Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2017 | Apr. 30, 2017 | |
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 | Mar. 31, 2017 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q1 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 48,275,869 |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Assets | ||
Cash and due from banks | $ 1,041 | $ 1,815 |
Interest-bearing deposits (including deposits with another FHLBank of $4 and $5 as of March 31, 2017 and December 31, 2016, respectively) | 1,207 | 1,106 |
Securities purchased under agreements to resell | 2,386 | 1,386 |
Federal funds sold | 11,176 | 7,770 |
Investment securities: | ||
Trading securities | 260 | 262 |
Available-for-sale securities | 1,289 | 1,345 |
Held-to-maturity securities (fair value of $25,524 and $24,633 as of March 31, 2017 and December 31, 2016, respectively) | 25,487 | 24,641 |
Total investment securities | 27,036 | 26,248 |
Advances | 90,688 | 99,077 |
Mortgage loans held for portfolio, net: | ||
Mortgage loans held for portfolio | 513 | 524 |
Allowance for credit losses on mortgage loans | (1) | (1) |
Total mortgage loans held for portfolio, net | 512 | 523 |
Accrued interest receivable | 176 | 171 |
Derivative assets | 312 | 355 |
Premises and equipment, net | 23 | 24 |
Other assets | 173 | 196 |
Total assets | 134,730 | 138,671 |
Liabilities | ||
Interest-bearing deposits | 1,205 | 1,118 |
Consolidated obligations, net: | ||
Discount notes | 42,066 | 41,292 |
Bonds | 84,292 | 88,647 |
Total consolidated obligations, net | 126,358 | 129,939 |
Mandatorily redeemable capital stock | 1 | 1 |
Accrued interest payable | 177 | 128 |
Affordable Housing Program payable | 73 | 69 |
Derivative liabilities | 38 | 107 |
Other liabilities | 213 | 358 |
Total liabilities | 128,065 | 131,720 |
Commitments and contingencies (Note 15) | ||
Capital | ||
Total capital stock Class B putable | 4,650 | 4,955 |
Retained earnings: | ||
Restricted | 326 | 310 |
Unrestricted | 1,584 | 1,582 |
Total retained earnings | 1,910 | 1,892 |
Accumulated other comprehensive income | 105 | 104 |
Total capital | 6,665 | 6,951 |
Total liabilities and capital | 134,730 | 138,671 |
Subclass B1 [Member] | ||
Capital | ||
Total capital stock Class B putable | 821 | 787 |
Subclass B2 [Member] | ||
Capital | ||
Total capital stock Class B putable | $ 3,829 | $ 4,168 |
Statements of Condition (Unaud3
Statements of Condition (Unaudited) (Parenthetical) - USD ($) shares in Millions, $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Deposits with other FHLBanks | $ 4 | $ 5 |
Held-to-maturity securities, fair value | $ 25,524 | $ 24,633 |
Capital stock Class B putable par value (per share) | $ 100 | $ 100 |
Subclass B1 [Member] | ||
Capital stock, shares issued | 8 | 8 |
Capital stock, shares outstanding | 8 | 8 |
Subclass B2 [Member] | ||
Capital stock, shares issued | 39 | 42 |
Capital stock, shares outstanding | 39 | 42 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Interest income | ||
Advances | $ 127 | |
Advances | $ (81) | |
Prepayment fees, net | 1 | 0 |
Interest-bearing deposits | 5 | 4 |
Securities purchased under agreements to resell | 1 | 1 |
Federal funds sold | 19 | 7 |
Trading securities | 3 | 16 |
Available-for-sale securities | 27 | 27 |
Held-to-maturity securities | 85 | 67 |
Mortgage loans | 7 | 9 |
Total interest income | 67 | 258 |
Interest expense | ||
Consolidated obligation discount notes | 68 | 63 |
Consolidated obligation bonds | 199 | 101 |
Interest-bearing deposits | 2 | 1 |
Total interest expense | 269 | 165 |
Net interest (expense) income | (202) | 93 |
Noninterest income (loss) | ||
Net losses on trading securities | (2) | (9) |
Net gains (losses) on derivatives and hedging activities | 313 | (2) |
Standby letters of credit fees | 7 | 8 |
Other | 1 | 0 |
Total noninterest income (loss) | 319 | (3) |
Noninterest expense | ||
Compensation and benefits | 20 | 20 |
Other operating expenses | 9 | 9 |
Finance Agency | 2 | 2 |
Office of Finance | 2 | 2 |
Other | 1 | 1 |
Total noninterest expense | 34 | 34 |
Income before assessments | 83 | 56 |
Affordable Housing Program assessments | 8 | 6 |
Net income | $ 75 | $ 50 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 75 | $ 50 |
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 | 0 | (9) |
Other comprehensive income related to pension and postretirement benefit plans | 1 | 0 |
Total other comprehensive income (loss) | 1 | (9) |
Total comprehensive income | $ 76 | $ 41 |
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, 2015 | 51 | |||||
Beginning balance at Dec. 31, 2015 | $ 7,016 | $ 5,101 | $ 1,840 | $ 255 | $ 1,585 | $ 75 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock (shares) | 12 | |||||
Issuance of capital stock | 1,264 | $ 1,264 | ||||
Repurchase/redemption of capital stock (shares) | (17) | |||||
Repurchase/redemption of capital stock | (1,735) | $ (1,735) | ||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Net shares reclassified to mandatorily redeemable capital stock | (1) | $ (1) | ||||
Comprehensive income (loss) | 41 | 50 | 10 | 40 | (9) | |
Cash dividends on capital stock | (52) | (52) | 0 | (52) | ||
Ending balance (shares) at Mar. 31, 2016 | 46 | |||||
Ending balance at Mar. 31, 2016 | 6,533 | $ 4,629 | 1,838 | 265 | 1,573 | 66 |
Beginning balance (shares) at Dec. 31, 2016 | 50 | |||||
Beginning balance at Dec. 31, 2016 | 6,951 | $ 4,955 | 1,892 | 310 | 1,582 | 104 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock (shares) | 20 | |||||
Issuance of capital stock | 2,034 | $ 2,034 | ||||
Repurchase/redemption of capital stock (shares) | (23) | |||||
Repurchase/redemption of capital stock | (2,331) | $ (2,331) | ||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Net shares reclassified to mandatorily redeemable capital stock | (8) | $ (8) | ||||
Comprehensive income (loss) | 76 | 75 | 16 | 59 | 1 | |
Cash dividends on capital stock | (57) | (57) | 0 | (57) | ||
Ending balance (shares) at Mar. 31, 2017 | 47 | |||||
Ending balance at Mar. 31, 2017 | $ 6,665 | $ 4,650 | $ 1,910 | $ 326 | $ 1,584 | $ 105 |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Operating activities | ||
Net income | $ 75 | $ 50 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Depreciation and amortization | (18) | (5) |
Net change in fair value adjustment on derivatives and related hedging activities | 36 | 5 |
Net change in fair value adjustment on trading securities | 2 | 9 |
Net change in: | ||
Accrued interest receivable | (5) | (6) |
Other assets | 22 | 6 |
Affordable Housing Program payable | 4 | 3 |
Accrued interest payable | 49 | 60 |
Other liabilities | (31) | (10) |
Total adjustments | 59 | 62 |
Net cash provided by operating activities | 134 | 112 |
Investing activities | ||
Interest-bearing deposits | 255 | (412) |
Securities purchased under agreements to resell | (1,000) | (1,007) |
Federal funds sold | (3,406) | (404) |
Trading securities: | ||
Proceeds from principal collected | 0 | 224 |
Available-for-sale securities: | ||
Proceeds from principal collected | 71 | 78 |
Held-to-maturity securities: | ||
Net change in short-term | 350 | 0 |
Proceeds from principal collected | 1,766 | 1,060 |
Purchases of long-term | (2,376) | (2,533) |
Advances: | ||
Proceeds from principal collected | 86,936 | 68,504 |
Made | (78,979) | (56,412) |
Mortgage loans: | ||
Proceeds from principal collected | 28 | 29 |
Purchases from another FHLBank | (18) | 0 |
Proceeds from sale of foreclosed assets | 1 | 4 |
Purchase of premises, equipment, and software | (1) | (1) |
Net cash provided by investing activities | 2,927 | 9,130 |
Financing activities | ||
Net change in interest-bearing deposits | 87 | 72 |
Net payments on derivatives containing a financing element | (10) | (19) |
Proceeds from issuance of consolidated obligations: | ||
Discount notes | 158,899 | 144,787 |
Bonds | 9,260 | 11,094 |
Payments for debt issuance costs | (2) | (2) |
Payments for maturing and retiring consolidated obligations: | ||
Discount notes | (158,123) | (154,075) |
Bonds | (13,584) | (11,288) |
Proceeds from issuance of capital stock | 2,034 | 1,264 |
Payments for repurchase/redemption of capital stock | (2,331) | (1,735) |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (8) | (2) |
Cash dividends paid | (57) | (52) |
Net cash used in financing activities | (3,835) | (9,956) |
Net decrease in cash and due from banks | (774) | (714) |
Cash and due from banks at beginning of the period | 1,815 | 1,751 |
Cash and due from banks at end of the period | 1,041 | 1,037 |
Cash paid for: | ||
Interest | 158 | 53 |
Affordable Housing Program assessments, net | 4 | 3 |
Noncash investing and financing activities: | ||
Net shares reclassified to mandatorily redeemable capital stock | 8 | 1 |
Held-to-maturity securities acquired with accrued liabilities | 22 | 0 |
Transfers of mortgage loans to real estate owned | $ 1 | $ 2 |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2017 | |
Basis of Presentation [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 as of 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, 2017 , 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, 2016 , which are contained in the Bank’s 2016 Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC) on March 9, 2017 (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. Refer to Note 2 — Summary of Significant Accounting Policies to the Bank's 2016 audited financial statements for a description of all the Bank’s significant accounting policies. There have been no changes to these policies as of March 31, 2017 . |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 3 Months Ended |
Mar. 31, 2017 | |
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 Premium Amortization on Purchased Callable Debt Securities. In March 2017, the Financial Accounting Standards Board (FASB) issued guidance intended to better align the amortization period of callable debt securities held at a premium to expectations incorporated in market pricing on the underlying securities. This guidance shortens the amortization period for certain callable debt securities held at a premium by requiring that the premium be amortized to the earliest call date. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2018. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a modified retrospective basis through a cumulative-effect adjustment directly to retained earnings as of the beginning of the fiscal year in which this guidance is adopted. The Bank is in the process of evaluating this guidance, but this guidance is not expected to have a material impact on the Bank's financial condition or results of operations. Improving the Presentation of Net Periodic Pension Costs and Net Periodic Postretirement Benefit Cost. In March 2017, the FASB issued guidance intended to improve the presentation of net periodic pension and postretirement benefit costs. This guidance requires an employer to report the service cost component in the same line item as compensation costs on the income statement, while the other components of net benefit cost are required to be presented separately from the service cost component. Additionally, this guidance only allows the service cost component to be eligible for capitalization, when applicable. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2017. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a retrospective basis for the separate presentation of the service cost component and other components on the income statement. This guidance will be applied on a prospective basis for the capitalization of the service cost component in assets. This guidance is not expected to have a material impact on the Bank's financial condition or results of operations. Classification of Certain Cash Receipts and Cash Payments. In August 2016, the FASB issued guidance intended to reduce diversity in how cash receipts and cash payments are presented and classified on the Statements of Cash Flows for certain transactions. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2017. Early application is permitted although the Bank does not intend to adopt this guidance early. The adoption of this guidance will not have an impact on the Bank's financial condition, results of operations, or cash flows. Measurement of Credit Losses on Financial Instruments. In June 2016, the FASB issued guidance intended to improve the timeliness of recording credit losses on loans and other financial instruments held by financial institutions and other organizations. This guidance requires all expected credit losses for financial assets that are held at the reporting date to be measured based on historical experience, current conditions, and reasonable and supportable forecasts. Credit losses related to available-for-sale securities will be recorded through an allowance for credit losses. Additionally, this guidance amends the accounting for purchased financial assets with credit deterioration and requires enhanced disclosures that provide additional information to help financial statement users better understand significant estimates and judgments. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2019. Early application is permitted for the interim and annual periods beginning after December 15, 2018, although the Bank does not intend to adopt this guidance early. The Bank is in the process of evaluating this guidance, and its impact on the Bank’s financial condition and results of operations will depend upon the composition of the financial assets held by the Bank at the adoption date, as well as the economic conditions and forecasts at that time. Leases. In February 2016, the FASB issued guidance on accounting for leases and disclosure of key information about leasing arrangements. This guidance requires lessees to recognize the following for all operating and finance leases at the commencement date: (1) a lease liability, which is the obligation to make lease payments arising from a lease, measured on a discounted basis; and (2) a right-of-use asset representing the lessee’s right to use, or control the use of, the underlying asset for the lease term. A lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities for short-term leases with a term of 12 months or less. This guidance does not fundamentally change lessor accounting; however, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2018. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a modified retrospective basis for leases existing at, or entered into after, the earliest period presented in the financial statements. The adoption of this guidance is not expected to have a material impact on the Bank's financial condition or results of operations. Recognition and Measurement of Financial Assets and Financial Liabilities. In January 2016, the FASB issued guidance designed to improve the recognition, measurement, presentation, and disclosure of financial instruments through targeted changes to existing GAAP. These changes require the following: (1) entities to measure equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) at fair value with changes in fair value recognized in net income; (2) public business entities to use the exit price notion when measuring the fair value of financial instruments for disclosure purposes; (3) entities to separately present financial assets and financial liabilities by measurement category and form of financial asset (i.e., securities or loans and receivables) on the balance sheet or the accompanying notes to the financial statements; and (4) reporting entities to separately present in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (also referred to as “own credit”) when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Additionally, these changes eliminate the requirement for public business entities to disclose the method and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 31, 2017. The adoption of this guidance is not expected to have a material impact 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 this 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. Financial instruments and other contractual rights are excluded from the scope of this new revenue recognition guidance and will continue to be accounted for under existing guidance. In 2017 and 2016, the FASB issued amendments, which did not change the core principle of the original guidance, but clarified certain aspects of the guidance. This guidance becomes effective for the Bank for the interim and annual reporting periods beginning after December 15, 2017. This guidance will be applied retrospectively either to each prior reporting period or with a cumulative effect recognized at the date of initial application. Early application is permitted although the Bank does not intend to adopt this guidance early. Because the majority of contracts with the Bank's members are excluded from the scope of this guidance, the adoption of this guidance is not expected to have a material impact on the Bank's financial condition or results of operations. Recently Adopted Accounting Guidance Contingent Put and Call Options in Debt Instruments . In March 2016, the FASB issued amended guidance to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. This guidance requires entities to apply only the four-step decision sequence when performing this assessment. Consequently, when a call (put) option is contingently exercisable, an entity should not assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2017. The adoption of this guidance did not have an impact on the Bank's financial condition or results of operations. |
