized in AOCL (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |||
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | |||||
Total amount recognized in other comprehensive income | $ 5,309 | $ (1,257) | $ (1,531) | ||
Supplemental Employee Retirement Plan, Defined Benefit [Member] | |||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||
Service Cost | 1,347 | [1] | 1,487 | [1] | 1,235 |
Interest Cost | 407 | [1] | 551 | [1] | 699 |
Amortization of prior service cost | 0 | 79 | 86 | ||
Amortization of net actuarial loss | 543 | 1,020 | 571 | ||
Curtailment charge | 0 | 69 | 0 | ||
Settlement charge | 655 | 875 | 0 | ||
Net periodic benefit cost | 2,952 | 4,081 | 2,591 | ||
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | |||||
Amortization of prior service cost | 0 | (79) | (86) | ||
Amortization of net actuarial loss | (543) | (1,020) | (571) | ||
Net actuarial (gain) loss | (3,960) | 3,048 | 1,874 | ||
Curtailment charge | 0 | (69) | 0 | ||
Settlement charge | (655) | (875) | 0 | ||
Total amount recognized in other comprehensive income | (5,158) | 1,005 | 1,217 | ||
Total amount recognized in net periodic benefit cost and other comprehensive income | (2,206) | 5,086 | 3,808 | ||
Other Postretirement Benefit Plan, Defined Benefit [Member] | |||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||
Service Cost | 45 | [1] | 44 | [1] | 38 |
Interest Cost | 43 | [1] | 44 | [1] | 42 |
Amortization of prior service cost | 0 | 0 | 0 | ||
Amortization of net actuarial loss | 52 | 30 | 7 | ||
Curtailment charge | 0 | 0 | 0 | ||
Settlement charge | 0 | 0 | 0 | ||
Net periodic benefit cost | 140 | 118 | 87 | ||
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | |||||
Amortization of prior service cost | 0 | 0 | 0 | ||
Amortization of net actuarial loss | (52) | (30) | (7) | ||
Net actuarial (gain) loss | (99) | 282 | 321 | ||
Curtailment charge | 0 | 0 | 0 | ||
Settlement charge | 0 | 0 | 0 | ||
Total amount recognized in other comprehensive income | (151) | 252 | 314 | ||
Total amount recognized in net periodic benefit cost and other comprehensive income | $ (11) | $ 370 | $ 401 | ||
[1] | Represents the projected benefit obligation for the nonqualified supplemental defined benefit retirement plan and the accumulated postretirement benefit obligation for postretirement benefits. |
Employee Retirement Plans - Key
Employee Retirement Plans - Key Assumptions used for actuarial calculations (Details) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Benefit Obligation [Abstract] | ||
Salary increases | 5.50% | 5.50% |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Net Periodic Benefit Cost [Abstract] | ||
Salary increases | 5.50% | 5.50% |
Supplemental Employee Retirement Plan, Defined Benefit [Member] | ||
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Benefit Obligation [Abstract] | ||
Discount rate | 2.32% | 1.73% |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Net Periodic Benefit Cost [Abstract] | ||
Discount rate | 1.73% | 1.74% |
Other Postretirement Benefit Plan, Defined Benefit [Member] | ||
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Benefit Obligation [Abstract] | ||
Discount rate | 2.85% | 2.55% |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Net Periodic Benefit Cost [Abstract] | ||
Discount rate | 2.55% | 3.25% |
Employee Retirement Plans - Exp
Employee Retirement Plans - Expected future benefit payments (Details) $ in Thousands | Dec. 31, 2021USD ($) |
Supplemental Employee Retirement Plan, Defined Benefit [Member] | |
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |
2022 | $ 1,639 |
2023 | 2,615 |
2024 | 1,572 |
2025 | 5,675 |
2026 | 2,595 |
2027-2031 | 1,762 |
Other Postretirement Benefit Plan, Defined Benefit [Member] | |
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |
2022 | 23 |
2023 | 25 |
2024 | 28 |
2025 | 30 |
2026 | 32 |
2027-2031 | $ 202 |
Employee Retirement Plans - Nar
Employee Retirement Plans - Narratives (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Defined Benefit Plan Disclosure [Line Items] | |||
Entity Tax Identification Number | 04-6002575 | ||
Multiemployer Plans, Pension [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Multiemployer Plan Number | 333 | ||
Supplemental Employee Retirement Plan, Defined Benefit [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Accumulated Benefit Obligation | $ 19,700 | $ 25,300 | |
Pentegra Defined Benefit Plan, Voluntary Contribution [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Voluntary employer contributions to Pentegra Defined Benefit Plan | 0 | 6,000 | $ 6,000 |
Thrift Benefit Equalization Plan [Member] | Nonqualified Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Deferred Compensation Arrangement with Individual, Recorded Liability | $ 13,500 | $ 14,100 | |
Pentegra Defined Benefit Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Entity Tax Identification Number | 13-5645888 |
