Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2015 | Oct. 31, 2015 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | Federal Home Loan Bank of Atlanta | |
Entity Central Index Key | 1,331,465 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2015 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q3 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 43,194,830 |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Assets | ||
Cash and due from banks | $ 1,287 | $ 915 |
Interest-bearing deposits (includes deposits with another FHLBank of $5 and $2 as of September 30, 2015 and December 31, 2014, respectively) | 1,140 | 1,010 |
Securities purchased under agreements to resell | 2,500 | 1,960 |
Federal funds sold | 4,840 | 6,385 |
Investment securities: | ||
Trading securities (includes another FHLBank’s bond of $54 and $60 as of September 30, 2015 and December 31, 2014, respectively) | 1,228 | 1,269 |
Available-for-sale securities | 1,730 | 1,981 |
Held-to-maturity securities (fair value of $23,338 and $23,988 as of September 30, 2015 and December 31, 2014, respectively) | 23,224 | 23,897 |
Total investment securities | 26,182 | 27,147 |
Advances | 87,762 | 99,644 |
Mortgage loans held for portfolio, net: | ||
Mortgage loans held for portfolio | 621 | 749 |
Allowance for credit losses on mortgage loans | (3) | (3) |
Total mortgage loans held for portfolio, net | 618 | 746 |
Accrued interest receivable | 170 | 179 |
Derivative assets | 201 | 112 |
Premises and equipment, net | 24 | 27 |
Other assets | 190 | 219 |
Total assets | 124,914 | 138,344 |
Liabilities | ||
Interest-bearing deposits | 1,173 | 1,110 |
Consolidated obligations, net: | ||
Discount notes | 41,867 | 37,162 |
Bonds | 74,965 | 92,088 |
Total consolidated obligations, net | 116,832 | 129,250 |
Mandatorily redeemable capital stock | 17 | 19 |
Accrued interest payable | 213 | 145 |
Affordable Housing Program payable | 60 | 65 |
Derivative liabilities | 132 | 184 |
Other liabilities | 204 | 580 |
Total liabilities | $ 118,631 | $ 131,353 |
Commitments and contingencies (Note 15) | ||
Capital | ||
Total capital stock Class B putable | $ 4,388 | $ 5,150 |
Retained earnings: | ||
Restricted | 241 | 195 |
Unrestricted | 1,583 | 1,551 |
Total retained earnings | 1,824 | 1,746 |
Accumulated other comprehensive income | 71 | 95 |
Total capital | 6,283 | 6,991 |
Total liabilities and capital | 124,914 | 138,344 |
Subclass B1 [Member] | ||
Capital | ||
Total capital stock Class B putable | 746 | 726 |
Subclass B2 [Member] | ||
Capital | ||
Total capital stock Class B putable | $ 3,642 | $ 4,424 |
Statements of Condition (Unaud3
Statements of Condition (Unaudited) (Parenthetical) - USD ($) shares in Millions, $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Deposits with other FHLBanks | $ 5 | $ 2 |
Other FHLBank's bonds | 54 | 60 |
Held-to-maturity securities, fair value | 23,338 | 23,988 |
Loans from other FHLBanks | $ 0 | $ 0 |
Capital stock Class B putable par value (per share) | $ 100 | $ 100 |
Subclass B1 [Member] | ||
Capital stock, shares issued | 8 | 7 |
Capital stock, shares outstanding | 8 | 7 |
Subclass B2 [Member] | ||
Capital stock, shares issued | 36 | 45 |
Capital stock, shares outstanding | 36 | 45 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Interest income | ||||
Advances | $ 70 | $ 11 | $ 51 | $ 119 |
Prepayment fees, net | 2 | 0 | 3 | 1 |
Interest-bearing deposits | 1 | 1 | 3 | 3 |
Securities purchased under agreements to resell | 1 | 1 | 3 | 1 |
Federal funds sold | 3 | 2 | 8 | 6 |
Trading securities | 17 | 19 | 51 | 57 |
Available-for-sale securities | 26 | 30 | 82 | 93 |
Held-to-maturity securities | 57 | 58 | 175 | 180 |
Mortgage loans | 9 | 12 | 30 | 38 |
Total interest income | 186 | 134 | 406 | 498 |
Interest expense | ||||
Consolidated obligation discount notes | 15 | 8 | 33 | 22 |
Consolidated obligation bonds | 75 | 80 | 221 | 247 |
Mandatorily redeemable capital stock | 1 | 0 | 1 | 1 |
Total interest expense | 91 | 88 | 255 | 270 |
Net interest income | 95 | 46 | 151 | 228 |
Provision (reversal) for credit losses | 1 | (2) | 0 | (4) |
Net interest income after provision (reversal) for credit losses | 94 | 48 | 151 | 232 |
Noninterest income (loss) | ||||
Total other-than-temporary impairment losses | 0 | 0 | 0 | 0 |
Net amount of impairment losses reclassified from accumulated other comprehensive income | (1) | (2) | (5) | (3) |
Net impairment losses recognized in earnings | (1) | (2) | (5) | (3) |
Net losses on trading securities | (15) | (19) | (42) | (46) |
Net gains on derivatives and hedging activities | 16 | 77 | 228 | 108 |
Gain on extinguishment of debt | 0 | 0 | 0 | 15 |
Letters of credit fees | 7 | 7 | 21 | 20 |
Gain on litigation settlements, net | 0 | 4 | 0 | 4 |
Other | 0 | 0 | 1 | 2 |
Total noninterest income | 7 | 67 | 203 | 100 |
Noninterest expense | ||||
Compensation and benefits | 19 | 19 | 55 | 53 |
Other operating expenses | 10 | 10 | 28 | 29 |
Finance Agency | 2 | 2 | 6 | 7 |
Office of Finance | 1 | 1 | 4 | 4 |
Other | 1 | 0 | 5 | 2 |
Total noninterest expense | 33 | 32 | 98 | 95 |
Income before assessments | 68 | 83 | 256 | 237 |
Affordable Housing Program assessments | 7 | 9 | 26 | 24 |
Net income | $ 61 | $ 74 | $ 230 | $ 213 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 61 | $ 74 | $ 230 | $ 213 |
Net noncredit portion of other-than-temporary impairment losses on available-for-sale securities: | ||||
Net change in fair value on other-than-temporarily impaired available-for-sale securities | (8) | (5) | (31) | 11 |
Reclassification of noncredit portion of impairment losses included in net income | 1 | 2 | 5 | 3 |
Net noncredit portion of other-than-temporary impairment losses on available-for-sale securities | (7) | (3) | (26) | 14 |
Other comprehensive income related to pension and postretirement benefit plans | 1 | 0 | 2 | 1 |
Total other comprehensive (loss) income | (6) | (3) | (24) | 15 |
Total comprehensive income | $ 55 | $ 71 | $ 206 | $ 228 |
Statements of Stockholders' Equ
Statements of Stockholders' Equity (Unaudited) - USD ($) shares in Millions, $ in Millions | Total | Capital Stock Class B Putable [Member] | Retained Earnings | Retained Earnings, Restricted [Member] | Retained Earnings, Unrestricted [Member] | Accumulated Other Comprehensive Income [Member] |
Beginning balance (shares) at Dec. 31, 2013 | 49 | |||||
Beginning balance at Dec. 31, 2013 | $ 6,652 | $ 4,883 | $ 1,657 | $ 141 | $ 1,516 | $ 112 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock (shares) | 34 | |||||
Issuance of capital stock | 3,415 | $ 3,415 | ||||
Repurchase/redemption of capital stock (shares) | (37) | |||||
Repurchase/redemption of capital stock | (3,640) | $ (3,640) | ||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Net shares reclassified to mandatorily redeemable capital stock | (4) | $ (4) | ||||
Comprehensive income (loss) | 228 | 213 | 43 | 170 | 15 | |
Cash dividends on capital stock | (131) | (131) | 0 | (131) | ||
Ending balance (shares) at Sep. 30, 2014 | 46 | |||||
Ending balance at Sep. 30, 2014 | 6,520 | $ 4,654 | 1,739 | 184 | 1,555 | 127 |
Beginning balance (shares) at Dec. 31, 2014 | 52 | |||||
Beginning balance at Dec. 31, 2014 | 6,991 | $ 5,150 | 1,746 | 195 | 1,551 | 95 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock (shares) | 38 | |||||
Issuance of capital stock | 3,845 | $ 3,845 | ||||
Repurchase/redemption of capital stock (shares) | (46) | |||||
Repurchase/redemption of capital stock | (4,596) | $ (4,596) | ||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Net shares reclassified to mandatorily redeemable capital stock | (11) | $ (11) | ||||
Comprehensive income (loss) | 206 | 230 | 46 | 184 | (24) | |
Cash dividends on capital stock | (152) | (152) | 0 | (152) | ||
Ending balance (shares) at Sep. 30, 2015 | 44 | |||||
Ending balance at Sep. 30, 2015 | $ 6,283 | $ 4,388 | $ 1,824 | $ 241 | $ 1,583 | $ 71 |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Operating activities | ||
Net income | $ 230 | $ 213 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Depreciation and amortization | (150) | (87) |
Provision (reversal) for credit losses | 0 | (4) |
Loss due to change in net fair value adjustment on derivative and hedging activities | 53 | 60 |
Net change in fair value adjustment on trading securities | 42 | 46 |
Net impairment losses recognized in earnings | 5 | 3 |
Gain on extinguishment of debt | 0 | (15) |
Net change in: | ||
Accrued interest receivable | 9 | 15 |
Other assets | 26 | 41 |
Affordable Housing Program payable | (7) | (7) |
Accrued interest payable | 68 | 19 |
Other liabilities | (28) | (37) |
Total adjustments | 18 | 34 |
Net cash provided by operating activities | 248 | 247 |
Investing activities | ||
Interest-bearing deposits | (33) | 224 |
Securities purchased under agreements to resell | (540) | (455) |
Federal funds sold | 1,545 | (2,300) |
Trading securities: | ||
Proceeds from principal collected | 0 | 200 |
Available-for-sale securities: | ||
Proceeds from principal collected | 250 | 261 |
Held-to-maturity securities: | ||
Proceeds from principal collected | 4,785 | 2,091 |
Purchases of long-term | (4,460) | (3,022) |
Advances: | ||
Proceeds from principal collected | 181,439 | 131,994 |
Made | (169,612) | (131,197) |
Mortgage loans: | ||
Proceeds from principal collected | 116 | 119 |
Proceeds from sale of foreclosed assets | 12 | 19 |
Purchase of premises, equipment, and software | (2) | (3) |
Net cash provided by (used in) investing activities | 13,500 | (2,069) |
Financing activities | ||
Interest-bearing deposits | 99 | (491) |
Net payments on derivatives containing a financing element | (70) | (72) |
Proceeds from issuance of consolidated obligations: | ||
Discount notes | 511,053 | 353,473 |
Bonds | 54,630 | 64,255 |
Payments for debt issuance costs | (7) | (7) |
Payments for maturing and retiring consolidated obligations: | ||
Discount notes | (506,358) | (359,620) |
Bonds | (71,807) | (55,339) |
Proceeds from issuance of capital stock | 3,845 | 3,415 |
Payments for repurchase/redemption of capital stock | (4,596) | (3,640) |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (13) | (9) |
Cash dividends paid | (152) | (131) |
Net cash (used in) provided by financing activities | (13,376) | 1,834 |
Net increase in cash and due from banks | 372 | 12 |
Cash and due from banks at beginning of the period | 915 | 4,374 |
Cash and due from banks at end of the period | 1,287 | 4,386 |
Cash paid for: | ||
Interest | 182 | 261 |
Affordable Housing Program assessments, net | 31 | 31 |
Noncash investing and financing activities: | ||
Net shares reclassified to mandatorily redeemable capital stock | 11 | 4 |
Held-to-maturity securities acquired with accrued liabilities | 0 | 282 |
Transfers of mortgage loans to real estate owned | $ 11 | $ 15 |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Basis of Presentation The accompanying unaudited interim financial statements of the Federal Home Loan Bank of Atlanta (Bank) have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). To prepare the financial statements in conformity with GAAP, management must make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and income and expenses during the reporting period. Actual results could be different from these estimates. The foregoing interim financial statements are unaudited; however, in the opinion of management, all adjustments, consisting only of normal recurring adjustments necessary for a fair statement of the results for the interim periods, have been included. The results of operations for interim periods are not necessarily indicative of results to be expected for the year ending December 31, 2015 , or for other interim periods. The unaudited interim financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2014 , which are contained in the Bank’s 2014 Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC) on March 13, 2015 (Form 10-K). The Bank has certain financial instruments, including derivative instruments and securities purchased under agreements to resell, that are subject to offset under master netting arrangements or by operation of law. Additional information regarding derivative instruments is provided in Note 13 — Derivatives and Hedging Activities to the Bank’s interim financial statements. The Bank does not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. Based on the fair value of the related securities held as collateral, the securities purchased under agreements to resell were fully collateralized for the periods presented. A description of the Bank’s significant accounting policies is included in Note 2 — Summary of Significant Accounting Policies to the 2014 audited financial statements contained in the Bank’s Form 10-K. |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 9 Months Ended |
Sep. 30, 2015 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued And Adopted Accounting Guidance | Recently Issued and Adopted Accounting Guidance Recently Issued Accounting Guidance Simplifying the Presentation of Debt Issuance Costs. In April 2015, the Financial Accounting Standards Board (FASB) issued guidance that requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted. The amended guidance will be applied on a retrospective basis. The adoption of this guidance is not expected to have a material effect on the Bank's financial condition or results of operations. Amendments to the Consolidation Analysis. In February 2015, the FASB issued amended guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance places more emphasis on risk of loss when determining a controlling financial interest. The guidance also reduces the frequency of the application of related-party guidance when determining a controlling financial interest in a variable interest entity. This guidance becomes effective for the Bank for the interim and annual periods ending after December 15, 2015, and early adoption is permitted. The adoption of this guidance is not expected to affect the Bank's financial condition or results of operations. Simplifying Income Statement Presentation by Eliminating the Concept of Extraordinary Items . In January 2015, the FASB issued amended guidance which eliminates the concept of extraordinary items from GAAP. The amended guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2015. A reporting entity may apply the amended guidance prospectively or retrospectively to all prior periods presented in the financial statements. Early adoption is permitted, provided that the amended guidance is applied from the beginning of the fiscal year of adoption. The adoption of this guidance will have no effect on the Bank’s financial condition or results of operations. Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern. In August 2014, the FASB issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosure. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued. The guidance becomes effective for the Bank for the interim and annual periods ending after December 15, 2016, and early application is permitted. The adoption of this guidance will have no effect on the Bank's financial condition or results of operations. Revenue from Contracts with Customers . In May 2014, the FASB issued guidance on the recognition of revenue from contracts with customers. The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. This guidance is effective for public entities for annual reporting periods beginning after December 15, 2016, including interim periods within that reporting period, and will be applied retrospectively either to each prior reporting period or with a cumulative effect recognized at the date of initial application. In August 2015, the FASB issued amended guidance which deferred the effective date of the revenue recognition standard by one year, which makes the standard effective for annual reporting periods beginning after December 15, 2017, including interim periods within that reporting period. The Bank is in the process of evaluating this guidance and its effects on the Bank’s financial condition and results of operations has not yet been determined. Recently Adopted Accounting Guidance Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure. In August 2014, the FASB issued amended guidance related to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. The Bank adopted this guidance prospectively on January 1, 2015. The adoption of this guidance did not have a material effect on the Bank’s financial condition or results of operations. Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures . In June 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. The Bank adopted this guidance effective January 1, 2015. The adoption of this guidance had no effect on the Bank’s financial condition or results of operations. Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. In January 2014, the FASB issued guidance intended to clarify when a creditor should be considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan such that the loan should be derecognized and the real estate recognized. The guidance clarifies that an in-substance repossession or foreclosure occurs, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, upon either: (a) the creditor obtaining legal title to the residential real estate property upon completion of a foreclosure; or (b) the borrower conveying all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The Bank adopted this guidance prospectively on January 1, 2015. The adoption of this guidance did not have a material effect on the Bank’s financial condition or results of operations. |
Trading Securities
Trading Securities | 9 Months Ended |
Sep. 30, 2015 | |
Trading Securities [Abstract] | |
Trading Securities | Trading Securities Major Security Types. Trading securities were as follows: As of September 30, 2015 As of December 31, 2014 Government-sponsored enterprises debt obligations $ 1,173 $ 1,208 Another FHLBank’s bond (1) 54 60 State or local housing agency debt obligations 1 1 Total $ 1,228 $ 1,269 ____________ (1) The Federal Home Loan Bank of Chicago is the primary obligor of this consolidated obligation bond. Net losses on trading securities were as follows: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Net losses on trading securities held at period end $ (15 ) $ (19 ) $ (42 ) $ (46 ) |
Available-for-sale Securities
Available-for-sale Securities | 9 Months Ended |
Sep. 30, 2015 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | Available-for-sale Securities Major Security Type. Private-label residential mortgaged-backed securities (MBS) were as follows: Amortized Cost Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of September 30, 2015 $ 1,638 $ 20 $ 112 $ — $ 1,730 As of December 31, 2014 $ 1,863 $ 19 $ 137 $ — $ 1,981 The following tables summarize the private-label residential MBS with unrealized losses. The unrealized losses are aggregated by length of time that the individual securities have been in a continuous unrealized loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses As of September 30, 2015 2 $ 96 $ 1 10 $ 254 $ 19 12 $ 350 $ 20 As of December 31, 2014 4 $ 140 $ 2 9 $ 191 $ 17 13 $ 331 $ 19 A summary of available-for-sale MBS issued by members or affiliates of members, Bank of America Corporation, Charlotte, NC, follows: Amortized Cost Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of September 30, 2015 $ 1,078 $ 19 $ 72 $ — $ 1,131 As of December 31, 2014 $ 1,213 $ 17 $ 90 $ — $ 1,286 |
Held-to-maturity Securities
Held-to-maturity Securities | 9 Months Ended |
Sep. 30, 2015 | |
Held-to-maturity Securities, Unclassified [Abstract] | |
Held-to-maturity Securities | Held-to-maturity Securities Major Security Types. Held-to-maturity securities were as follows: As of September 30, 2015 As of December 31, 2014 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value State or local housing agency debt obligations $ 77 $ — $ — $ 77 $ 81 $ 1 $ — $ 82 Government-sponsored enterprises debt obligations 6,042 2 1 6,043 6,667 2 13 6,656 Mortgage-backed securities: U.S. agency obligations-guaranteed single-family residential 299 4 — 303 366 5 — 371 Government-sponsored enterprises single-family residential 12,466 124 6 12,584 13,665 125 24 13,766 Government-sponsored enterprises multifamily commercial 3,178 3 7 3,174 1,663 3 7 1,659 Private-label residential 1,162 6 11 1,157 1,455 9 10 1,454 Total $ 23,224 $ 139 $ 25 $ 23,338 $ 23,897 $ 145 $ 54 $ 23,988 The following tables summarize the held-to-maturity securities with unrealized losses. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. As of September 30, 2015 Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Government-sponsored enterprises debt obligations 8 $ 2,389 $ 1 3 $ 749 $ — 11 $ 3,138 $ 1 Mortgage-backed securities: Government-sponsored enterprises single-family residential 8 410 — 12 565 6 20 975 6 Government-sponsored enterprises multifamily commercial 40 2,318 5 10 571 2 50 2,889 7 Private-label residential 23 283 1 43 434 10 66 717 11 Total 79 $ 5,400 $ 7 68 $ 2,319 $ 18 147 $ 7,719 $ 25 As of December 31, 2014 Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Government-sponsored enterprises debt obligations 4 $ 899 $ 1 6 $ 1,233 $ 12 10 $ 2,132 $ 13 Mortgage-backed securities: Government-sponsored enterprises single-family residential 8 496 1 26 1,828 23 34 2,324 24 Government-sponsored enterprises multifamily commercial 14 758 1 2 285 6 16 1,043 7 Private-label residential 22 229 1 32 415 9 54 644 10 Total 48 $ 2,382 $ 4 66 $ 3,761 $ 50 114 $ 6,143 $ 54 Redemption Terms. The amortized cost and estimated fair value of held-to-maturity securities by contractual maturity are shown below. Expected maturities of some securities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. As of September 30, 2015 As of December 31, 2014 Amortized Cost Estimated Fair Value Amortized Cost Estimated Fair Value Non-mortgage-backed securities: Due in one year or less $ 802 $ 802 $ 1,166 $ 1,166 Due after one year through five years 5,317 5,318 5,582 5,572 Total non-mortgage-backed securities 6,119 6,120 6,748 6,738 Mortgage-backed securities 17,105 17,218 17,149 17,250 Total $ 23,224 $ 23,338 $ 23,897 $ 23,988 A summary of held-to-maturity MBS issued by members or affiliates of members, Bank of America Corporation, Charlotte, NC, follows: Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of September 30, 2015 $ 307 $ 1 $ 4 $ 304 As of December 31, 2014 $ 419 $ 2 $ 4 $ 417 |