Trading Securities
Trading Securities | 3 Months Ended |
Mar. 31, 2017 | |
Trading Securities [Abstract] | |
Trading Securities | Trading Securities Major Security Types. The following table presents trading securities. As of March 31, 2017 As of December 31, 2016 Government-sponsored enterprises debt obligations $ 259 $ 261 State or local housing agency debt obligations 1 1 Total $ 260 $ 262 The following table presents net losses on trading securities. For the Three Months Ended March 31, 2017 2016 Net losses on trading securities held at period end $ (2 ) $ (6 ) Net losses on trading securities that matured during the period — (3 ) Net losses on trading securities $ (2 ) $ (9 ) |
Available-for-sale Securities
Available-for-sale Securities | 3 Months Ended |
Mar. 31, 2017 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | Available-for-sale Securities Major Security Type. The following table presents information on private-label residential mortgage-backed securities (MBS) that are classified as available-for-sale. Amortized Cost Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of March 31, 2017 $ 1,165 $ 4 $ 128 $ — $ 1,289 As of December 31, 2016 $ 1,221 $ 6 $ 130 $ — $ 1,345 The following table presents private-label residential MBS that are classified as available-for-sale with unrealized losses. The unrealized losses are aggregated by the 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 March 31, 2017 2 $ 19 $ — 8 $ 131 $ 4 10 $ 150 $ 4 As of December 31, 2016 1 $ 14 $ — 10 $ 189 $ 6 11 $ 203 $ 6 The following table presents private-label residential MBS that are classified as available-for-sale and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC. Amortized Cost Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of March 31, 2017 $ 759 $ 3 $ 98 $ — $ 854 As of December 31, 2016 $ 792 $ 5 $ 102 $ — $ 889 |
Held-to-maturity Securities
Held-to-maturity Securities | 3 Months Ended |
Mar. 31, 2017 | |
Held-to-maturity Securities, Unclassified [Abstract] | |
Held-to-maturity Securities | Held-to-maturity Securities Major Security Types. The following table presents held-to-maturity securities. As of March 31, 2017 As of December 31, 2016 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Certificates of deposit $ 350 $ — $ — $ 350 $ — $ — $ — $ — State or local housing agency debt obligations 76 — — 76 76 — — 76 Government-sponsored enterprises debt obligations 6,118 6 5 6,119 6,041 3 5 6,039 Mortgage-backed securities: U.S. agency obligations-guaranteed residential 195 2 — 197 209 2 — 211 Government-sponsored enterprises residential 11,034 58 29 11,063 10,752 44 43 10,753 Government-sponsored enterprises commercial 6,980 8 5 6,983 6,773 2 11 6,764 Private-label residential 734 6 4 736 790 5 5 790 Total $ 25,487 $ 80 $ 43 $ 25,524 $ 24,641 $ 56 $ 64 $ 24,633 The following tables present held-to-maturity securities with unrealized losses. The unrealized losses are aggregated by major security type and by the length of time that the individual securities have been in a continuous unrealized loss position. As of March 31, 2017 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 11 $ 2,427 $ 5 — $ — $ — 11 $ 2,427 $ 5 Mortgage-backed securities: Government-sponsored enterprises residential 15 1,416 15 68 2,229 14 83 3,645 29 Government-sponsored enterprises commercial 42 1,321 3 10 979 2 52 2,300 5 Private-label residential 4 10 — 49 310 4 53 320 4 Total 72 $ 5,174 $ 23 127 $ 3,518 $ 20 199 $ 8,692 $ 43 As of December 31, 2016 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 10 $ 2,532 $ 5 — $ — $ — 10 $ 2,532 $ 5 Mortgage-backed securities: Government-sponsored enterprises residential 46 2,813 22 63 2,206 21 109 5,019 43 Government-sponsored enterprises commercial 52 4,147 6 22 1,540 5 74 5,687 11 Private-label residential 6 10 — 56 432 5 62 442 5 Total 114 $ 9,502 $ 33 141 $ 4,178 $ 31 255 $ 13,680 $ 64 Redemption Terms. The following table presents the amortized cost and estimated fair value of held-to-maturity securities by contractual maturity. 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 March 31, 2017 As of December 31, 2016 Amortized Cost Estimated Fair Value Amortized Cost Estimated Fair Value Non-mortgage-backed securities: Due in one year or less $ 2,741 $ 2,743 $ 2,454 $ 2,455 Due after one year through five years 3,397 3,397 3,487 3,484 Due after five years through ten years 406 405 176 176 Total non-mortgage-backed securities 6,544 6,545 6,117 6,115 Mortgage-backed securities 18,943 18,979 18,524 18,518 Total $ 25,487 $ 25,524 $ 24,641 $ 24,633 The following table presents private-label residential MBS that are classified as held-to-maturity and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC. Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of March 31, 2017 $ 163 $ — $ 1 $ 162 As of December 31, 2016 $ 177 $ — $ 2 $ 175 |
Other-than-temporary Impairment
Other-than-temporary Impairment | 3 Months Ended |
Mar. 31, 2017 | |
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. The financial amounts related to the Bank's other-than-temporary impairment are not material to the Bank's financial condition or results of operations for the periods presented. 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 March 31, 2017 2016 Balance, beginning of period $ 455 $ 505 Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities) (15 ) (12 ) Balance, end of period $ 440 $ 493 |
Advances
Advances | 3 Months Ended |
Mar. 31, 2017 | |
Advances [Abstract] | |
Advances | Advances Redemption Terms. The following table presents the Bank's advances outstanding. As of March 31, 2017 As of December 31, 2016 Due in one year or less 60,532 47,325 Due after one year through two years 6,985 8,244 Due after two years through three years 4,457 5,904 Due after three years through four years 5,345 5,859 Due after four years through five years 4,990 11,846 Due after five years 8,021 19,110 Total par value 90,330 98,288 Discount on AHP (1) advances (5 ) (5 ) Discount on EDGE (2) advances (3 ) (4 ) Hedging adjustments 366 798 Total $ 90,688 $ 99,077 ___________ (1) The Affordable Housing Program (2) The Economic Development and Growth Enhancement program The following table presents advances by year of contractual maturity or, for convertible advances, next conversion date. As of March 31, 2017 As of December 31, 2016 Due or convertible in one year or less 60,905 47,935 Due or convertible after one year through two years 6,706 7,724 Due or convertible after two years through three years 4,580 5,943 Due or convertible after three years through four years 5,333 5,867 Due or convertible after four years through five years 5,008 11,866 Due or convertible after five years 7,798 18,953 Total par value $ 90,330 $ 98,288 Interest-rate Payment Terms. The following table presents interest-rate payment terms for advances. As of March 31, 2017 As of December 31, 2016 Fixed-rate: Due in one year or less $ 49,557 $ 38,597 Due after one year 20,588 24,528 Total fixed-rate 70,145 63,125 Variable-rate: Due in one year or less 10,975 8,728 Due after one year 9,210 26,435 Total variable-rate 20,185 35,163 Total par value $ 90,330 $ 98,288 Credit Risk. The Bank’s potential credit risk from advances is concentrated in commercial banks, savings institutions, 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 $61,774 and $67,493 as of March 31, 2017 and December 31, 2016 , respectively. This concentration represented 68.4 percent and 68.7 percent of total advances outstanding as of March 31, 2017 and December 31, 2016 , 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 March 31, 2017 and December 31, 2016 . No advance was past due as of March 31, 2017 and December 31, 2016 . |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, 2017 As of December 31, 2016 Medium-term (15 years or less) $ 34 $ 40 Long-term (greater than 15 years) 479 485 Total unpaid principal balance 513 525 Premiums 2 2 Discounts (2 ) (3 ) Total $ 513 $ 524 The following table presents the unpaid principal balance of mortgage loans held for portfolio by collateral or guarantee type. As of March 31, 2017 As of December 31, 2016 Conventional mortgage loans $ 482 $ 492 Government-guaranteed or insured mortgage loans 31 33 Total unpaid principal balance $ 513 $ 525 Refer to Note 9 — Allowance for Credit Losses to the Bank’s interim financial statements for information related to the Bank's credit risk on mortgage loans and allowance for credit losses. |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2017 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses | Allowance for Credit Losses The following table presents the activity in the allowance for credit losses related to conventional residential mortgage loans. For the Three Months Ended March 31, 2017 2016 Balance, beginning of period $ 1 $ 2 Provision for credit losses — — Balance, end of period $ 1 $ 2 The following table presents the recorded investment in conventional residential mortgage loans by impairment methodology. As of March 31, 2017 As of December 31, 2016 Allowance for credit losses: Collectively evaluated for impairment $ 1 $ 1 Recorded investment: Individually evaluated for impairment $ 12 $ 12 Collectively evaluated for impairment 472 481 Total recorded investment $ 484 $ 493 Key credit quality indicators for mortgage loans include the migration of past due mortgage loans, nonaccrual mortgage loans, and mortgage loans in process of foreclosure. The following tables present the Bank's recorded investment in mortgage loans by these key credit quality indicators. As of March 31, 2017 Conventional Residential Mortgage Loans Government-guaranteed or Insured Residential Mortgage Loans Total Past due 30-59 days $ 15 $ 3 $ 18 Past due 60-89 days 4 1 5 Past due 90 days or more 11 — 11 Total past due mortgage loans 30 4 34 Total current mortgage loans 454 27 481 Total mortgage loans (1) $ 484 $ 31 $ 515 Other delinquency statistics: In process of foreclosure (2) $ 7 $ — $ 7 Seriously delinquent rate (3) 2.31 % 2.24 % 2.31 % Past due 90 days or more and still accruing interest (4) $ — $ — $ — Mortgage loans on nonaccrual status (5) $ 11 $ — $ 11 ____________ (1) The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest. (2) Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in lieu, has been reported. Mortgage loans in the process of foreclosure are included in past due or current mortgage loans depending on their delinquency status. (3) Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage 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, 2016 Conventional Residential Mortgage Loans Government-guaranteed or Insured Residential Mortgage Loans Total Past due 30-59 days $ 17 $ 4 $ 21 Past due 60-89 days 3 1 4 Past due 90 days or more 12 1 13 Total past due mortgage loans 32 6 38 Total current mortgage loans 461 27 488 Total mortgage loans (1) $ 493 $ 33 $ 526 Other delinquency statistics: In process of foreclosure (2) $ 6 $ 1 $ 7 Seriously delinquent rate (3) 2.44 % 3.75 % 2.53 % Past due 90 days or more and still accruing interest (4) $ — $ 1 $ 1 Mortgage loans on nonaccrual status (5) $ 12 $ — $ 12 ____________ (1) The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest. (2) Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in lieu, has been reported. Mortgage loans in the process of foreclosure are included in past due or current mortgage loans depending on their delinquency status. (3) Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage 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 financial amounts related to the Bank's troubled debt restructurings and impaired loans are not material to the Bank's financial condition or results of operations for the periods presented. |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2017 | |
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 Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks its specific portion of consolidated obligations for which it is the primary obligor and records it as a liability. Interest-rate Payment Terms. The following table presents the Bank’s consolidated obligation bonds by interest-rate payment type. As of March 31, 2017 As of December 31, 2016 Fixed-rate $ 22,336 $ 23,674 Step up/down 2,649 2,534 Simple variable-rate 59,308 62,408 Total par value $ 84,293 $ 88,616 Redemption Terms. The following table presents the Bank’s participation in consolidated obligation bonds outstanding by year of contractual maturity. As of March 31, 2017 As of December 31, 2016 Amount Weighted- average Interest Rate (%) Amount Weighted- average Interest Rate (%) Due in one year or less $ 66,469 1.03 $ 65,378 0.91 Due after one year through two years 11,850 1.21 17,065 1.05 Due after two years through three years 1,630 1.71 1,849 1.67 Due after three years through four years 1,330 1.68 1,482 1.68 Due after four years through five years 1,328 1.68 1,117 1.58 Due after five years 1,686 2.44 1,725 2.37 Total par value 84,293 1.12 88,616 1.00 Premiums 21 24 Discounts (11 ) (12 ) Hedging adjustments (11 ) 19 Total $ 84,292 $ 88,647 The following table presents the Bank’s consolidated obligation bonds outstanding by call feature. As of March 31, 2017 As of December 31, 2016 Noncallable $ 79,024 $ 83,487 Callable 5,269 5,129 Total par value $ 84,293 $ 88,616 The following table presents the Bank’s consolidated obligation bonds outstanding, by year of contractual maturity, or for callable consolidated obligation bonds, by next call date. As of March 31, 2017 As of December 31, 2016 Due or callable in one year or less $ 71,463 $ 70,232 Due or callable after one year through two years 9,910 15,250 Due or callable after two years through three years 1,260 1,399 Due or callable after three years through four years 981 1,103 Due or callable after four years through five years 193 162 Due or callable after five years 486 470 Total par value $ 84,293 $ 88,616 Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds and have 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 following table presents the Bank’s participation in consolidated obligation discount notes. Book Value Par Value Weighted-average Interest Rate (%) As of March 31, 2017 $ 42,066 $ 42,124 0.62 As of December 31, 2016 $ 41,292 $ 41,334 0.48 |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock | 3 Months Ended |
Mar. 31, 2017 | |
Capital [Abstract] | |
Capital and Mandatorily Redeemable Capital Stock | Capital and Mandatorily Redeemable Capital Stock Capital. The following table presents the Bank's compliance with the Federal Housing Finance Agency's (Finance Agency) regulatory capital rules and requirements. As of March 31, 2017 As of December 31, 2016 Required Actual Required Actual Risk based capital $ 1,634 $ 6,561 $ 1,701 $ 6,848 Total regulatory capital ratio 4.00 % 4.87 % 4.00 % 4.94 % Total regulatory capital (1) $ 5,389 $ 6,561 $ 5,547 $ 6,848 Leverage capital ratio 5.00 % 7.31 % 5.00 % 7.41 % Leverage capital $ 6,736 $ 9,842 $ 6,934 $ 10,273 ____________ (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 presents the activity in mandatorily redeemable capital stock. For the Three Months Ended March 31, 2017 2016 Balance, beginning of period $ 1 $ 14 Net reclassification from capital during the period 8 1 Repurchase/redemption of mandatorily redeemable capital stock (8 ) (2 ) Balance, end of period $ 1 $ 13 The following table presents 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 March 31, 2017 As of December 31, 2016 Due after three years through four years 1 1 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 3 Months Ended |
Mar. 31, 2017 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive Income (Loss) | Accumulated Other Comprehensive Income The following table presents the components comprising accumulated other comprehensive 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, 2015 $ (20 ) $ 95 $ 75 Other comprehensive income before reclassifications: Net change in fair value — (9 ) (9 ) Net current period other comprehensive loss — (9 ) (9 ) Balance, March 31, 2016 $ (20 ) $ 86 $ 66 Balance, December 31, 2016 $ (20 ) $ 124 $ 104 Reclassification from accumulated other comprehensive income to net income: Amortization of pension and postretirement (1) 1 — 1 Net current period other comprehensive income 1 — 1 Balance, March 31, 2017 $ (19 ) $ 124 $ 105 ____________ (1) Included in Compensation and benefits on the Statements of Income. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2017 | |
