Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2015 | Oct. 31, 2015 | |
Entity Information [Line Items] | ||
Entity Registrant Name | Federal Home Loan Bank of Indianapolis | |
Entity Central Index Key | 1,331,754 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Common B Shares Outstanding | 14,854,522 |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Assets: | |||
Cash and due from banks | $ 3,431,274 | $ 3,550,939 | |
Interest-bearing deposits | 221 | 483 | |
Securities purchased under agreements to resell | 750,000 | 0 | |
Federal funds sold | 270,000 | 0 | |
Available-for-sale securities (Notes 3 and 5) | 3,551,371 | 3,556,165 | |
Held-to-maturity securities (estimated fair values of $6,251,199 and $7,098,616, respectively) (Notes 4 and 5) | [1] | 6,142,413 | 6,982,115 |
Advances (Note 6) | 24,297,197 | 20,789,667 | |
Mortgage loans held for portfolio, net of allowance for loan losses of $(1,125) and $(2,500), respectively (Notes 7 and 8) | 8,084,138 | 6,820,262 | |
Accrued interest receivable | 85,931 | 82,866 | |
Premises, software, and equipment, net | 38,275 | 38,418 | |
Derivative assets, net (Note 9) | 43,182 | 25,487 | |
Other assets | 41,753 | 6,630 | |
Total assets | 46,735,755 | 41,853,032 | |
Liabilities: | |||
Deposits | 749,019 | 1,084,042 | |
Consolidated obligations (Note 10): | |||
Discount notes | 14,425,407 | 12,567,696 | |
Bonds | 28,872,703 | 25,503,138 | |
Total consolidated obligations | 43,298,110 | 38,070,834 | |
Accrued interest payable | 83,679 | 77,034 | |
Affordable Housing Program payable (Note 11) | 32,983 | 36,899 | |
Derivative liabilities, net (Note 9) | 104,808 | 103,253 | |
Mandatorily redeemable capital stock (Note 12) | 14,184 | 15,673 | |
Other liabilities | 151,510 | 90,027 | |
Total liabilities | $ 44,434,293 | $ 39,477,762 | |
Commitments and contingencies (Note 16) | |||
Capital stock putable (at par value of $100 per share): | |||
Total capital stock putable | $ 1,452,993 | $ 1,550,981 | |
Retained earnings: | |||
Unrestricted | 697,976 | 672,159 | |
Restricted | 124,001 | 105,470 | |
Total retained earnings | 821,977 | 777,629 | |
Total accumulated other comprehensive income (Note 13) | 26,492 | 46,660 | |
Total capital | 2,301,462 | 2,375,270 | |
Total liabilities and capital | 46,735,755 | 41,853,032 | |
Class B-1 issued and outstanding shares: 14,529,559 and 15,509,811, respectively | |||
Capital stock putable (at par value of $100 per share): | |||
Total capital stock putable | 1,452,956 | 1,550,981 | |
Class B-2 issued and outstanding shares: 371 and 0, respectively | |||
Capital stock putable (at par value of $100 per share): | |||
Total capital stock putable | $ 37 | $ 0 | |
[1] | Represents amortized cost after adjustment for non-credit OTTI recognized in AOCI. |
Statements of Condition (Unaud3
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 |
Held-to-Maturity Securities - Estimated Fair Values | $ 6,251,199 | $ 7,098,616 |
Allowance for loan losses | $ (1,125) | $ (2,500) |
Class B-1 [Member] | ||
Common stock issued (in shares) | 14,529,559 | 15,509,811 |
Common stock outstanding (in shares) | 14,529,559 | 15,509,811 |
Class B-2 [Member] | ||
Common stock issued (in shares) | 371 | 0 |
Common stock outstanding (in shares) | 371 | 0 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Interest Income: | ||||
Advances | $ 32,584 | $ 26,392 | $ 90,263 | $ 78,951 |
Prepayment fees on advances, net | 7 | 617 | 299 | 1,678 |
Interest-bearing deposits | 51 | 52 | 158 | 166 |
Securities purchased under agreements to resell | 468 | 6 | 935 | 163 |
Federal funds sold | 718 | 553 | 1,882 | 1,249 |
Available-for-sale securities | 8,556 | 6,715 | 23,382 | 19,726 |
Held-to-maturity securities | 28,353 | 32,999 | 87,100 | 96,422 |
Mortgage loans held for portfolio | 68,676 | 57,075 | 195,076 | 172,691 |
Other interest income, net | (784) | (112) | (739) | 423 |
Total interest income | 138,629 | 124,297 | 398,356 | 371,469 |
Interest Expense: | ||||
Consolidated obligation discount notes | 4,834 | 2,021 | 11,307 | 4,770 |
Consolidated obligation bonds | 85,536 | 76,689 | 242,455 | 229,041 |
Deposits | 20 | 18 | 62 | 63 |
Mandatorily redeemable capital stock | 135 | 129 | 391 | 874 |
Total interest expense | 90,525 | 78,857 | 254,215 | 234,748 |
Net interest income | 48,104 | 45,440 | 144,141 | 136,721 |
Provision for (reversal of) credit losses | (180) | (126) | (568) | (916) |
Net interest income after provision for credit losses | 48,284 | 45,566 | 144,709 | 137,637 |
Other Income (Loss): | ||||
Total other-than-temporary impairment losses | 0 | 0 | 0 | 0 |
Non-credit portion reclassified to (from) other comprehensive income, net | (29) | (42) | (61) | (270) |
Net other-than-temporary impairment losses, credit portion | (29) | (42) | (61) | (270) |
Net gains (losses) on derivatives and hedging activities | (659) | 677 | 4,724 | 6,783 |
Service fees | 256 | 220 | 644 | 662 |
Standby letters of credit fees | 162 | 114 | 501 | 407 |
Other, net (Note 16) | 308 | 5,851 | 5,747 | 15,085 |
Total other income | 38 | 6,820 | 11,555 | 22,667 |
Other Expenses: | ||||
Compensation and benefits | 10,181 | 10,084 | 31,879 | 30,598 |
Other operating expenses | 5,493 | 5,126 | 16,126 | 13,622 |
Federal Housing Finance Agency | 595 | 626 | 1,905 | 2,044 |
Office of Finance | 621 | 544 | 2,271 | 1,987 |
Other | 350 | 307 | 1,090 | 943 |
Total other expenses | 17,240 | 16,687 | 53,271 | 49,194 |
Income before assessments | 31,082 | 35,699 | 102,993 | 111,110 |
Affordable Housing Program assessments | 3,121 | 3,583 | 10,338 | 11,199 |
Net Income | $ 27,961 | $ 32,116 | $ 92,655 | $ 99,911 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 27,961 | $ 32,116 | $ 92,655 | $ 99,911 |
Other Comprehensive Income (Loss): | ||||
Net change in unrealized gains (losses) on available-for-sale securities | (13,280) | 9,696 | (14,684) | 22,273 |
Non-credit portion of other-than-temporary impairment losses on available-for-sale securities: | ||||
Reclassification of non-credit portion to other income (loss) | 29 | 42 | 61 | 270 |