Fair Values Carrying Value and
Fair Values Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | $ 204,993 | $ 2,050,028 | |||
Trading securities | 501,867 | 3,605,079 | |||
Available-for-sale securities Fair Value | 12,895,987 | 6,220,148 | |||
Held-to-Maturity Securities Carrying Value | [1] | 145,492 | 207,162 | ||
Held-to-maturity fair value | 148,068 | 211,837 | |||
Accrued interest receivable | 68,360 | 87,582 | |||
Derivative assets | 378,532 | 161,238 | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [2],[3] | 374,560 | 151,056 | ||
Mandatorily redeemable capital stock | (13,562) | (6,282) | $ (5,806) | $ (31,868) | |
Accrued interest payable | (60,968) | (61,918) | |||
Derivative liabilities | (38,944) | (24,062) | |||
Derivative liability, Netting Adjustments and Cash Collateral | [2],[3] | 138,634 | 64,708 | ||
Level 1 [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | 204,993 | 2,050,028 | |||
Interest-bearing deposits | 85,153 | 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] | 13,937 | 14,296 | ||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock | (13,562) | (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 | 799,998 | 749,995 | |||
Federal funds sold | 1,943,998 | 2,259,988 | |||
Trading securities | [4] | 501,867 | 3,605,079 | ||
Available-for-sale securities Fair Value | [4] | 12,833,722 | 6,097,599 | ||
Held-to-maturity fair value | 148,068 | 211,837 | |||
Advances | 12,440,985 | 19,119,220 | |||
Mortgage loans, net | 3,204,222 | 4,086,757 | |||
Accrued interest receivable | 68,360 | 87,582 | |||
Derivative assets | [4] | 3,972 | 10,182 | ||
Other assets | [4] | 18,633 | 20,064 | ||
Deposits | (884,029) | (1,088,981) | |||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued interest payable | (60,968) | (61,918) | |||
Derivative liabilities | [4] | (177,578) | (88,770) | ||
Level 2 [Member] | Commitments to make additional advances [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Other | (6,196) | (5,306) | |||
Level 2 [Member] | Standby Letters of Credit [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Other | (1,146) | (1,303) | |||
Level 2 [Member] | COs - Discount notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
CO Discount notes | (2,275,276) | (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] | 62,265 | 122,549 | ||
Held-to-maturity fair value | 0 | 0 | |||
Advances | 0 | 0 | |||
Mortgage loans, net | 30,607 | 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 | 204,993 | 2,050,028 | |||
Interest-bearing deposits | 85,153 | 299,149 | |||
Securities purchased under agreements to resell | 800,000 | 750,000 | |||
Federal funds sold | 1,944,000 | 2,260,000 | |||
Trading securities | [4] | 501,867 | 3,605,079 | ||
Available-for-sale securities Fair Value | [4] | 12,895,987 | 6,220,148 | ||
Held-to-Maturity Securities Carrying Value | 145,492 | 207,162 | |||
Advances | 12,340,020 | 18,817,002 | |||
Mortgage loans, net | 3,120,159 | 3,930,252 | |||
Accrued interest receivable | 68,360 | 87,582 | |||
Derivative assets | [4] | 378,532 | 161,238 | ||
Other assets | [4] | 32,570 | 34,360 | ||
Deposits | (884,032) | (1,088,987) | |||
Mandatorily redeemable capital stock | (13,562) | (6,282) | |||
Accrued interest payable | (60,968) | (61,918) | |||
Derivative liabilities | [4] | (38,944) | (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 | (1,146) | (1,303) | |||
Carrying Value [Member] | COs - Discount notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
CO Discount notes | (2,275,320) | (12,878,310) | |||
Total Fair Value [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and due from banks | 204,993 | 2,050,028 | |||
Interest-bearing deposits | 85,153 | 299,149 | |||
Securities purchased under agreements to resell | 799,998 | 749,995 | |||
Federal funds sold | 1,943,998 | 2,259,988 | |||
Trading securities | [4] | 501,867 | 3,605,079 | ||
Available-for-sale securities Fair Value | [4] | 12,895,987 | 6,220,148 | ||
Held-to-maturity fair value | 148,068 | 211,837 | |||
Advances | 12,440,985 | 19,119,220 | |||
Mortgage loans, net | 3,234,829 | 4,136,004 | |||
Accrued interest receivable | 68,360 | 87,582 | |||
Derivative assets | [4] | 378,532 | 161,238 | ||
Other assets | [4] | 32,570 | 34,360 | ||
Deposits | (884,029) | (1,088,981) | |||
Mandatorily redeemable capital stock | (13,562) | (6,282) | |||
Accrued interest payable | (60,968) | (61,918) | |||
Derivative liabilities | [4] | (38,944) | (24,062) | ||
Total Fair Value [Member] | Commitments to make additional advances [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Other | (6,196) | (5,306) | |||
Total Fair Value [Member] | Standby Letters of Credit [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Other | (1,146) | (1,303) | |||