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 on its funding sources that finance these assets. 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 that it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin, and average maturity of its interest-earning assets and funding sources. 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. The Bank enters into derivatives to manage the interest-rate risk exposure that is 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. 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. The Bank's over-the-counter derivative transactions may either be (1) uncleared derivatives, which are executed bilaterally with a counterparty; or (2) cleared derivatives, which are cleared through a Futures Commission Merchant (clearing agent) with a Derivatives Clearing Organization (Clearinghouse). Once a derivatives transaction has been accepted for clearing by a Clearinghouse, the derivatives transaction is novated, and the executing counterparty is replaced with the Clearinghouse as the counterparty. The Bank is not a derivative dealer and does not trade derivatives for short-term profit. For additional information on the Bank’s derivatives and hedging activities, see Note 18—Derivatives and Hedging Activities to the 2016 audited financial statements contained in the Bank’s Form 10-K. 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 presents the notional amount, fair value of derivative instruments (excluding fair value adjustments related to variation margin on daily settled contracts), and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments, cash collateral, and variation margin for daily settled contracts. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. As of March 31, 2017 As of December 31, 2016 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives in hedging relationships: Interest rate swaps $ 47,092 $ 252 $ 598 $ 65,027 $ 256 $ 1,029 Derivatives not designated as hedging instruments: Interest rate swaps 1,148 10 14 1,158 9 31 Interest rate caps or floors 13,500 10 7 15,000 17 13 Mortgage delivery commitments — — — 12 — — Total derivatives not designated as hedging instruments 14,648 20 21 16,170 26 44 Total derivatives before netting and collateral adjustments $ 61,740 272 619 $ 81,197 282 1,073 Netting adjustments, cash collateral, and variation margin for daily settled contracts (1) 40 (581 ) 73 (966 ) Derivative assets and derivative liabilities $ 312 $ 38 $ 355 $ 107 ___________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was $557 and $1,061 as of March 31, 2017 and December 31, 2016 , respectively. Cash collateral received and related accrued interest was $22 as of March 31, 2017 and December 31, 2016 . Variation margin for daily settled contracts was $87 as of March 31, 2017 . The following table presents the components of net gains (losses) on derivatives and hedging activities as presented on the Statements of Income. For the Three Months Ended March 31, 2017 2016 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ 314 $ 6 Derivatives not designated as hedging instruments: Interest rate swaps 2 7 Interest rate caps or floors (1 ) (1 ) Net interest settlements (2 ) (14 ) Total net losses related to derivatives not designated as hedging instruments (1 ) (8 ) Net gains (losses) on derivatives and hedging activities $ 313 $ (2 ) The following table presents, 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 March 31, 2017 2016 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 $ 425 $ (109 ) $ 316 $ (77 ) $ (467 ) $ 485 $ 18 $ (147 ) Consolidated obligations: Bonds (30 ) 28 (2 ) 32 67 (77 ) (10 ) 79 Discount notes 3 (3 ) — (3 ) 6 (8 ) (2 ) (5 ) Total $ 398 $ (84 ) $ 314 $ (48 ) $ (394 ) $ 400 $ 6 $ (73 ) ____________ (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 to its derivative transactions due to the risk of nonperformance by counterparties and manages this 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. The Bank currently utilizes the following two Clearinghouses for all cleared derivative transactions: LCH.Clearnet LLC and CME Clearing. Effective January 3, 2017, CME Clearing made certain amendments to its rulebook changing the legal characterization of variation margin payments to be daily settled payments, rather than collateral. The Bank continues to characterize variation margin payments with LCH.Clearnet LLC as cash collateral. At both Clearinghouses, initial margin is considered cash collateral. Because the Bank is required to post initial and variation margin through the clearing agent to the Clearinghouse, it 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/payments is posted daily through a clearing agent for changes in the fair value of cleared derivatives. 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 and the related cash collateral (including initial and certain variation margin) that is received or pledged, plus the 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 and variation margin for daily settled contracts. As of March 31, 2017 As of December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Gross recognized amount: Uncleared derivatives $ 58 $ 177 $ 70 $ 370 Cleared derivatives 214 442 212 703 Total gross recognized amount 272 619 282 1,073 Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts: (1) Uncleared derivatives (57 ) (139 ) (69 ) (263 ) Cleared derivatives 97 (442 ) 142 (703 ) Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) 40 (581 ) 73 (966 ) Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts: Uncleared derivatives 1 38 1 107 Cleared derivatives 311 — 354 — Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 312 38 355 107 Net unsecured amounts: (2) Uncleared derivatives 1 38 1 107 Cleared derivatives 311 — 354 — Total net unsecured amount (2) $ 312 $ 38 $ 355 $ 107 ____________ (1) Variation margin for daily settled contracts was $87 as of March 31, 2017 . (2) The Bank had net credit exposure of $312 and $346 as of March 31, 2017 and December 31, 2016 , 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 an 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 March 31, 2017 was $114 , for which the Bank has posted collateral with a fair value of $82 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 $22 of collateral at fair value to its uncleared derivative counterparties as of March 31, 2017 . |
Estimated Fair Values
Estimated Fair Values | 3 Months Ended |
Mar. 31, 2017 | |
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 defined under GAAP 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 asset or owes the liability. In general, the transaction price will equal the exit price and therefore, represents 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, 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. 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. The Bank carried grantor trust assets at fair value hierarchy Level 1 as of March 31, 2017 and December 31, 2016 . 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. The Bank carried trading securities and derivatives at fair value hierarchy Level 2 as of March 31, 2017 and December 31, 2016 . 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. The Bank carried available-for-sale securities at fair value hierarchy Level 3 as of March 31, 2017 and December 31, 2016 . 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 March 31, 2017 Fair Value Measurements Using Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts (1) Level 1 Level 2 Level 3 Total Assets Trading securities: Government-sponsored enterprises debt obligations $ — $ 259 $ — $ — $ 259 State or local housing agency debt obligations — 1 — — 1 Total trading securities — 260 — — 260 Available-for-sale securities: Private-label residential MBS — — 1,289 — 1,289 Derivative assets: Interest-rate related — 272 — 40 312 Grantor trust (included in Other assets) 38 — — — 38 Total assets at fair value $ 38 $ 532 $ 1,289 $ 40 $ 1,899 Liabilities Derivative liabilities: Interest-rate related $ — $ 619 $ — $ (581 ) $ 38 Total liabilities at fair value $ — $ 619 $ — $ (581 ) $ 38 ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. As of December 31, 2016 Fair Value Measurements Using Netting Adjustment (1) Level 1 Level 2 Level 3 Total Assets Trading securities: Government-sponsored enterprises debt obligations $ — $ 261 $ — $ — $ 261 State or local housing agency debt obligations — 1 — — 1 Total trading securities — 262 — — 262 Available-for-sale securities: Private-label residential MBS — — 1,345 — 1,345 Derivative assets: Interest-rate related — 282 — 73 355 Grantor trust (included in Other assets) 37 — — — 37 Total assets at fair value $ 37 $ 544 $ 1,345 $ 73 $ 1,999 Liabilities Derivative liabilities: Interest-rate related $ — $ 1,073 $ — $ (966 ) $ 107 Total liabilities at fair value $ — $ 1,073 $ — $ (966 ) $ 107 ____________ (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 March 31, 2017 2016 Balance, beginning of period $ 1,345 $ 1,662 Total (losses) gains realized and unrealized: (1) Included in other comprehensive income — (9 ) Accretion of credit losses in net interest income 15 12 Settlements (71 ) (78 ) Balance, end of period $ 1,289 $ 1,587 ____________ (1) Related to available-for-sale securities held at period end. 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 assets and liabilities. The estimated fair values of overnight interest-bearing deposits approximate the carrying values. 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, the following: 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 “resultant” 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 resultant price. Alternatively, if the analysis does not provide evidence that an outlier is more representative of the fair value, and the resultant price is the best estimate, then the resultant 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 resultant price, and the final price is determined by an evaluation of all outlier prices as described above. 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 as of March 31, 2017 and December 31, 2016 . 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 the Bank's additional analysis in those instances in which there were outliers or significant yield variances), the Bank believes that 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 March 31, 2017 and December 31, 2016 . 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 enough 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. 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 discounted cash flow analysis. The Bank’s discounted cash flow analysis utilizes market-observable inputs. Inputs by class of derivatives are as follows: • Interest-rate related - the Overnight Index Swap curve for collateralized derivatives; and • Mortgage delivery commitments - to be announced (TBA) securities prices adjusted for differences in coupon, average loan rate, and seasoning. 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 March 31, 2017 and December 31, 2016 . Grantor trust assets. Grantor trust assets, recorded in "Other assets" on the Statements of Condition, are carried at estimated fair value based on quoted market prices. Consolidated obligations. The Bank calculates the fair value of consolidated obligation bonds and discount notes by calculating the present value of future cash flows using 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 and also includes 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 March 31, 2017 and December 31, 2016 . 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 following tables present the carrying values and estimated fair values of the Bank’s financial instruments. As of March 31, 2017 Estimated Fair Value Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts (1) Assets: Cash and due from banks $ 1,041 $ 1,041 $ 1,041 $ — $ — $ — Interest-bearing deposits 1,207 1,207 — 1,207 — — Securities purchased under agreements to resell 2,386 2,386 — 2,386 — — Federal funds sold 11,176 11,176 — 11,176 — — Trading securities 260 260 — 260 — — Available-for-sale securities 1,289 1,289 — — 1,289 — Held-to-maturity securities 25,487 25,524 — 24,788 736 — Advances 90,688 90,738 — 90,738 — — Mortgage loans held for portfolio, net 512 552 — 552 — — Accrued interest receivable 176 176 — 176 — — Derivative assets 312 312 — 272 — 40 Grantor trust assets (included in Other assets) 38 38 38 — — — Liabilities: Interest-bearing deposits 1,205 1,205 — 1,205 — — Consolidated obligations, net: Discount notes 42,066 42,053 — 42,053 — — Bonds 84,292 84,413 — 84,413 — — Mandatorily redeemable capital stock 1 1 1 — — — Accrued interest payable 177 177 — 177 — — Derivative liabilities 38 38 — 619 — (581 ) ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. As of December 31, 2016 Estimated Fair Value Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (1) Assets: Cash and due from banks $ 1,815 $ 1,815 $ 1,815 $ — $ — $ — Interest-bearing deposits 1,106 1,106 — 1,106 — — Securities purchased under agreements to resell 1,386 1,386 — 1,386 — — Federal funds sold 7,770 7,770 — 7,770 — — Trading securities 262 262 — 262 — — Available-for-sale securities 1,345 1,345 — — 1,345 — Held-to-maturity securities 24,641 24,633 — 23,843 790 — Advances 99,077 99,062 — 99,062 — — Mortgage loans held for portfolio, net 523 569 — 569 — — Accrued interest receivable 171 171 — 171 — — Derivative assets 355 355 — 282 — 73 Grantor trust assets (included in Other assets) 37 37 37 — — — Liabilities: Interest-bearing deposits 1,118 1,118 — 1,118 — — Consolidated obligations, net: Discount notes 41,292 41,293 — 41,293 — — Bonds 88,647 88,768 — 88,768 — — Mandatorily redeemable capital stock 1 1 1 — — — Accrued interest payable 128 128 — 128 — — Derivative liabilities 107 107 — 1,073 — (966 ) ____________ (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 | 3 Months Ended |
Mar. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Consolidated obligations are backed only by the financial resources of the FHLBanks. At any time, the Finance Agency may require any FHLBank to make principal or interest payments due on any consolidated obligation, 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 $832,863 and $859,361 as of March 31, 2017 and December 31, 2016 , respectively, exclusive of the Bank’s own outstanding consolidated obligations. 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 as of March 31, 2017 and December 31, 2016 . Accordingly, the Bank has not recognized a liability for its joint and several obligation related to the other FHLBanks' consolidated obligations as of March 31, 2017 and December 31, 2016 . The following table presents the Bank's outstanding commitments, which represent off-balance sheet obligations. As of March 31, 2017 As of December 31, 2016 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit (1) $ 8,471 $ 20,404 $ 28,875 $ 10,934 $ 21,734 $ 32,668 Commitments to fund additional advances 225 200 425 100 200 300 Unsettled consolidated obligation bonds, at par (2) 89 — 89 15 — 15 Commitments to purchase mortgage loans — — — 12 — 12 ____________ (1) "Expire Within One Year" includes 14 standby letters of credit for a total of $58 and 12 standby letters of credit for a total of $34 as of March 31, 2017 and December 31, 2016 , 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. 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 the 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 that 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" on the Statements of Condition and amounted to $109 and $135 as of March 31, 2017 and December 31, 2016 , 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 may enter into commitments that unconditionally obligate it to purchase mortgage loans. Commitments are generally for periods not exceeding 91 days . Delivery commitments are recorded at fair value as derivative assets or derivative liabilities on the Statements of Condition. 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 | 3 Months Ended |
Mar. 31, 2017 | |
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, which own the Bank's capital stock as a result of a merger or acquisition of a member of the Bank, 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 is also 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. Therefore, the Bank had no such 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 March 31, 2017 Regulatory Capital Stock Outstanding Percent of Total Regulatory Capital Stock Outstanding Par Value of Advances Percent of Total Par Value of Advances Interest-bearing Deposits Percent of Total Interest-bearing Deposits Bank of America, National Association $ 1,184 25.46 $ 27,511 30.46 $ — 0.01 Navy Federal Credit Union 509 10.94 11,618 12.86 134 11.10 As of December 31, 2016 Regulatory Capital Stock Outstanding Percent of Total Regulatory Capital Stock Outstanding Par Value of Advances Percent of Total Par Value of Advances Interest-bearing Deposits Percent of Total Interest-bearing Deposits Capital One, National Association $ 745 15.03 $ 17,176 17.48 $ 16 1.41 Navy Federal Credit Union 589 11.88 13,495 13.73 156 13.93 Bank of America, National Association 504 10.17 11,511 11.71 — 0.01 |