Net change in fair value not in excess of cumulative non-credit losses | (86) | (46) | (192) | (227) |
Unrealized gains (losses) | (2,615) | 569 | (4,146) | 13,442 |
Net non-credit portion of other-than-temporary impairment losses on available-for-sale securities | (2,672) | 565 | (4,277) | 13,485 |
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities: | ||||
Accretion of non-credit portion | 9 | 22 | 33 | 54 |
Net non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 9 | 22 | 33 | 54 |
Pension benefits, net | (413) | (36) | (1,240) | (108) |
Total other comprehensive income (loss) | (16,356) | 10,247 | (20,168) | 35,704 |
Total comprehensive income | $ 11,605 | $ 42,363 | $ 72,487 | $ 135,615 |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | $ 2,375,270 | $ 2,361,426 | ||
Total comprehensive income | $ 11,605 | $ 42,363 | 72,487 | 135,615 |
Proceeds from sale of capital stock | 142,347 | 115,902 | ||
Repurchase/redemption of capital stock | (240,335) | (100) | ||
Shares reclassified to mandatorily redeemable capital stock, net | 0 | (47) | 0 | (47) |
Cash dividends on capital stock | (48,307) | (52,524) | ||
Ending Balance | $ 2,301,462 | $ 2,560,272 | $ 2,301,462 | $ 2,560,272 |
Capital Stock Class B Putable [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance, Shares | 15,510 | 16,099 | ||
Beginning Balance | $ 1,550,981 | $ 1,609,931 | ||
Proceeds from sale of capital stock, shares | 1,423 | 1,159 | ||
Proceeds from sale of capital stock | $ 142,347 | $ 115,902 | ||
Repurchase/redemption of capital stock (shares) | (2,403) | (1) | ||
Repurchase/redemption of capital stock | $ (240,335) | $ (100) | ||
Shares reclassified to mandatorily redeemable capital stock, net, shares | 0 | |||
Shares reclassified to mandatorily redeemable capital stock, net | $ (47) | |||
Ending Balance, Shares | 14,530 | 17,257 | 14,530 | 17,257 |
Ending Balance | $ 1,452,993 | $ 1,725,686 | $ 1,452,993 | $ 1,725,686 |
Retained Earnings Total [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 777,629 | 729,775 | ||
Total comprehensive income | 92,655 | 99,911 | ||
Cash dividends on capital stock | (48,307) | (52,524) | ||
Ending Balance | 821,977 | 777,162 | 821,977 | 777,162 |
Retained Earnings, Unrestricted [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 672,159 | 647,624 | ||
Total comprehensive income | 74,124 | 79,928 | ||
Cash dividends on capital stock | (48,307) | (52,524) | ||
Ending Balance | 697,976 | 675,028 | 697,976 | 675,028 |
Retained Earnings, Restricted [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 105,470 | 82,151 | ||
Total comprehensive income | 18,531 | 19,983 | ||
Cash dividends on capital stock | 0 | 0 | ||
Ending Balance | 124,001 | 102,134 | 124,001 | 102,134 |
Accumulated Other Comprehensive Income (Loss) [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 46,660 | 21,720 | ||
Total comprehensive income | (20,168) | 35,704 | ||
Ending Balance | $ 26,492 | $ 57,424 | $ 26,492 | $ 57,424 |
Statements of Capital (Unaudit7
Statements of Capital (Unaudited) (Parenthetical) | 9 Months Ended | |
Sep. 30, 2015 | Sep. 30, 2014 | |
Statement of Stockholders' Equity [Abstract] | ||
Annualized Dividend Rate on Capital Stock | 4.08% | 4.33% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | ||
Operating Activities: | |||
Net income | $ 92,655 | $ 99,911 | |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Amortization and depreciation | 41,702 | 15,031 | |
Prepayment fees on advances, net of related swap termination fees | (1,862) | (475) | |
Changes in net derivative and hedging activities | 35,970 | 41,733 | |
Net other-than-temporary impairment losses, credit portion | 61 | 270 | |
Provision for (reversal of) credit losses | (568) | (916) | |
Changes in: | |||
Accrued interest receivable | (3,197) | (216) | |
Other assets | (3,331) | 17,038 | |
Accrued interest payable | 6,645 | 1,332 | |
Other liabilities | 24,809 | 13,812 | |
Total adjustments, net | 100,229 | 87,609 | |
Net cash provided by operating activities | 192,884 | 187,520 | |
Changes in: | |||
Interest-bearing deposits | (21,831) | 101,874 | |
Securities purchased under agreements to resell | (750,000) | 0 | |
Federal funds sold | (270,000) | 0 | |
Purchases of premises, software, and equipment | (3,248) | (3,787) | |
Available-for-sale securities: | |||
Proceeds from maturities | 60,350 | 65,799 | |
Purchases | (79,866) | 0 | |
Held-to-maturity securities: | |||
Proceeds from maturities | 1,144,000 | 745,720 | |
Purchases | (316,868) | (574,885) | |
Advances: | |||
Principal collected | 65,787,838 | 51,216,136 | |
Disbursed to members | (69,257,792) | (53,260,098) | |
Mortgage loans held for portfolio: | |||
Principal collected | 1,027,539 | 660,265 | |
Purchases from members | (2,306,586) | (945,230) | |
Net cash used in investing activities | (4,986,464) | (1,994,206) | |
Financing Activities: | |||
Changes in deposits | (336,453) | (47,099) | |
Net payments on derivative contracts with financing elements | (45,278) | (46,171) | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 58,752,115 | 35,623,619 | |
Bonds | 17,396,692 | 15,948,090 | |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (56,898,077) | (32,952,279) | |
Bonds | (14,047,300) | (15,656,000) | |
Other Federal Home Loan Banks: | |||
Proceeds from borrowings | 0 | 22,000 | |
Principal payments | 0 | (22,000) | |
Proceeds from sale of capital stock | 142,347 | 115,902 | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (1,489) | (697) | |
Payments for redemption/repurchase of capital stock | (240,335) | (100) | |
Cash dividends paid on capital stock | (48,307) | (52,524) | |
Net cash provided by financing activities | 4,673,915 | 2,932,741 | |
Net (decrease) increase in cash and due from banks | (119,665) | 1,126,055 | |
Cash and due from banks at beginning of period | 3,550,939 | 3,318,564 | |
Cash and due from banks at end of period | 3,431,274 | 4,444,619 | |
Supplemental Disclosures: | |||
Interest paid | 234,740 | 224,198 | |
Affordable Housing Program payments | [1] | 14,254 | 12,363 |
Capitalized interest on certain held-to-maturity securities | 1,245 | 2,459 | |