Other-than-temporary Impairment
Other-than-temporary Impairment | 9 Months Ended |
Sep. 30, 2015 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Other-than-temporary Impairment | Other-than-temporary Impairment The Bank evaluates its individual available-for-sale and held-to-maturity securities holdings in an unrealized loss position for other-than-temporary impairment on a quarterly basis. As part of this process, the Bank considers its intent to sell each debt security and whether it is more likely than not the Bank will be required to sell the security before its anticipated recovery. If either of these conditions is met, the Bank recognizes the maximum impairment loss in earnings which is equal to the entire difference between the security’s amortized cost basis and its fair value as of the Statements of Condition dates. For securities in an unrealized loss position that meet neither of these conditions, the Bank evaluates whether there is other-than-temporary impairment by performing an analysis to determine if any of these securities will incur a credit loss, which could be up to the difference between the security’s amortized cost basis and its fair value. Mortgage-backed Securities. The Bank’s investments in MBS consist of U.S. agency guaranteed securities and senior tranches of private-label MBS. The Bank has increased exposure to the risk of loss on its investments in MBS when the loans backing the MBS exhibit high rates of delinquency and foreclosures, as well as losses on the sale of foreclosed properties. The Bank regularly requires high levels of credit enhancements from the structure of the collateralized mortgage obligation to reduce its risk of loss on such securities. Credit enhancements are defined as the percentage of subordinate tranches, overcollateralization, or excess spread, or the support of monoline insurance, if any, in a security structure that will absorb the losses before the security the Bank purchased will take a loss. The Bank does not purchase credit enhancements for its MBS from monoline insurance companies. The Bank’s investments in private-label MBS were rated “AAA” (or its equivalent) by a nationally recognized statistical rating organization (NRSRO), such as Moody’s Investors Service (Moody’s) and Standard and Poor’s Ratings Services (S&P), at their purchase dates. The “AAA”-rated securities achieved their ratings through credit enhancement, overcollateralization, and senior-subordinated shifting interest features; the latter results in subordination of payments by junior classes to ensure cash flows to the senior classes. The ratings on all of the Bank’s private-label MBS have changed since their purchase dates. Non-private-label MBS . The unrealized losses related to U.S. agency MBS are caused by interest rate changes and not credit quality. These securities are guaranteed by government agencies or government-sponsored enterprises, and the Bank does not expect these securities to be settled at a price less than their amortized cost basis. In addition, the Bank does not intend to sell these investments, and it is not more likely than not that the Bank will be required to sell these investments before recovery of their amortized cost basis, which may be at maturity. The Bank does not consider these investments to be other-than-temporarily impaired as of September 30, 2015 . Private-label MBS . To assess whether the entire amortized cost basis of its private-label MBS will be recovered, the Bank performs a cash flow analysis for each of its private-label MBS. In performing the cash flow analysis for each of these securities, the Bank uses two third-party models. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults, and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (CBSA), which are based upon an assessment of the individual housing markets. The term CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the United States Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The Bank’s housing price forecast as of September 30, 2015 , included a short-term housing price forecast with projected changes ranging from a decrease of three percent to an increase of eight percent over the 12 month period beginning July 1, 2015. For the vast majority of markets, the projected short-term housing price changes range from an increase of two percent to five percent. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults, and loss severities, were then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. The model classifies securities based on current characteristics and performance, which may be different from the securities’ classification as determined by the originator at the time of origination. At each quarter end, the Bank compares the present value of the cash flows (discounted at the securities' effective yield) expected to be collected with respect to its private-label MBS to the amortized cost basis of the security to determine whether a credit loss exists. For the Bank’s variable rate and hybrid private-label MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. The Bank then uses the effective interest rate for the security prior to impairment for determining the present value of the future estimated cash flows. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis. The following table represents a summary of the significant inputs used to measure the amount of the credit loss recognized in earnings for those securities for which an other-than-temporary impairment was determined to have occurred during the three-month period ended September 30, 2015 , as well as related current credit enhancement: Significant Inputs - Weighted Average (%) Classification of Securities Prepayment Rates Default Rates Loss Severities Current Credit Enhancement (%) Alt-A 11.67 23.35 37.00 0.17 The following table presents a roll-forward of the amount of credit losses on the Bank’s investment securities recognized in earnings during the life of the securities for which a portion of the other-than-temporary loss was recognized in accumulated other comprehensive income: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Balance, beginning of period $ 526 $ 559 $ 542 $ 574 Amount related to credit loss for which an other-than-temporary impairment was previously recognized 1 2 5 3 Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities) (10 ) (9 ) (30 ) (25 ) Balance, end of period $ 517 $ 552 $ 517 $ 552 Certain other private-label MBS that have not been designated as other-than-temporarily impaired have experienced unrealized losses and decreases in fair value due to interest rate volatility and illiquidity in the marketplace. These declines in fair value are considered temporary as the Bank expects to recover the amortized cost basis of the securities, the Bank does not intend to sell these securities, and it is not more likely than not that the Bank will be required to sell these securities before the anticipated recovery of the securities’ remaining amortized cost basis, which may be at maturity. This assessment is based on the fact that the Bank has sufficient capital and liquidity to operate its business and has no need to sell these securities, nor has the Bank entered into any contractual constraints that would require the Bank to sell these securities. |
Advances
Advances | 9 Months Ended |
Sep. 30, 2015 | |
Advances [Abstract] | |
Advances | Advances Redemption Terms. The Bank had advances outstanding, as summarized below. As of September 30, 2015 As of December 31, 2014 Due in one year or less $ 47,207 $ 57,675 Due after one year through two years 12,024 12,283 Due after two years through three years 7,295 9,435 Due after three years through four years 2,763 5,146 Due after four years through five years 2,915 2,910 Due after five years 13,872 10,433 Total par value 86,076 97,882 Discount on AHP (1) advances (6 ) (7 ) Discount on EDGE (2) advances (5 ) (5 ) Hedging adjustments 1,698 1,778 Deferred commitment fees (1 ) (4 ) Total $ 87,762 $ 99,644 ___________ (1) The Affordable Housing Program (2) The Economic Development and Growth Enhancement program The following table summarizes advances by year of contractual maturity or, for convertible advances, next conversion date: As of September 30, 2015 As of December 31, 2014 Due or convertible in one year or less $ 49,583 $ 60,551 Due or convertible after one year through two years 10,909 12,040 Due or convertible after two years through three years 6,274 7,866 Due or convertible after three years through four years 2,719 4,241 Due or convertible after four years through five years 2,907 2,900 Due or convertible after five years 13,684 10,284 Total par value $ 86,076 $ 97,882 Interest-rate Payment Terms. The following table details interest-rate payment terms for advances: As of September 30, 2015 As of December 31, 2014 Fixed-rate: Due in one year or less $ 32,799 $ 42,839 Due after one year 28,906 30,089 Total fixed-rate 61,705 72,928 Variable-rate: Due in one year or less 14,409 14,836 Due after one year 9,962 10,118 Total variable-rate 24,371 24,954 Total par value $ 86,076 $ 97,882 Credit Risk. The Bank’s potential credit risk from advances is concentrated in commercial banks, thrifts, and credit unions and further is concentrated in certain larger borrowing relationships. The concentration of the Bank’s advances to its 10 largest borrowers was $61,234 and $72,799 , as of September 30, 2015 and December 31, 2014 , respectively. This concentration represented 71.1 percent and 74.4 percent , of total advances outstanding as of September 30, 2015 and December 31, 2014 , respectively. Based on the collateral pledged as security for advances, the Bank's credit analysis of members’ financial condition, and prior repayment history, no allowance for credit losses on advances was deemed necessary by the Bank as of September 30, 2015 and December 31, 2014 . No advance was past due as of September 30, 2015 and December 31, 2014 . |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio The following table presents information on mortgage loans held for portfolio by contractual maturity at the time of purchase: As of September 30, 2015 As of December 31, 2014 Fixed-rate medium-term (1) single-family residential mortgage loans $ 73 $ 103 Fixed-rate long-term single-family residential mortgage loans 549 648 Total unpaid principal balance 622 751 Premiums 2 2 Discounts (3 ) (4 ) Total $ 621 $ 749 ____________ (1) Medium-term is defined as a term of 15 years or less. The following table details the unpaid principal balance of mortgage loans held for portfolio by collateral or guarantee type: As of September 30, 2015 As of December 31, 2014 Conventional loans $ 577 $ 698 Government-guaranteed or insured loans 45 53 Total unpaid principal balance $ 622 $ 751 For information related to the Bank's credit risk on mortgage loans and allowance for credit losses, see Note 9 — Allowance for Credit Losses to the Bank’s interim financial statements. |
Allowance for Credit Losses
Allowance for Credit Losses | 9 Months Ended |
Sep. 30, 2015 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses | Allowance for Credit Losses The activity in the allowance for credit losses related to conventional single-family residential mortgage loans was as follows: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Balance, beginning of period $ 2 $ 6 $ 3 $ 11 Provision (reversal) for credit losses 1 (2 ) — (4 ) Charge-offs — — — (3 ) Balance, end of period $ 3 $ 4 $ 3 $ 4 The recorded investment in conventional single-family residential mortgage loans by impairment methodology was as follows: As of September 30, 2015 As of December 31, 2014 Allowance for credit losses: Individually evaluated for impairment $ 1 $ 1 Collectively evaluated for impairment 2 2 Total allowance for credit losses $ 3 $ 3 Recorded investment: Individually evaluated for impairment $ 15 $ 15 Collectively evaluated for impairment 564 685 Total recorded investment $ 579 $ 700 Key credit quality indicators for mortgage loans include the migration of past due loans, nonaccrual loans, and loans in process of foreclosure. The tables below summarize the Bank's recorded investment in mortgage loans by these key credit quality indicators: As of September 30, 2015 Conventional Single-family Residential Mortgage Loans Government-guaranteed or Insured Single-family Residential Mortgage Loans Total Past due 30-59 days $ 20 $ 3 $ 23 Past due 60-89 days 5 2 7 Past due 90 days or more 19 3 22 Total past due mortgage loans 44 8 52 Total current mortgage loans 535 37 572 Total mortgage loans (1) $ 579 $ 45 $ 624 Other delinquency statistics: In process of foreclosure (2) $ 10 $ 1 $ 11 Seriously delinquent rate (3) 3.25 % 7.08 % 3.52 % Past due 90 days or more and still accruing interest (4) $ — $ 3 $ 3 Loans on nonaccrual status (5) $ 19 $ — $ 19 ____________ (1) The difference between the recorded investment and the carrying value of total mortgage loans of $3 relates to accrued interest. (2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in lieu has been reported. Loans in the process of foreclosure are included in past due or current loans depending on their delinquency status. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio segment. (4) Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs. (5) Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. As of December 31, 2014 Conventional Single-family Residential Mortgage Loans Government-guaranteed or Insured Single-family Residential Mortgage Loans Total Past due 30-59 days $ 22 $ 6 $ 28 Past due 60-89 days 6 2 8 Past due 90 days or more 33 6 39 Total past due mortgage loans 61 14 75 Total current mortgage loans 639 39 678 Total mortgage loans (1) $ 700 $ 53 $ 753 Other delinquency statistics: In process of foreclosure (2) $ 19 $ 1 $ 20 Seriously delinquent rate (3) 4.73 % 10.33 % 5.13 % Past due 90 days or more and still accruing interest (4) $ — $ 6 $ 6 Loans on nonaccrual status (5) $ 33 $ — $ 33 ____________ (1) The difference between the recorded investment and the carrying value of total mortgage loans of $4 relates to accrued interest. (2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in lieu has been reported. Loans in the process of foreclosure are included in past due or current loans depending on their delinquency status. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio segment. (4) Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs. (5) Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. The table below presents the Bank's recorded investment balance in mortgage loans classified as troubled debt restructurings: As of September 30, 2015 As of December 31, 2014 Performing Non-performing Total Performing Non-performing Total Conventional single-family residential loans $ 12 $ 3 $ 15 $ 11 $ 4 $ 15 Due to the minimal change in terms of modified loans (i.e., no write-offs of principal), the Bank's pre-modification recorded investment was not materially different than the post-modification recorded investment in troubled debt restructurings during the three and nine months ended September 30, 2015 and 2014 . The financial amounts related to the Bank's troubled debt restructurings are not material to the Bank's financial condition or results of operations for the periods presented. |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2015 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Consolidated Obligations Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are the joint and several obligations of the 11 Federal Home Loan Banks (FHLBanks) and are backed only by the financial resources of the FHLBanks. The Federal Home Loan Banks Office of Finance (Office of Finance) tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of consolidated obligations for which it is the primary obligor. Interest-rate Payment Terms. The following table details the Bank’s consolidated obligation bonds by interest-rate payment type: As of September 30, 2015 As of December 31, 2014 Fixed-rate $ 51,881 $ 77,912 Step up/down 5,046 6,301 Simple variable-rate 17,672 7,550 Variable-rate capped floater — 25 Total par value $ 74,599 $ 91,788 Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding, by year of contractual maturity: As of September 30, 2015 As of December 31, 2014 Amount Weighted- average Interest Rate (%) Amount Weighted- average Interest Rate (%) Due in one year or less $ 37,560 0.57 $ 52,081 0.24 Due after one year through two years 17,890 1.32 16,116 1.27 Due after two years through three years 8,471 1.75 9,683 2.22 Due after three years through four years 2,827 1.57 4,971 1.67 Due after four years through five years 3,126 1.71 3,094 1.56 Due after five years 4,725 2.14 5,843 2.12 Total par value 74,599 1.08 91,788 0.86 Premiums 46 73 Discounts (16 ) (21 ) Hedging adjustments 336 248 Total $ 74,965 $ 92,088 The following presents the Bank’s consolidated obligation bonds outstanding by call feature: As of September 30, 2015 As of December 31, 2014 Noncallable $ 59,649 $ 69,164 Callable 14,950 22,624 Total par value $ 74,599 $ 91,788 The following table summarizes the Bank’s consolidated obligation bonds outstanding, by year of contractual maturity, or for callable consolidated obligation bonds, next call date: As of September 30, 2015 As of December 31, 2014 Due or callable in one year or less $ 49,745 $ 67,980 Due or callable after one year through two years 16,885 12,220 Due or callable after two years through three years 5,010 7,796 Due or callable after three years through four years 1,229 2,177 Due or callable after four years through five years 1,110 875 Due or callable after five years 620 740 Total par value $ 74,599 $ 91,788 Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Consolidated obligation discount notes are consolidated obligations with original contractual maturities of up to one year. These consolidated obligation discount notes are issued at less than their face amounts and redeemed at par value when they mature. The Bank’s participation in consolidated obligation discount notes was as follows: Book Value Par Value Weighted-average Interest Rate (%) As of September 30, 2015 $ 41,867 $ 41,881 0.16 As of December 31, 2014 $ 37,162 $ 37,169 0.10 |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock | 9 Months Ended |
Sep. 30, 2015 | |
Capital [Abstract] | |
Capital and Mandatorily Redeemable Capital Stock | Capital and Mandatorily Redeemable Capital Stock Capital. The Bank was in compliance with the Federal Housing Finance Agency's (Finance Agency) regulatory capital rules and requirements as shown in the following table: As of September 30, 2015 As of December 31, 2014 Required Actual Required Actual Risk based capital $ 1,633 $ 6,229 $ 2,113 $ 6,914 Total capital-to-assets ratio 4.00 % 4.99 % 4.00 % 5.00 % Total regulatory capital (1) $ 4,997 $ 6,229 $ 5,534 $ 6,914 Leverage ratio 5.00 % 7.48 % 5.00 % 7.50 % Leverage capital $ 6,246 $ 9,344 $ 6,917 $ 10,371 ____________ (1) Total regulatory capital does not include accumulated other comprehensive income, but does include mandatorily redeemable capital stock. Mandatorily Redeemable Capital Stock. The following table provides the activity in mandatorily redeemable capital stock: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Balance, beginning of period $ 16 $ 21 $ 19 $ 24 Reclassification from capital during the period 4 3 11 4 Repurchase/redemption of mandatorily redeemable capital stock (3 ) (5 ) (13 ) (9 ) Balance, end of period $ 17 $ 19 $ 17 $ 19 The following table shows the amount of mandatorily redeemable capital stock by year of redemption. The year of redemption in the table is the end of the five -year redemption period, or with respect to activity-based stock, the later of the expiration of the five -year redemption period or the activity’s maturity date. As of September 30, 2015 As of December 31, 2014 Due in one year or less $ 8 $ 9 Due after one year through two years 6 8 Due after two years through three years — 1 Due after four years through five years 3 1 Total $ 17 $ 19 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 9 Months Ended |