Total Fair Value [Member] | COs - Discount notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
CO Discount notes | (2,275,276) | (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 | (26,882,036) | (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 | (26,613,032) | (21,471,590) | |||
COs - bonds [Member] | Total Fair Value [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
CO Bonds | $ (26,882,036) | $ (22,062,476) | |||
[1] | Fair values of held-to-maturity securities were $148,068 and $211,837 at December 31, 2021 and 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 posted, including accrued interest, was $513.2 million and $215.8 million at December 31, 2021, and 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. | ||||
[3] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||||
[4] | Carried at fair value and measured on a recurring basis. |
Fair Value of Assets and Liabil
Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | $ 501,867 | $ 3,605,079 | |
Available-for-sale securities Fair Value | 12,895,987 | 6,220,148 | |
Derivative assets | 378,532 | 161,238 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | 374,560 | 151,056 |
Derivative liabilities | (38,944) | (24,062) | |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 138,634 | 64,708 |
Unsettled CO bonds, at par [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 54 | ||
Derivative liabilities | (30) | ||
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] | 13,937 | 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] | 501,867 | 3,605,079 |
Available-for-sale securities Fair Value | [3] | 12,833,722 | 6,097,599 |
Derivative assets | [3] | 3,972 | 10,182 |
Other assets | [3] | 18,633 | 20,064 |
Mortgage loans held for portfolio | 3,204,222 | 4,086,757 | |
Derivative liabilities | [3] | (177,578) | (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] | 62,265 | 122,549 |
Derivative assets | [3] | 0 | 0 |
Other assets | [3] | 0 | 0 |
Mortgage loans held for portfolio | 30,607 | 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] | 374,560 | 151,056 |
Derivative liability, Netting Adjustments and Cash Collateral | [4] | 138,634 | 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] | 374,560 | 151,056 |
Derivative liability, Netting Adjustments and Cash Collateral | [4] | 138,634 | 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 | 13,937 | 14,296 | |
Total assets carried at fair value | 13,937 | 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] | Unsettled CO bonds, at par [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | ||
Derivative liabilities | 0 | ||
Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 501,867 | 3,605,079 | |
Available-for-sale securities Fair Value | 12,833,722 | 6,097,599 | |
Derivative assets | 3,972 | 10,182 | |
Other assets | 18,633 | 20,064 | |
Total assets carried at fair value | 13,358,194 | 9,732,924 | |
Total liabilities carried at fair value | (177,578) | (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 | 3,850 | 9,962 | |
Derivative liabilities | (177,548) | (88,770) | |
Recurring [Member] | Level 2 [Member] | Unsettled CO bonds, at par [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 54 | ||
Derivative liabilities | (30) | ||
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 | 62,265 | 122,549 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets carried at fair value | 62,265 | 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] | Unsettled CO bonds, at par [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | ||
Derivative liabilities | 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 | 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 | 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] | 3,919 | 11,027 |
Mortgage loans held for portfolio | [5] | 3,860 | 10,782 |
REO | [5] | 59 | 245 |
Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 501,867 | 3,605,079 |
Available-for-sale securities Fair Value | [3] | 12,895,987 | 6,220,148 |
Derivative assets | [3] | 378,532 | 161,238 |
Other assets | [3] | 32,570 | 34,360 |
Mortgage loans held for portfolio | 3,234,829 | 4,136,004 | |
Derivative liabilities | [3] | (38,944) | (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 | 501,867 | 3,605,079 | |
Available-for-sale securities Fair Value | 12,895,987 | 6,220,148 | |
Derivative assets | 378,532 | 161,238 | |
Other assets | 32,570 | 34,360 | |
Total assets carried at fair value | 13,808,956 | 10,020,825 | |
Total liabilities carried at fair value | (38,944) | (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 | 378,410 | 161,018 | |
Derivative liabilities | (38,914) | (24,062) | |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | Unsettled CO bonds, at par [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 54 | ||
Derivative liabilities | (30) | ||
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] | 3,919 | 11,027 |