Par value of shares reclassified to mandatorily redeemable capital stock, net | 0 | 47 | |
Net transfers of mortgage loans to real estate owned | $ 0 | $ 117 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Summary of Significant Accounti
Summary of Significant Accounting Policies and Change in Accounting Principle | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies and Change in Accounting Principle | Note 1 - Summary of Significant Accounting Policies and Change in Accounting Principle Basis of Presentation. The accompanying interim financial statements of the Federal Home Loan Bank of Indianapolis have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. The interim financial statements presented herein should be read in conjunction with our audited financial statements and notes thereto, which are included in our 2014 Form 10-K. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of our financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period. Our significant accounting policies and certain other disclosures are set forth in Note 1 - Summary of Significant Accounting Policies in our 2014 Form 10-K. There have been no significant changes to these policies through September 30, 2015 . We use certain acronyms and terms throughout these financial statements, which are defined in the Glossary of Terms . Unless the context otherwise requires, the terms "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis or its management. Reclassifications. We have reclassified certain amounts from the prior periods to conform to the current period presentation. These reclassifications had no effect on net income, total comprehensive income, total capital, or net cash flows. Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant estimates include the determination of other-than-temporary impairment of certain private-label RMBS, the fair values of derivatives and other financial instruments, and the allowance for credit losses. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. Change in Accounting Principle. Effective October 1, 2014, we changed our method of accounting for the amortization and accretion of premiums and discounts, deferred loan fees or costs, and hedging basis adjustments on our mortgage loans held for portfolio to the contractual interest method. The contractual method recognizes the income effects of premiums and discounts in a manner that reflects the actual prepayments and other activity of the mortgage loans during that period and the contractual terms of the loans without regard to estimated prepayments based upon assumptions about future borrower activity. Historically, we deferred and amortized premiums and accreted discounts into interest income using the retrospective interest method, which used both actual prepayment experience and estimates of future principal repayments in calculating the estimated lives of the loans. While both the retrospective interest and contractual interest methods are acceptable under GAAP, the contractual interest method has become preferable for recognizing net unamortized premiums on our mortgage loans held for portfolio because (i) it reduces our reliance on subjective assumptions and estimates that affect the reported amounts of assets, capital and income in the financial statements and (ii) it represents the base accounting model articulated in GAAP applicable to accounting for the amortization of premiums and the accretion of discounts, whereas the retrospective method is only permitted by GAAP in narrowly defined circumstances. The change to the contractual method for amortizing premiums and accreting discounts, deferred loan fees or costs, and hedging basis adjustments on our mortgage loans held for portfolio has been reported through retroactive application of the change in accounting principle to all periods presented. For the three and nine months ended September 30, 2014 , the effect of this change was a decrease to net income of $1,636 and $642 , respectively. The following table presents the impact of the change in amortization and accretion methodology on amounts previously reported in our financial statements as of and for the three and nine months ended September 30, 2014. For the Three Months Ended September 30, 2014 Previous Method New Method Effect of Change Statements of Income: Interest income - mortgage loans held for portfolio $ 58,893 $ 57,075 $ (1,818 ) Net interest income after provision for credit losses 47,384 45,566 (1,818 ) Income before assessments 37,517 35,699 (1,818 ) Affordable Housing Program assessments 3,765 3,583 (182 ) Net income $ 33,752 $ 32,116 $ (1,636 ) Statements of Comprehensive Income: Net income $ 33,752 $ 32,116 $ (1,636 ) Total comprehensive income $ 43,999 $ 42,363 $ (1,636 ) As of and for the Nine Months Ended September 30, 2014 Previous Method New Method Effect of Change Statements of Condition: Mortgage loans held for portfolio, net $ 6,471,714 $ 6,448,824 $ (22,890 ) Total assets 41,038,155 41,015,265 (22,890 ) Affordable Housing Program payable 41,685 41,614 (71 ) Total liabilities 38,455,064 38,454,993 (71 ) Unrestricted retained earnings 694,433 675,028 (19,405 ) Restricted retained earnings 105,548 102,134 (3,414 ) Total retained earnings 799,981 777,162 (22,819 ) Total capital 2,583,091 2,560,272 (22,819 ) Total liabilities and capital $ 41,038,155 $ 41,015,265 $ (22,890 ) Statements of Income: Interest income - mortgage loans held for portfolio $ 173,404 $ 172,691 $ (713 ) Net interest income after provision for credit losses 138,350 137,637 (713 ) Income before assessments 111,823 111,110 (713 ) Affordable Housing Program assessments 11,270 11,199 (71 ) Net income $ 100,553 $ 99,911 $ (642 ) Statements of Comprehensive Income: Net income $ 100,553 $ 99,911 $ (642 ) Total comprehensive income $ 136,257 $ 135,615 $ (642 ) Statements of Capital: Total retained earnings, as of beginning of year $ 751,952 $ 729,775 $ (22,177 ) Total comprehensive income 136,257 135,615 (642 ) Total retained earnings, as of end of period 799,981 777,162 (22,819 ) Total capital $ 2,583,091 $ 2,560,272 $ (22,819 ) Statements of Cash Flows: Operating activities: Net income $ 100,553 $ 99,911 $ (642 ) Adjustments to reconcile net income to net cash provided by operating activities: Amortization and depreciation 14,318 15,031 713 Changes in: Other liabilities 13,883 13,812 (71 ) Total adjustments, net 86,967 87,609 642 Net cash provided by operating activities $ 187,520 $ 187,520 $ — |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 9 Months Ended |