Sep. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive Income (Loss) | Accumulated Other Comprehensive Income Components comprising accumulated other comprehensive income were as follows: Pension and Postretirement Benefits Noncredit Portion of Other-than- temporary Impairment Losses on Available-for- sale Securities Total Accumulated Other Comprehensive Income Balance, June 30, 2014 $ (12 ) $ 142 $ 130 Other comprehensive income before reclassifications: Net change in fair value — (5 ) (5 ) Reclassification from accumulated other comprehensive income to net income: Noncredit other-than-temporary impairment losses — 2 2 Net current period other comprehensive loss — (3 ) (3 ) Balance, September 30, 2014 $ (12 ) $ 139 $ 127 Balance, June 30, 2015 $ (22 ) $ 99 $ 77 Other comprehensive income before reclassifications: Net change in fair value — (8 ) (8 ) Reclassification from accumulated other comprehensive income to net income: Noncredit other-than-temporary impairment losses — 1 1 Amortization of pension and postretirement (1) 1 — 1 Net current period other comprehensive income (loss) 1 (7 ) (6 ) Balance, September 30, 2015 $ (21 ) $ 92 $ 71 ____________ (1) Included in Compensation and benefits on the Statements of Income. Pension and Postretirement Benefits Noncredit Portion of Other-than- temporary Impairment Losses on Available-for- sale Securities Total Accumulated Other Comprehensive Income Balance, December 31, 2013 $ (13 ) $ 125 $ 112 Other comprehensive income before reclassifications: Net change in fair value — 11 11 Reclassification from accumulated other comprehensive income to net income: Noncredit other-than-temporary impairment losses — 3 3 Amortization of pension and postretirement (1) 1 — 1 Net current period other comprehensive income 1 14 15 Balance, September 30, 2014 $ (12 ) $ 139 $ 127 Balance, December 31, 2014 $ (23 ) $ 118 $ 95 Other comprehensive income before reclassifications: Net change in fair value — (31 ) (31 ) Reclassification from accumulated other comprehensive income to net income: Noncredit other-than-temporary impairment losses — 5 5 Amortization of pension and postretirement (1) 2 — 2 Net current period other comprehensive income (loss) 2 (26 ) (24 ) Balance, September 30, 2015 $ (21 ) $ 92 $ 71 ____________ (1) Included in Compensation and benefits on the Statements of Income. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Nature of Business Activity The Bank is exposed to interest-rate risk primarily from the effect of interest rate changes on its interest-earning assets and its interest-bearing liabilities that finance these assets. The goal of the Bank’s interest-rate risk management strategies is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures, which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin, and average maturity of interest-earning assets and interest-bearing liabilities. The Bank enters into derivatives to manage the interest-rate risk exposure inherent in its otherwise unhedged assets and funding sources, to achieve the Bank's risk management objectives, and to act as an intermediary between its members and counterparties. For additional information on the Bank’s derivatives and hedging activities, see Note 18—Derivatives and Hedging Activities to the 2014 audited financial statements contained in the Bank’s Form 10-K. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivative transactions may be either executed with a counterparty (uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent), with a Derivative Clearing Organization (cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearinghouse), the derivative transaction is novated and the executing counterparty is replaced with the Clearinghouse. The Bank is not a derivative dealer and does not trade derivatives for short-term profit. Financial Statement Effect and Additional Financial Information Derivative Notional Amounts. The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank 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 items being hedged, and any offsets between the derivatives and the items being hedged. The following table summarizes the fair value of derivative instruments, including the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. As of September 30, 2015 As of December 31, 2014 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives in hedging relationships: Interest rate swaps $ 93,114 $ 494 $ (1,798 ) $ 103,004 $ 454 $ (1,995 ) Derivatives not designated as hedging instruments: Interest rate swaps 2,434 15 (97 ) 6,348 12 (131 ) Interest rate caps or floors 16,500 17 (11 ) 16,500 20 (13 ) Total derivatives not designated as hedging instruments 18,934 32 (108 ) 22,848 32 (144 ) Total derivatives before netting and collateral adjustments $ 112,048 526 (1,906 ) $ 125,852 486 (2,139 ) Netting adjustments and cash collateral (1) (325 ) 1,774 (374 ) 1,955 Derivative assets and derivative liabilities $ 201 $ (132 ) $ 112 $ (184 ) ___________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $1,516 and $1,613 as of September 30, 2015 and December 31, 2014 , respectively. Cash collateral received and related accrued interest was $68 and $32 as of September 30, 2015 and December 31, 2014 , respectively. The following tables present the components of net gains on derivatives and hedging activities as presented in the Statements of Income: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ 21 $ 78 $ 238 $ 129 Derivatives not designated as hedging instruments: Interest rate swaps 11 20 36 45 Interest rate caps or floors (1 ) (4 ) (1 ) (13 ) Net interest settlements (15 ) (17 ) (45 ) (53 ) Total net losses related to derivatives not designated as hedging instruments (5 ) (1 ) (10 ) (21 ) Net gains on derivatives and hedging activities $ 16 $ 77 $ 228 $ 108 The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income: For the Three Months Ended September 30, 2015 2014 Hedged Item Type Gains (Losses) on Derivative Gains (Losses) on Hedged Item Net Fair Value Effect of Derivatives on Net Interest Income (1) Gains (Losses) on Derivative Gains (Losses) on Hedged Item Net Fair Value Effect of Derivatives on Net Interest Income (1) Advances $ (327 ) $ 357 $ 30 $ (173 ) $ 319 $ (243 ) $ 76 $ (229 ) Consolidated obligations: Bonds 77 (86 ) (9 ) 124 (134 ) 136 2 118 Discount notes — — — 3 — — — — Total $ (250 ) $ 271 $ 21 $ (46 ) $ 185 $ (107 ) $ 78 $ (111 ) ____________ (1) The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. For the Nine Months Ended September 30, 2015 2014 Hedged Item Type Gains (Losses) on Derivative Gains (Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Gains (Losses) on Derivative Gains (Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Advances $ 71 $ 187 $ 258 $ (547 ) $ 80 $ 47 $ 127 $ (671 ) Consolidated obligations: Bonds 74 (94 ) (20 ) 366 80 (78 ) 2 383 Discount notes 2 (2 ) — 6 — — — — Total $ 147 $ 91 $ 238 $ (175 ) $ 160 $ (31 ) $ 129 $ (288 ) ____________ (1) The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. Managing Credit Risk on Derivatives The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions and manages credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. Additionally, collateral related to derivatives with member institutions includes collateral assigned to the Bank, as evidenced by a written security agreement and held by the member institution for the benefit of the Bank. For cleared derivatives, the Clearinghouse is the Bank's counterparty. The Clearinghouse notifies the clearing agent of the required initial and variation margin and the clearing agent notifies the Bank of the required initial and variation margin. The requirement that the Bank post initial and variation margin through the clearing agent, to the Clearinghouse, exposes the Bank to institutional credit risk if the clearing agent or the Clearinghouse fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral for changes in the fair value of cleared derivatives is posted daily through a clearing agent. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearinghouse or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearinghouse. The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest, on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following table presents the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties. As of September 30, 2015 As of December 31, 2014 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Gross recognized amount: Uncleared derivatives $ 409 $ (1,395 ) $ 439 $ (1,757 ) Cleared derivatives 117 (511 ) 47 (382 ) Total gross recognized amount 526 (1,906 ) 486 (2,139 ) Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (404 ) 1,263 (438 ) 1,573 Cleared derivatives 79 511 64 382 Total gross amounts of netting adjustments and cash collateral (325 ) 1,774 (374 ) 1,955 Derivative assets and derivative liabilities: Uncleared derivatives 5 (132 ) 1 (184 ) Cleared derivatives 196 — 111 — Total derivative assets and total derivative liabilities 201 (132 ) 112 (184 ) Non-cash collateral received or pledged not offset-cannot be sold or repledged: (1) Uncleared derivatives 5 — 1 — Net unsecured amounts: (2) Uncleared derivatives — (132 ) — (184 ) Cleared derivatives 196 — 111 — Total net unsecured amount $ 196 $ (132 ) $ 111 $ (184 ) ____________ (1) Collateral held with respect to derivatives with member institutions where the Bank is acting as an intermediary represents the amount of eligible collateral physically held by or on behalf of the Bank or collateral assigned to the Bank, as evidenced by a written security agreement, and held by the member institution for the benefit of the Bank. (2) The Bank had net credit exposure of $194 and $110 as of September 30, 2015 and December 31, 2014 , respectively, due to instances where the Bank’s pledged collateral to a counterparty exceeds the Bank’s net derivative liability position. Certain of the Bank’s uncleared derivative instruments contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank’s credit rating. If the Bank’s credit rating is lowered by a NRSRO, the Bank may be required to deliver additional collateral on uncleared derivative instruments in net liability positions. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest) as of September 30, 2015 was $1,047 for which the Bank has posted collateral with a fair value of $918 in the normal course of business. If the Bank’s credit ratings had been lowered from its current rating to the next lower rating that would have triggered additional collateral to be delivered, the Bank would have been required to deliver an additional $88 of collateral at fair value to its uncleared derivative counterparties as of September 30, 2015 . |
Estimated Fair Values
Estimated Fair Values | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Estimated Fair Values The Bank records trading securities, available-for-sale securities, derivative assets and liabilities, and grantor trust assets (publicly-traded mutual funds) at estimated fair value on a recurring basis. Fair value is a market-based measurement and is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the assets or owes the liability. In general, the transaction price will equal the exit price and, therefore, represent the fair value of the asset or liability at initial recognition. In determining whether a transaction price represents the fair value of the asset or liability at initial recognition, each reporting entity is required to consider factors specific to the transaction and the asset or liability, the principal or most advantageous market for the asset or liability, and market participants with whom the entity would transact in the market. A fair value hierarchy is used to prioritize the inputs of valuation techniques used to measure fair value. The inputs are evaluated, and an overall level for the fair value measurement is determined. This overall level is an indication of how market-observable the fair value measurement is and defines the level of disclosure. The fair value hierarchy defines fair value in terms of a price in an orderly transaction between market participants to sell an asset or transfer a liability in the principal (or most advantageous) market for the asset or liability at the measurement date (an exit price). In order to determine the fair value or the exit price, entities must determine the unit of account, highest and best use, principal market, and market participants. These determinations allow the reporting entity to define the inputs for fair value and level of hierarchy. Outlined below is the application of the “fair value hierarchy” to the Bank's financial assets and liabilities that are carried at fair value or disclosed in the notes to the financial statements. Level 1 - inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. As of September 30, 2015 and December 31, 2014 , the Bank carried grantor trust assets at fair value hierarchy Level 1. Level 2 - inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. As of September 30, 2015 and December 31, 2014 , the Bank carried trading securities and derivatives at fair value hierarchy Level 2. Level 3 - inputs to the valuation methodology are unobservable and significant to the fair value measurement. Unobservable inputs are supported by limited market activity and reflect the entity's own assumptions. As of September 30, 2015 and December 31, 2014 , the Bank carried available-for-sale securities at fair value hierarchy Level 3. The Bank utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classification of financial assets and liabilities on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities within the fair value hierarchy. Such reclassifications are reported as transfers in/out at fair value as of the beginning of the quarter in which the changes occur. There were no such transfers during the periods presented. Estimated Fair Value Measurements on a Recurring Basis. The following tables present, for each fair value hierarchy level, the Bank’s financial assets and liabilities that are measured at fair value on a recurring basis on its Statements of Condition. As of September 30, 2015 Fair Value Measurements Using Netting Adjustment (1) Level 1 Level 2 Level 3 Total Assets Trading securities: Government-sponsored enterprises debt obligations $ — $ 1,173 $ — $ — $ 1,173 Another FHLBank’s bond — 54 — — 54 State or local housing agency debt obligations — 1 — — 1 Total trading securities — 1,228 — — 1,228 Available-for-sale securities: Private-label residential MBS — — 1,730 — 1,730 Derivative assets: Interest-rate related — 526 — (325 ) 201 Grantor trust (included in Other assets) 30 — — — 30 Total assets at fair value $ 30 $ 1,754 $ 1,730 $ (325 ) $ 3,189 Liabilities Derivative liabilities: Interest-rate related $ — $ (1,906 ) $ — $ 1,774 $ (132 ) Total liabilities at fair value $ — $ (1,906 ) $ — $ 1,774 $ (132 ) ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. As of December 31, 2014 Fair Value Measurements Using Netting Adjustment (1) Level 1 Level 2 Level 3 Total Assets Trading securities: Government-sponsored enterprises debt obligations $ — $ 1,208 $ — $ — $ 1,208 Another FHLBank’s bond — 60 — — 60 State or local housing agency debt obligations — 1 — — 1 Total trading securities — 1,269 — — 1,269 Available-for-sale securities: Private-label residential MBS — — 1,981 — 1,981 Derivative assets: Interest-rate related — 486 — (374 ) 112 Grantor trust (included in Other assets) 25 — — — 25 Total assets at fair value $ 25 $ 1,755 $ 1,981 $ (374 ) $ 3,387 Liabilities Derivative liabilities: Interest-rate related $ — $ (2,139 ) $ — $ 1,955 $ (184 ) Total liabilities at fair value $ — $ (2,139 ) $ — $ 1,955 $ (184 ) ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3): For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Balance, beginning of period $ 1,823 $ 2,155 $ 1,981 $ 2,299 Total (losses) gains realized and unrealized: (1) Included in net impairment losses recognized in earnings (1 ) (2 ) (5 ) (3 ) Included in other comprehensive income (2) (7 ) (3 ) (26 ) 14 Accretion of credit losses in net interest income 10 8 30 24 Settlements (95 ) (85 ) (250 ) (261 ) Balance, end of period $ 1,730 $ 2,073 $ 1,730 $ 2,073 ____________ (1) Related to available-for-sale securities held at period end. (2) This amount is included in other comprehensive income within the net change in fair value on other-than-temporary impairment available-for-sale securities and reclassification of noncredit portion of impairment losses included in net income. Estimated Fair Value Measurements on a Nonrecurring Basis. The Bank periodically measures and recognizes certain assets at fair value on a nonrecurring basis. These assets are not measured at fair value on a recurring basis but are subject to fair value adjustments in certain circumstances. These adjustments to fair value usually result from the application of lower of amortized cost or fair value accounting or write-downs of individual assets due to impairment. The following tables present the fair value hierarchy and carrying value of all assets as of the last impairment date that were still held as of September 30, 2015 and December 31, 2014 , for which a nonrecurring fair value adjustment was recorded during the periods presented. As of September 30, 2015 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Mortgage loans held for portfolio $ — $ — $ 1 $ 1 Real estate owned — — 3 3 Total nonrecurring assets at fair value $ — $ — $ 4 $ 4 As of December 31, 2014 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Real estate owned $ — $ — $ 7 $ 7 Described below are the Bank's fair value measurement methodologies for financial assets and liabilities measured or disclosed at fair value. Cash and Due from Banks. The estimated fair value approximates the recorded carrying value due to the short-term nature and negligible credit risk. Interest-bearing Deposits. The estimated fair value is determined by calculating the present value of the expected future cash flows from the deposits and reducing this amount for accrued interest receivable. The discount rate used in these calculations is the rate for deposits with similar terms and represents market observable rates. Securities purchased under agreements to resell. The estimated 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 and represent market observable rates. Federal Funds Sold. The estimated fair values of overnight federal funds sold approximate the carrying values. The estimated fair values of term federal funds sold are determined by calculating the present value of the expected future cash flows. The discount rates used in these calculations are the rates for federal funds with similar terms and represent market observable rates. Investment Securities . The Bank obtains prices from four designated third-party pricing vendors when available to estimate the fair value of its investment securities. The pricing vendors use various proprietary models to price investment securities. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers, and other market-related data. Since many investment securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all investment securities valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. The Bank periodically conducts reviews of the four pricing vendors to confirm and further augment its understanding of the vendors' pricing processes, methodologies, and control procedures for U.S. agency and private-label MBS. The Bank's valuation technique for estimating the fair value of its investment securities first requires the establishment of a “median” price for each security. 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. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. Alternatively, if the analysis does not provide evidence that an outlier is in fact more representative of the fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. As of September 30, 2015 and December 31, 2014 , four vendor prices were received for a majority of the Bank's investment securities holdings and the final prices for those securities were computed by averaging the prices received. Based on the Bank's review of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes its final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. Based on the lack of significant market activity for private-label MBS, the fair value measurement for those securities were classified as Level 3 within the fair value hierarchy as of September 30, 2015 and December 31, 2014 . Advances. The Bank determines the estimated fair values of advances by calculating the present value of expected future cash flows from the advances, excluding the amount of the accrued interest receivable. The discount rates used in these calculations are the equivalent to the replacement advance rates for advances with similar terms. The Bank calculates its replacement advance rates at a spread to its cost of funds. The Bank's cost of funds approximates the consolidated obligation curve (See "Consolidated Obligations" paragraph within this note for a discussion of the consolidated obligation curve). To estimate the fair values of advances with optionality, market-based expectations of future interest rate volatility implied from current market prices for similar options are also used. In accordance with the Finance Agency's advances regulations, advances with a maturity or repricing period greater than six months require a prepayment fee sufficient to make the Bank financially indifferent to the borrower's decision to prepay the advances, thereby removing prepayment risk from the fair value calculation. The Bank did not adjust the fair value measurement of advances for creditworthiness because advances were fully collateralized (see Note 7—Advances to the Bank’s interim financial statements for additional information). Mortgage Loans Held for Portfolio. The estimated fair values for mortgage loans are determined based on quoted market prices of similar mortgage loans available in the pass-through securities market. These prices, however, can change rapidly based upon market conditions and are highly dependent upon the underlying prepayment assumptions. The estimated fair values of impaired mortgage loans are based on the current property value, as provided by a third party vendor, adjusted for estimated selling costs. Accrued Interest Receivable and Payable. The estimated fair value approximates the recorded carrying value due to the short-term nature and negligible credit risk. Derivative Assets and Liabilities. The Bank calculates the fair value of derivatives using a present value of future cash flows discounted by a market observable rate. The Bank used Overnight Index Swap curve to discount future cash flows for collateralized derivatives. Derivative instruments are transacted primarily in the institutional dealer market and priced with observable market assumptions at a mid-market valuation point. The Bank does not provide a credit valuation adjustment based on aggregate exposure by derivative counterparty when measuring the fair value of its derivatives. This is because the collateral provisions pertaining to the Bank's derivatives obviate the need to provide such a credit valuation adjustment. The fair values of the Bank's derivatives take into consideration the effects of legally enforceable master netting agreements, where applicable, that allow the Bank to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. The Bank and each uncleared derivative counterparty have collateral thresholds that take into account both the Bank's and the counterparty's credit ratings. As a result of these practices and agreements, the Bank has concluded that the impact of the credit differential between the Bank and its derivative counterparties was mitigated to an immaterial level, and no further adjustments were deemed necessary to the recorded fair values of derivative assets and liabilities on the Statements of Condition as of September 30, 2015 and December 31, 2014 . Grantor Trust Assets. Grantor trust assets, included as a component of Other assets, are carried at estimated fair value based on quoted market prices. Interest-bearing Deposits. The Bank determines estimated fair values of Bank deposits by calculating the present value of expected future cash flows from the deposits and reducing this amount for accrued interest payable. The discount rate used in these calculations is based on London Interbank Offered Rate (LIBOR). Consolidated Obligations. The Bank calculates the fair value of consolidated obligation bonds and discount notes by using the present value of future cash flows using a cost of funds as the discount rate. The Office of Finance constructs an internal curve, referred to as the consolidated obligation curve, using the U.S. Treasury curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent government-sponsored enterprise trades, and secondary market activity. To estimate the fair values of consolidated obligations with optionality, the Bank uses market based expectations of future interest rate volatility implied from current market prices for similar options. Mandatorily Redeemable Capital Stock. The fair value of mandatorily redeemable capital stock is par value, including estimated dividends earned at the time of reclassification from capital to liabilities, until such amount is paid. Capital stock can be acquired by members only at par value and redeemed by the Bank at par value. Capital stock is not traded, and no market mechanism exists for the exchange of capital stock outside the cooperative structure. The following estimated fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of September 30, 2015 and December 31, 2014 . Although the Bank uses its best judgment in estimating the fair values 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 the Bank’s 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 estimated fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair value. The fair value tables presented below do not represent an estimate of the overall fair value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of assets versus liabilities. The carrying values and estimated fair values of the Bank’s financial instruments were as follows: As of September 30, 2015 Estimated Fair Value Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (1) Assets: Cash and due from banks $ 1,287 $ 1,287 $ 1,287 $ — $ — $ — Interest bearing-deposits 1,140 1,140 — 1,140 — — Securities purchased under agreements to resell 2,500 2,500 — 2,500 — — Federal funds sold 4,840 4,840 — 4,840 — — Trading securities 1,228 1,228 — 1,228 — — Available-for-sale securities 1,730 1,730 — — 1,730 — Held-to-maturity securities 23,224 23,338 — 22,181 1,157 — Advances 87,762 87,633 — 87,633 — — Mortgage loans held for portfolio, net 618 687 — 686 1 — Accrued interest receivable 170 170 — 170 — — Derivative assets 201 201 — 526 — (325 ) Grantor trust assets (included in Other assets) 30 30 30 — — — Liabilities: Interest-bearing deposits (1,173 ) (1,173 ) — (1,173 ) — — Consolidated obligations, net: Discount notes (41,867 ) (41,868 ) — (41,868 ) — — Bonds (74,965 ) (75,025 ) — (75,025 ) — — Mandatorily redeemable capital stock (17 ) (17 ) (17 ) — — — Accrued interest payable (213 ) (213 ) — (213 ) — — Derivative liabilities (132 ) (132 ) — (1,906 ) — 1,774 ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. As of December 31, 2014 Estimated Fair Value Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (1) Assets: Cash and due from banks $ 915 $ 915 $ 915 $ — $ — $ — Interest bearing-deposits 1,010 1,010 — 1,010 — — Securities purchased under agreements to resell 1,960 1,960 — 1,960 — — Federal funds sold 6,385 6,385 — 6,385 — — Trading securities 1,269 1,269 — 1,269 — — Available-for-sale securities 1,981 1,981 — — 1,981 — Held-to-maturity securities 23,897 23,988 — 22,534 1,454 — Advances 99,644 99,579 — 99,579 — — Mortgage loans held for portfolio, net 746 828 — 828 — — Accrued interest receivable 179 179 — 179 — — Derivative assets 112 112 — 486 — (374 ) Grantor trust assets (included in Other assets) 25 25 25 — — — Liabilities: Interest-bearing deposits (1,110 ) (1,110 ) — (1,110 ) — — Consolidated obligations, net: Discount notes (37,162 ) (37,162 ) — (37,162 ) — — Bonds (92,088 ) (92,211 ) — (92,211 ) — — Mandatorily redeemable capital stock (19 ) (19 ) (19 ) — — — Accrued interest payable (145 ) (145 ) — (145 ) — — Derivative liabilities (184 ) (184 ) — (2,139 ) — 1,955 ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies As described in Note 10–Consolidated Obligations, consolidated obligations are backed only by the financial resources of the 11 FHLBanks. The Finance Agency may at any time require any FHLBank to make principal or interest payments due on any consolidated obligations, whether or not the primary obligor FHLBank has defaulted on the payment of that obligation. No FHLBank has ever had to assume or pay the consolidated obligation of another FHLBank. The par value of the other FHLBanks’ outstanding consolidated obligations for which the Bank is jointly and severally liable was $740,031 and $718,218 as of September 30, 2015 and December 31, 2014 , respectively, exclusive of the Bank’s own outstanding consolidated obligations. As of September 30, 2015 , none of the other FHLBanks defaulted on their consolidated obligations, the Finance Agency was not required to allocate any obligation among the FHLBanks, and no amount of the joint and several obligation was fixed. Accordingly, the Bank has not recognized a liability for its joint and several obligation related to the other FHLBanks' consolidated obligations as of September 30, 2015 . The following table shows the Bank's outstanding commitments, which represent off-balance sheet obligations: As of September 30, 2015 As of December 31, 2014 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit (1) $ 8,482 $ 21,360 $ 29,842 $ 7,409 $ 23,519 $ 30,928 Commitments to fund additional advances 302 105 407 189 20 209 Unsettled consolidated obligation bonds, at par (2) 205 — 205 100 — 100 Unsettled consolidated obligation discount notes, at par (2) — — — 50 — 50 ____________ (1) Expire within one year includes 11 standby letters of credit for a total of $29 and 17 standby letters of credit for a total of $25 as of September 30, 2015 and December 31, 2014 , respectively, that have no stated maturity date and are subject to renewal on an annual basis. (2) Expiration is based on settlement period rather than underlying contractual maturity of consolidated obligations. As of September 30, 2015 and December 31, 2014 , $205 and $ 100 of the Bank's unsettled consolidated obligation bonds were hedged with associated interest rate swaps that had traded but not yet settled, respectively. As of September 30, 2015 and December 31, 2014 , $0 and $50 of the Bank's unsettled consolidated obligation discount notes were hedged with associated interest rate swaps that had traded but not yet settled, respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. In addition, standby letters of credit are fully collateralized from the time of issuance. The Bank has established parameters for the measurement, review, classification, and monitoring of credit risk related to these standby letters of credit that results in an internal credit rating, which focuses primarily on an institution’s overall financial health and takes into account quality of assets, earnings, and capital position. In general, borrowers categorized into the highest risk rating category have more restrictions on the types of collateral they may use to secure standby letters of credit, may be required to maintain higher collateral maintenance levels and deliver loan collateral, and may face more stringent collateral reporting requirements. The carrying value of the guarantees related to standby letters of credit is recorded in other liabilities and amounted to $120 and $152 as of September 30, 2015 and December 31, 2014 , respectively. Based on the Bank’s credit analyses and collateral requirements, the Bank does not deem it necessary to record any additional liability on these commitments. The Bank had no commitments that unconditionally obligate the Bank to purchase closed mortgage loans as of September 30, 2015 and December 31, 2014 . Such commitments would be recorded as derivatives at their fair values. The Bank is subject to legal proceedings arising in the normal course of business. After consultation with legal counsel, management does not anticipate, as of the date of the financial statements, that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank’s financial condition or results of operations. |
Transactions With Shareholders
Transactions With Shareholders | 9 Months Ended |
Sep. 30, 2015 | |
Transactions With Shareholders [Abstract] | |
Transactions With Shareholders | Transactions with Shareholders The Bank is a cooperative whose member institutions own substantially all of the capital stock of the Bank. Former members, and certain non-members that own the Bank's capital stock as a result of a merger or acquisition of the Bank's member, own the remaining capital stock to support business transactions still carried on the Bank’s Statements of Condition. All holders of the Bank’s capital stock receive dividends on their investments, to the extent declared by the Bank’s board of directors. All advances are issued to members and eligible “housing associates” under the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), and mortgage loans held for portfolio are purchased from members. The Bank also maintains demand deposit accounts primarily to facilitate settlement activities that are related directly to advances and mortgage loan purchases. Transactions with any member that has an officer or director, who also is a director of the Bank, are subject to the same Bank policies as transactions with other members. Related Parties. In accordance with GAAP, financial statements are required to disclose material related-party transactions other than compensation arrangements, expense allowances, or other similar items that occur in the ordinary course of business. Under GAAP, related parties include owners of more than 10 percent of the voting interests of the Bank. Due to limits on member voting rights under the FHLBank Act and Finance Agency regulations, no member owned more than 10 percent of the total voting interests, and the Bank had no related party transactions required to be disclosed for the periods presented. Shareholder Concentrations. The Bank considers shareholder concentration as members or non-members with regulatory capital stock outstanding in excess of 10 percent of the Bank's total regulatory capital stock. The following tables present transactions with shareholders whose holdings of regulatory capital stock exceed 10 percent of total regulatory capital stock outstanding. As of September 30, 2015 Regulatory Capital Stock Outstanding Percent of Total Regulatory Capital Stock Outstanding Par Value of Advances Percent of Total Par Value Advances Interest-bearing Deposits Percent of Total Interest-bearing Deposits Bank of America, National Association $ 706 16.03 $ 16,262 18.89 $ — 0.01 Navy Federal Credit Union 617 14.01 14,164 16.45 56 4.96 As of December 31, 2014 Regulatory Capital Stock Outstanding Percent of Total Regulatory Capital Stock Outstanding Par Value of Advances Percent of Total Par Value Advances Interest-bearing Deposits Percent of Total Interest-bearing Deposits Bank of America, National Association $ 803 15.54 $ 17,512 17.89 $ — 0.01 Capital One, National Association 792 15.32 17,265 17.64 2 0.20 |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | On October 28, 2015, the Bank’s board of directors approved a cash dividend for the third quarter of 2015. The Bank paid the third quarter 2015 dividend on November 3, 2015, in the amount of $55 . |
Trading Securities (Tables)
Trading Securities (Tables) - Categories of Investments, Marketable Securities, Trading Securities [Member] | 9 Months Ended |
Sep. 30, 2015 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Schedule of Major Trading Securities | Major Security Types. Trading securities were as follows: As of September 30, 2015 As of December 31, 2014 Government-sponsored enterprises debt obligations $ 1,173 $ 1,208 Another FHLBank’s bond (1) 54 60 State or local housing agency debt obligations 1 1 Total $ 1,228 $ 1,269 ____________ (1) The Federal Home Loan Bank of Chicago is the primary obligor of this consolidated obligation bond. |
Schedule of Net Unrealized and Realized (Losses) Gains on Trading Securities | Net losses on trading securities were as follows: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Net losses on trading securities held at period end $ (15 ) $ (19 ) $ (42 ) $ (46 ) |
Available-for-sale Securities (
Available-for-sale Securities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-Sale Securities Reconciliation | Major Security Type. Private-label residential mortgaged-backed securities (MBS) were as follows: Amortized Cost Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of September 30, 2015 $ 1,638 $ 20 $ 112 $ — $ 1,730 As of December 31, 2014 $ 1,863 $ 19 $ 137 $ — $ 1,981 |
Summary of Available-for-Sale MBS Issued by Members or Affiliates of Members | A summary of available-for-sale MBS issued by members or affiliates of members, Bank of America Corporation, Charlotte, NC, follows: Amortized Cost Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of September 30, 2015 $ 1,078 $ 19 $ 72 $ — $ 1,131 As of December 31, 2014 $ 1,213 $ 17 $ 90 $ — $ 1,286 |
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-Sale Securities with Unrealized Losses | The following tables summarize the private-label residential MBS with unrealized losses. The unrealized losses are aggregated by length of time that the individual securities have been in a continuous unrealized loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses As of September 30, 2015 2 $ 96 $ 1 10 $ 254 $ 19 12 $ 350 $ 20 As of December 31, 2014 4 $ 140 $ 2 9 $ 191 $ 17 13 $ 331 $ 19 |
Held-to-maturity Securities (Ta
Held-to-maturity Securities (Tables) - Held-to-maturity Securities [Member] | 9 Months Ended |
Sep. 30, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Schedule of Held-to-Maturity Securities | Major Security Types. Held-to-maturity securities were as follows: As of September 30, 2015 As of December 31, 2014 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value State or local housing agency debt obligations $ 77 $ — $ — $ 77 $ 81 $ 1 $ — $ 82 Government-sponsored enterprises debt obligations 6,042 2 1 6,043 6,667 2 13 6,656 Mortgage-backed securities: U.S. agency obligations-guaranteed single-family residential 299 4 — 303 366 5 — 371 Government-sponsored enterprises single-family residential 12,466 124 6 12,584 13,665 125 24 13,766 Government-sponsored enterprises multifamily commercial 3,178 3 7 3,174 1,663 3 7 1,659 Private-label residential 1,162 6 11 1,157 1,455 9 10 1,454 Total $ 23,224 $ 139 $ 25 $ 23,338 $ 23,897 $ 145 $ 54 $ 23,988 |
Schedule of Unrealized Loss on Investments | The following tables summarize the held-to-maturity securities with unrealized losses. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. As of September 30, 2015 Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Government-sponsored enterprises debt obligations 8 $ 2,389 $ 1 3 $ 749 $ — 11 $ 3,138 $ 1 Mortgage-backed securities: Government-sponsored enterprises single-family residential 8 410 — 12 565 6 20 975 6 Government-sponsored enterprises multifamily commercial 40 2,318 5 10 571 2 50 2,889 7 Private-label residential 23 283 1 43 434 10 66 717 11 Total 79 $ 5,400 $ 7 68 $ 2,319 $ 18 147 $ 7,719 $ 25 As of December 31, 2014 Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Government-sponsored enterprises debt obligations 4 $ 899 $ 1 6 $ 1,233 $ 12 10 $ 2,132 $ 13 Mortgage-backed securities: Government-sponsored enterprises single-family residential 8 496 1 26 1,828 23 34 2,324 24 Government-sponsored enterprises multifamily commercial 14 758 1 2 285 6 16 1,043 7 Private-label residential 22 229 1 32 415 9 54 644 10 Total 48 $ 2,382 $ 4 66 $ 3,761 $ 50 114 $ 6,143 $ 54 |
Amortized Cost and Estimated Fair Value of Held-to-Maturity Securities by Contractual Maturity | Redemption Terms. The amortized cost and estimated fair value of held-to-maturity securities by contractual maturity are shown below. Expected maturities of some securities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. As of September 30, 2015 As of December 31, 2014 Amortized Cost Estimated Fair Value Amortized Cost Estimated Fair Value Non-mortgage-backed securities: Due in one year or less $ 802 $ 802 $ 1,166 $ 1,166 Due after one year through five years 5,317 5,318 5,582 5,572 Total non-mortgage-backed securities 6,119 6,120 6,748 6,738 Mortgage-backed securities 17,105 17,218 17,149 17,250 Total $ 23,224 $ 23,338 $ 23,897 $ 23,988 |
Held-to-Maturity MBS Issued by Members or Affiliates of Members | A summary of held-to-maturity MBS issued by members or affiliates of members, Bank of America Corporation, Charlotte, NC, follows: Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of September 30, 2015 $ 307 $ 1 $ 4 $ 304 As of December 31, 2014 $ 419 $ 2 $ 4 $ 417 |
Other-than-Temporary Impairme28
Other-than-Temporary Impairment (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Schedule of Significant Inputs in Measuring Other than Temporary Impairments Recognized in Earnings | The following table represents a summary of the significant inputs used to measure the amount of the credit loss recognized in earnings for those securities for which an other-than-temporary impairment was determined to have occurred during the three-month period ended September 30, 2015 , as well as related current credit enhancement: Significant Inputs - Weighted Average (%) Classification of Securities Prepayment Rates Default Rates Loss Severities Current Credit Enhancement (%) Alt-A 11.67 23.35 37.00 0.17 |
Schedule of Roll-Forward Cumulative Credit Losses Recognized | The following table presents a roll-forward of the amount of credit losses on the Bank’s investment securities recognized in earnings during the life of the securities for which a portion of the other-than-temporary loss was recognized in accumulated other comprehensive income: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Balance, beginning of period $ 526 $ 559 $ 542 $ 574 Amount related to credit loss for which an other-than-temporary impairment was previously recognized 1 2 5 3 Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities) (10 ) (9 ) (30 ) (25 ) Balance, end of period $ 517 $ 552 $ 517 $ 552 |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances | Redemption Terms. The Bank had advances outstanding, as summarized below. As of September 30, 2015 As of December 31, 2014 Due in one year or less $ 47,207 $ 57,675 Due after one year through two years 12,024 12,283 Due after two years through three years 7,295 9,435 Due after three years through four years 2,763 5,146 Due after four years through five years 2,915 2,910 Due after five years 13,872 10,433 Total par value 86,076 97,882 Discount on AHP (1) advances (6 ) (7 ) Discount on EDGE (2) advances (5 ) (5 ) Hedging adjustments 1,698 1,778 Deferred commitment fees (1 ) (4 ) Total $ 87,762 $ 99,644 ___________ (1) The Affordable Housing Program (2) The Economic Development and Growth Enhancement program The following table summarizes advances by year of contractual maturity or, for convertible advances, next conversion date: As of September 30, 2015 As of December 31, 2014 Due or convertible in one year or less $ 49,583 $ 60,551 Due or convertible after one year through two years 10,909 12,040 Due or convertible after two years through three years 6,274 7,866 Due or convertible after three years through four years 2,719 4,241 Due or convertible after four years through five years 2,907 2,900 Due or convertible after five years 13,684 10,284 Total par value $ 86,076 $ 97,882 Interest-rate Payment Terms. The following table details interest-rate payment terms for advances: As of September 30, 2015 As of December 31, 2014 Fixed-rate: Due in one year or less $ 32,799 $ 42,839 Due after one year 28,906 30,089 Total fixed-rate 61,705 72,928 Variable-rate: Due in one year or less 14,409 14,836 Due after one year 9,962 10,118 Total variable-rate 24,371 24,954 Total par value $ 86,076 $ 97,882 |