Mortgage loans held for portfolio | [5] | 3,860 | 10,782 |
REO | [5] | 59 | 245 |
Corporate bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 1,442 | 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 | 1,442 | 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 | 1,442 | 5,422 | |
US Treasury Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 500,425 | 3,596,718 | |
Available-for-sale securities Fair Value | 5,084,546 | ||
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 | 500,425 | 3,596,718 | |
Available-for-sale securities Fair Value | 5,084,546 | ||
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 | 500,425 | 3,596,718 | |
Available-for-sale securities Fair Value | 5,084,546 | ||
U.S. government guaranteed - single-family MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 2,884 | |
Available-for-sale securities Fair Value | 21,535 | 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 | ||
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 | 2,884 | ||
Available-for-sale securities Fair Value | 21,535 | 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 | ||
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 | 2,884 | ||
Available-for-sale securities Fair Value | 21,535 | 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 | 541,405 | 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 | 541,405 | 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 | 541,405 | 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 | |
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 | 68 | 220 | |
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 | |
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 | 68 | 220 | |
HFA securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 62,265 | 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 | 62,265 | 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 | 62,265 | 122,549 | |
Supranational institutions [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 403,765 | 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 | 403,765 | 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 | 403,765 | 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 | 306,864 | 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 | 306,864 | 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 | 306,864 | 322,061 | |
GSE [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 126,472 | 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 | 126,472 | 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 | 126,472 | 134,992 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 55 | |
Available-for-sale securities Fair Value | 1,103,714 | 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 | ||
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 | 55 | ||
Available-for-sale securities Fair Value | 1,103,714 | 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 | ||
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 | 55 | ||
Available-for-sale securities Fair Value | 1,103,714 | 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 | 5,245,421 | 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 | 5,245,421 | 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 | $ 5,245,421 | $ 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 posted, including accrued interest, was $513.2 million and $215.8 million at December 31, 2021, and 2020, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. | ||
[2] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[3] | Carried at fair value and measured on a recurring basis. | ||
[4] | These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. | ||
[5] | We measure certain mortgage loans held for portfolio and REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances. The fair values presented are as of the date the fair value adjustment was recorded. |
Estimated Fair Value Level 3 Re
Estimated Fair Value Level 3 Reconciliation - Roll Forward (Details) - Level 3 [Member] - Recurring [Member] - Available-for-sale Securities [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
HFA securities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance at beginning of year | $ 122,549 | $ 64,652 | $ 49,601 |
Transfer of securities from held-to-maturity to available-for-sale | 0 | 71,240 | 0 |
Net gains on sale | 0 | 0 | 0 |
Reduction of provision for credit losses | 0 | 0 | 0 |
Accretion | 0 | 0 | 0 |
Net unrealized gains (losses) | 3,316 | 6,517 | 1,231 |
Purchases | 0 | 0 | 13,820 |
Sales | 0 | 0 | 0 |
Maturities | (61,320) | (18,685) | 0 |
Settlements | (2,280) | (1,175) | 0 |
Balance at end of year | 62,265 | 122,549 | 64,652 |
Total amount of unrealized gains (losses) for the period included in other comprehensive income relating to securities held at period end | 124 | 5,823 | 1,231 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance at beginning of year | $ 0 | 0 | |