Sep. 30, 2015 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance Customer's Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the FASB issued amendments to clarify a customer's accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. This guidance becomes effective for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted. We can elect to adopt the amendments either (i) prospectively to all arrangements entered into or materially modified after the effective date or (ii) retrospectively. We are in the process of evaluating this guidance, but its effect on our financial condition, results of operations, and cash flows is not expected to be material. Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that unamortized debt issuance costs related to a recognized debt liability be presented on the statement of condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. This guidance becomes effective for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted for financial statements that have not been previously issued. The guidance is required to be applied on a retrospective basis to each period presented on the statement of condition. The adoption of this guidance will result in a reclassification of unamortized debt issuance costs from other assets to consolidated obligations on our statement of condition and a reclassification on the statement of cash flows from operating activities to financing activities. Amendments to the Consolidation Analysis. On February 18, 2015, the FASB issued amended guidance intended to enhance consolidation analysis for legal entities such as limited partnerships, limited liability companies, and securitization structures (collateralized debt obligations, collateralized loan obligations, and MBS transactions). The new guidance primarily focuses on: (i) placing more emphasis on risk of loss when determining a controlling financial interest, such that a reporting organization may no longer have to consolidate a legal entity in certain circumstances based solely on its fee arrangement when certain criteria are met; (ii) reducing the frequency of the application of related-party guidance when determining a controlling financial interest in a VIE; and (iii) changing consolidation conclusions for entities in several industries that typically make use of limited partnerships or VIEs. This guidance becomes effective for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted, including adoption in an interim period. We are in the process of evaluating this guidance, but its effect on our financial condition, results of operations, or cash flows is not expected to be material. Revenue from Contracts with Customers. On May 28, 2014, the FASB issued guidance on revenue from contracts with customers. This guidance outlines a single comprehensive model for recognizing revenue arising from contracts with customers and supercedes most current revenue recognition guidance, including industry specific guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of nonfinancial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of other standards, such as financial instruments, certain guarantees, insurance contracts, and lease contracts. The guidance provides entities with the option of using either of the following adoption methods: (i) a full retrospective method, retrospectively to each prior reporting period presented; or (ii) a modified retrospective method, retrospectively with the cumulative effect of initially applying this guidance recognized at the date of initial application. On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. The guidance is effective for interim and annual periods beginning on January 1, 2018. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016. We are in the process of evaluating this guidance, but its effect on our financial condition, results of operations, or cash flows is not expected to be material. |
Available-for-Sale Securities
Available-for-Sale Securities | 9 Months Ended |
Sep. 30, 2015 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | Note 3 - Available-for-Sale Securities Major Security Types. The following table presents information on our AFS securities by type of security. Gross Gross Amortized Non-Credit Unrealized Unrealized Estimated September 30, 2015 Cost (1) OTTI Gains Losses Fair Value GSE and TVA debentures $ 3,126,782 $ — $ 6,011 $ (3,660 ) $ 3,129,133 GSE MBS 80,893 — — (957 ) 79,936 Private-label RMBS 308,407 (258 ) 34,153 — 342,302 Total AFS securities $ 3,516,082 $ (258 ) $ 40,164 $ (4,617 ) $ 3,551,371 December 31, 2014 GSE and TVA debentures $ 3,139,037 $ — $ 17,430 $ (1,352 ) $ 3,155,115 Private-label RMBS 362,878 (127 ) 38,299 — 401,050 Total AFS securities $ 3,501,915 $ (127 ) $ 55,729 $ (1,352 ) $ 3,556,165 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses) and fair-value hedge accounting adjustments. Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized September 30, 2015 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 342,303 $ (2,337 ) $ 108,355 $ (1,323 ) $ 450,658 $ (3,660 ) GSE MBS 79,936 (957 ) — — 79,936 (957 ) Private-label RMBS — — 4,696 (258 ) 4,696 (258 ) Total impaired AFS securities $ 422,239 $ (3,294 ) $ 113,051 $ (1,581 ) $ 535,290 $ (4,875 ) December 31, 2014 GSE and TVA debentures $ 264,959 $ (1,352 ) $ — $ — $ 264,959 $ (1,352 ) Private-label RMBS — — 5,656 (127 ) 5,656 (127 ) Total impaired AFS securities $ 264,959 $ (1,352 ) $ 5,656 $ (127 ) $ 270,615 $ (1,479 ) Contractual Maturity. The amortized cost and estimated fair value of non-MBS AFS securities by contractual maturity are presented below. MBS are not presented by contractual maturity because their actual maturities will likely differ from contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. September 30, 2015 December 31, 2014 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in one year or less $ 621,667 $ 622,754 $ — $ — Due after one year through five years 1,904,018 1,907,238 2,484,379 2,497,034 Due after five years through ten years 601,097 599,141 654,658 658,081 Total non-MBS 3,126,782 3,129,133 3,139,037 3,155,115 Total MBS 389,300 422,238 362,878 401,050 Total AFS securities $ 3,516,082 $ 3,551,371 $ 3,501,915 $ 3,556,165 Realized Gains and Losses. There were no sales of AFS securities during the three and nine months ended September 30, 2015 or 2014 . As of September 30, 2015 , we had no intention of selling the AFS securities in an unrealized loss position nor did we consider it more likely than not that we will be required to sell these securities before our anticipated recovery of each security's remaining amortized cost basis. |
Held-to-Maturity Securities
Held-to-Maturity Securities | 9 Months Ended |
Sep. 30, 2015 | |
Held-to-maturity Securities [Abstract] | |
Held-to-Maturity Securities | Note 4 - Held-to-Maturity Securities Major Security Types. The following table presents information on our HTM securities by type of security. Gross Gross Unrecognized Unrecognized Amortized Non-Credit Carrying Holding Holding Estimated September 30, 2015 Cost (1) OTTI Value Gains Losses Fair Value GSE debentures $ 100,000 $ — $ 100,000 $ 46 $ — $ 100,046 MBS and ABS: Other U.S. obligations -guaranteed MBS 2,862,269 — 2,862,269 23,175 (3,854 ) 2,881,590 GSE MBS 3,089,944 — 3,089,944 91,823 (864 ) 3,180,903 Private-label RMBS 78,812 — 78,812 284 (813 ) 78,283 Manufactured housing loan ABS 10,026 — 10,026 — (1,029 ) 8,997 Home equity loan ABS 1,504 (142 ) 1,362 67 (49 ) 1,380 Total MBS and ABS 6,042,555 (142 ) 6,042,413 115,349 (6,609 ) 6,151,153 Total HTM securities $ 6,142,555 $ (142 ) $ 6,142,413 $ 115,395 $ (6,609 ) $ 6,251,199 December 31, 2014 GSE debentures $ 269,000 $ — $ 269,000 $ 199 $ — $ 269,199 MBS and ABS: Other U.S. obligations -guaranteed MBS 3,032,494 — 3,032,494 30,598 (5,959 ) 3,057,133 GSE MBS 3,567,958 — 3,567,958 93,583 (104 ) 3,661,437 Private-label RMBS 99,879 — 99,879 360 (1,049 ) 99,190 Manufactured housing loan ABS 11,243 — 11,243 — (1,164 ) 10,079 Home equity loan ABS 1,716 (175 ) 1,541 114 (77 ) 1,578 Total MBS and ABS 6,713,290 (175 ) 6,713,115 124,655 (8,353 ) 6,829,417 Total HTM securities $ 6,982,290 $ (175 ) $ 6,982,115 $ 124,854 $ (8,353 ) $ 7,098,616 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses). Unrealized Loss Positions. The following table presents impaired HTM securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. None of our non-MBS were in an unrealized loss position at September 30, 2015 or December 31, 2014 . Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized September 30, 2015 Fair Value Losses Fair Value Losses Fair Value Losses (1) MBS and ABS: Other U.S. obligations - guaranteed MBS $ 468,001 $ (579 ) $ 624,370 $ (3,275 ) $ 1,092,371 $ (3,854 ) GSE MBS 467,300 (864 ) — — 467,300 (864 ) Private-label RMBS 5,305 (9 ) 27,542 (804 ) 32,847 (813 ) Manufactured housing loan ABS — — 8,997 (1,029 ) 8,997 (1,029 ) Home equity loan ABS — — 1,379 (124 ) 1,379 (124 ) Total MBS and ABS 940,606 (1,452 ) 662,288 (5,232 ) 1,602,894 (6,684 ) Total impaired HTM securities $ 940,606 $ (1,452 ) $ 662,288 $ (5,232 ) $ 1,602,894 $ (6,684 ) December 31, 2014 MBS and ABS: Other U.S. obligations - guaranteed MBS $ 528,242 $ (1,254 ) $ 702,768 $ (4,705 ) $ 1,231,010 $ (5,959 ) GSE MBS 31,554 (8 ) 26,013 (96 ) 57,567 (104 ) Private-label RMBS 3,274 (3 ) 41,050 (1,046 ) 44,324 (1,049 ) Manufactured housing loan ABS — — 10,080 (1,164 ) 10,080 (1,164 ) Home equity loan ABS — — 1,579 (138 ) 1,579 (138 ) Total MBS and ABS 563,070 (1,265 ) 781,490 (7,149 ) 1,344,560 (8,414 ) Total impaired HTM securities $ 563,070 $ (1,265 ) $ 781,490 $ (7,149 ) $ 1,344,560 $ (8,414 ) (1) For home equity loan ABS, total unrealized losses do not agree to total gross unrecognized holding losses at September 30, 2015 and December 31, 2014 of $(49) and $(77) , respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $(142) and $(175) , respectively, and gross unrecognized holding gains on previously OTTI securities of $67 and $114 , respectively. Contractual Maturity. The amortized cost, carrying value and estimated fair value of non-MBS HTM securities by contractual maturity are presented below. MBS and ABS are not presented by contractual maturity because their actual maturities will likely differ from contractual maturities as certain borrowers have the right to prepay their obligations with or without prepayment fees. September 30, 2015 December 31, 2014 Amortized Carrying Estimated Amortized Carrying Estimated Year of Contractual Maturity Cost (1) Value (2) Fair Value Cost (1) Value (2) Fair Value Non-MBS: Due in one year or less $ 100,000 $ 100,000 $ 100,046 $ 169,000 $ 169,000 $ 169,099 Due after one year through five years — — — 100,000 100,000 100,100 Total non-MBS 100,000 100,000 100,046 269,000 269,000 269,199 Total MBS and ABS 6,042,555 6,042,413 6,151,153 6,713,290 6,713,115 6,829,417 Total HTM securities $ 6,142,555 $ 6,142,413 $ 6,251,199 $ 6,982,290 $ 6,982,115 $ 7,098,616 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses). (2) Represents amortized cost after adjustment for non-credit OTTI recognized in AOCI. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 9 Months Ended |
Sep. 30, 2015 | |
Other Than Temporary Impairments Analysis [Abstract] | |