Mortgage Loans Held for Portf30
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Schedule of Mortgage Loans Held for Portfolio | The following table presents information on mortgage loans held for portfolio by contractual maturity at the time of purchase: As of September 30, 2015 As of December 31, 2014 Fixed-rate medium-term (1) single-family residential mortgage loans $ 73 $ 103 Fixed-rate long-term single-family residential mortgage loans 549 648 Total unpaid principal balance 622 751 Premiums 2 2 Discounts (3 ) (4 ) Total $ 621 $ 749 ____________ (1) Medium-term is defined as a term of 15 years or less. |
Mortgage Loans Held for Portfolio by Collateral or Guarantee Type | The following table details the unpaid principal balance of mortgage loans held for portfolio by collateral or guarantee type: As of September 30, 2015 As of December 31, 2014 Conventional loans $ 577 $ 698 Government-guaranteed or insured loans 45 53 Total unpaid principal balance $ 622 $ 751 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses on Financing Receivables | The activity in the allowance for credit losses related to conventional single-family residential mortgage loans was as follows: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Balance, beginning of period $ 2 $ 6 $ 3 $ 11 Provision (reversal) for credit losses 1 (2 ) — (4 ) Charge-offs — — — (3 ) Balance, end of period $ 3 $ 4 $ 3 $ 4 |
Allowance for Credit Losses and Recorded Investment by Impairment Methodology | The recorded investment in conventional single-family residential mortgage loans by impairment methodology was as follows: As of September 30, 2015 As of December 31, 2014 Allowance for credit losses: Individually evaluated for impairment $ 1 $ 1 Collectively evaluated for impairment 2 2 Total allowance for credit losses $ 3 $ 3 Recorded investment: Individually evaluated for impairment $ 15 $ 15 Collectively evaluated for impairment 564 685 Total recorded investment $ 579 $ 700 |
Past Due Financing Receivables | The tables below summarize the Bank's recorded investment in mortgage loans by these key credit quality indicators: As of September 30, 2015 Conventional Single-family Residential Mortgage Loans Government-guaranteed or Insured Single-family Residential Mortgage Loans Total Past due 30-59 days $ 20 $ 3 $ 23 Past due 60-89 days 5 2 7 Past due 90 days or more 19 3 22 Total past due mortgage loans 44 8 52 Total current mortgage loans 535 37 572 Total mortgage loans (1) $ 579 $ 45 $ 624 Other delinquency statistics: In process of foreclosure (2) $ 10 $ 1 $ 11 Seriously delinquent rate (3) 3.25 % 7.08 % 3.52 % Past due 90 days or more and still accruing interest (4) $ — $ 3 $ 3 Loans on nonaccrual status (5) $ 19 $ — $ 19 ____________ (1) The difference between the recorded investment and the carrying value of total mortgage loans of $3 relates to accrued interest. (2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in lieu has been reported. Loans in the process of foreclosure are included in past due or current loans depending on their delinquency status. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio segment. (4) Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs. (5) Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. As of December 31, 2014 Conventional Single-family Residential Mortgage Loans Government-guaranteed or Insured Single-family Residential Mortgage Loans Total Past due 30-59 days $ 22 $ 6 $ 28 Past due 60-89 days 6 2 8 Past due 90 days or more 33 6 39 Total past due mortgage loans 61 14 75 Total current mortgage loans 639 39 678 Total mortgage loans (1) $ 700 $ 53 $ 753 Other delinquency statistics: In process of foreclosure (2) $ 19 $ 1 $ 20 Seriously delinquent rate (3) 4.73 % 10.33 % 5.13 % Past due 90 days or more and still accruing interest (4) $ — $ 6 $ 6 Loans on nonaccrual status (5) $ 33 $ — $ 33 ____________ (1) The difference between the recorded investment and the carrying value of total mortgage loans of $4 relates to accrued interest. (2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in lieu has been reported. Loans in the process of foreclosure are included in past due or current loans depending on their delinquency status. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio segment. (4) Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs. (5) Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |
Troubled Debt Restructurings on Financing Receivables | The table below presents the Bank's recorded investment balance in mortgage loans classified as troubled debt restructurings: As of September 30, 2015 As of December 31, 2014 Performing Non-performing Total Performing Non-performing Total Conventional single-family residential loans $ 12 $ 3 $ 15 $ 11 $ 4 $ 15 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Debt Disclosure [Abstract] | |
Consolidated Obligation Bonds by Interest-Rate Payment | Interest-rate Payment Terms. The following table details the Bank’s consolidated obligation bonds by interest-rate payment type: As of September 30, 2015 As of December 31, 2014 Fixed-rate $ 51,881 $ 77,912 Step up/down 5,046 6,301 Simple variable-rate 17,672 7,550 Variable-rate capped floater — 25 Total par value $ 74,599 $ 91,788 |
Consolidated Obligation Bonds Outstanding, by Year of Contractual Maturity | Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding, by year of contractual maturity: As of September 30, 2015 As of December 31, 2014 Amount Weighted- average Interest Rate (%) Amount Weighted- average Interest Rate (%) Due in one year or less $ 37,560 0.57 $ 52,081 0.24 Due after one year through two years 17,890 1.32 16,116 1.27 Due after two years through three years 8,471 1.75 9,683 2.22 Due after three years through four years 2,827 1.57 4,971 1.67 Due after four years through five years 3,126 1.71 3,094 1.56 Due after five years 4,725 2.14 5,843 2.12 Total par value 74,599 1.08 91,788 0.86 Premiums 46 73 Discounts (16 ) (21 ) Hedging adjustments 336 248 Total $ 74,965 $ 92,088 |
Callable and Noncallable Consolidated Obligations Bonds Outstanding | The following presents the Bank’s consolidated obligation bonds outstanding by call feature: As of September 30, 2015 As of December 31, 2014 Noncallable $ 59,649 $ 69,164 Callable 14,950 22,624 Total par value $ 74,599 $ 91,788 |
Summary of Callable Consolidated Obligation Bonds Outstanding, by Year of Contractual Maturity | The following table summarizes the Bank’s consolidated obligation bonds outstanding, by year of contractual maturity, or for callable consolidated obligation bonds, next call date: As of September 30, 2015 As of December 31, 2014 Due or callable in one year or less $ 49,745 $ 67,980 Due or callable after one year through two years 16,885 12,220 Due or callable after two years through three years 5,010 7,796 Due or callable after three years through four years 1,229 2,177 Due or callable after four years through five years 1,110 875 Due or callable after five years 620 740 Total par value $ 74,599 $ 91,788 |
Consolidated Obligation Discount Notes | The Bank’s participation in consolidated obligation discount notes was as follows: Book Value Par Value Weighted-average Interest Rate (%) As of September 30, 2015 $ 41,867 $ 41,881 0.16 As of December 31, 2014 $ 37,162 $ 37,169 0.10 |
Capital and Mandatorily Redee33
Capital and Mandatorily Redeemable Capital Stock (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Capital [Abstract] | |
Schedule of Compliance With Regulatory Capital Requirements | The Bank was in compliance with the Federal Housing Finance Agency's (Finance Agency) regulatory capital rules and requirements as shown in the following table: As of September 30, 2015 As of December 31, 2014 Required Actual Required Actual Risk based capital $ 1,633 $ 6,229 $ 2,113 $ 6,914 Total capital-to-assets ratio 4.00 % 4.99 % 4.00 % 5.00 % Total regulatory capital (1) $ 4,997 $ 6,229 $ 5,534 $ 6,914 Leverage ratio 5.00 % 7.48 % 5.00 % 7.50 % Leverage capital $ 6,246 $ 9,344 $ 6,917 $ 10,371 ____________ (1) Total regulatory capital does not include accumulated other comprehensive income, but does include mandatorily redeemable capital stock. |
Activity in Mandatorily Redeemable Capital Stock | The following table provides the activity in mandatorily redeemable capital stock: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Balance, beginning of period $ 16 $ 21 $ 19 $ 24 Reclassification from capital during the period 4 3 11 4 Repurchase/redemption of mandatorily redeemable capital stock (3 ) (5 ) (13 ) (9 ) Balance, end of period $ 17 $ 19 $ 17 $ 19 |
Amount of Mandatorily Redeemable Capital Stock by Year of Redemption | The following table shows the amount of mandatorily redeemable capital stock by year of redemption. The year of redemption in the table is the end of the five -year redemption period, or with respect to activity-based stock, the later of the expiration of the five -year redemption period or the activity’s maturity date. As of September 30, 2015 As of December 31, 2014 Due in one year or less $ 8 $ 9 Due after one year through two years 6 8 Due after two years through three years — 1 Due after four years through five years 3 1 Total $ 17 $ 19 |
Accumulated Other Comprehensi34
Accumulated Other Comprehensive Income (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Components Comprising Accumulated Other Comprehensive Income | Components comprising accumulated other comprehensive income were as follows: Pension and Postretirement Benefits Noncredit Portion of Other-than- temporary Impairment Losses on Available-for- sale Securities Total Accumulated Other Comprehensive Income Balance, June 30, 2014 $ (12 ) $ 142 $ 130 Other comprehensive income before reclassifications: Net change in fair value — (5 ) (5 ) Reclassification from accumulated other comprehensive income to net income: Noncredit other-than-temporary impairment losses — 2 2 Net current period other comprehensive loss — (3 ) (3 ) Balance, September 30, 2014 $ (12 ) $ 139 $ 127 Balance, June 30, 2015 $ (22 ) $ 99 $ 77 Other comprehensive income before reclassifications: Net change in fair value — (8 ) (8 ) Reclassification from accumulated other comprehensive income to net income: Noncredit other-than-temporary impairment losses — 1 1 Amortization of pension and postretirement (1) 1 — 1 Net current period other comprehensive income (loss) 1 (7 ) (6 ) Balance, September 30, 2015 $ (21 ) $ 92 $ 71 ____________ (1) Included in Compensation and benefits on the Statements of Income. Pension and Postretirement Benefits Noncredit Portion of Other-than- temporary Impairment Losses on Available-for- sale Securities Total Accumulated Other Comprehensive Income Balance, December 31, 2013 $ (13 ) $ 125 $ 112 Other comprehensive income before reclassifications: Net change in fair value — 11 11 Reclassification from accumulated other comprehensive income to net income: Noncredit other-than-temporary impairment losses — 3 3 Amortization of pension and postretirement (1) 1 — 1 Net current period other comprehensive income 1 14 15 Balance, September 30, 2014 $ (12 ) $ 139 $ 127 Balance, December 31, 2014 $ (23 ) $ 118 $ 95 Other comprehensive income before reclassifications: Net change in fair value — (31 ) (31 ) Reclassification from accumulated other comprehensive income to net income: Noncredit other-than-temporary impairment losses — 5 5 Amortization of pension and postretirement (1) 2 — 2 Net current period other comprehensive income (loss) 2 (26 ) (24 ) Balance, September 30, 2015 $ (21 ) $ 92 $ 71 ____________ (1) Included in Compensation and benefits on the Statements of Income. |
Derivatives and Hedging Activ35
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | The following table summarizes the fair value of derivative instruments, including the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. As of September 30, 2015 As of December 31, 2014 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives in hedging relationships: Interest rate swaps $ 93,114 $ 494 $ (1,798 ) $ 103,004 $ 454 $ (1,995 ) Derivatives not designated as hedging instruments: Interest rate swaps 2,434 15 (97 ) 6,348 12 (131 ) Interest rate caps or floors 16,500 17 (11 ) 16,500 20 (13 ) Total derivatives not designated as hedging instruments 18,934 32 (108 ) 22,848 32 (144 ) Total derivatives before netting and collateral adjustments $ 112,048 526 (1,906 ) $ 125,852 486 (2,139 ) Netting adjustments and cash collateral (1) (325 ) 1,774 (374 ) 1,955 Derivative assets and derivative liabilities $ 201 $ (132 ) $ 112 $ (184 ) ___________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $1,516 and $1,613 as of September 30, 2015 and December 31, 2014 , respectively. Cash collateral received and related accrued interest was $68 and $32 as of September 30, 2015 and December 31, 2014 , respectively. |
Components of Net Losses on Derivatives and Hedging Activities | The following tables present the components of net gains on derivatives and hedging activities as presented in the Statements of Income: For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ 21 $ 78 $ 238 $ 129 Derivatives not designated as hedging instruments: Interest rate swaps 11 20 36 45 Interest rate caps or floors (1 ) (4 ) (1 ) (13 ) Net interest settlements (15 ) (17 ) (45 ) (53 ) Total net losses related to derivatives not designated as hedging instruments (5 ) (1 ) (10 ) (21 ) Net gains on derivatives and hedging activities $ 16 $ 77 $ 228 $ 108 |
Gain (Losses) on Derivatives and Related Hedged Items Fair Value | The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income: For the Three Months Ended September 30, 2015 2014 Hedged Item Type Gains (Losses) on Derivative Gains (Losses) on Hedged Item Net Fair Value Effect of Derivatives on Net Interest Income (1) Gains (Losses) on Derivative Gains (Losses) on Hedged Item Net Fair Value Effect of Derivatives on Net Interest Income (1) Advances $ (327 ) $ 357 $ 30 $ (173 ) $ 319 $ (243 ) $ 76 $ (229 ) Consolidated obligations: Bonds 77 (86 ) (9 ) 124 (134 ) 136 2 118 Discount notes — — — 3 — — — — Total $ (250 ) $ 271 $ 21 $ (46 ) $ 185 $ (107 ) $ 78 $ (111 ) ____________ (1) The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. For the Nine Months Ended September 30, 2015 2014 Hedged Item Type Gains (Losses) on Derivative Gains (Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Gains (Losses) on Derivative Gains (Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Advances $ 71 $ 187 $ 258 $ (547 ) $ 80 $ 47 $ 127 $ (671 ) Consolidated obligations: Bonds 74 (94 ) (20 ) 366 80 (78 ) 2 383 Discount notes 2 (2 ) — 6 — — — — Total $ 147 $ 91 $ 238 $ (175 ) $ 160 $ (31 ) $ 129 $ (288 ) ____________ (1) The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. |
Offsetting of derivative assets and liabilities | The following table presents the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties. As of September 30, 2015 As of December 31, 2014 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Gross recognized amount: Uncleared derivatives $ 409 $ (1,395 ) $ 439 $ (1,757 ) Cleared derivatives 117 (511 ) 47 (382 ) Total gross recognized amount 526 (1,906 ) 486 (2,139 ) Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (404 ) 1,263 (438 ) 1,573 Cleared derivatives 79 511 64 382 Total gross amounts of netting adjustments and cash collateral (325 ) 1,774 (374 ) 1,955 Derivative assets and derivative liabilities: Uncleared derivatives 5 (132 ) 1 (184 ) Cleared derivatives 196 — 111 — Total derivative assets and total derivative liabilities 201 (132 ) 112 (184 ) Non-cash collateral received or pledged not offset-cannot be sold or repledged: (1) Uncleared derivatives 5 — 1 — Net unsecured amounts: (2) Uncleared derivatives — (132 ) — (184 ) Cleared derivatives 196 — 111 — Total net unsecured amount $ 196 $ (132 ) $ 111 $ (184 ) ____________ (1) Collateral held with respect to derivatives with member institutions where the Bank is acting as an intermediary represents the amount of eligible collateral physically held by or on behalf of the Bank or collateral assigned to the Bank, as evidenced by a written security agreement, and held by the member institution for the benefit of the Bank. (2) The Bank had net credit exposure of $194 and $110 as of September 30, 2015 and December 31, 2014 , respectively, due to instances where the Bank’s pledged collateral to a counterparty exceeds the Bank’s net derivative liability position. |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Financial Assets and Liabilities Measured at Fair Value on Recurring Basis | Estimated Fair Value Measurements on a Recurring Basis. The following tables present, for each fair value hierarchy level, the Bank’s financial assets and liabilities that are measured at fair value on a recurring basis on its Statements of Condition. As of September 30, 2015 Fair Value Measurements Using Netting Adjustment (1) Level 1 Level 2 Level 3 Total Assets Trading securities: Government-sponsored enterprises debt obligations $ — $ 1,173 $ — $ — $ 1,173 Another FHLBank’s bond — 54 — — 54 State or local housing agency debt obligations — 1 — — 1 Total trading securities — 1,228 — — 1,228 Available-for-sale securities: Private-label residential MBS — — 1,730 — 1,730 Derivative assets: Interest-rate related — 526 — (325 ) 201 Grantor trust (included in Other assets) 30 — — — 30 Total assets at fair value $ 30 $ 1,754 $ 1,730 $ (325 ) $ 3,189 Liabilities Derivative liabilities: Interest-rate related $ — $ (1,906 ) $ — $ 1,774 $ (132 ) Total liabilities at fair value $ — $ (1,906 ) $ — $ 1,774 $ (132 ) ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. As of December 31, 2014 Fair Value Measurements Using Netting Adjustment (1) Level 1 Level 2 Level 3 Total Assets Trading securities: Government-sponsored enterprises debt obligations $ — $ 1,208 $ — $ — $ 1,208 Another FHLBank’s bond — 60 — — 60 State or local housing agency debt obligations — 1 — — 1 Total trading securities — 1,269 — — 1,269 Available-for-sale securities: Private-label residential MBS — — 1,981 — 1,981 Derivative assets: Interest-rate related — 486 — (374 ) 112 Grantor trust (included in Other assets) 25 — — — 25 Total assets at fair value $ 25 $ 1,755 $ 1,981 $ (374 ) $ 3,387 Liabilities Derivative liabilities: Interest-rate related $ — $ (2,139 ) $ — $ 1,955 $ (184 ) Total liabilities at fair value $ — $ (2,139 ) $ — $ 1,955 $ (184 ) ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
Reconciliation of Available-For-Sale Securities Measured at Fair Value | The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3): For the Three Months Ended September 30, For the Nine Months Ended September 30, 2015 2014 2015 2014 Balance, beginning of period $ 1,823 $ 2,155 $ 1,981 $ 2,299 Total (losses) gains realized and unrealized: (1) Included in net impairment losses recognized in earnings (1 ) (2 ) (5 ) (3 ) Included in other comprehensive income (2) (7 ) (3 ) (26 ) 14 Accretion of credit losses in net interest income 10 8 30 24 Settlements (95 ) (85 ) (250 ) (261 ) Balance, end of period $ 1,730 $ 2,073 $ 1,730 $ 2,073 ____________ (1) Related to available-for-sale securities held at period end. (2) This amount is included in other comprehensive income within the net change in fair value on other-than-temporary impairment available-for-sale securities and reclassification of noncredit portion of impairment losses included in net income. |
Financial Assets Measured at Fair Value on Nonrecurring Basis | Estimated Fair Value Measurements on a Nonrecurring Basis. The Bank periodically measures and recognizes certain assets at fair value on a nonrecurring basis. These assets are not measured at fair value on a recurring basis but are subject to fair value adjustments in certain circumstances. These adjustments to fair value usually result from the application of lower of amortized cost or fair value accounting or write-downs of individual assets due to impairment. The following tables present the fair value hierarchy and carrying value of all assets as of the last impairment date that were still held as of September 30, 2015 and December 31, 2014 , for which a nonrecurring fair value adjustment was recorded during the periods presented. As of September 30, 2015 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Mortgage loans held for portfolio $ — $ — $ 1 $ 1 Real estate owned — — 3 3 Total nonrecurring assets at fair value $ — $ — $ 4 $ 4 As of December 31, 2014 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Real estate owned $ — $ — $ 7 $ 7 |