Basis of Presentation (Policies
Basis of Presentation (Policies) | 3 Months Ended |
Mar. 31, 2017 | |
Basis of Presentation [Abstract] | |
New Accounting Pronouncements, Policy [Policy Text Block] | Premium Amortization on Purchased Callable Debt Securities. In March 2017, the Financial Accounting Standards Board (FASB) issued guidance intended to better align the amortization period of callable debt securities held at a premium to expectations incorporated in market pricing on the underlying securities. This guidance shortens the amortization period for certain callable debt securities held at a premium by requiring that the premium be amortized to the earliest call date. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2018. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a modified retrospective basis through a cumulative-effect adjustment directly to retained earnings as of the beginning of the fiscal year in which this guidance is adopted. The Bank is in the process of evaluating this guidance, but this guidance is not expected to have a material impact on the Bank's financial condition or results of operations. Improving the Presentation of Net Periodic Pension Costs and Net Periodic Postretirement Benefit Cost. In March 2017, the FASB issued guidance intended to improve the presentation of net periodic pension and postretirement benefit costs. This guidance requires an employer to report the service cost component in the same line item as compensation costs on the income statement, while the other components of net benefit cost are required to be presented separately from the service cost component. Additionally, this guidance only allows the service cost component to be eligible for capitalization, when applicable. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2017. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a retrospective basis for the separate presentation of the service cost component and other components on the income statement. This guidance will be applied on a prospective basis for the capitalization of the service cost component in assets. This guidance is not expected to have a material impact on the Bank's financial condition or results of operations. Classification of Certain Cash Receipts and Cash Payments. In August 2016, the FASB issued guidance intended to reduce diversity in how cash receipts and cash payments are presented and classified on the Statements of Cash Flows for certain transactions. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2017. Early application is permitted although the Bank does not intend to adopt this guidance early. The adoption of this guidance will not have an impact on the Bank's financial condition, results of operations, or cash flows. Measurement of Credit Losses on Financial Instruments. In June 2016, the FASB issued guidance intended to improve the timeliness of recording credit losses on loans and other financial instruments held by financial institutions and other organizations. This guidance requires all expected credit losses for financial assets that are held at the reporting date to be measured based on historical experience, current conditions, and reasonable and supportable forecasts. Credit losses related to available-for-sale securities will be recorded through an allowance for credit losses. Additionally, this guidance amends the accounting for purchased financial assets with credit deterioration and requires enhanced disclosures that provide additional information to help financial statement users better understand significant estimates and judgments. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2019. Early application is permitted for the interim and annual periods beginning after December 15, 2018, although the Bank does not intend to adopt this guidance early. The Bank is in the process of evaluating this guidance, and its impact on the Bank’s financial condition and results of operations will depend upon the composition of the financial assets held by the Bank at the adoption date, as well as the economic conditions and forecasts at that time. Leases. In February 2016, the FASB issued guidance on accounting for leases and disclosure of key information about leasing arrangements. This guidance requires lessees to recognize the following for all operating and finance leases at the commencement date: (1) a lease liability, which is the obligation to make lease payments arising from a lease, measured on a discounted basis; and (2) a right-of-use asset representing the lessee’s right to use, or control the use of, the underlying asset for the lease term. A lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities for short-term leases with a term of 12 months or less. This guidance does not fundamentally change lessor accounting; however, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2018. Early application is permitted although the Bank does not intend to adopt this guidance early. This guidance will be applied on a modified retrospective basis for leases existing at, or entered into after, the earliest period presented in the financial statements. The adoption of this guidance is not expected to have a material impact on the Bank's financial condition or results of operations. Recognition and Measurement of Financial Assets and Financial Liabilities. In January 2016, the FASB issued guidance designed to improve the recognition, measurement, presentation, and disclosure of financial instruments through targeted changes to existing GAAP. These changes require the following: (1) entities to measure equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) at fair value with changes in fair value recognized in net income; (2) public business entities to use the exit price notion when measuring the fair value of financial instruments for disclosure purposes; (3) entities to separately present financial assets and financial liabilities by measurement category and form of financial asset (i.e., securities or loans and receivables) on the balance sheet or the accompanying notes to the financial statements; and (4) reporting entities to separately present in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (also referred to as “own credit”) when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Additionally, these changes eliminate the requirement for public business entities to disclose the method and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 31, 2017. The adoption of this guidance is not expected to have a material impact 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 this 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. Financial instruments and other contractual rights are excluded from the scope of this new revenue recognition guidance and will continue to be accounted for under existing guidance. In 2017 and 2016, the FASB issued amendments, which did not change the core principle of the original guidance, but clarified certain aspects of the guidance. This guidance becomes effective for the Bank for the interim and annual reporting periods beginning after December 15, 2017. This guidance will be applied retrospectively either to each prior reporting period or with a cumulative effect recognized at the date of initial application. Early application is permitted although the Bank does not intend to adopt this guidance early. Because the majority of contracts with the Bank's members are excluded from the scope of this guidance, the adoption of this guidance is not expected to have a material impact on the Bank's financial condition or results of operations. Recently Adopted Accounting Guidance Contingent Put and Call Options in Debt Instruments . In March 2016, the FASB issued amended guidance to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. This guidance requires entities to apply only the four-step decision sequence when performing this assessment. Consequently, when a call (put) option is contingently exercisable, an entity should not assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2017. The adoption of this guidance did not have an impact on the Bank's financial condition or results of operations. |
Trading Securities (Tables)
Trading Securities (Tables) - Categories of Investments, Marketable Securities, Trading Securities [Member] | 3 Months Ended |
Mar. 31, 2017 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Schedule of Major Trading Securities | Major Security Types. The following table presents trading securities. As of March 31, 2017 As of December 31, 2016 Government-sponsored enterprises debt obligations $ 259 $ 261 State or local housing agency debt obligations 1 1 Total $ 260 $ 262 |
Schedule of Net Losses on Trading Securities | The following table presents net losses on trading securities. For the Three Months Ended March 31, 2017 2016 Net losses on trading securities held at period end $ (2 ) $ (6 ) Net losses on trading securities that matured during the period — (3 ) Net losses on trading securities $ (2 ) $ (9 ) |
Available-for-sale Securities (
Available-for-sale Securities (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-Sale Securities Reconciliation | Major Security Type. The following table presents information on private-label residential mortgage-backed securities (MBS) that are classified as available-for-sale. Amortized Cost Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of March 31, 2017 $ 1,165 $ 4 $ 128 $ — $ 1,289 As of December 31, 2016 $ 1,221 $ 6 $ 130 $ — $ 1,345 |
Summary of Available-for-Sale MBS Issued by Members or Affiliates of Members | The following table presents private-label residential MBS that are classified as available-for-sale and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC. Amortized Cost Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of March 31, 2017 $ 759 $ 3 $ 98 $ — $ 854 As of December 31, 2016 $ 792 $ 5 $ 102 $ — $ 889 |
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 table presents private-label residential MBS that are classified as available-for-sale with unrealized losses. The unrealized losses are aggregated by the 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 March 31, 2017 2 $ 19 $ — 8 $ 131 $ 4 10 $ 150 $ 4 As of December 31, 2016 1 $ 14 $ — 10 $ 189 $ 6 11 $ 203 $ 6 |
Held-to-maturity Securities (Ta
Held-to-maturity Securities (Tables) - Held-to-maturity Securities [Member] | 3 Months Ended |
Mar. 31, 2017 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Schedule of Held-to-Maturity Securities | Major Security Types. The following table presents held-to-maturity securities. As of March 31, 2017 As of December 31, 2016 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Certificates of deposit $ 350 $ — $ — $ 350 $ — $ — $ — $ — State or local housing agency debt obligations 76 — — 76 76 — — 76 Government-sponsored enterprises debt obligations 6,118 6 5 6,119 6,041 3 5 6,039 Mortgage-backed securities: U.S. agency obligations-guaranteed residential 195 2 — 197 209 2 — 211 Government-sponsored enterprises residential 11,034 58 29 11,063 10,752 44 43 10,753 Government-sponsored enterprises commercial 6,980 8 5 6,983 6,773 2 11 6,764 Private-label residential 734 6 4 736 790 5 5 790 Total $ 25,487 $ 80 $ 43 $ 25,524 $ 24,641 $ 56 $ 64 $ 24,633 |
Schedule of Unrealized Loss on Investments | The following tables present held-to-maturity securities with unrealized losses. The unrealized losses are aggregated by major security type and by the length of time that the individual securities have been in a continuous unrealized loss position. As of March 31, 2017 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 11 $ 2,427 $ 5 — $ — $ — 11 $ 2,427 $ 5 Mortgage-backed securities: Government-sponsored enterprises residential 15 1,416 15 68 2,229 14 83 3,645 29 Government-sponsored enterprises commercial 42 1,321 3 10 979 2 52 2,300 5 Private-label residential 4 10 — 49 310 4 53 320 4 Total 72 $ 5,174 $ 23 127 $ 3,518 $ 20 199 $ 8,692 $ 43 As of December 31, 2016 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 10 $ 2,532 $ 5 — $ — $ — 10 $ 2,532 $ 5 Mortgage-backed securities: Government-sponsored enterprises residential 46 2,813 22 63 2,206 21 109 5,019 43 Government-sponsored enterprises commercial 52 4,147 6 22 1,540 5 74 5,687 11 Private-label residential 6 10 — 56 432 5 62 442 5 Total 114 $ 9,502 $ 33 141 $ 4,178 $ 31 255 $ 13,680 $ 64 |
Amortized Cost and Estimated Fair Value of Held-to-Maturity Securities by Contractual Maturity | Redemption Terms. The following table presents the amortized cost and estimated fair value of held-to-maturity securities by contractual maturity. 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 March 31, 2017 As of December 31, 2016 Amortized Cost Estimated Fair Value Amortized Cost Estimated Fair Value Non-mortgage-backed securities: Due in one year or less $ 2,741 $ 2,743 $ 2,454 $ 2,455 Due after one year through five years 3,397 3,397 3,487 3,484 Due after five years through ten years 406 405 176 176 Total non-mortgage-backed securities 6,544 6,545 6,117 6,115 Mortgage-backed securities 18,943 18,979 18,524 18,518 Total $ 25,487 $ 25,524 $ 24,641 $ 24,633 |
Held-to-Maturity MBS Issued by Members or Affiliates of Members | The following table presents private-label residential MBS that are classified as held-to-maturity and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC. Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value As of March 31, 2017 $ 163 $ — $ 1 $ 162 As of December 31, 2016 $ 177 $ — $ 2 $ 175 |
Other-than-Temporary Impairme28
Other-than-Temporary Impairment (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
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 March 31, 2017 2016 Balance, beginning of period $ 455 $ 505 Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities) (15 ) (12 ) Balance, end of period $ 440 $ 493 |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances | Redemption Terms. The following table presents the Bank's advances outstanding. As of March 31, 2017 As of December 31, 2016 Due in one year or less 60,532 47,325 Due after one year through two years 6,985 8,244 Due after two years through three years 4,457 5,904 Due after three years through four years 5,345 5,859 Due after four years through five years 4,990 11,846 Due after five years 8,021 19,110 Total par value 90,330 98,288 Discount on AHP (1) advances (5 ) (5 ) Discount on EDGE (2) advances (3 ) (4 ) Hedging adjustments 366 798 Total $ 90,688 $ 99,077 ___________ (1) The Affordable Housing Program (2) The Economic Development and Growth Enhancement program The following table presents advances by year of contractual maturity or, for convertible advances, next conversion date. As of March 31, 2017 As of December 31, 2016 Due or convertible in one year or less 60,905 47,935 Due or convertible after one year through two years 6,706 7,724 Due or convertible after two years through three years 4,580 5,943 Due or convertible after three years through four years 5,333 5,867 Due or convertible after four years through five years 5,008 11,866 Due or convertible after five years 7,798 18,953 Total par value $ 90,330 $ 98,288 Interest-rate Payment Terms. The following table presents interest-rate payment terms for advances. As of March 31, 2017 As of December 31, 2016 Fixed-rate: Due in one year or less $ 49,557 $ 38,597 Due after one year 20,588 24,528 Total fixed-rate 70,145 63,125 Variable-rate: Due in one year or less 10,975 8,728 Due after one year 9,210 26,435 Total variable-rate 20,185 35,163 Total par value $ 90,330 $ 98,288 |
Mortgage Loans Held for Portf30
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
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 March 31, 2017 As of December 31, 2016 Medium-term (15 years or less) $ 34 $ 40 Long-term (greater than 15 years) 479 485 Total unpaid principal balance 513 525 Premiums 2 2 Discounts (2 ) (3 ) Total $ 513 $ 524 The following table presents the unpaid principal balance of mortgage loans held for portfolio by collateral or guarantee type. As of March 31, 2017 As of December 31, 2016 Conventional mortgage loans $ 482 $ 492 Government-guaranteed or insured mortgage loans 31 33 Total unpaid principal balance $ 513 $ 525 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses on Financing Receivables | The following table presents the activity in the allowance for credit losses related to conventional residential mortgage loans. For the Three Months Ended March 31, 2017 2016 Balance, beginning of period $ 1 $ 2 Provision for credit losses — — Balance, end of period $ 1 $ 2 The following table presents the recorded investment in conventional residential mortgage loans by impairment methodology. As of March 31, 2017 As of December 31, 2016 Allowance for credit losses: Collectively evaluated for impairment $ 1 $ 1 Recorded investment: Individually evaluated for impairment $ 12 $ 12 Collectively evaluated for impairment 472 481 Total recorded investment $ 484 $ 493 |