Other-Than-Temporary-Impairment | Note 5 - Other-Than-Temporary Impairment OTTI Evaluation Process and Results - Private-label RMBS and ABS. On a quarterly basis, we evaluate our individual AFS and HTM securities that have been previously OTTI or are in an unrealized loss position for OTTI. As part of our evaluation, we consider whether we intend to sell each security and whether it is more likely than not that we will be required to sell the security before its anticipated recovery. If either of these conditions is met, we recognize an OTTI loss equal to the entire difference between the security's amortized cost basis and its estimated fair value at the statement of condition date. For those securities that meet neither of these conditions, we perform a cash flow analysis to determine whether we expect to recover the entire amortized cost basis of the security as described in Note 1 - Summary of Significant Accounting Policies and Note 6 - Other-Than-Temporary Impairment in our 2014 Form 10-K. OTTI - Significant Inputs. The FHLBanks' OTTI Governance Committee developed a short-term housing price forecast with projected changes ranging from a decrease of 3% to an increase of 8% over a twelve-month period. For the vast majority of housing markets, the changes range from an increase of 2% to an increase of 5% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. The following table presents the significant modeling assumptions used to determine the amount of credit loss recognized in earnings for the three months ended September 30, 2015 on the security for which an OTTI was determined to have occurred, as well as the related current credit enhancement. Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before we will experience a loss on the security. A credit enhancement percentage of zero reflects a security that has no remaining credit support and is likely to have experienced an actual principal loss. The calculated averages represent the dollar-weighted averages of the private-label RMBS in each category shown. The classification (prime, Alt-A or subprime) is based on the model used to estimate the cash flows for the security, which may not be the same as the classification by the rating agency at the time of origination. Significant Modeling Assumptions for OTTI private-label RMBS for the three months ended September 30, 2015 Year of Securitization Prepayment Rates (1) Default Rates (1) Loss Severities (1) Current Credit Enhancement (1) Prime - 2006 14 % 17 % 37 % 0 % (1) Weighted average based on UPB. Results of OTTI Evaluation Process. As a result of our analysis, OTTI credit losses were recognized for one security for the three and nine months ended September 30, 2015 and 2014 . We determined that the unrealized losses on the remaining private-label RMBS and ABS were temporary as we expect to recover the entire amortized cost. The following table presents a rollforward of the amounts related to credit losses recognized in earnings. The rollforward excludes accretion of credit losses for securities that have not experienced a significant increase in cash flows. Three Months Ended Nine Months Ended September 30, September 30, Credit Loss Rollforward 2015 2014 2015 2014 Balance at beginning of period $ 66,049 $ 71,584 $ 69,626 $ 72,287 Additions: Additional credit losses for which OTTI was previously recognized (1) 29 42 61 270 Reductions: Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (2,636 ) (938 ) (6,245 ) (1,869 ) Balance at end of period $ 63,442 $ 70,688 $ 63,442 $ 70,688 (1) For the three and nine months ended September 30, 2015 and 2014 , the amount relates to one security originally impaired prior to January 1, 2014 . The following table presents the September 30, 2015 classification and balances of OTTI securities impaired prior to that date (i.e., life-to-date) but not necessarily as of that date. Securities are classified based on the originator's classification at the time of origination or based on the classification by the NRSROs upon issuance. Because there is no universally accepted definition of prime, Alt-A or subprime underwriting standards, such classifications are subjective. September 30, 2015 HTM Securities AFS Securities OTTI Life-to-Date UPB Amortized Cost Carrying Value Estimated Fair Value UPB Amortized Cost Estimated Fair Value Private-label RMBS - prime $ — $ — $ — $ — $ 364,387 $ 308,407 $ 342,302 Home equity loan ABS - subprime 679 650 509 575 — — — Total $ 679 $ 650 $ 509 $ 575 $ 364,387 $ 308,407 $ 342,302 OTTI Evaluation Process and Results - All Other AFS and HTM Securities. Other U.S. and GSE Obligations and TVA Debentures. For other U.S. obligations, GSE obligations, and TVA debentures, we determined that, based on current expectations, the strength of the issuers' guarantees through direct obligations of or support from the United States government is sufficient to protect us from any losses. As a result, all of the gross unrealized losses as of September 30, 2015 are considered temporary. |
Advances
Advances | 9 Months Ended |
Sep. 30, 2015 | |
Advances [Abstract] | |
Advances | Note 6 - Advances We had advances outstanding, as presented below by year of contractual maturity, with current interest rates ranging from 0% to 7.53% . September 30, 2015 December 31, 2014 Year of Contractual Maturity Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 2,338 2.49 $ — — Due in 1 year or less 9,623,731 0.78 7,406,652 0.83 Due after 1 year through 2 years 2,618,739 1.26 2,529,649 1.28 Due after 2 years through 3 years 2,754,766 1.88 2,331,427 1.57 Due after 3 years through 4 years 1,431,261 2.10 2,047,262 2.05 Due after 4 years through 5 years 2,565,347 1.47 1,571,567 2.51 Thereafter 5,103,973 1.36 4,743,645 1.31 Total advances, par value 24,100,155 1.23 20,630,202 1.33 Fair-value hedging adjustments 162,787 117,118 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 34,255 42,347 Total advances $ 24,297,197 $ 20,789,667 Prepayments . At September 30, 2015 and December 31, 2014 , we had $6.4 billion and $5.6 billion , respectively, of advances that can be prepaid without incurring prepayment or termination fees. All other advances may only be prepaid by paying a fee that is sufficient to make us financially indifferent to the prepayment of the advance. At September 30, 2015 and December 31, 2014 , we had putable advances outstanding totaling $455,500 and $179,000 , respectively. The following table presents advances by the earlier of the year of contractual maturity or the