Carrying Values and Estimated Fair Values | The carrying values and estimated fair values of the Bank’s financial instruments were as follows: As of September 30, 2015 Estimated Fair Value Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (1) Assets: Cash and due from banks $ 1,287 $ 1,287 $ 1,287 $ — $ — $ — Interest bearing-deposits 1,140 1,140 — 1,140 — — Securities purchased under agreements to resell 2,500 2,500 — 2,500 — — Federal funds sold 4,840 4,840 — 4,840 — — Trading securities 1,228 1,228 — 1,228 — — Available-for-sale securities 1,730 1,730 — — 1,730 — Held-to-maturity securities 23,224 23,338 — 22,181 1,157 — Advances 87,762 87,633 — 87,633 — — Mortgage loans held for portfolio, net 618 687 — 686 1 — Accrued interest receivable 170 170 — 170 — — Derivative assets 201 201 — 526 — (325 ) Grantor trust assets (included in Other assets) 30 30 30 — — — Liabilities: Interest-bearing deposits (1,173 ) (1,173 ) — (1,173 ) — — Consolidated obligations, net: Discount notes (41,867 ) (41,868 ) — (41,868 ) — — Bonds (74,965 ) (75,025 ) — (75,025 ) — — Mandatorily redeemable capital stock (17 ) (17 ) (17 ) — — — Accrued interest payable (213 ) (213 ) — (213 ) — — Derivative liabilities (132 ) (132 ) — (1,906 ) — 1,774 ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. As of December 31, 2014 Estimated Fair Value Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (1) Assets: Cash and due from banks $ 915 $ 915 $ 915 $ — $ — $ — Interest bearing-deposits 1,010 1,010 — 1,010 — — Securities purchased under agreements to resell 1,960 1,960 — 1,960 — — Federal funds sold 6,385 6,385 — 6,385 — — Trading securities 1,269 1,269 — 1,269 — — Available-for-sale securities 1,981 1,981 — — 1,981 — Held-to-maturity securities 23,897 23,988 — 22,534 1,454 — Advances 99,644 99,579 — 99,579 — — Mortgage loans held for portfolio, net 746 828 — 828 — — Accrued interest receivable 179 179 — 179 — — Derivative assets 112 112 — 486 — (374 ) Grantor trust assets (included in Other assets) 25 25 25 — — — Liabilities: Interest-bearing deposits (1,110 ) (1,110 ) — (1,110 ) — — Consolidated obligations, net: Discount notes (37,162 ) (37,162 ) — (37,162 ) — — Bonds (92,088 ) (92,211 ) — (92,211 ) — — Mandatorily redeemable capital stock (19 ) (19 ) (19 ) — — — Accrued interest payable (145 ) (145 ) — (145 ) — — Derivative liabilities (184 ) (184 ) — (2,139 ) — 1,955 ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off Balance Sheet Commitments [Table Text Block] | The following table shows the Bank's outstanding commitments, which represent off-balance sheet obligations: As of September 30, 2015 As of December 31, 2014 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit (1) $ 8,482 $ 21,360 $ 29,842 $ 7,409 $ 23,519 $ 30,928 Commitments to fund additional advances 302 105 407 189 20 209 Unsettled consolidated obligation bonds, at par (2) 205 — 205 100 — 100 Unsettled consolidated obligation discount notes, at par (2) — — — 50 — 50 ____________ (1) Expire within one year includes 11 standby letters of credit for a total of $29 and 17 standby letters of credit for a total of $25 as of September 30, 2015 and December 31, 2014 , respectively, that have no stated maturity date and are subject to renewal on an annual basis. (2) Expiration is based on settlement period rather than underlying contractual maturity of consolidated obligations. As of September 30, 2015 and December 31, 2014 , $205 and $ 100 of the Bank's unsettled consolidated obligation bonds were hedged with associated interest rate swaps that had traded but not yet settled, respectively. As of September 30, 2015 and December 31, 2014 , $0 and $50 of the Bank's unsettled consolidated obligation discount notes were hedged with associated interest rate swaps that had traded but not yet settled, respectively. |
Transactions With Shareholders
Transactions With Shareholders (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Transactions With Shareholders [Abstract] | |
Schedule of Transactions with Shareholders [Table Text Block] | Shareholder Concentrations. The Bank considers shareholder concentration as members or non-members with regulatory capital stock outstanding in excess of 10 percent of the Bank's total regulatory capital stock. The following tables present transactions with shareholders whose holdings of regulatory capital stock exceed 10 percent of total regulatory capital stock outstanding. As of September 30, 2015 Regulatory Capital Stock Outstanding Percent of Total Regulatory Capital Stock Outstanding Par Value of Advances Percent of Total Par Value Advances Interest-bearing Deposits Percent of Total Interest-bearing Deposits Bank of America, National Association $ 706 16.03 $ 16,262 18.89 $ — 0.01 Navy Federal Credit Union 617 14.01 14,164 16.45 56 4.96 As of December 31, 2014 Regulatory Capital Stock Outstanding Percent of Total Regulatory Capital Stock Outstanding Par Value of Advances Percent of Total Par Value Advances Interest-bearing Deposits Percent of Total Interest-bearing Deposits Bank of America, National Association $ 803 15.54 $ 17,512 17.89 $ — 0.01 Capital One, National Association 792 15.32 17,265 17.64 2 0.20 |
Trading Securities (Trading Sec
Trading Securities (Trading Securities by Major Security Type) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Trading securities | $ 1,228 | $ 1,269 | |
Government-Sponsored Enterprises Debt Obligations [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Trading securities | 1,173 | 1,208 | |
Other FHLBank's Bond [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Trading securities | [1] | 54 | 60 |
State or Local Housing Agency Obligations [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Trading securities | $ 1 | $ 1 | |
[1] | The Federal Home Loan Bank of Chicago is the primary obligor of this consolidated obligation bond. |
Trading Securities (Net Losses
Trading Securities (Net Losses on Trading Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Trading Securities [Abstract] | ||||
Net losses on trading securities held at period end | $ (15) | $ (19) | $ (42) | $ (46) |
Available-for-sale Securities41
Available-for-sale Securities (Available-for-sale by Major Security Type) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | $ 1,730 | $ 1,981 |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized cost of available-for-sale securities | 1,638 | 1,863 |
Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income | 20 | 19 |
Gross unrealized gains on available-for-sale securities | 112 | 137 |
Gross unrealized losses on available-for-sale securities | 0 | 0 |
Available-for-sale Securities, Debt Securities | $ 1,730 | $ 1,981 |
Available-for-sale Securities42
Available-for-sale Securities (Summary of Available-for-sale Securities in a Continuous Unrealized Loss Position) (Details) - Residential Mortgage Backed Securities [Member] - Mortgage-backed Securities, Issued by Private Enterprises [Member] $ in Millions | Sep. 30, 2015USD ($)positions | Dec. 31, 2014USD ($)positions |
Schedule of Available-for-sale Securities [Line Items] | ||
Number of available-for-sale securities in unrealized loss position for less than 12 months | positions | 2 | 4 |
Number of available-for-sale securities in unrealized loss position for 12 months or more | positions | 10 | 9 |
Number of available-for-sale securities in unrealized loss position | positions | 12 | 13 |
Estimated fair value of available-for-sale securities in unrealized loss position for less than 12 months | $ 96 | $ 140 |
Estimated fair value of available-for-sale securities in unrealized loss position for 12 months or more | 254 | 191 |
Estimated fair value of available-for-sale securities in unrealized loss position | 350 | 331 |
Available For Sale Securities Continuous Unrealized Loss Position Less Than 12 Months Aggregate Losses Accumulated In AOCI | 1 | 2 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In AOCI | 19 | 17 |
Available For Sale Securities Continuous Unrealized Loss Position Aggregate Losses Accumulated In AOCI | $ 20 | $ 19 |
Available-for-sale Securities43
Available-for-sale Securities (Summary of Available-for-sale MBS issued by Members or Affiliates of Members) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Securities | $ 1,730 | $ 1,981 |
M B S Issued by Members or Affiliates of Members [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized cost of available-for-sale securities | 1,078 | 1,213 |
Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income | 19 | 17 |
Gross unrealized gains on available-for-sale securities | 72 | 90 |
Gross unrealized losses on available-for-sale securities | 0 | 0 |
Available-for-sale Securities, Debt Securities | $ 1,131 | $ 1,286 |
Held-to-maturity Securities (He
Held-to-maturity Securities (Held-to-maturity by Major Security Type) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | $ 23,224 | $ 23,897 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 139 | 145 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 25 | 54 |
Held-to-maturity securities, fair value | 23,338 | 23,988 |
State or Local Housing Agency Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 77 | 81 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 0 | 1 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 0 | 0 |
Held-to-maturity securities, fair value | 77 | 82 |
Government-Sponsored Enterprises Debt Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 6,042 | 6,667 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 2 | 2 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 1 | 13 |
Held-to-maturity securities, fair value | 6,043 | 6,656 |
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 1,162 | 1,455 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 6 | 9 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 11 | 10 |
Held-to-maturity securities, fair value | 1,157 | 1,454 |
Single Family [Member] | U.S. agency obligations-guaranteed single-family residential [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 299 | 366 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 4 | 5 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 0 | 0 |
Held-to-maturity securities, fair value | 303 | 371 |
Single Family [Member] | Mortgage-backed Securities, Government-sponsored enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 12,466 | 13,665 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 124 | 125 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 6 | 24 |
Held-to-maturity securities, fair value | 12,584 | 13,766 |
Multifamily [Member] | Mortgage-backed Securities, Government-sponsored enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 3,178 | 1,663 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 3 | 3 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 7 | 7 |
Held-to-maturity securities, fair value | $ 3,174 | $ 1,659 |
Held-to-maturity Securities (Su
Held-to-maturity Securities (Summary of Held-to-maturity Securities in a Continuous Unrealized Loss Position) (Details) $ in Millions | Sep. 30, 2015USD ($)positions | Dec. 31, 2014USD ($)positions |
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 79 | 48 |
Number of unrealized loss positions held more than 12 months | positions | 68 | 66 |
Total number of unrealized loss positions | positions | 147 | 114 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 5,400 | $ 2,382 |
Estimated fair value of unrealized loss positions held 12 months or more | 2,319 | 3,761 |
Total estimated fair value of positions in an unrealized loss | 7,719 | 6,143 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 7 | 4 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 18 | 50 |
Total gross unrealized loss | $ 25 | $ 54 |
Government-Sponsored Enterprises Debt Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 8 | 4 |
Number of unrealized loss positions held more than 12 months | positions | 3 | 6 |
Total number of unrealized loss positions | positions | 11 | 10 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 2,389 | $ 899 |
Estimated fair value of unrealized loss positions held 12 months or more | 749 | 1,233 |
Total estimated fair value of positions in an unrealized loss | 3,138 | 2,132 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 1 | 1 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 12 |
Total gross unrealized loss | $ 1 | $ 13 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 23 | 22 |
Number of unrealized loss positions held more than 12 months | positions | 43 | 32 |
Total number of unrealized loss positions | positions | 66 | 54 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 283 | $ 229 |
Estimated fair value of unrealized loss positions held 12 months or more | 434 | 415 |
Total estimated fair value of positions in an unrealized loss | 717 | 644 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 1 | 1 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 10 | 9 |
Total gross unrealized loss | $ 11 | $ 10 |
Single Family [Member] | Mortgage-backed Securities, Government-sponsored enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 8 | 8 |
Number of unrealized loss positions held more than 12 months | positions | 12 | 26 |
Total number of unrealized loss positions | positions | 20 | 34 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 410 | $ 496 |
Estimated fair value of unrealized loss positions held 12 months or more | 565 | 1,828 |
Total estimated fair value of positions in an unrealized loss | 975 | 2,324 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 1 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 6 | 23 |
Total gross unrealized loss | $ 6 | $ 24 |
Multifamily [Member] | Mortgage-backed Securities, Government-sponsored enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 40 | 14 |
Number of unrealized loss positions held more than 12 months | positions | 10 | 2 |
Total number of unrealized loss positions | positions | 50 | 16 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 2,318 | $ 758 |
Estimated fair value of unrealized loss positions held 12 months or more | 571 | 285 |
Total estimated fair value of positions in an unrealized loss | 2,889 | 1,043 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 5 | 1 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 2 | 6 |
Total gross unrealized loss | $ 7 | $ 7 |
Held-to-maturity Securities (Re
Held-to-maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | $ 23,224 | $ 23,897 |
Estimated fair value of held-to-maturity securities | 23,338 | 23,988 |
Non Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities due in one year or less | 802 | 1,166 |
Amortized cost of held-to-maturity securities due after one year through five years | 5,317 | 5,582 |
Amortized cost of held-to-maturity securities | 6,119 | 6,748 |
Estimated fair value of held-to-maturity securities due in one year or less | 802 | 1,166 |
Estimated fair value of held-to-maturity securities due after one year through five years | 5,318 | 5,572 |
Estimated fair value of held-to-maturity securities | 6,120 | 6,738 |
Mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 17,105 | 17,149 |
Estimated fair value of held-to-maturity securities | $ 17,218 | $ 17,250 |
Held-to-maturity Securities (47
Held-to-maturity Securities (Summary of Held-to-Maturity MBS issued by Members or Affliates of Members (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | $ 23,224 | $ 23,897 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 139 | 145 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 25 | 54 |
Held-to-maturity securities, fair value | 23,338 | 23,988 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Bank of America Corporation, Charlotte, NC [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 307 | 419 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 1 | 2 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 4 | 4 |
Held-to-maturity securities, fair value | $ 304 | $ 417 |
Other-than-temporary Impairme48
Other-than-temporary Impairment Other-than-temporary Impairment (Summary of Significant Inputs) (Details) - Alt A [Member] | 9 Months Ended |
Sep. 30, 2015 | |
Other Than Temporary Impairment Credit Losses Recognized [Abstract] | |
Significant Inputs Weighted Average Percentage Rate, Prepayment Rate | 11.67% |
Significant Inputs Weighted Average Percentage Rate Default Rate | 23.35% |
Significant Inputs Weighted Average Percentage Rate, Loss Severities | 37.00% |
Significant Inputs Weighted Average Percentage Rate Current Credit Enhancement | 0.17% |
Other-than-temporary Impairme49
Other-than-temporary Impairment (Roll-forward of Credit Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Schedule of Roll-Forward Cumulative Credit Losses Recognized | ||||
Balance, beginning of period | $ 526 | $ 559 | $ 542 | $ 574 |
Amount related to credit loss for which an other-than-temporary impairment was previously recognized | 1 | 2 | 5 | 3 |
Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities) | (10) | (9) | (30) | (25) |
Balance, end of period | $ 517 | $ 552 | $ 517 | $ 552 |
Other-than-temporary Impairme50
Other-than-temporary Impairment (Housing Price Forecast Narrative) (Details) | 9 Months Ended |
Sep. 30, 2015 | |
Schedule of Projected Home Price Recovery Ranges [Line Items] | |
Minimum number of people under CBSA | 10,000 |
Minimum [Member] | |
Schedule of Projected Home Price Recovery Ranges [Line Items] | |
Housing Price Forecast Current to Trough Assumptions Home Price Percentage Decline Rate | 3.00% |
Projected house price, increase rate | 2.00% |
Maximum [Member] | |
Schedule of Projected Home Price Recovery Ranges [Line Items] | |
Housing Price Forecast Current To Trough Assumptions Home Price Percentage Increase Rate | 8.00% |
Projected house price, increase rate | 5.00% |
Advances Advances (Redemption T
Advances Advances (Redemption Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Advances [Abstract] | |||
Federal Home Loan Bank, Advances, Maturities Summary, in Next Fiscal Year | $ 47,207 | $ 57,675 | |
Federal Home Loan Bank Advances, Maturities, Summary in Rolling Year Two | 12,024 | 12,283 | |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | 7,295 | 9,435 | |
Federal Home Loan Bank Advances, Maturities, Summary In Rolling Year Four | 2,763 | 5,146 | |
Federal Home Loan Bank Advances, Maturities, Summary In Rolling Year Five | 2,915 | 2,910 | |
Federal Home Loan Bank Advances, Maturities, Summary After Rolling Year Five | 13,872 | 10,433 | |
Federal Home Loan Bank, Advances, Par Value | 86,076 | 97,882 | |
Federal Home Loan Bank, Advances, Discount on Affordable Housing Program | [1] | (6) | (7) |
Discount on Economic Development and Growth Enhancement Program Advances | [2] | (5) | (5) |
Hedging adjustments | 1,698 | 1,778 | |
Federal Home Loan Bank, Advances, Commitment Fees | (1) | (4) | |
Federal Home Loan Bank Advances | $ 87,762 | $ 99,644 | |
[1] | The Affordable Housing Program | ||
[2] | The Economic Development and Growth Enhancement program |
Advances (Advances by Year of C
Advances (Advances by Year of Contractual Maturity for Convertible Advances) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Advances [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Next Rolling Twelve Months | $ 49,583 | $ 60,551 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two | 10,909 | 12,040 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three | 6,274 | 7,866 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four | 2,719 | 4,241 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five | 2,907 | 2,900 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five | 13,684 | 10,284 |
Federal Home Loan Bank, Advances, Par Value | $ 86,076 | $ 97,882 |
Advances (Interest-rate Payment
Advances (Interest-rate Payment Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Advances [Abstract] | ||
Federal Home Loan Bank, Advances, Fixed Rate, under One Year | $ 32,799 | $ 42,839 |
Federal Home Loan Bank, Advances, Fixed Rate, after One Year | 28,906 | 30,089 |
Federal Home Loan Bank, Advances, Fixed Rate | 61,705 | 72,928 |
Federal Home Loan Bank, Advances, Floating Rate, under One Year | 14,409 | 14,836 |
Federal Home Loan Bank, Advances, Floating Rate, after One Year | 9,962 | 10,118 |
Federal Home Loan Bank, Advances, Floating Rate | 24,371 | 24,954 |
Federal Home Loan Bank, Advances, Par Value | $ 86,076 | $ 97,882 |
Advances (Credit Risk Narrative
Advances (Credit Risk Narrative) (Details Textual) | Sep. 30, 2015USD ($)Institutions | Dec. 31, 2014USD ($)Institutions |
Advances [Abstract] | ||
Number of Top Advances Borrowers | Institutions | 10 | 10 |
Advances to Ten Largest Borrowers | $ 61,234,000,000 | $ 72,799,000,000 |
Advances Ten Largest Borrowers Percent of Total | 71.10% | 74.40% |
Allowance for credit losses on advances | $ 0 | $ 0 |
Advances past due | $ 0 | $ 0 |
Mortgage Loans Held for Portf55
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | ||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 622 | $ 751 | |
Premiums | 2 | 2 | |
Discounts | (3) | (4) | |
Total | 621 | 749 | |
Fixed-rate medium-term single-family residential mortgage loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | [1] | $ 73 | $ 103 |
Mortgage loans on real estate, original contract terms | 15 years | 15 years | |
Fixed-rate long-term single-family residential mortgage loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 549 | $ 648 | |
Conventional loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | 577 | 698 | |
Government-guaranteed or insured mortgage loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 45 | $ 53 | |
[1] | Medium-term is defined as a term of 15 years or less. |