Past Due Financing Receivables | The following tables present the Bank's recorded investment in mortgage loans by these key credit quality indicators. As of March 31, 2017 Conventional Residential Mortgage Loans Government-guaranteed or Insured Residential Mortgage Loans Total Past due 30-59 days $ 15 $ 3 $ 18 Past due 60-89 days 4 1 5 Past due 90 days or more 11 — 11 Total past due mortgage loans 30 4 34 Total current mortgage loans 454 27 481 Total mortgage loans (1) $ 484 $ 31 $ 515 Other delinquency statistics: In process of foreclosure (2) $ 7 $ — $ 7 Seriously delinquent rate (3) 2.31 % 2.24 % 2.31 % Past due 90 days or more and still accruing interest (4) $ — $ — $ — Mortgage loans on nonaccrual status (5) $ 11 $ — $ 11 ____________ (1) The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest. (2) Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in lieu, has been reported. Mortgage loans in the process of foreclosure are included in past due or current mortgage loans depending on their delinquency status. (3) Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage 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, 2016 Conventional Residential Mortgage Loans Government-guaranteed or Insured Residential Mortgage Loans Total Past due 30-59 days $ 17 $ 4 $ 21 Past due 60-89 days 3 1 4 Past due 90 days or more 12 1 13 Total past due mortgage loans 32 6 38 Total current mortgage loans 461 27 488 Total mortgage loans (1) $ 493 $ 33 $ 526 Other delinquency statistics: In process of foreclosure (2) $ 6 $ 1 $ 7 Seriously delinquent rate (3) 2.44 % 3.75 % 2.53 % Past due 90 days or more and still accruing interest (4) $ — $ 1 $ 1 Mortgage loans on nonaccrual status (5) $ 12 $ — $ 12 ____________ (1) The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest. (2) Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in lieu, has been reported. Mortgage loans in the process of foreclosure are included in past due or current mortgage loans depending on their delinquency status. (3) Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage 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. |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Debt Disclosure [Abstract] | |
Consolidated Obligation Bonds by Interest-Rate Payment | Interest-rate Payment Terms. The following table presents the Bank’s consolidated obligation bonds by interest-rate payment type. As of March 31, 2017 As of December 31, 2016 Fixed-rate $ 22,336 $ 23,674 Step up/down 2,649 2,534 Simple variable-rate 59,308 62,408 Total par value $ 84,293 $ 88,616 |
Consolidated Obligation Bonds Outstanding, by Year of Contractual Maturity | Redemption Terms. The following table presents the Bank’s participation in consolidated obligation bonds outstanding by year of contractual maturity. As of March 31, 2017 As of December 31, 2016 Amount Weighted- average Interest Rate (%) Amount Weighted- average Interest Rate (%) Due in one year or less $ 66,469 1.03 $ 65,378 0.91 Due after one year through two years 11,850 1.21 17,065 1.05 Due after two years through three years 1,630 1.71 1,849 1.67 Due after three years through four years 1,330 1.68 1,482 1.68 Due after four years through five years 1,328 1.68 1,117 1.58 Due after five years 1,686 2.44 1,725 2.37 Total par value 84,293 1.12 88,616 1.00 Premiums 21 24 Discounts (11 ) (12 ) Hedging adjustments (11 ) 19 Total $ 84,292 $ 88,647 |
Callable and Noncallable Consolidated Obligations Bonds Outstanding | The following table presents the Bank’s consolidated obligation bonds outstanding by call feature. As of March 31, 2017 As of December 31, 2016 Noncallable $ 79,024 $ 83,487 Callable 5,269 5,129 Total par value $ 84,293 $ 88,616 |
Summary of Callable Consolidated Obligation Bonds Outstanding, by Year of Contractual Maturity | The following table presents the Bank’s consolidated obligation bonds outstanding, by year of contractual maturity, or for callable consolidated obligation bonds, by next call date. As of March 31, 2017 As of December 31, 2016 Due or callable in one year or less $ 71,463 $ 70,232 Due or callable after one year through two years 9,910 15,250 Due or callable after two years through three years 1,260 1,399 Due or callable after three years through four years 981 1,103 Due or callable after four years through five years 193 162 Due or callable after five years 486 470 Total par value $ 84,293 $ 88,616 |
Consolidated Obligation Discount Notes | The following table presents the Bank’s participation in consolidated obligation discount notes. Book Value Par Value Weighted-average Interest Rate (%) As of March 31, 2017 $ 42,066 $ 42,124 0.62 As of December 31, 2016 $ 41,292 $ 41,334 0.48 |
Capital and Mandatorily Redee33
Capital and Mandatorily Redeemable Capital Stock (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Capital [Abstract] | |
Schedule of Compliance With Regulatory Capital Requirements | Capital. The following table presents the Bank's compliance with the Federal Housing Finance Agency's (Finance Agency) regulatory capital rules and requirements. As of March 31, 2017 As of December 31, 2016 Required Actual Required Actual Risk based capital $ 1,634 $ 6,561 $ 1,701 $ 6,848 Total regulatory capital ratio 4.00 % 4.87 % 4.00 % 4.94 % Total regulatory capital (1) $ 5,389 $ 6,561 $ 5,547 $ 6,848 Leverage capital ratio 5.00 % 7.31 % 5.00 % 7.41 % Leverage capital $ 6,736 $ 9,842 $ 6,934 $ 10,273 ____________ (1) Total regulatory capital does not include accumulated other comprehensive income, but does include mandatorily redeemable capital stock. |
Activity in Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock. The following table presents the activity in mandatorily redeemable capital stock. For the Three Months Ended March 31, 2017 2016 Balance, beginning of period $ 1 $ 14 Net reclassification from capital during the period 8 1 Repurchase/redemption of mandatorily redeemable capital stock (8 ) (2 ) Balance, end of period $ 1 $ 13 |
Amount of Mandatorily Redeemable Capital Stock by Year of Redemption | The following table presents 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 March 31, 2017 As of December 31, 2016 Due after three years through four years 1 1 |
Accumulated Other Comprehensi34
Accumulated Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Components Comprising Accumulated Other Comprehensive Income | The following table presents the components comprising accumulated other comprehensive 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, 2015 $ (20 ) $ 95 $ 75 Other comprehensive income before reclassifications: Net change in fair value — (9 ) (9 ) Net current period other comprehensive loss — (9 ) (9 ) Balance, March 31, 2016 $ (20 ) $ 86 $ 66 Balance, December 31, 2016 $ (20 ) $ 124 $ 104 Reclassification from accumulated other comprehensive income to net income: Amortization of pension and postretirement (1) 1 — 1 Net current period other comprehensive income 1 — 1 Balance, March 31, 2017 $ (19 ) $ 124 $ 105 ____________ (1) Included in Compensation and benefits on the Statements of Income. |
Derivatives and Hedging Activ35
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | The following table presents the notional amount, fair value of derivative instruments (excluding fair value adjustments related to variation margin on daily settled contracts), and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments, cash collateral, and variation margin for daily settled contracts. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. As of March 31, 2017 As of December 31, 2016 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives in hedging relationships: Interest rate swaps $ 47,092 $ 252 $ 598 $ 65,027 $ 256 $ 1,029 Derivatives not designated as hedging instruments: Interest rate swaps 1,148 10 14 1,158 9 31 Interest rate caps or floors 13,500 10 7 15,000 17 13 Mortgage delivery commitments — — — 12 — — Total derivatives not designated as hedging instruments 14,648 20 21 16,170 26 44 Total derivatives before netting and collateral adjustments $ 61,740 272 619 $ 81,197 282 1,073 Netting adjustments, cash collateral, and variation margin for daily settled contracts (1) 40 (581 ) 73 (966 ) Derivative assets and derivative liabilities $ 312 $ 38 $ 355 $ 107 ___________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was $557 and $1,061 as of March 31, 2017 and December 31, 2016 , respectively. Cash collateral received and related accrued interest was $22 as of March 31, 2017 and December 31, 2016 . Variation margin for daily settled contracts was $87 as of March 31, 2017 . |
Components of Net Gains (Losses) on Derivatives and Hedging Activities | The following table presents the components of net gains (losses) on derivatives and hedging activities as presented on the Statements of Income. For the Three Months Ended March 31, 2017 2016 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ 314 $ 6 Derivatives not designated as hedging instruments: Interest rate swaps 2 7 Interest rate caps or floors (1 ) (1 ) Net interest settlements (2 ) (14 ) Total net losses related to derivatives not designated as hedging instruments (1 ) (8 ) Net gains (losses) on derivatives and hedging activities $ 313 $ (2 ) |
Gain (Losses) on Derivatives and Related Hedged Items Fair Value | The following table presents, 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 March 31, 2017 2016 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 $ 425 $ (109 ) $ 316 $ (77 ) $ (467 ) $ 485 $ 18 $ (147 ) Consolidated obligations: Bonds (30 ) 28 (2 ) 32 67 (77 ) (10 ) 79 Discount notes 3 (3 ) — (3 ) 6 (8 ) (2 ) (5 ) Total $ 398 $ (84 ) $ 314 $ (48 ) $ (394 ) $ 400 $ 6 $ (73 ) ____________ (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 Assets [Table Text Block] | 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 and variation margin for daily settled contracts. As of March 31, 2017 As of December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Gross recognized amount: Uncleared derivatives $ 58 $ 177 $ 70 $ 370 Cleared derivatives 214 442 212 703 Total gross recognized amount 272 619 282 1,073 Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts: (1) Uncleared derivatives (57 ) (139 ) (69 ) (263 ) Cleared derivatives 97 (442 ) 142 (703 ) Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts (1) 40 (581 ) 73 (966 ) Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts: Uncleared derivatives 1 38 1 107 Cleared derivatives 311 — 354 — Total net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts 312 38 355 107 Net unsecured amounts: (2) Uncleared derivatives 1 38 1 107 Cleared derivatives 311 — 354 — Total net unsecured amount (2) $ 312 $ 38 $ 355 $ 107 ____________ (1) Variation margin for daily settled contracts was $87 as of March 31, 2017 . (2) The Bank had net credit exposure of $312 and $346 as of March 31, 2017 and December 31, 2016 , 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) | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, 2017 Fair Value Measurements Using Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts (1) Level 1 Level 2 Level 3 Total Assets Trading securities: Government-sponsored enterprises debt obligations $ — $ 259 $ — $ — $ 259 State or local housing agency debt obligations — 1 — — 1 Total trading securities — 260 — — 260 Available-for-sale securities: Private-label residential MBS — — 1,289 — 1,289 Derivative assets: Interest-rate related — 272 — 40 312 Grantor trust (included in Other assets) 38 — — — 38 Total assets at fair value $ 38 $ 532 $ 1,289 $ 40 $ 1,899 Liabilities Derivative liabilities: Interest-rate related $ — $ 619 $ — $ (581 ) $ 38 Total liabilities at fair value $ — $ 619 $ — $ (581 ) $ 38 ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. As of December 31, 2016 Fair Value Measurements Using Netting Adjustment (1) Level 1 Level 2 Level 3 Total Assets Trading securities: Government-sponsored enterprises debt obligations $ — $ 261 $ — $ — $ 261 State or local housing agency debt obligations — 1 — — 1 Total trading securities — 262 — — 262 Available-for-sale securities: Private-label residential MBS — — 1,345 — 1,345 Derivative assets: Interest-rate related — 282 — 73 355 Grantor trust (included in Other assets) 37 — — — 37 Total assets at fair value $ 37 $ 544 $ 1,345 $ 73 $ 1,999 Liabilities Derivative liabilities: Interest-rate related $ — $ 1,073 $ — $ (966 ) $ 107 Total liabilities at fair value $ — $ 1,073 $ — $ (966 ) $ 107 ____________ (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 March 31, 2017 2016 Balance, beginning of period $ 1,345 $ 1,662 Total (losses) gains realized and unrealized: (1) Included in other comprehensive income — (9 ) Accretion of credit losses in net interest income 15 12 Settlements (71 ) (78 ) Balance, end of period $ 1,289 $ 1,587 ____________ (1) Related to available-for-sale securities held at period end. |
Carrying Values and Estimated Fair Values | The following tables present the carrying values and estimated fair values of the Bank’s financial instruments. As of March 31, 2017 Estimated Fair Value Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts (1) Assets: Cash and due from banks $ 1,041 $ 1,041 $ 1,041 $ — $ — $ — Interest-bearing deposits 1,207 1,207 — 1,207 — — Securities purchased under agreements to resell 2,386 2,386 — 2,386 — — Federal funds sold 11,176 11,176 — 11,176 — — Trading securities 260 260 — 260 — — Available-for-sale securities 1,289 1,289 — — 1,289 — Held-to-maturity securities 25,487 25,524 — 24,788 736 — Advances 90,688 90,738 — 90,738 — — Mortgage loans held for portfolio, net 512 552 — 552 — — Accrued interest receivable 176 176 — 176 — — Derivative assets 312 312 — 272 — 40 Grantor trust assets (included in Other assets) 38 38 38 — — — Liabilities: Interest-bearing deposits 1,205 1,205 — 1,205 — — Consolidated obligations, net: Discount notes 42,066 42,053 — 42,053 — — Bonds 84,292 84,413 — 84,413 — — Mandatorily redeemable capital stock 1 1 1 — — — Accrued interest payable 177 177 — 177 — — Derivative liabilities 38 38 — 619 — (581 ) ____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. As of December 31, 2016 Estimated Fair Value Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (1) Assets: Cash and due from banks $ 1,815 $ 1,815 $ 1,815 $ — $ — $ — Interest-bearing deposits 1,106 1,106 — 1,106 — — Securities purchased under agreements to resell 1,386 1,386 — 1,386 — — Federal funds sold 7,770 7,770 — 7,770 — — Trading securities 262 262 — 262 — — Available-for-sale securities 1,345 1,345 — — 1,345 — Held-to-maturity securities 24,641 24,633 — 23,843 790 — Advances 99,077 99,062 — 99,062 — — Mortgage loans held for portfolio, net 523 569 — 569 — — Accrued interest receivable 171 171 — 171 — — Derivative assets 355 355 — 282 — 73 Grantor trust assets (included in Other assets) 37 37 37 — — — Liabilities: Interest-bearing deposits 1,118 1,118 — 1,118 — — Consolidated obligations, net: Discount notes 41,292 41,293 — 41,293 — — Bonds 88,647 88,768 — 88,768 — — Mandatorily redeemable capital stock 1 1 1 — — — Accrued interest payable 128 128 — 128 — — Derivative liabilities 107 107 — 1,073 — (966 ) ____________ (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) | 3 Months Ended |
Mar. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off Balance Sheet Commitments [Table Text Block] | The following table presents the Bank's outstanding commitments, which represent off-balance sheet obligations. As of March 31, 2017 As of December 31, 2016 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit (1) $ 8,471 $ 20,404 $ 28,875 $ 10,934 $ 21,734 $ 32,668 Commitments to fund additional advances 225 200 425 100 200 300 Unsettled consolidated obligation bonds, at par (2) 89 — 89 15 — 15 Commitments to purchase mortgage loans — — — 12 — 12 ____________ (1) "Expire Within One Year" includes 14 standby letters of credit for a total of $58 and 12 standby letters of credit for a total of $34 as of March 31, 2017 and December 31, 2016 , 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. |
Transactions With Shareholders
Transactions With Shareholders (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, 2017 Regulatory Capital Stock Outstanding Percent of Total Regulatory Capital Stock Outstanding Par Value of Advances Percent of Total Par Value of Advances Interest-bearing Deposits Percent of Total Interest-bearing Deposits Bank of America, National Association $ 1,184 25.46 $ 27,511 30.46 $ — 0.01 Navy Federal Credit Union 509 10.94 11,618 12.86 134 11.10 As of December 31, 2016 Regulatory Capital Stock Outstanding Percent of Total Regulatory Capital Stock Outstanding Par Value of Advances Percent of Total Par Value of Advances Interest-bearing Deposits Percent of Total Interest-bearing Deposits Capital One, National Association $ 745 15.03 $ 17,176 17.48 $ 16 1.41 Navy Federal Credit Union 589 11.88 13,495 13.73 156 13.93 Bank of America, National Association 504 10.17 11,511 11.71 — 0.01 |