Transfer of securities from held-to-maturity to available-for-sale | 180,514 | ||
Net gains on sale | 30,583 | ||
Reduction of provision for credit losses | 269 | ||
Accretion | 353 | ||
Net unrealized gains (losses) | (22,203) | ||
Purchases | 0 | ||
Sales | (187,366) | ||
Maturities | 0 | ||
Settlements | (2,150) | ||
Balance at end of year | 0 | $ 0 | |
Total amount of unrealized gains (losses) for the period included in other comprehensive income relating to securities held at period end | $ 0 |
Off-Balance Sheet Commitments (
Off-Balance Sheet Commitments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | ||
Loss Contingencies [Line Items] | |||
Value of the guarantees related to standby letters of credit | $ 57,920 | $ 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 | $ 623,900,000 | 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] | $ 5,369,701 | 6,190,479 |
Off-balance-sheet Commitments Expiring After One Year | [1],[2] | 132,096 | 233,771 |
Total Off-balance Sheet Commitments | [1],[2] | 5,501,797 | 6,424,250 |
Value of the guarantees related to standby letters of credit | 1,100 | 1,300 | |
Commitments of unused lines of credit - advances [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2],[3] | 1,095,844 | 1,127,432 |
Off-balance-sheet Commitments Expiring After One Year | [2],[3] | 0 | 0 |
Total Off-balance Sheet Commitments | [2],[3] | $ 1,095,844 | 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] | $ 40,917 | 69,684 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 66,318 | 93,465 |
Total Off-balance Sheet Commitments | [2] | 107,235 | 163,149 |
Unsettled CO bonds, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 260,000 | 0 | |
Off-balance-sheet Commitments Expiring After One Year | 0 | 0 | |
Total Off-balance Sheet Commitments | 260,000 | 0 | |
Unsettled CO discount notes, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 0 | 250,000 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | 0 | 250,000 |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 16,100 | 37,100 | |
Off-balance-sheet Commitments Expiring After One Year | 125 | 25 | |
Mortgage Receivable [Member] | Commitments to invest in mortgage loans [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 3,164 | 28,386 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | $ 3,164 | $ 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 December 31, 2021 and 2020, these amounts totaled $16.1 million and $37.1 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $125 thousand and $25 thousand at December 31, 2021 and 2020, respectively. | ||
[2] | We have determined that it is unnecessary to record any liability for credit losses on these agreements. | ||
[3] | Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. |
Transactions with Shareholder_2
Transactions with Shareholders (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Transactions with Shareholders [Line Items] | ||
Capital Stock Outstanding | $ 953,638 | $ 1,267,172 |
Par Value of Advances | 12,347,705 | 18,704,512 |
Total Accrued Interest Receivable | 68,360 | 87,582 |
Directors' Financial Institutions [Member] | ||
Transactions with Shareholders [Line Items] | ||
Capital Stock Outstanding | $ 48,104 | $ 60,624 |
Percent of Total Capital Stock | 5.00% | 4.80% |
Par Value of Advances | $ 416,542 | $ 582,765 |
Percentage of Total Par Value of Advances | 3.40% | 3.10% |
Total Accrued Interest Receivable | $ 466 | $ 651 |
Percent of Total Accrued Interest Receivable on Advances | 2.80% | 2.50% |
Minimum [Member] | ||
Transactions with Shareholders [Line Items] | ||
Definition of related party, minimum percent | 10.00% | |
Definition of shareholder concentration, minimum percent | 10.00% |
Transactions with Other FHLBa_2
Transactions with Other FHLBanks (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Transactions with Other FHLBanks [Line Items] | |||
Bonds transferred to other FHLBanks - par amount | $ 171,200 | $ 985,100 | $ 10,000 |
Bonds transferred to other FHLBanks at fair value | 173,984 | 1,005,990 | 12,697 |
FHLBanks [Member] | |||
Transactions with Other FHLBanks [Line Items] | |||
Interest Income on loans to other FHLBanks | 0 | 48 | 25 |
Interest expense for loans from other FHLBanks | 0 | 218 | 20 |
Federal Home Loan Bank of Chicago [Member] | |||
Transactions with Other FHLBanks [Line Items] | |||
MPF transaction-services fee expense | 2,400 | 2,900 | 2,800 |
MPF membership fee expense | 600 | 600 | $ 600 |
Performance Fee | $ 125 | $ 50 |
Subsequent Events (Details)
Subsequent Events (Details) - Common Class B [Member] - Subsequent Event [Member] - USD ($) $ in Millions | Mar. 02, 2022 | Feb. 18, 2022 |
Subsequent Event [Line Items] | ||
Annualized rate of cash dividend | 2.05% | |
Dividend, including dividends on mandatorily redeemable capital stock | $ 5.2 |