Allowance for Credit Losses (Ro
Allowance for Credit Losses (Roll-forward of Allowance for Credit Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||
Balance, beginning of period | $ 3 | |||
Provision (reversal) for credit losses | $ 1 | $ (2) | 0 | $ (4) |
Balance, end of period | 3 | 3 | ||
Residential Portfolio Segment [Member] | Conventional Single-Family Mortgage Loans [Member] | ||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||
Balance, beginning of period | 2 | 6 | 3 | 11 |
Provision (reversal) for credit losses | 1 | (2) | 0 | (4) |
Charge-offs | 0 | 0 | 0 | (3) |
Balance, end of period | $ 3 | $ 4 | $ 3 | $ 4 |
Allowance for Credit Losses (Mo
Allowance for Credit Losses (Mortgage Loan Portfolio by Impairment Methodology) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||||
Total allowance for credit losses | $ 3 | $ 3 | ||||||
Residential Portfolio Segment [Member] | ||||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||||
Total recorded investment | 624 | [1] | 753 | [2] | ||||
Residential Portfolio Segment [Member] | Conventional Single-Family Mortgage Loans [Member] | ||||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||||
Allowance for credit losses, individually evaluated for impairment | 1 | 1 | ||||||
Allowance for credit losses, collectively evaluated for impairment | 2 | 2 | ||||||
Total allowance for credit losses | 3 | $ 2 | 3 | $ 4 | $ 6 | $ 11 | ||
Recorded investment, individually evaluated for impairment | 15 | 15 | ||||||
Recorded investment, collectively evaluated for impairment | 564 | 685 | ||||||
Total recorded investment | $ 579 | [1] | $ 700 | [2] | ||||
[1] | The difference between the recorded investment and the carrying value of total mortgage loans of $3 relates to accrued interest. | |||||||
[2] | The difference between the recorded investment and the carrying value of total mortgage loans of $4 relates to accrued interest. |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators) (Details) - Residential Portfolio Segment [Member] - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | $ 52 | $ 75 | |||
Total current mortgage loans | 572 | 678 | |||
Total recorded investment | 624 | [1] | 753 | [2] | |
In process of foreclosure | [3] | $ 11 | $ 20 | ||
Seriously delinquent rate | [4] | 3.52% | 5.13% | ||
Past due 90 days or more and still accruing interest | [5] | $ 3 | $ 6 | ||
Loans on nonaccrual status | [6] | 19 | 33 | ||
Accrued Interest on Mortgage Loans | 3 | 4 | |||
Conventional Single-Family Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 44 | 61 | |||
Total current mortgage loans | 535 | 639 | |||
Total recorded investment | 579 | [1] | 700 | [2] | |
In process of foreclosure | [3] | $ 10 | $ 19 | ||
Seriously delinquent rate | [4] | 3.25% | 4.73% | ||
Past due 90 days or more and still accruing interest | [5] | $ 0 | $ 0 | ||
Loans on nonaccrual status | [6] | 19 | 33 | ||
Troubled debt restructurings | 15 | 15 | |||
Performing Financing Receivable [Member] | Conventional Single-Family Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Troubled debt restructurings | 12 | 11 | |||
Nonperforming Financing Receivable [Member] | Conventional Single-Family Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Troubled debt restructurings | 3 | 4 | |||
Financing Receivables, 30 to 59 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 23 | 28 | |||
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional Single-Family Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 20 | 22 | |||
Financing Receivables, 60 to 89 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 7 | 8 | |||
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional Single-Family Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 5 | 6 | |||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 22 | 39 | |||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Conventional Single-Family Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 19 | 33 | |||
Government-guaranteed or insured mortgage loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 8 | 14 | |||
Total current mortgage loans | 37 | 39 | |||
Total recorded investment | 45 | [1] | 53 | [2] | |
In process of foreclosure | [3] | $ 1 | $ 1 | ||
Seriously delinquent rate | [4] | 7.08% | 10.33% | ||
Past due 90 days or more and still accruing interest | [5] | $ 3 | $ 6 | ||
Loans on nonaccrual status | [6] | 0 | 0 | ||
Government-guaranteed or insured mortgage loans [Member] | Financing Receivables, 30 to 59 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 3 | 6 | |||
Government-guaranteed or insured mortgage loans [Member] | Financing Receivables, 60 to 89 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 2 | 2 | |||
Government-guaranteed or insured mortgage loans [Member] | Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | $ 3 | $ 6 | |||
[1] | The difference between the recorded investment and the carrying value of total mortgage loans of $3 relates to accrued interest. | ||||
[2] | The difference between the recorded investment and the carrying value of total mortgage loans of $4 relates to accrued interest. | ||||
[3] | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in lieu has been reported. Loans in the process of foreclosure are included in past due or current loans depending on their delinquency status. | ||||
[4] | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio segment. | ||||
[5] | Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs. | ||||
[6] | Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |
Consolidated Obligations (Narra
Consolidated Obligations (Narrative) (Details) | 9 Months Ended |
Sep. 30, 2015bank | |
Debt Disclosure [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Maximum contractual maturity period of discount notes (up to one year) | 1 year |
Consolidated Obligations (Inter
Consolidated Obligations (Interest-rate Payment Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Consolidated Obligation Bonds by Interest-Rate Payment [Line Items] | ||
Bonds par value | $ 74,599 | $ 91,788 |
Fixed-rate | ||
Consolidated Obligation Bonds by Interest-Rate Payment [Line Items] | ||
Bonds par value | 51,881 | 77,912 |
Step up/down | ||
Consolidated Obligation Bonds by Interest-Rate Payment [Line Items] | ||
Bonds par value | 5,046 | 6,301 |
Simple variable-rate | ||
Consolidated Obligation Bonds by Interest-Rate Payment [Line Items] | ||
Bonds par value | 17,672 | 7,550 |
Variable-rate capped floater | ||
Consolidated Obligation Bonds by Interest-Rate Payment [Line Items] | ||
Bonds par value | $ 0 | $ 25 |
Consolidated Obligations (Redem
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Debt Instrument [Line Items] | ||
Bonds par value | $ 74,599 | $ 91,788 |
Federal Home Loan Bank, Consolidated Obligations, Bonds | 74,965 | 92,088 |
Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Bonds, Due in one year or less | 37,560 | 52,081 |
Bonds, Due after one year through two years | 17,890 | 16,116 |
Bonds, Due after two years through three years | 8,471 | 9,683 |
Bonds, Due after three years through four years | 2,827 | 4,971 |
Bonds, Due after four years through five years | 3,126 | 3,094 |
Bonds, Due after five years | 4,725 | 5,843 |
Bonds par value | 74,599 | 91,788 |
Premiums | 46 | 73 |
Discounts | (16) | (21) |
Hedging adjustments | 336 | 248 |
Federal Home Loan Bank, Consolidated Obligations, Bonds | $ 74,965 | $ 92,088 |
Bonds, Due in one year or less, weighted average interest rate | 0.57% | 0.24% |
Bonds, Due after one year through two years, weighted average interest rate | 1.32% | 1.27% |
Bonds, Due after two years through three years, weighted average interest rate | 1.75% | 2.22% |
Bonds, Due after three years through four years, weighted average interest rate | 1.57% | 1.67% |
Bonds, Due after four years through five years, weighted average interest rate | 1.71% | 1.56% |
Bonds, Due after five years, weighted average interest rate | 2.14% | 2.12% |
Total, weighted average interest rate | 1.08% | 0.86% |
Consolidated Obligations (Bonds
Consolidated Obligations (Bonds by Callable Feature) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Debt Instrument [Line Items] | ||
Bonds par value | $ 74,599 | $ 91,788 |
Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | 74,599 | 91,788 |
Noncallable | Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | 59,649 | 69,164 |
Callable | Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | $ 14,950 | $ 22,624 |
Consolidated Obligations (Bon63
Consolidated Obligations (Bonds by Maturity or Call Date) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Debt Instrument [Line Items] | ||
Bonds par value | $ 74,599 | $ 91,788 |
Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Bonds, Due in one year or less | 37,560 | 52,081 |
Bonds, Due after one year through two years | 17,890 | 16,116 |
Bonds, Due after two years through three years | 8,471 | 9,683 |
Bonds, Due after three years through four years | 2,827 | 4,971 |
Bonds, Due after four years through five years | 3,126 | 3,094 |
Bonds, Due after five years | 4,725 | 5,843 |
Bonds par value | 74,599 | 91,788 |
Earlier of Contractual Maturity or Next Call Date [Member] | Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Bonds, Due in one year or less | 49,745 | 67,980 |
Bonds, Due after one year through two years | 16,885 | 12,220 |
Bonds, Due after two years through three years | 5,010 | 7,796 |
Bonds, Due after three years through four years | 1,229 | 2,177 |
Bonds, Due after four years through five years | 1,110 | 875 |
Bonds, Due after five years | $ 620 | $ 740 |
Consolidated Obligations (Disco
Consolidated Obligations (Discount Notes) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Short-term Debt [Line Items] | ||
Discount notes | $ 41,867 | $ 37,162 |
Discount notes par value | 74,599 | 91,788 |
Discount Notes [Member] | ||
Short-term Debt [Line Items] | ||
Discount notes | 41,867 | 37,162 |
Discount notes par value | $ 41,881 | $ 37,169 |
Discount notes weighted average interest rate | 0.16% | 0.10% |
Capital and Mandatorily Redee65
Capital and Mandatorily Redeemable Capital Stock (Narrative) (Details) - USD ($) $ in Millions | 9 Months Ended | |||||
Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | |
Capital [Abstract] | ||||||
Mandatorily redeemable capital stock | $ 17 | $ 16 | $ 19 | $ 19 | $ 21 | $ 24 |
Redemption period for excess capital stock (in years) | 5 years |
Capital and Mandatorily Redee66
Capital and Mandatorily Redeemable Capital Stock (Regulatory Capital Rules and Requirements) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | ||
Capital [Abstract] | |||
Risk Based Capital, Required | $ 1,633 | $ 2,113 | |
Risk Based Capital, Actual | $ 6,229 | $ 6,914 | |
Regulatory Capital Ratio, Required | 4.00% | 4.00% | |
Regulatory Capital Ratio, Actual | 4.99% | 5.00% | |
Regulatory Capital, Required | [1] | $ 4,997 | $ 5,534 |
Regulatory Capital, Actual | [1] | $ 6,229 | $ 6,914 |
Leverage Ratio, Required | 5.00% | 5.00% | |
Leverage Ratio, Actual | 7.48% | 7.50% | |
Leverage Capital, Required | $ 6,246 | $ 6,917 | |
Leverage Capital, Actual | $ 9,344 | $ 10,371 | |
[1] | Total regulatory capital does not include accumulated other comprehensive income, but does include mandatorily redeemable capital stock. |
Capital and Mandatorily Redee67
Capital and Mandatorily Redeemable Capital Stock (Mandatorily Redeemable Capital Stock Roll-forward) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Capital [Abstract] | ||||
Balance, beginning of year | $ 16 | $ 21 | $ 19 | $ 24 |
Reclassification from capital during the period | 4 | 3 | 11 | 4 |
Repurchase/redemption of mandatorily redeemable capital stock | (3) | (5) | (13) | (9) |
Balance, end of year | $ 17 | $ 19 | $ 17 | $ 19 |
Capital and Mandatorily Redee68
Capital and Mandatorily Redeemable Capital Stock (Mandatorily Redeemable Capital Stock by Year of Redemption) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 |
Capital [Abstract] | ||||||
Due in one year or less | $ 8 | $ 9 | ||||
Due after one year through two years | 6 | 8 | ||||
Due after two years through three years | 0 | 1 | ||||
Due after four years through five years | 3 | 1 | ||||
Mandatorily redeemable capital stock | $ 17 | $ 16 | $ 19 | $ 19 | $ 21 | $ 24 |
Accumulated Other Comprehensi69
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated Other Comprehensive Income (Loss), Beginning of period | $ 95 | ||||
Net change in fair value | $ (8) | $ (5) | (31) | $ 11 | |
Noncredit other-than temporary impairment losses | 1 | 2 | 5 | 3 | |
Amortization of pension and postretirement | 1 | 0 | 2 | 1 | |
Net current period other comprehensive income (loss) | (6) | (3) | (24) | 15 | |
Accumulated Other Comprehensive Income (Loss), End of period | 71 | 71 | |||
Pension and Postretirement Benefits [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated Other Comprehensive Income (Loss), Beginning of period | (22) | (12) | (23) | (13) | |
Net change in fair value | 0 | 0 | 0 | 0 | |
Amortization of pension and postretirement | [1] | 1 | 2 | 1 | |
Net current period other comprehensive income (loss) | 1 | 0 | 2 | 1 | |
Accumulated Other Comprehensive Income (Loss), End of period | (21) | (12) | (21) | (12) | |
Total Accumulated Other Comprehensive Income (Loss) [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated Other Comprehensive Income (Loss), Beginning of period | 77 | 130 | 95 | 112 | |
Net change in fair value | (8) | (5) | (31) | 11 | |
Noncredit other-than temporary impairment losses | 1 | 2 | 5 | 3 | |
Amortization of pension and postretirement | [1] | 1 | 2 | 1 | |
Net current period other comprehensive income (loss) | (6) | (3) | (24) | 15 | |
Accumulated Other Comprehensive Income (Loss), End of period | 71 | 127 | 71 | 127 | |
Available-for-sale Securities [Member] | Noncredit Portion of Other Than Temporary Impairment Losses on Available for Sale Securities [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated Other Comprehensive Income (Loss), Beginning of period | 99 | 142 | 118 | 125 | |
Net change in fair value | (8) | (5) | (31) | 11 | |
Noncredit other-than temporary impairment losses | 1 | 2 | 5 | 3 | |
Amortization of pension and postretirement | 0 | ||||
Net current period other comprehensive income (loss) | (7) | (3) | (26) | 14 | |
Accumulated Other Comprehensive Income (Loss), End of period | $ 92 | $ 139 | $ 92 | $ 139 | |
[1] | Included in Compensation and benefits on the Statements of Income. |
Derivatives and Hedging Activ70
Derivatives and Hedging Activities (Fair Value of Derivative Instruments) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Total notional amount of derivatives before netting and collateral adjustments | $ 112,048 | $ 125,852 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 526 | 486 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | (1,906) | (2,139) | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (325) | (374) |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | 1,774 | 1,955 |
Derivative assets | 201 | 112 | |
Derivative liabilities | (132) | (184) | |
Derivative, Collateral, Cash Posted And Related Accrued Interest | 1,516 | 1,613 | |
Derivative, Collateral, Cash Received And Related Accrued Interest | 68 | 32 | |
Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | |||
Derivative [Line Items] | |||
Total notional amount of derivatives before netting and collateral adjustments | 93,114 | 103,004 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 494 | 454 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | (1,798) | (1,995) | |
Not Designated as Hedging Instrument [Member] | |||
Derivative [Line Items] | |||
Total notional amount of derivatives before netting and collateral adjustments | 18,934 | 22,848 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 32 | 32 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | (108) | (144) | |
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | |||
Derivative [Line Items] | |||
Total notional amount of derivatives before netting and collateral adjustments | 2,434 | 6,348 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 15 | 12 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | (97) | (131) | |
Not Designated as Hedging Instrument [Member] | Interest rate caps or floors [Member] | |||
Derivative [Line Items] | |||
Total notional amount of derivatives before netting and collateral adjustments | 16,500 | 16,500 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 17 | 20 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ (11) | $ (13) | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $1,516 and $1,613 as of September 30, 2015 and December 31, 2014, respectively. Cash collateral received and related accrued interest was $68 and $32 as of September 30, 2015 and December 31, 2014, respectively. |
Derivatives and Hedging Activ71
Derivatives and Hedging Activities (Net Gains (Losses) on Derivatives and Hedging Activities) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains on derivatives and hedged items in fair value hedging relationships | $ 21 | $ 78 | $ 238 | $ 129 |
Net gains (losses) on derivatives not designated as hedging instruments | (5) | (1) | (10) | (21) |
Net gains on derivatives and hedging activities | 16 | 77 | 228 | 108 |
Interest rate swaps [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains on derivatives and hedged items in fair value hedging relationships | 21 | 78 | 238 | 129 |
Net gains (losses) on derivatives not designated as hedging instruments | 11 | 20 | 36 | 45 |
Interest rate caps or floors [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives not designated as hedging instruments | (1) | (4) | (1) | (13) |
Net Interest Settlements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives not designated as hedging instruments | $ (15) | $ (17) | $ (45) | $ (53) |
Derivatives and Hedging Activ72
Derivatives and Hedging Activities (Effect of Fair Value Hedged Related Derivative Instruments) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains (Losses) on Derivative | $ (250) | $ 185 | $ 147 | $ 160 | |
Gains (Losses) on Hedged Item | 271 | (107) | 91 | (31) | |
Net Fair Value Hedge Ineffectiveness | 21 | 78 | 238 | 129 | |
Effect of Derivatives on Net Interest Income | [1] | (46) | (111) | (175) | (288) |
Advances [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains (Losses) on Derivative | (327) | 319 | 71 | 80 | |
Gains (Losses) on Hedged Item | 357 | (243) | 187 | 47 | |
Net Fair Value Hedge Ineffectiveness | 30 | 76 | 258 | 127 | |
Effect of Derivatives on Net Interest Income | [1] | (173) | (229) | (547) | (671) |
Consolidated Obligation Bonds [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains (Losses) on Derivative | 77 | (134) | 74 | 80 | |
Gains (Losses) on Hedged Item | (86) | 136 | (94) | (78) | |
Net Fair Value Hedge Ineffectiveness | (9) | 2 | (20) | 2 | |
Effect of Derivatives on Net Interest Income | [1] | 124 | 118 | 366 | 383 |
Discount Notes [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gains (Losses) on Derivative | 0 | 0 | 2 | 0 | |
Gains (Losses) on Hedged Item | 0 | 0 | (2) | 0 | |
Net Fair Value Hedge Ineffectiveness | 0 | 0 | 0 | 0 | |
Effect of Derivatives on Net Interest Income | [1] | $ 3 | $ 0 | $ 6 | $ 0 |
[1] | The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. |
Derivatives and Hedging Activ73
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | $ 526 | $ 486 | |
Derivative Liability, Fair Value, Gross Liability | (1,906) | (2,139) | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (325) | (374) |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | 1,774 | 1,955 |
Derivative assets | 201 | 112 | |
Derivative liabilities | (132) | (184) | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 196 | 111 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | (132) | (184) | |
Credit Risk Contract [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Credit Derivative Exposure Net | 194 | 110 | |
Uncleared derivatives Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 409 | 439 | |
Derivative Liability, Fair Value, Gross Liability | (1,395) | (1,757) | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (404) | (438) | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | 1,263 | 1,573 | |
Derivative assets | 5 | 1 | |
Derivative liabilities | (132) | (184) | |
Derivative, Collateral, Obligation to Return Securities That Cannot Be Sold or Repledged | [2] | 5 | 1 |
Derivative, Collateral, Right to Reclaim Securities That Cannot Be Sold or Repledged | 0 | 0 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | (132) | (184) | |
Cleared derivatives [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 117 | 47 | |
Derivative Liability, Fair Value, Gross Liability | (511) | (382) | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 79 | 64 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | 511 | 382 | |
Derivative assets | 196 | 111 | |
Derivative liabilities | 0 | 0 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | [3] | 196 | 111 |
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $1,516 and $1,613 as of September 30, 2015 and December 31, 2014, respectively. Cash collateral received and related accrued interest was $68 and $32 as of September 30, 2015 and December 31, 2014, respectively. | ||
[2] | Collateral held with respect to derivatives with member institutions where the Bank is acting as an intermediary represents the amount of eligible collateral physically held by or on behalf of the Bank or collateral assigned to the Bank, as evidenced by a written security agreement, and held by the member institution for the benefit of the Bank. | ||