Trading Securities (Trading Sec
Trading Securities (Trading Securities by Major Security Type) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 260 | $ 262 |
Government-Sponsored Enterprises Debt Obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 259 | 261 |
State or Local Housing Agency Obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 1 | $ 1 |
Trading Securities (Net Losses
Trading Securities (Net Losses on Trading Securities) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Trading Securities [Abstract] | ||
Net losses on trading securities held at period end | $ (2) | $ (6) |
Net losses on trading securities that matured during the period | 0 | (3) |
Net losses on trading securities | $ (2) | $ (9) |
Available-for-sale Securities41
Available-for-sale Securities (Available-for-sale by Major Security Type) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities | $ 1,289 | $ 1,345 |
Mortgage-backed Securities, Private-label residential[Member] | Mortgage-backed Securities, Private-label residential [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized cost of available-for-sale securities | 1,165 | 1,221 |
Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income | 4 | 6 |
Gross unrealized gains on available-for-sale securities | 128 | 130 |
Gross unrealized losses on available-for-sale securities | 0 | 0 |
Available-for-sale Securities | $ 1,289 | $ 1,345 |
Available-for-sale Securities42
Available-for-sale Securities (Summary of Available-for-sale Securities in a Continuous Unrealized Loss Position) (Details) - Mortgage-backed Securities, Private-label residential[Member] - Mortgage-backed Securities, Private-label residential [Member] $ in Millions | Mar. 31, 2017USD ($)positions | Dec. 31, 2016USD ($)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 | 1 |
Number of available-for-sale securities in unrealized loss position for 12 months or more | positions | 8 | 10 |
Number of available-for-sale securities in unrealized loss position | positions | 10 | 11 |
Estimated fair value of available-for-sale securities in unrealized loss position for less than 12 months | $ 19 | $ 14 |
Estimated fair value of available-for-sale securities in unrealized loss position for 12 months or more | 131 | 189 |
Estimated fair value of available-for-sale securities in unrealized loss position | 150 | 203 |
Available For Sale Securities Continuous Unrealized Loss Position Less Than 12 Months Aggregate Losses Accumulated In Investments | 0 | 0 |
Available For Sale Securities Continuous Unrealized Loss Position 12 Months Or Longer Aggregate Losses Accumulated In Investments | 4 | 6 |
Available For Sale Securities Continuous Unrealized Loss Position Aggregate Losses Accumulated In Investments | $ 4 | $ 6 |
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 | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities | $ 1,289 | $ 1,345 |
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 | 759 | 792 |
Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income | 3 | 5 |
Gross unrealized gains on available-for-sale securities | 98 | 102 |
Gross unrealized losses on available-for-sale securities | 0 | 0 |
Available-for-sale Securities | $ 854 | $ 889 |
Held-to-maturity Securities (He
Held-to-maturity Securities (Held-to-maturity by Major Security Type) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | $ 25,487 | $ 24,641 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 80 | 56 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 43 | 64 |
Held-to-maturity securities, fair value | 25,524 | 24,633 |
Certificates of Deposit [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 350 | 0 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 0 | 0 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 0 | 0 |
Held-to-maturity securities, fair value | 350 | 0 |
State or Local Housing Agency Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 76 | 76 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 0 | 0 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 0 | 0 |
Held-to-maturity securities, fair value | 76 | 76 |
Government-Sponsored Enterprises Debt Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 6,118 | 6,041 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 6 | 3 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 5 | 5 |
Held-to-maturity securities, fair value | 6,119 | 6,039 |
Mortgage-backed Securities, Private-label residential[Member] | Mortgage-backed Securities, Private-label residential [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 734 | 790 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 6 | 5 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 4 | 5 |
Held-to-maturity securities, fair value | 736 | 790 |
Residential [Member] | U.S. agency obligations-guaranteed residential | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 195 | 209 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 2 | 2 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 0 | 0 |
Held-to-maturity securities, fair value | 197 | 211 |
Residential [Member] | Government-sponsored enterprises | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 11,034 | 10,752 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 58 | 44 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 29 | 43 |
Held-to-maturity securities, fair value | 11,063 | 10,753 |
Commercial [Member] | Government-sponsored enterprises | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 6,980 | 6,773 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 8 | 2 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 5 | 11 |
Held-to-maturity securities, fair value | $ 6,983 | $ 6,764 |
Held-to-maturity Securities (Su
Held-to-maturity Securities (Summary of Held-to-maturity Securities in a Continuous Unrealized Loss Position) (Details) $ in Millions | Mar. 31, 2017USD ($)positions | Dec. 31, 2016USD ($)positions |
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 72 | 114 |
Number of unrealized loss positions held more than 12 months | positions | 127 | 141 |
Total number of unrealized loss positions | positions | 199 | 255 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 5,174 | $ 9,502 |
Estimated fair value of unrealized loss positions held 12 months or more | 3,518 | 4,178 |
Total estimated fair value of positions in an unrealized loss | 8,692 | 13,680 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 23 | 33 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 20 | 31 |
Total gross unrealized loss | $ 43 | $ 64 |
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 | 11 | 10 |
Number of unrealized loss positions held more than 12 months | positions | 0 | 0 |
Total number of unrealized loss positions | positions | 11 | 10 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 2,427 | $ 2,532 |
Estimated fair value of unrealized loss positions held 12 months or more | 0 | 0 |
Total estimated fair value of positions in an unrealized loss | 2,427 | 2,532 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 5 | 5 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Total gross unrealized loss | $ 5 | $ 5 |
Mortgage-backed Securities, Private-label residential [Member] | Mortgage-backed Securities, Private-label residential[Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 4 | 6 |
Number of unrealized loss positions held more than 12 months | positions | 49 | 56 |
Total number of unrealized loss positions | positions | 53 | 62 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 10 | $ 10 |
Estimated fair value of unrealized loss positions held 12 months or more | 310 | 432 |
Total estimated fair value of positions in an unrealized loss | 320 | 442 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 0 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 4 | 5 |
Total gross unrealized loss | $ 4 | $ 5 |
Residential [Member] | Government-sponsored enterprises | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 15 | 46 |
Number of unrealized loss positions held more than 12 months | positions | 68 | 63 |
Total number of unrealized loss positions | positions | 83 | 109 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 1,416 | $ 2,813 |
Estimated fair value of unrealized loss positions held 12 months or more | 2,229 | 2,206 |
Total estimated fair value of positions in an unrealized loss | 3,645 | 5,019 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 15 | 22 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 14 | 21 |
Total gross unrealized loss | $ 29 | $ 43 |
Commercial [Member] | Government-sponsored enterprises | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of unrealized loss positions held less than 12 months | positions | 42 | 52 |
Number of unrealized loss positions held more than 12 months | positions | 10 | 22 |
Total number of unrealized loss positions | positions | 52 | 74 |
Estimated fair value of unrealized loss positions held less than 12 months | $ 1,321 | $ 4,147 |
Estimated fair value of unrealized loss positions held 12 months or more | 979 | 1,540 |
Total estimated fair value of positions in an unrealized loss | 2,300 | 5,687 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 3 | 6 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 2 | 5 |
Total gross unrealized loss | $ 5 | $ 11 |
Held-to-maturity Securities (Re
Held-to-maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | $ 25,487 | $ 24,641 |
Estimated fair value of held-to-maturity securities | 25,524 | 24,633 |
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 | 2,741 | 2,454 |
Amortized cost of held-to-maturity securities due after one year through five years | 3,397 | 3,487 |
Amortized cost of held-to-maturity securities due after five years through ten years | 406 | 176 |
Amortized cost of held-to-maturity securities | 6,544 | 6,117 |
Estimated fair value of held-to-maturity securities due in one year or less | 2,743 | 2,455 |
Estimated fair value of held-to-maturity securities due after one year through five years | 3,397 | 3,484 |
Estimated fair value of held-to-maturity securities due after five years through ten years | 405 | 176 |
Estimated fair value of held-to-maturity securities | 6,545 | 6,115 |
Mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 18,943 | 18,524 |
Estimated fair value of held-to-maturity securities | $ 18,979 | $ 18,518 |
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 | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | $ 25,487 | $ 24,641 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 80 | 56 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 43 | 64 |
Held-to-maturity securities, fair value | 25,524 | 24,633 |
Mortgage-backed Securities, Private-label residential [Member] | Bank of America Corporation, Charlotte, NC [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized cost of held-to-maturity securities | 163 | 177 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 0 | 0 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 1 | 2 |
Held-to-maturity securities, fair value | $ 162 | $ 175 |
Other-than-temporary Impairme48
Other-than-temporary Impairment (Roll-forward of Credit Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Schedule of Roll-Forward Cumulative Credit Losses Recognized | ||
Balance, beginning of period | $ 455 | $ 505 |
Increase in cash flows expected to be collected, (accreted as interest income over the remaining lives of the applicable securities) | (15) | (12) |
Balance, end of period | $ 440 | $ 493 |
Advances Advances (Redemption T
Advances Advances (Redemption Terms) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 | |
Advances [Abstract] | |||
Due in one year or less | $ 60,532 | $ 47,325 | |
Due after one year through two years | 6,985 | 8,244 | |
Due after two years through three years | 4,457 | 5,904 | |
Due after three years through four years | 5,345 | 5,859 | |
Due after four years through five years | 4,990 | 11,846 | |
Due after five years | 8,021 | 19,110 | |
Federal Home Loan Bank, Advances, Par Value | 90,330 | 98,288 | |
Discount on AHP advances | [1] | (5) | (5) |
Discount on EDGE advances | [2] | (3) | (4) |
Hedging adjustments | 366 | 798 | |
Total Federal Home Loan Bank Advances | $ 90,688 | $ 99,077 | |
[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 | Mar. 31, 2017 | Dec. 31, 2016 |
Advances [Abstract] | ||
Due or convertible in one year or less | $ 60,905 | $ 47,935 |
Due or convertible after one year through two years | 6,706 | 7,724 |
Due or convertible after two years through three years | 4,580 | 5,943 |
Due or convertible after three years through four years | 5,333 | 5,867 |
Due or convertible after four years through five years | 5,008 | 11,866 |
Due or convertible after five years | 7,798 | 18,953 |
Federal Home Loan Bank, Advances, Par Value | $ 90,330 | $ 98,288 |
Advances (Interest-rate Payment
Advances (Interest-rate Payment Terms) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Advances [Abstract] | ||
Fixed-rate, due in one year or less | $ 49,557 | $ 38,597 |
Fixed-rate, due after one year | 20,588 | 24,528 |
Total fixed-rate | 70,145 | 63,125 |
Variable-rate, due in one year or less | 10,975 | 8,728 |
Variable-rate, due after one year | 9,210 | 26,435 |
Total variable-rate | 20,185 | 35,163 |
Federal Home Loan Bank, Advances, Par Value | $ 90,330 | $ 98,288 |
Advances (Credit Risk Narrative
Advances (Credit Risk Narrative) (Details Textual) $ in Millions | Mar. 31, 2017USD ($)Institutions | Dec. 31, 2016USD ($)Institutions |
Advances [Abstract] | ||
Number of Top Advances Borrowers | Institutions | 10 | 10 |
Advances to Ten Largest Borrowers | $ 61,774 | $ 67,493 |
Advances Ten Largest Borrowers Percent of Total | 68.40% | 68.70% |
Allowance for credit losses on advances | $ 0 | $ 0 |
Advances past due | $ 0 | $ 0 |
Mortgage Loans Held for Portf53
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 513 | $ 525 |
Premiums | 2 | 2 |
Discounts | (2) | (3) |
Total | 513 | 524 |
Fixed-rate medium-term residential mortgage loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 34 | $ 40 |
Mortgage loans on real estate, original contract terms | 15 years | 15 years |
Fixed-rate long-term residential mortgage loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 479 | $ 485 |
Conventional Mortgage Loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | 482 | 492 |
Government-guaranteed or insured mortgage loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 31 | $ 33 |
Allowance for Credit Losses (Ro
Allowance for Credit Losses (Roll-forward of Allowance for Credit Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Balance, beginning of period | $ 1 | |
Balance, end of period | 1 | |
Residential Portfolio Segment [Member] | Conventional Mortgage Loans [Member] | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Balance, beginning of period | 1 | $ 2 |
Provision for credit losses | 0 | 0 |
Balance, end of period | $ 1 | $ 2 |
Allowance for Credit Losses (Mo
Allowance for Credit Losses (Mortgage Loan Portfolio by Impairment Methodology) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Total allowance for credit losses | $ 1 | $ 1 | ||||
Residential Portfolio Segment [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Total recorded investment | 515 | [1] | 526 | [2] | ||
Residential Portfolio Segment [Member] | Conventional Mortgage Loans [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Allowance for credit losses, collectively evaluated for impairment | 1 | 1 | ||||
Total allowance for credit losses | 1 | 1 | $ 2 | $ 2 | ||
Recorded investment, individually evaluated for impairment | 12 | 12 | ||||
Recorded investment, collectively evaluated for impairment | 472 | 481 | ||||
Total recorded investment | $ 484 | [1] | $ 493 | [2] | ||
[1] | The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest. | |||||
[2] | The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest. |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators) (Details) - Residential Portfolio Segment [Member] - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 | |||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | $ 34 | $ 38 | |||
Total current mortgage loans | 481 | 488 | |||
Total recorded investment | 515 | [1] | 526 | [2] | |
In process of foreclosure | [3] | $ 7 | $ 7 | ||
Seriously delinquent rate | [4] | 2.31% | 2.53% | ||
Past due 90 days or more and still accruing interest | [5] | $ 0 | $ 1 | ||
Loans on nonaccrual status | [6] | 11 | 12 | ||
Accrued Interest on Mortgage Loans | 2 | 2 | |||
Conventional Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 30 | 32 | |||
Total current mortgage loans | 454 | 461 | |||
Total recorded investment | 484 | [1] | 493 | [2] | |
In process of foreclosure | [3] | $ 7 | $ 6 | ||
Seriously delinquent rate | [4] | 2.31% | 2.44% | ||
Past due 90 days or more and still accruing interest | [5] | $ 0 | $ 0 | ||