next call date and next put date. Year of Contractual Maturity or Next Call Date Year of Contractual Maturity or Next Put Date September 30, December 31, September 30, December 31, Overdrawn demand and overnight deposit accounts $ 2,338 $ — $ 2,338 $ — Due in 1 year or less 14,723,511 11,293,767 9,909,731 7,574,152 Due after 1 year through 2 years 2,370,989 2,533,649 2,556,239 2,499,649 Due after 2 years through 3 years 2,503,601 2,208,677 2,698,766 2,233,927 Due after 3 years through 4 years 1,366,261 1,847,262 1,416,261 2,012,262 Due after 4 years through 5 years 1,595,347 1,506,567 2,562,347 1,566,567 Thereafter 1,538,108 1,240,280 4,954,473 4,743,645 Total advances, par value $ 24,100,155 $ 20,630,202 $ 24,100,155 $ 20,630,202 Credit Risk Exposure and Security Terms. At September 30, 2015 and December 31, 2014 , we had a total of $ 11.1 billion and $8.3 billion , respectively, of advances outstanding, at par, to single borrowers with balances that were greater than or equal to $1.0 billion . These advances, representing 46% and 40% , respectively, of total advances at par outstanding on those dates, were made to six and five borrowers, respectively. At September 30, 2015 and December 31, 2014 , we held $ 21.0 billion and $15.1 billion , respectively, of UPB of collateral to cover the advances to these borrowers. See Note 8 - Allowance for Credit Losses for information related to credit risk on advances and allowance methodology for credit losses. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | Note 7 - Mortgage Loans Held for Portfolio The following tables present information on mortgage loans held for portfolio by term and by type. September 30, 2015 Term MPP MPF Total Fixed-rate long-term mortgages $ 6,354,895 $ 385,869 $ 6,740,764 Fixed-rate medium-term (1) mortgages 1,113,636 69,357 1,182,993 Total mortgage loans held for portfolio, UPB 7,468,531 455,226 7,923,757 Unamortized premiums 151,697 7,583 159,280 Unamortized discounts (1,676 ) (270 ) (1,946 ) Fair-value hedging adjustments 4,603 (431 ) 4,172 Allowance for loan losses (1,000 ) (125 ) (1,125 ) Total mortgage loans held for portfolio, net $ 7,622,155 $ 461,983 $ 8,084,138 December 31, 2014 Term MPP MPF Total Fixed-rate long-term mortgages $ 5,233,682 $ 428,758 $ 5,662,440 Fixed-rate medium-term (1) mortgages 963,083 78,919 1,042,002 Total mortgage loans held for portfolio, UPB 6,196,765 507,677 6,704,442 Unamortized premiums 107,876 8,726 116,602 Unamortized discounts (1,874 ) (302 ) (2,176 ) Fair-value hedging adjustments 4,369 (475 ) 3,894 Allowance for loan losses (2,250 ) (250 ) (2,500 ) Total mortgage loans held for portfolio, net $ 6,304,886 $ 515,376 $ 6,820,262 (1) Defined as a term of 15 years or less at origination. September 30, 2015 Type MPP MPF Total Conventional $ 6,922,076 $ 364,263 $ 7,286,339 Government 546,455 90,963 637,418 Total mortgage loans held for portfolio, UPB $ 7,468,531 $ 455,226 $ 7,923,757 December 31, 2014 Type MPP MPF Total Conventional $ 5,562,460 $ 406,469 $ 5,968,929 Government 634,305 101,208 735,513 Total mortgage loans held for portfolio, UPB $ 6,196,765 $ 507,677 $ 6,704,442 See Note 8 - Allowance for Credit Losses for information related to credit risk on mortgage loans and allowance methodology for loan losses. |
Allowance for Credit Losses
Allowance for Credit Losses | 9 Months Ended |
Sep. 30, 2015 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses | Note 8 - Allowance for Credit Losses We have established a methodology to determine the allowance for credit losses for each of our portfolio segments: credit products (advances, letters of credit, and other extensions of credit to members); term securities purchased under agreements to resell; term federal funds sold; government-guaranteed or insured mortgage loans held for portfolio; and conventional mortgage loans held for portfolio. A description of the allowance methodologies for our portfolio segments as well as our policy for impairing financing receivables and charging them off when necessary is disclosed in Note 1 - Summary of Significant Accounting Policies and Note 9 - Allowance for Credit Losses in our 2014 Form 10-K. Credit Products. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of credit quality on the borrower's credit products. At September 30, 2015 and December 31, 2014 , we had rights to collateral on a borrower-by-borrower basis with an estimated market value in excess of our outstanding extensions of credit. At September 30, 2015 and December 31, 2014 , we did not have any credit products that were past due, on non-accrual status, or considered impaired. In addition, there were no TDRs related to credit products during the nine months ended September 30, 2015 or 2014 . Based upon the collateral held as security, our credit extension and collateral policies, our credit analysis and the repayment history on credit products, we have not recorded any allowance for credit losses on credit products and no liability was recorded to reflect an allowance for credit losses for off-balance sheet credit exposures. For additional information about off-balance sheet credit exposure, see Note 16 - Commitments and Contingencies . Mortgage Loans. Collectively Evaluated Mortgage Loans . Collectively Evaluated MPP Loans. Our loan loss analysis includes collectively evaluating the MPP pools of conventional loans for impairment. The measurement of our allowance for loan losses includes evaluating (i) homogeneous pools of mortgage loans past due 180 days or more; and (ii) the current to 179 days past due portion of the loan portfolio. This loan loss analysis considers MPP pool-specific attribute data, estimated liquidation value of real estate collateral held, estimated costs associated with maintaining and disposing of the collateral, and credit enhancements. Delinquency reports are used to determine the population of loans incorporated into the allowance for loan loss analysis. Beginning in the first quarter of 2015, we refined our technique for estimating losses on mortgage loans past due 180 days or more to incorporate