[3] | The Bank had net credit exposure of $194 and $110 as of September 30, 2015 and December 31, 2014, respectively, due to instances where the Bank’s pledged collateral to a counterparty exceeds the Bank’s net derivative liability position. |
Derivatives and Hedging Activ74
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Sep. 30, 2015USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative credit-risk-related contingent features net liability position aggregate fair value | $ 1,047 |
Collateral already posted, aggregate fair value | 918 |
Additional collateral | $ 88 |
Estimated Fair Values (Estimate
Estimated Fair Values (Estimated Fair Value Measurements on a Recurring Basis) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Assets: | |||
Trading securities | $ 1,228 | $ 1,269 | |
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |
Derivative assets | 201 | 112 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (325) | (374) |
Liabilities: | |||
Derivative liabilities | (132) | (184) | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | 1,774 | 1,955 |
Government-Sponsored Enterprises Debt Obligations [Member] | |||
Assets: | |||
Trading securities | 1,173 | 1,208 | |
Other FHLBank's Bond [Member] | |||
Assets: | |||
Trading securities | [2] | 54 | 60 |
State or Local Housing Agency Obligations [Member] | |||
Assets: | |||
Trading securities | 1 | 1 | |
Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Available-for-sale Securities, Debt Securities | 0 | 0 | |
Derivative assets | 0 | 0 | |
Grantor trust assets (included in Other assets) | 30 | 25 | |
Liabilities: | |||
Derivative liabilities | 0 | 0 | |
Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Trading securities | 1,228 | 1,269 | |
Available-for-sale Securities, Debt Securities | 0 | 0 | |
Derivative assets | 526 | 486 | |
Grantor trust assets (included in Other assets) | 0 | 0 | |
Liabilities: | |||
Derivative liabilities | (1,906) | (2,139) | |
Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |
Derivative assets | 0 | 0 | |
Grantor trust assets (included in Other assets) | 0 | 0 | |
Liabilities: | |||
Derivative liabilities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [3] | (325) | (374) |
Grantor trust assets (included in Other assets) | 0 | 0 | |
Liabilities: | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3] | 1,774 | 1,955 |
Fair Value, Measurements, Recurring [Member] | Government-Sponsored Enterprises Debt Obligations [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Other FHLBank's Bond [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | State or Local Housing Agency Obligations [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Assets: | |||
Available-for-sale Securities, Debt Securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Grantor trust assets (included in Other assets) | 30 | 25 | |
Total recurring assets at fair value | 30 | 25 | |
Liabilities: | |||
Total recurring liabilities at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | Government-Sponsored Enterprises Debt Obligations [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | Other FHLBank's Bond [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | State or Local Housing Agency Obligations [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Assets: | |||
Available-for-sale Securities, Debt Securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Trading securities | 1,228 | 1,269 | |
Grantor trust assets (included in Other assets) | 0 | 0 | |
Total recurring assets at fair value | 1,754 | 1,755 | |
Liabilities: | |||
Total recurring liabilities at fair value | (1,906) | (2,139) | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Government-Sponsored Enterprises Debt Obligations [Member] | |||
Assets: | |||
Trading securities | 1,173 | 1,208 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Other FHLBank's Bond [Member] | |||
Assets: | |||
Trading securities | 54 | 60 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | State or Local Housing Agency Obligations [Member] | |||
Assets: | |||
Trading securities | 1 | 1 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Assets: | |||
Available-for-sale Securities, Debt Securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Grantor trust assets (included in Other assets) | 0 | 0 | |
Total recurring assets at fair value | 1,730 | 1,981 | |
Liabilities: | |||
Total recurring liabilities at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Government-Sponsored Enterprises Debt Obligations [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Other FHLBank's Bond [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | State or Local Housing Agency Obligations [Member] | |||
Assets: | |||
Trading securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Assets: | |||
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | |||
Assets: | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (325) | (374) | |
Liabilities: | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | 1,774 | 1,955 | |
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Assets: | |||
Derivative assets | 0 | 0 | |
Liabilities: | |||
Derivative liabilities | 0 | 0 | |
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Assets: | |||
Derivative assets | 526 | 486 | |
Liabilities: | |||
Derivative liabilities | (1,906) | (2,139) | |
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Assets: | |||
Derivative assets | 0 | 0 | |
Liabilities: | |||
Derivative liabilities | 0 | 0 | |
Estimate of Fair Value Measurement [Member] | |||
Assets: | |||
Trading securities | 1,228 | 1,269 | |
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |
Derivative assets | 201 | 112 | |
Grantor trust assets (included in Other assets) | 30 | 25 | |
Liabilities: | |||
Derivative liabilities | (132) | (184) | |
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | |||
Assets: | |||
Trading securities | 1,228 | 1,269 | |
Grantor trust assets (included in Other assets) | 30 | 25 | |
Total recurring assets at fair value | 3,189 | 3,387 | |
Liabilities: | |||
Total recurring liabilities at fair value | (132) | (184) | |
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | Government-Sponsored Enterprises Debt Obligations [Member] | |||
Assets: | |||
Trading securities | 1,173 | 1,208 | |
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | Other FHLBank's Bond [Member] | |||
Assets: | |||
Trading securities | 54 | 60 | |
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | State or Local Housing Agency Obligations [Member] | |||
Assets: | |||
Trading securities | 1 | 1 | |
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Assets: | |||
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |
Estimate of Fair Value Measurement [Member] | Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | |||
Assets: | |||
Derivative assets | 201 | 112 | |
Liabilities: | |||
Derivative liabilities | $ (132) | $ (184) | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $1,516 and $1,613 as of September 30, 2015 and December 31, 2014, respectively. Cash collateral received and related accrued interest was $68 and $32 as of September 30, 2015 and December 31, 2014, respectively. | ||
[2] | The Federal Home Loan Bank of Chicago is the primary obligor of this consolidated obligation bond. | ||
[3] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
Estimated Fair Values (Roll-for
Estimated Fair Values (Roll-forward of Level 3 Assets and Liabilities) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Reconciliation of Available-For-Sale Securities Measured at Fair Value | |||||
Included in net impairment losses recognized in earnings | $ 1 | $ 2 | $ 5 | $ 3 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-Sale Securities, Private Label Residential Mortgage Backed Securities [Member] | |||||
Reconciliation of Available-For-Sale Securities Measured at Fair Value | |||||
Balance, beginning of year | 1,823 | 2,155 | 1,981 | 2,299 | |
Included in net impairment losses recognized in earnings | [1] | (1) | (2) | (5) | (3) |
Included in other comprehensive income | [1],[2] | (7) | (3) | (26) | 14 |
Accretion of credit losses in net interest income | [1] | 10 | 8 | 30 | 24 |
Settlements | (95) | (85) | (250) | (261) | |
Balance, end of year | $ 1,730 | $ 2,073 | $ 1,730 | $ 2,073 | |
[1] | Related to available-for-sale securities held at period end. | ||||
[2] | This amount is included in other comprehensive income within the net change in fair value on other-than-temporary impairment available-for-sale securities and reclassification of noncredit portion of impairment losses included in net income. |
Estimated Fair Values (Estima77
Estimated Fair Values (Estimated Fair Value Measurements on a Nonrecurring Basis) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 |
Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio, net | $ 0 | $ 0 |
Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio, net | 686 | 828 |
Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio, net | 1 | 0 |
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio, net | 0 | |
Real Estate Owned | 0 | 0 |
Total recurring assets at fair value | 0 | |
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio, net | 0 | |
Real Estate Owned | 0 | 0 |
Total recurring assets at fair value | 0 | |
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio, net | 1 | |
Real Estate Owned | 3 | 7 |
Total recurring assets at fair value | 4 | |
Estimate of Fair Value Measurement [Member] | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio, net | 687 | 828 |
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Mortgage loans held for portfolio, net | 1 | |
Real Estate Owned | 3 | $ 7 |
Total recurring assets at fair value | $ 4 |
Estimated Fair Values (Fair Val
Estimated Fair Values (Fair Value Summary) (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and Due from Banks | $ 1,287 | $ 915 | $ 4,386 | $ 4,374 | |||
Assets: | |||||||
Trading securities | 1,228 | 1,269 | |||||
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |||||
Held-to-maturity Securities | 23,224 | 23,897 | |||||
Held-to-maturity securities, fair value | 23,338 | 23,988 | |||||
Interest Receivable | 170 | 179 | |||||
Derivative assets | 201 | 112 | |||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (325) | (374) | ||||
Liabilities: | |||||||
Mandatorily redeemable capital stock | (17) | $ (16) | (19) | $ (19) | $ (21) | $ (24) | |
Interest Payable | 213 | 145 | |||||
Derivative liabilities | (132) | (184) | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | 1,774 | 1,955 | ||||
Loan from another FHLBank | 0 | 0 | |||||
Fair Value, Inputs, Level 1 [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and Due from Banks | 1,287 | 915 | |||||
Assets: | |||||||
Interest bearing-deposits | 0 | 0 | |||||
Securities purchased under agreements to resell | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Available-for-sale Securities, Debt Securities | 0 | 0 | |||||
Held-to-maturity securities, fair value | 0 | 0 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net | 0 | 0 | |||||
Interest Receivable | 0 | 0 | |||||
Derivative assets | 0 | 0 | |||||
Grantor trust assets (included in Other assets) | 30 | 25 | |||||
Liabilities: | |||||||
Interest-bearing deposits | 0 | 0 | |||||
Mandatorily redeemable capital stock | (17) | (19) | |||||
Interest Payable | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
Fair Value, Inputs, Level 2 [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and Due from Banks | 0 | 0 | |||||
Assets: | |||||||
Interest bearing-deposits | 1,140 | 1,010 | |||||
Securities purchased under agreements to resell | 2,500 | 1,960 | |||||
Federal funds sold | 4,840 | 6,385 | |||||
Trading securities | 1,228 | 1,269 | |||||
Available-for-sale Securities, Debt Securities | 0 | 0 | |||||
Held-to-maturity securities, fair value | 22,181 | 22,534 | |||||
Advances | 87,633 | 99,579 | |||||
Mortgage loans held for portfolio, net | 686 | 828 | |||||
Accrued Interest Receivable, Fair Value Disclosure | 170 | 179 | |||||
Derivative assets | 526 | 486 | |||||
Grantor trust assets (included in Other assets) | 0 | 0 | |||||
Liabilities: | |||||||
Interest-bearing deposits | (1,173) | (1,110) | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||||
Accrued Interest Payable, Fair Value Disclosure | 213 | 145 | |||||
Derivative liabilities | (1,906) | (2,139) | |||||
Fair Value, Inputs, Level 3 [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and Due from Banks | 0 | 0 | |||||
Assets: | |||||||
Interest bearing-deposits | 0 | 0 | |||||
Securities purchased under agreements to resell | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |||||
Held-to-maturity securities, fair value | 1,157 | 1,454 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net | 1 | 0 | |||||
Interest Receivable | 0 | 0 | |||||
Derivative assets | 0 | 0 | |||||
Grantor trust assets (included in Other assets) | 0 | 0 | |||||
Liabilities: | |||||||
Interest-bearing deposits | 0 | 0 | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||||
Interest Payable | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
Carrying Value [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and Due from Banks | 1,287 | 915 | |||||
Assets: | |||||||
Interest bearing-deposits | 1,140 | 1,010 | |||||
Securities purchased under agreements to resell | 2,500 | 1,960 | |||||
Federal funds sold | 4,840 | 6,385 | |||||
Trading securities | 1,228 | 1,269 | |||||
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |||||
Held-to-maturity Securities | 23,224 | 23,897 | |||||
Advances | 87,762 | 99,644 | |||||
Mortgage loans held for portfolio, net | 618 | 746 | |||||
Interest Receivable | 170 | 179 | |||||
Derivative assets | 201 | 112 | |||||
Grantor trust assets (included in Other assets) | 30 | 25 | |||||
Liabilities: | |||||||
Interest-bearing deposits | (1,173) | (1,110) | |||||
Mandatorily redeemable capital stock | (17) | (19) | |||||
Interest Payable | 213 | 145 | |||||
Derivative liabilities | (132) | (184) | |||||
Estimate of Fair Value Measurement [Member] | |||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||
Cash and Due from Banks | 1,287 | 915 | |||||
Assets: | |||||||
Interest bearing-deposits | 1,140 | 1,010 | |||||
Securities purchased under agreements to resell | 2,500 | 1,960 | |||||
Federal funds sold | 4,840 | 6,385 | |||||
Trading securities | 1,228 | 1,269 | |||||
Available-for-sale Securities, Debt Securities | 1,730 | 1,981 | |||||
Held-to-maturity securities, fair value | 23,338 | 23,988 | |||||
Advances | 87,633 | 99,579 | |||||
Mortgage loans held for portfolio, net | 687 | 828 | |||||
Accrued Interest Receivable, Fair Value Disclosure | 170 | 179 | |||||
Derivative assets | 201 | 112 | |||||
Grantor trust assets (included in Other assets) | 30 | 25 | |||||
Liabilities: | |||||||
Interest-bearing deposits | (1,173) | (1,110) | |||||
Mandatorily redeemable capital stock | (17) | (19) | |||||
Accrued Interest Payable, Fair Value Disclosure | 213 | 145 | |||||
Derivative liabilities | (132) | (184) | |||||
Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||
Liabilities: | |||||||
Discount notes | 0 | 0 | |||||
Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||
Liabilities: | |||||||
Discount notes | (41,868) | (37,162) | |||||
Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||
Liabilities: | |||||||
Discount notes | 0 | 0 | |||||
Discount Notes [Member] | Carrying Value [Member] | |||||||
Liabilities: | |||||||
Discount notes | (41,867) | (37,162) | |||||
Discount Notes [Member] | Estimate of Fair Value Measurement [Member] | |||||||
Liabilities: | |||||||
Discount notes | (41,868) | (37,162) | |||||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||
Liabilities: | |||||||
Bonds | 0 | 0 | |||||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||
Liabilities: | |||||||
Bonds | (75,025) | (92,211) | |||||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||
Liabilities: | |||||||
Bonds | 0 | 0 | |||||
Consolidated Obligation Bonds [Member] | Carrying Value [Member] | |||||||
Liabilities: | |||||||
Bonds | (74,965) | (92,088) | |||||
Consolidated Obligation Bonds [Member] | Estimate of Fair Value Measurement [Member] | |||||||
Liabilities: | |||||||
Bonds | $ (75,025) | $ (92,211) | |||||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $1,516 and $1,613 as of September 30, 2015 and December 31, 2014, respectively. Cash collateral received and related accrued interest was $68 and $32 as of September 30, 2015 and December 31, 2014, respectively. |
Commitments and Contingencies79
Commitments and Contingencies (Details) $ in Millions | Sep. 30, 2015USD ($)letter_of_credit | Dec. 31, 2014USD ($)letter_of_credit | |
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Number Of Outstanding Standby Letters Of Credit Renewable Annually | letter_of_credit | 11 | 17 | |
Standby Letters Of Credit Issued Renewable Annually | $ 29 | $ 25 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [1] | 8,482 | 7,409 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 21,360 | 23,519 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 29,842 | 30,928 | |
Commitments to Fund Additional Advances [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 302 | 189 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 105 | 20 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 407 | 209 | |
Unsettled Consolidated Obligation Bonds [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [2] | 205 | 100 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | [2] | 0 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | [2] | 205 | 100 |
Unsettled Consolidated Obligation Bonds [Member] | Interest rate swaps [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 205 | 100 | |
Unsettled Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [2] | 0 | 50 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | [2] | 0 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | [2] | 0 | 50 |
Unsettled Discount Notes [Member] | Interest rate swaps [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | $ 0 | $ 50 | |
[1] | Expire within one year includes 11 standby letters of credit for a total of $29 and 17 standby letters of credit for a total of $25 as of September 30, 2015 and December 31, 2014, respectively, that have no stated maturity date and are subject to renewal on an annual basis. | ||
[2] | Expiration is based on settlement period rather than underlying contractual maturity of consolidated obligations. As of September 30, 2015 and December 31, 2014, $205 and $100 of the Bank's unsettled consolidated obligation bonds were hedged with associated interest rate swaps that had traded but not yet settled, respectively. As of September 30, 2015 and December 31, 2014, $0 and $50 of the Bank's unsettled consolidated obligation discount notes were hedged with associated interest rate swaps that had traded but not yet settled, respectively. |
Commitments and Contingencies80
Commitments and Contingencies (Narrative) (Details) $ in Millions | Sep. 30, 2015USD ($)bank | Dec. 31, 2014USD ($) |
Loss Contingencies [Line Items] | ||
Number of Federal Home Loan Banks | bank | 11 | |
The FHLBank's outstanding consolidated obligations for which the Bank is jointly and severally liable | $ 740,031 | $ 718,218 |
Carrying value guarantees related to standby letters of credit | 204 | 580 |
Standby Letters of Credit [Member] | ||
Loss Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 29,842 | 30,928 |
Carrying value guarantees related to standby letters of credit | 120 | 152 |
Mortgages [Member] | Forward Contracts [Member] | ||
Loss Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | $ 0 | $ 0 |
Transactions With Shareholder81
Transactions With Shareholders (Details) - USD ($) $ in Millions | Sep. 30, 2015 | Dec. 31, 2014 | |
Minimum | |||
Definition of related party, minimum percent | 10.00% | ||
Definition of shareholder concentration, percentage | 10.00% | ||
Regulatory Capital Stock Outstanding | [1] | $ 6,229 | $ 6,914 |
Par Value of Advances | 87,762 | 99,644 | |
Bank of America [Member] | |||
Minimum | |||
Regulatory Capital Stock Outstanding | $ 706 | $ 803 | |
Percent of Total Regulatory Capital Stock Outstanding | 16.03% | 15.54% | |
Par Value of Advances | $ 16,262 | $ 17,512 | |
Percent of Total Par Value Advances | 18.89% | 17.89% | |
Interest-bearing Deposits | $ 0 | $ 0 | |
Percent of Total Interest-bearing Deposits | 0.01% | 0.01% | |
Navy Federal Credit Union [Member] | |||
Minimum | |||
Regulatory Capital Stock Outstanding | $ 617 | ||
Percent of Total Regulatory Capital Stock Outstanding | 14.01% | ||
Par Value of Advances | $ 14,164 | ||
Percent of Total Par Value Advances | 16.45% | ||
Interest-bearing Deposits | $ 56 | ||
Percent of Total Interest-bearing Deposits | 4.96% | ||
Capital One, National Association [Member] | |||
Minimum | |||
Regulatory Capital Stock Outstanding | $ 792 | ||
Percent of Total Regulatory Capital Stock Outstanding | 15.32% | ||
Par Value of Advances | $ 17,265 | ||
Percent of Total Par Value Advances | 17.64% | ||
Interest-bearing Deposits | $ 2 | ||
Percent of Total Interest-bearing Deposits | 0.20% | ||
[1] | Total regulatory capital does not include accumulated other comprehensive income, but does include mandatorily redeemable capital stock. |
Subsequent Events (Details)
Subsequent Events (Details) $ in Millions | 3 Months Ended |
Sep. 30, 2015USD ($) | |
Subsequent Events [Abstract] | |
Payments of Dividends | $ 55 |