Loans on nonaccrual status | [6] | 11 | 12 | ||
Government-guaranteed or insured mortgage loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 4 | 6 | |||
Total current mortgage loans | 27 | 27 | |||
Total recorded investment | 31 | [1] | 33 | [2] | |
In process of foreclosure | [3] | $ 0 | $ 1 | ||
Seriously delinquent rate | [4] | 2.24% | 3.75% | ||
Past due 90 days or more and still accruing interest | $ 0 | $ 1 | [5] | ||
Loans on nonaccrual status | 0 | 0 | [6] | ||
Financing Receivables, 30 to 59 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 18 | 21 | |||
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 15 | 17 | |||
Financing Receivables, 30 to 59 Days Past Due [Member] | Government-guaranteed or insured mortgage loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 3 | 4 | |||
Financing Receivables, 60 to 89 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 5 | 4 | |||
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 4 | 3 | |||
Financing Receivables, 60 to 89 Days Past Due [Member] | Government-guaranteed or insured mortgage loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 1 | 1 | |||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 11 | 13 | |||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Conventional Mortgage Loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | 11 | 12 | |||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Government-guaranteed or insured mortgage loans [Member] | |||||
Financing Receivable, Recorded Investment [Line Items] | |||||
Total past due mortgage loans | $ 0 | $ 1 | |||
[1] | The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest. | ||||
[2] | The difference between the recorded investment and the carrying value of total mortgage loans of $2 relates to accrued interest. | ||||
[3] | Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in lieu, has been reported. Mortgage loans in the process of foreclosure are included in past due or current mortgage loans depending on their delinquency status. | ||||
[4] | Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage loan portfolio segment. | ||||
[5] | Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs. | ||||
[6] | Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |
Consolidated Obligations (Narra
Consolidated Obligations (Narrative) (Details) | 3 Months Ended |
Mar. 31, 2017bank | |
Debt Disclosure [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Maximum contractual maturity period of discount notes (up to one year) | 1 year |
Consolidated Obligations (Inter
Consolidated Obligations (Interest-rate Payment Terms) (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Debt Instrument [Line Items] | ||
Bonds par value | $ 84,293 | $ 88,616 |
Fixed-rate [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | 22,336 | 23,674 |
Step up/down [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | 2,649 | 2,534 |
Simple variable-rate [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | $ 59,308 | $ 62,408 |
Consolidated Obligations (Redem
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Debt Instrument [Line Items] | ||
Federal Home Loan Bank, Consolidated Obligations, Bonds | $ 84,292 | $ 88,647 |
Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Bonds, Due in one year or less | 66,469 | 65,378 |
Bonds, Due after one year through two years | 11,850 | 17,065 |
Bonds, Due after two years through three years | 1,630 | 1,849 |
Bonds, Due after three years through four years | 1,330 | 1,482 |
Bonds, Due after four years through five years | 1,328 | 1,117 |
Bonds, Due after five years | 1,686 | 1,725 |
Bonds par value | 84,293 | 88,616 |
Premiums | 21 | 24 |
Discounts | (11) | (12) |
Hedging adjustments | (11) | 19 |
Federal Home Loan Bank, Consolidated Obligations, Bonds | $ 84,292 | $ 88,647 |
Bonds, Due in one year or less, weighted average interest rate | 1.03% | 0.91% |
Bonds, Due after one year through two years, weighted average interest rate | 1.21% | 1.05% |
Bonds, Due after two years through three years, weighted average interest rate | 1.71% | 1.67% |
Bonds, Due after three years through four years, weighted average interest rate | 1.68% | 1.68% |
Bonds, Due after four years through five years, weighted average interest rate | 1.68% | 1.58% |
Bonds, Due after five years, weighted average interest rate | 2.44% | 2.37% |
Total, weighted average interest rate | 1.12% | 1.00% |
Consolidated Obligations (Bonds
Consolidated Obligations (Bonds by Callable Feature) (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Debt Instrument [Line Items] | ||
Bonds par value | $ 84,293 | $ 88,616 |
Noncallable [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | 79,024 | 83,487 |
Callable [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | $ 5,269 | $ 5,129 |
Consolidated Obligations (Bon61
Consolidated Obligations (Bonds by Maturity or Call Date) (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Debt Instrument [Line Items] | ||
Bonds, Due in one year or less | $ 66,469 | $ 65,378 |
Bonds, Due after one year through two years | 11,850 | 17,065 |
Bonds, Due after two years through three years | 1,630 | 1,849 |
Bonds, Due after three years through four years | 1,330 | 1,482 |
Bonds, Due after four years through five years | 1,328 | 1,117 |
Bonds, Due after five years | 1,686 | 1,725 |
Bonds par value | 84,293 | 88,616 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Bonds, Due in one year or less | 71,463 | 70,232 |
Bonds, Due after one year through two years | 9,910 | 15,250 |
Bonds, Due after two years through three years | 1,260 | 1,399 |
Bonds, Due after three years through four years | 981 | 1,103 |
Bonds, Due after four years through five years | 193 | 162 |
Bonds, Due after five years | $ 486 | $ 470 |
Consolidated Obligations (Disco
Consolidated Obligations (Discount Notes) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Short-term Debt [Line Items] | ||
Discount notes | $ 42,066 | $ 41,292 |
Short-term Debt [Member] | ||
Short-term Debt [Line Items] | ||
Discount notes | 42,066 | 41,292 |
Discount notes par value | $ 42,124 | $ 41,334 |
Discount notes weighted average interest rate | 0.62% | 0.48% |
Capital and Mandatorily Redee63
Capital and Mandatorily Redeemable Capital Stock (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | |
Capital [Abstract] | ||||
Mandatorily redeemable capital stock | $ 1 | $ 1 | $ 13 | $ 14 |
Redemption period for excess capital stock (in years) | 5 years |
Capital and Mandatorily Redee64
Capital and Mandatorily Redeemable Capital Stock (Regulatory Capital Rules and Requirements) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Capital [Abstract] | ||
Risk Based capital, Required | $ 1,634 | $ 1,701 |
Risk Based capital, Actual | $ 6,561 | $ 6,848 |
Total regulatory capital ratio, Required | 4.00% | 4.00% |
Total regulatory capital ratio, Actual | 4.87% | 4.94% |
Total regulatory capital, Required | $ 5,389 | $ 5,547 |
Total regulatory capital, Actual | $ 6,561 | $ 6,848 |
Leverage capital ratio, Required | 5.00% | 5.00% |
Leverage capital ratio, Actual | 7.31% | 7.41% |
Leverage capital, Required | $ 6,736 | $ 6,934 |
Leverage capital, Actual | $ 9,842 | $ 10,273 |
Capital and Mandatorily Redee65
Capital and Mandatorily Redeemable Capital Stock (Mandatorily Redeemable Capital Stock Roll-forward) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Capital [Abstract] | ||
Balance, beginning of period | $ 1 | $ 14 |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | 8 | 1 |
Repurchase/redemption of mandatorily redeemable capital stock | (8) | (2) |
Balance, end of period | $ 1 | $ 13 |
Capital and Mandatorily Redee66
Capital and Mandatorily Redeemable Capital Stock (Mandatorily Redeemable Capital Stock by Year of Redemption) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Capital [Abstract] | ||
Due after three years through four years | $ 1 | $ 1 |
Accumulated Other Comprehensi67
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Accumulated Other Comprehensive Income (Loss), Beginning of period | $ 104 | ||
Net change in fair value | 0 | $ (9) | |
Amortization of pension and posttretirement | 1 | 0 | |
Net current period other comprehensive income (loss) | 1 | (9) | |
Accumulated Other Comprehensive Income (Loss), End of period | 105 | ||
Pension and Postretirement Benefits [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Accumulated Other Comprehensive Income (Loss), Beginning of period | (20) | (20) | |
Net change in fair value | 0 | ||
Amortization of pension and posttretirement | [1] | 1 | |
Net current period other comprehensive income (loss) | 1 | 0 | |
Accumulated Other Comprehensive Income (Loss), End of period | (19) | (20) | |
Total Accumulated Other Comprehensive Income (Loss) [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Accumulated Other Comprehensive Income (Loss), Beginning of period | 104 | 75 | |
Net change in fair value | (9) | ||
Amortization of pension and posttretirement | [1] | 1 | |
Net current period other comprehensive income (loss) | 1 | (9) | |
Accumulated Other Comprehensive Income (Loss), End of period | 105 | 66 | |
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 | 124 | 95 | |
Net change in fair value | (9) | ||
Amortization of pension and posttretirement | [1] | 0 | |
Net current period other comprehensive income (loss) | 0 | (9) | |
Accumulated Other Comprehensive Income (Loss), End of period | $ 124 | $ 86 | |
[1] | Included in Compensation and benefits on the Statements of Income |
Derivatives and Hedging Activ68
Derivatives and Hedging Activities (Fair Value of Derivative Instruments) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 | |||
Derivative [Line Items] | |||||
Variation Margin for Daily Settled Contracts | $ 87 | ||||
Cash collateral posted | 557 | $ 1,061 | |||
Cash collateral received | 22 | 22 | |||
Total notional amount of derivatives before netting and collateral adjustments | 61,740 | 81,197 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 272 | 282 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 619 | 1,073 | |||
Derivative, Collateral, Right to Reclaim Cash | [1] | 40 | 73 | ||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (581) | [2] | (966) | [3] |
Derivative assets | 312 | 355 | |||
Derivative liabilities | 38 | 107 | |||
Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | |||||
Derivative [Line Items] | |||||
Total notional amount of derivatives before netting and collateral adjustments | 47,092 | 65,027 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 252 | 256 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 598 | 1,029 | |||
Not Designated as Hedging Instrument [Member] | |||||
Derivative [Line Items] | |||||
Total notional amount of derivatives before netting and collateral adjustments | 14,648 | 16,170 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 20 | 26 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 21 | 44 | |||
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | |||||
Derivative [Line Items] | |||||
Total notional amount of derivatives before netting and collateral adjustments | 1,148 | 1,158 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 10 | 9 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 14 | 31 | |||
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 | 13,500 | 15,000 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 10 | 17 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 7 | 13 | |||
Not Designated as Hedging Instrument [Member] | Mortgages [Member] | |||||
Derivative [Line Items] | |||||
Total notional amount of derivatives before netting and collateral adjustments | 0 | 12 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 0 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 0 | $ 0 | |||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was $557 and $1,061 as of March 31, 2017 and December 31, 2016, respectively. Cash collateral received and related accrued interest was $22 as of March 31, 2017 and December 31, 2016. Variation margin for daily settled contracts was $87 as of March 31, 2017. | ||||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. | ||||
[3] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
Derivatives and Hedging Activ69
Derivatives and Hedging Activities (Net Gains (Losses) on Derivatives and Hedging Activities) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net gains on derivatives and hedged items in fair value hedging relationships | $ 314 | $ 6 |
Net gains (losses) on derivatives not designated as hedging instruments | (1) | (8) |
Net gains (losses) on derivatives and hedging activities | 313 | (2) |
Interest rate swaps [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net gains on derivatives and hedged items in fair value hedging relationships | 314 | 6 |
Net gains (losses) on derivatives not designated as hedging instruments | 2 | 7 |
Interest rate caps or floors [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net gains (losses) on derivatives not designated as hedging instruments | (1) | (1) |
Net Interest Settlements [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net gains (losses) on derivatives not designated as hedging instruments | $ (2) | $ (14) |
Derivatives and Hedging Activ70
Derivatives and Hedging Activities (Effect of Fair Value Hedged Related Derivative Instruments) (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains (Losses) on Derivative | $ 398 | $ (394) | |
Gains (Losses) on Hedged Item | (84) | 400 | |
Net Fair Value Hedge Ineffectiveness | 314 | 6 | |
Effect of Derivatives on Net Interest Income | [1] | (48) | (73) |
Advances [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains (Losses) on Derivative | 425 | (467) | |
Gains (Losses) on Hedged Item | (109) | 485 | |
Net Fair Value Hedge Ineffectiveness | 316 | 18 | |
Effect of Derivatives on Net Interest Income | [1] | (77) | (147) |
Consolidated Obligation Bonds [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains (Losses) on Derivative | (30) | 67 | |
Gains (Losses) on Hedged Item | 28 | (77) | |
Net Fair Value Hedge Ineffectiveness | (2) | (10) | |
Effect of Derivatives on Net Interest Income | [1] | 32 | 79 |
Short-term Debt [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains (Losses) on Derivative | 3 | 6 | |
Gains (Losses) on Hedged Item | (3) | (8) | |
Net Fair Value Hedge Ineffectiveness | 0 | (2) | |
Effect of Derivatives on Net Interest Income | [1] | $ (3) | $ (5) |
[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 Activ71
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 | |||
Derivatives, Fair Value [Line Items] | |||||
Variation Margin for Daily Settled Contracts | $ 87 | ||||
Derivative Asset, Fair Value, Gross Asset | 272 | $ 282 | |||
Derivative Liability, Fair Value, Gross Liability | 619 | 1,073 | |||
Derivative, Collateral, Right to Reclaim Cash | [1] | 40 | 73 | ||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (581) | [2] | (966) | [3] |
Derivative assets | 312 | 355 | |||
Derivative liabilities | 38 | 107 | |||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 312 | 355 | |||
Derivative Liability, Fair Value, Amount Offset Against Collateral | 38 | 107 | |||
Credit Risk Contract [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Credit Derivative Exposure Net | 312 | 346 | |||
Uncleared derivatives [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 58 | 70 | |||
Derivative Liability, Fair Value, Gross Liability | 177 | 370 | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (57) | (69) | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (139) | (263) | |||
Derivative assets | 1 | 1 | |||
Derivative liabilities | 38 | 107 | |||
Derivative Asset, Fair Value, Amount Offset Against Collateral | [4] | 1 | 1 | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | [4] | 38 | 107 | ||
Cleared derivatives [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 214 | 212 | |||
Derivative Liability, Fair Value, Gross Liability | 442 | 703 | |||
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | [5] | 97 | 142 | ||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [5] | (442) | (703) | ||
Derivative assets | 311 | 354 | |||
Derivative liabilities | 0 | 0 | |||
Derivative Asset, Fair Value, Amount Offset Against Collateral | [4] | 311 | 354 | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | [4] | $ 0 | $ 0 | ||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was $557 and $1,061 as of March 31, 2017 and December 31, 2016, respectively. Cash collateral received and related accrued interest was $22 as of March 31, 2017 and December 31, 2016. Variation margin for daily settled contracts was $87 as of March 31, 2017. | ||||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. | ||||
[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. | ||||
[4] | The Bank had net credit exposure of $312 and $346 as of March 31, 2017 and December 31, 2016, respectively, due to instances where the Bank’s pledged collateral to a counterparty exceeds the Bank’s net derivative liability position | ||||
[5] | Variation margin for daily settled contracts was $87 as of March 31, 2017. |
Derivatives and Hedging Activ72
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Mar. 31, 2017USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative credit-risk-related contingent features net liability position aggregate fair value | $ 114 |
Collateral already posted, aggregate fair value | 82 |
Additional collateral | $ 22 |
Estimated Fair Values (Estimate
Estimated Fair Values (Estimated Fair Value Measurements on a Recurring Basis) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 | |||
Assets: | |||||
Trading securities | $ 260 | $ 262 | |||
Available-for-sale Securities | 1,289 | 1,345 | |||
Derivative assets | 312 | 355 | |||
Derivative, Collateral, Right to Reclaim Cash | [1] | 40 | 73 | ||
Liabilities: | |||||
Derivative liabilities | 38 | 107 | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (581) | [2] | (966) | [3] |
Government-Sponsored Enterprises Debt Obligations [Member] | |||||
Assets: | |||||
Trading securities | 259 | 261 | |||
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 | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Grantor trust assets (included in Other assets) | 38 | 37 | |||
Liabilities: | |||||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Assets: | |||||
Trading securities | 260 | 262 | |||
Available-for-sale Securities | 0 | 0 | |||
Derivative assets | 272 | 282 | |||
Grantor trust assets (included in Other assets) | 0 | 0 | |||
Liabilities: | |||||
Derivative liabilities | 619 | 1,073 | |||
Fair Value, Inputs, Level 3 [Member] | |||||
Assets: | |||||
Trading securities | 0 | 0 | |||
Available-for-sale Securities | 1,289 | 1,345 | |||
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 | |||
Available-for-sale Securities | 0 | 0 | |||
Derivative, Collateral, Right to Reclaim Cash | [3] | 40 | 73 | ||
Grantor trust assets (included in Other assets) | 0 | 0 | |||
Liabilities: | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (581) | [2] | (966) | [3] | |
Fair Value, Measurements, Recurring [Member] | Government-Sponsored Enterprises Debt Obligations [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, Private-label residential [Member] | |||||
Assets: | |||||
Available-for-sale 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) | 38 | 37 | |||
Total recurring assets at fair value | 38 | 37 | |||
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] | 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, Private-label residential [Member] | |||||
Assets: | |||||
Available-for-sale Securities | 0 | 0 | |||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||||
Assets: | |||||
Trading securities | 260 | 262 | |||
Grantor trust assets (included in Other assets) | 0 | 0 | |||
Total recurring assets at fair value | 532 | 544 | |||
Liabilities: | |||||
Total recurring liabilities at fair value | 619 | 1,073 | |||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Government-Sponsored Enterprises Debt Obligations [Member] | |||||
Assets: | |||||
Trading securities | 259 | 261 | |||
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, Private-label residential [Member] | |||||
Assets: | |||||
Available-for-sale 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 | 1,289 | 1,345 | |||
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] | 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, Private-label residential [Member] | |||||
Assets: | |||||
Available-for-sale Securities | 1,289 | 1,345 | |||
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | |||||
Assets: | |||||
Derivative, Collateral, Right to Reclaim Cash | 40 | 73 | |||
Liabilities: | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (581) | (966) | |||
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 | 272 | 282 | |||
Liabilities: | |||||
Derivative liabilities | 619 | 1,073 | |||
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 | 260 | 262 | |||
Available-for-sale Securities | 1,289 | 1,345 | |||
Derivative assets | 312 | 355 | |||
Grantor trust assets (included in Other assets) | 38 | 37 | |||
Liabilities: | |||||
Derivative liabilities | 38 | 107 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | |||||
Assets: | |||||
Trading securities | 260 | 262 | |||
Grantor trust assets (included in Other assets) | 38 | 37 | |||
Total recurring assets at fair value | 1,899 | 1,999 | |||
Liabilities: | |||||
Total recurring liabilities at fair value | 38 | 107 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | Government-Sponsored Enterprises Debt Obligations [Member] | |||||
Assets: | |||||
Trading securities | 259 | 261 | |||
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, Private-label residential [Member] | |||||
Assets: | |||||
Available-for-sale Securities | 1,289 | 1,345 | |||
Estimate of Fair Value Measurement [Member] | Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | |||||
Assets: | |||||
Derivative assets | 312 | 355 | |||
Liabilities: | |||||
Derivative liabilities | $ 38 | $ 107 | |||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was $557 and $1,061 as of March 31, 2017 and December 31, 2016, respectively. Cash collateral received and related accrued interest was $22 as of March 31, 2017 and December 31, 2016. Variation margin for daily settled contracts was $87 as of March 31, 2017. | ||||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. | ||||
[3] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
Estimated Fair Values (Roll-for
Estimated Fair Values (Roll-forward of Level 3 Assets and Liabilities) (Details) - Fair Value, Measurements, Recurring [Member] - Fair Value, Inputs, Level 3 [Member] - Available-for-Sale Securities, Private Label Residential Mortgage Backed Securities [Member] - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Reconciliation of Available-For-Sale Securities Measured at Fair Value | |||
Balance, beginning of year | $ 1,345 | $ 1,662 | |
Included in other comprehensive income | [1] | 0 | (9) |
Accretion of credit losses in net interest income | [1] | 15 | 12 |
Settlements | (71) | (78) | |
Balance, end of year | $ 1,289 | $ 1,587 | |
[1] | Related to available-for-sale securities held at period end. |
Estimated Fair Values (Fair Val
Estimated Fair Values (Fair Value Summary) (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | |||
Assets: | |||||||
Cash and Due from Banks | $ 1,041 | $ 1,815 | $ 1,037 | $ 1,751 | |||
Trading securities | 260 | 262 | |||||
Available-for-sale Securities | 1,289 | 1,345 | |||||
Held-to-maturity Securities | 25,487 | 24,641 | |||||
Held-to-maturity securities, fair value | 25,524 | 24,633 | |||||
Interest Receivable | 176 | 171 | |||||
Derivative assets | 312 | 355 | |||||
Derivative, Collateral, Right to Reclaim Cash | [1] | 40 | 73 | ||||
Liabilities: | |||||||
Interest Payable | 177 | 128 | |||||
Derivative liabilities | 38 | 107 | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (581) | [2] | (966) | [3] | ||
Fair Value, Inputs, Level 1 [Member] | |||||||
Assets: | |||||||
Cash and Due from Banks | 1,041 | 1,815 | |||||
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 | 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) | 38 | 37 | |||||
Liabilities: | |||||||
Interest-bearing deposits | 0 | 0 | |||||
Mandatorily redeemable capital stock | 1 | 1 | |||||
Interest Payable | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
Fair Value, Inputs, Level 2 [Member] | |||||||
Assets: | |||||||
Cash and Due from Banks | 0 | 0 | |||||
Interest-bearing deposits | 1,207 | 1,106 | |||||
Securities purchased under agreements to resell | 2,386 | 1,386 | |||||
Federal funds sold | 11,176 | 7,770 | |||||
Trading securities | 260 | 262 | |||||
Available-for-sale Securities | 0 | 0 | |||||
Held-to-maturity securities, fair value | 24,788 | 23,843 | |||||
Advances | 90,738 | 99,062 | |||||
Mortgage loans held for portfolio, net | 552 | 569 | |||||
Accrued Interest Receivable, Fair Value Disclosure | 176 | 171 | |||||
Derivative assets | 272 | 282 | |||||
Grantor trust assets (included in Other assets) | 0 | 0 | |||||
Liabilities: | |||||||
Interest-bearing deposits | 1,205 | 1,118 | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||||
Interest Payable | 177 | 128 | |||||
Derivative liabilities | 619 | 1,073 | |||||
Fair Value, Inputs, Level 3 [Member] | |||||||
Assets: | |||||||
Cash and Due from Banks | 0 | 0 | |||||
Interest-bearing deposits | 0 | 0 | |||||
Securities purchased under agreements to resell | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Available-for-sale Securities | 1,289 | 1,345 | |||||
Held-to-maturity securities, fair value | 736 | 790 | |||||
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) | 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] | |||||||
Assets: | |||||||
Cash and Due from Banks | 1,041 | 1,815 | |||||
Interest-bearing deposits | 1,207 | 1,106 | |||||
Securities purchased under agreements to resell | 2,386 | 1,386 | |||||
Federal funds sold | 11,176 | 7,770 | |||||
Trading securities | 260 | 262 | |||||
Available-for-sale Securities | 1,289 | 1,345 | |||||
Held-to-maturity Securities | 25,487 | 24,641 | |||||
Advances | 90,688 | 99,077 | |||||
Mortgage loans held for portfolio, net | 512 | 523 | |||||
Interest Receivable | 176 | 171 | |||||
Derivative assets | 312 | 355 | |||||
Grantor trust assets (included in Other assets) | 38 | 37 | |||||
Liabilities: | |||||||
Interest-bearing deposits | 1,205 | 1,118 | |||||
Mandatorily redeemable capital stock | 1 | 1 | |||||
Interest Payable | 177 | 128 | |||||
Derivative liabilities | 38 | 107 | |||||
Estimate of Fair Value Measurement [Member] | |||||||
Assets: | |||||||
Cash and Due from Banks | 1,041 | 1,815 | |||||
Interest-bearing deposits | 1,207 | 1,106 | |||||
Securities purchased under agreements to resell | 2,386 | 1,386 | |||||
Federal funds sold | 11,176 | 7,770 | |||||
Trading securities | 260 | 262 | |||||
Available-for-sale Securities | 1,289 | 1,345 | |||||
Held-to-maturity securities, fair value | 25,524 | 24,633 | |||||
Advances | 90,738 | 99,062 | |||||
Mortgage loans held for portfolio, net | 552 | 569 | |||||
Accrued Interest Receivable, Fair Value Disclosure | 176 | 171 | |||||
Derivative assets | 312 | 355 | |||||
Grantor trust assets (included in Other assets) | 38 | 37 | |||||
Liabilities: | |||||||
Interest-bearing deposits | 1,205 | 1,118 | |||||
Mandatorily redeemable capital stock | 1 | 1 | |||||
Accrued Interest Payable, Fair Value Disclosure | 177 | 128 | |||||
Derivative liabilities | 38 | 107 | |||||
Short-term Debt [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||
Liabilities: | |||||||
Discount notes | 0 | 0 | |||||
Short-term Debt [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||
Liabilities: | |||||||
Discount notes | 42,053 | 41,293 | |||||
Short-term Debt [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||
Liabilities: | |||||||
Discount notes | 0 | 0 | |||||
Short-term Debt [Member] | Carrying Value [Member] | |||||||
Liabilities: | |||||||
Discount notes | 42,066 | 41,292 | |||||
Short-term Debt [Member] | Estimate of Fair Value Measurement [Member] | |||||||
Liabilities: | |||||||
Discount notes | 42,053 | 41,293 | |||||
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 | 84,413 | 88,768 | |||||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||
Liabilities: | |||||||
Bonds | 0 | 0 | |||||
Consolidated Obligation Bonds [Member] | Carrying Value [Member] | |||||||
Liabilities: | |||||||
Bonds | 84,292 | 88,647 | |||||
Consolidated Obligation Bonds [Member] | Estimate of Fair Value Measurement [Member] | |||||||
Liabilities: | |||||||
Bonds | 84,413 | 88,768 | |||||
Fair Value, Measurements, Recurring [Member] | |||||||
Assets: | |||||||
Securities purchased under agreements to resell | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Available-for-sale Securities | 0 | 0 | |||||
Held-to-maturity securities, fair value | 0 | 0 | |||||
Derivative, Collateral, Right to Reclaim Cash | [3] | 40 | 73 | ||||
Grantor trust assets (included in Other assets) | 0 | 0 | |||||
Liabilities: | |||||||
Mandatorily redeemable capital stock | 0 | 0 | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (581) | [2] | (966) | [3] | |||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||
Assets: | |||||||
Trading securities | 0 | 0 | |||||
Grantor trust assets (included in Other assets) | 38 | 37 | |||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||
Assets: | |||||||
Trading securities | 260 | 262 | |||||
Grantor trust assets (included in Other assets) | 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 | |||||
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||||||
Assets: | |||||||
Trading securities | 260 | 262 | |||||
Grantor trust assets (included in Other assets) | $ 38 | $ 37 | |||||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was $557 and $1,061 as of March 31, 2017 and December 31, 2016, respectively. Cash collateral received and related accrued interest was $22 as of March 31, 2017 and December 31, 2016. Variation margin for daily settled contracts was $87 as of March 31, 2017. | ||||||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty and includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. | ||||||
[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. |
Commitments and Contingencies76
Commitments and Contingencies (Details) $ in Millions | Mar. 31, 2017USD ($)letter_of_credit | Dec. 31, 2016USD ($)letter_of_credit | |
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Number Of Outstanding Standby Letters Of Credit Renewable Annually | letter_of_credit | 14 | 12 | |
Standby Letters Of Credit Issued Renewable Annually | $ 58 | $ 34 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [1] | 8,471 | 10,934 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | [1] | 20,404 | 21,734 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | [1] | 28,875 | 32,668 |
Commitments to Fund Additional Advances [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 225 | 100 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 200 | 200 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 425 | 300 | |
Unsettled Consolidated Obligation Bonds [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 89 | 15 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 0 | 0 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 89 | 15 | |
Mortgages [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [2] | 0 | 12 |
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 | $ 12 |
[1] | "Expire Within One Year" includes 14 standby letters of credit for a total of $58 and 12 standby letters of credit for a total of $34 as of March 31, 2017 and December 31, 2016, respectively, that have no stated maturity date and are subject to renewal on an annual basis. | ||
[2] | Expiration is based on settlement period rather than underlying contractual maturity of consolidated obligations. |
Commitments and Contingencies77
Commitments and Contingencies (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2017 | Dec. 31, 2016 | |
Loss Contingencies [Line Items] | ||
Other liabilities | $ 213 | $ 358 |
The FHLBank's outstanding consolidated obligations for which the Bank is jointly and severally liable | $ 832,863 | 859,361 |
CommitmentsToPurchaseMortgageLoansMaximumTerm | 91 days | |
Standby Letters of Credit [Member] | ||
Loss Contingencies [Line Items] | ||
Other liabilities | $ 109 | $ 135 |
Transactions With Shareholder78
Transactions With Shareholders (Details) - USD ($) $ in Millions | Mar. 31, 2017 | Dec. 31, 2016 |
Minimum | ||
Definition of related party, minimum percent | 10.00% | |
Definition of shareholder concentration, percentage | 10.00% | |
Regulatory Capital Stock Outstanding | $ 6,561 | $ 6,848 |
Federal Home Loan Bank, Advances, Par Value | 90,330 | 98,288 |
Capital One, National Association [Member] | ||
Minimum | ||
Regulatory Capital Stock Outstanding | $ 745 | |
Percent of Total Regulatory Capital Stock Outstanding | 15.03% | |
Federal Home Loan Bank, Advances, Par Value | $ 17,176 | |
Percent of Total Par Value Advances | 17.48% | |
Interest-bearing Deposits | $ 16 | |
Percent of Total Interest-bearing Deposits | 1.41% | |
Navy Federal Credit Union [Member] | ||
Minimum | ||
Regulatory Capital Stock Outstanding | $ 509 | $ 589 |
Percent of Total Regulatory Capital Stock Outstanding | 10.94% | 11.88% |
Federal Home Loan Bank, Advances, Par Value | $ 11,618 | $ 13,495 |
Percent of Total Par Value Advances | 12.86% | 13.73% |
Interest-bearing Deposits | $ 134 | $ 156 |
Percent of Total Interest-bearing Deposits | 11.10% | 13.93% |
Bank of America [Member] | ||
Minimum | ||
Regulatory Capital Stock Outstanding | $ 1,184 | $ 504 |
Percent of Total Regulatory Capital Stock Outstanding | 25.46% | 10.17% |
Federal Home Loan Bank, Advances, Par Value | $ 27,511 | $ 11,511 |
Percent of Total Par Value Advances | 30.46% | 11.71% |
Interest-bearing Deposits | $ 0 | $ 0 |
Percent of Total Interest-bearing Deposits | 0.01% | 0.01% |