loan-level property values obtained from a third-party model, instead of using a historical weighted-average collateral recovery rate. A haircut is applied to these loan-level values to capture the potential impact of severely distressed property sales. The reduced values are then aggregated to the pool level and are further reduced for estimated liquidation costs to determine the estimated liquidation value. Credit Enhancements. The following table presents the actual activity in the LRA. Three Months Ended September 30, Nine Months Ended September 30, LRA Activity 2015 2014 2015 2014 Balance of LRA, beginning of period $ 82,624 $ 49,918 $ 61,949 $ 45,330 Additions 5,721 5,807 27,229 11,917 Claims paid (393 ) (411 ) (940 ) (1,664 ) Distributions (66 ) (93 ) (352 ) (362 ) Balance of LRA, end of period $ 87,886 $ 55,221 $ 87,886 $ 55,221 MPP Credit Enhancements. The following table presents the estimated impact of credit enhancements on the allowance. MPP Credit Waterfall September 30, 2015 December 31, 2014 Estimated losses remaining after borrower's equity, before credit enhancements $ 7,695 $ 25,232 Portion of estimated losses recoverable from PMI (1,764 ) (3,301 ) Portion of estimated losses recoverable from LRA (1) (1,154 ) (5,334 ) Portion of estimated losses recoverable from SMI (3,865 ) (14,587 ) Allowance for unrecoverable PMI/SMI 88 240 Allowance for MPP loan losses $ 1,000 $ 2,250 (1) Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the LRA is available to cover any losses not yet incurred and to distribute any excess funds to members. MPF Credit Enhancements. CE fees paid to PFIs were $87 and $271 for the three and nine months ended September 30, 2015 , respectively, compared with $99 and $302 for the three and nine months ended September 30, 2014 , respectively. Performance-based CE fees may be withheld to cover losses allocated to us. Any losses that occur in an MCC will either be: (i) recovered through the withholding of future performance-based CE fees from the PFI or (ii) absorbed by us in the FLA. As of September 30, 2015 and December 31, 2014 , our exposure under the FLA was $3,472 and $3,431 , respectively, with PFIs’ CE obligations available to cover losses in excess of the FLA totaling $26,862 and $26,851 , respectively. Any estimated losses that would be absorbed by the CE obligation are not included in our allowance for loan losses. Accordingly, the allowance was reduced by $0 and $2 as of September 30, 2015 and December 31, 2014 , respectively, for the amount in excess of the FLA to be covered by CE obligations. The resulting allowance for MPF loan losses was $125 at September 30, 2015 and $250 at December 31, 2014 . Allowance for Loan Losses on Mortgage Loans. The tables below present a rollforward of our allowance for loan losses, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology. MPP MPF Rollforward of Allowance Conventional Conventional Total Allowance for loan losses, June 30, 2015 $ 1,200 $ 150 $ 1,350 Charge-offs, net of recoveries (44 ) (1 ) (45 ) Provision for (reversal of) loan losses (156 ) (24 ) (180 ) Allowance for loan losses, September 30, 2015 $ 1,000 $ 125 $ 1,125 Allowance for loan losses, June 30, 2014 $ 3,000 $ 250 $ 3,250 Charge-offs, net of recoveries (124 ) — (124 ) Provision for (reversal of) loan losses (126 ) — (126 ) Allowance for loan losses, September 30, 2014 $ 2,750 $ 250 $ 3,000 Allowance for loan losses, December 31, 2014 $ 2,250 $ 250 $ 2,500 Charge-offs, net of recoveries (804 ) (3 ) (807 ) Provision for (reversal of) loan losses (446 ) (122 ) (568 ) Allowance for loan losses, September 30, 2015 $ 1,000 $ 125 $ 1,125 Allowance for loan losses, December 31, 2013 $ 4,000 $ 500 $ 4,500 Charge-offs, net of recoveries (575 ) (9 ) (584 ) Provision for (reversal of) loan losses (675 ) (241 ) (916 ) Allowance for loan losses, September 30, 2014 $ 2,750 $ 250 $ 3,000 Allowance for Loan Losses, September 30, 2015 Loans collectively evaluated for impairment $ 907 $ 125 $ 1,032 Loans individually evaluated for impairment (1) 93 — 93 Total allowance for loan losses $ 1,000 $ 125 $ 1,125 Allowance for Loan Losses, December 31, 2014 Loans collectively evaluated for impairment $ 1,776 $ 250 $ 2,026 Loans individually evaluated for impairment (1) 474 — 474 Total allowance for loan losses $ 2,250 $ 250 $ 2,500 Recorded Investment, September 30, 2015 Loans collectively evaluated for impairment $ 7,080,407 $ 371,976 $ 7,452,383 Loans individually evaluated for impairment (1) 17,852 — 17,852 Total recorded investment $ 7,098,259 $ 371,976 $ 7,470,235 Recorded Investment, December 31, 2014 Loans collectively evaluated for impairment $ 5,667,524 $ 415,569 $ 6,083,093 Loans individually evaluated for impairment (1) 19,889 — 19,889 Total recorded investment $ 5,687,413 $ 415,569 $ 6,102,982 (1) The recorded investment in our MPP conventional loans individually evaluated for impairment excludes principal previously paid in full by the servicers as of September 30, 2015 and December 31, 2014 of $3,889 and $5,519 , respectively, that remains subject to potential claims by those servicers for any losses resulting from past or future liquidations of the underlying properties. However, the MPP allowance for loan losses as of September 30, 2015 and December 31, 2014 includes $47 and $153 , respectively, for these potential claims. As a result of our recent loss history, beginning in the first quarter of 2015, for conventional mortgage loans that are 180 days or more delinquent and/or where the borrower has filed for bankruptcy, we charge off the portion of the outstanding balance in excess of estimated fair value of the underlying property, less cost to sell and adjusted for any available credit enhancements. Credit Quality Indicators. The tables below present our key credit quality indicators for mortgage loans held for portfolio. Mortgage Loans Held for Portfolio September 30, 2015 MPP MPF Conventional FHA Conventional Government Total Past due 30-59 days $ 39,457 $ 17,500 $ 851 $ 1,570 $ 59,378 Past due 60-89 days 11,152 4,181 196 577 16,106 Past due 90 days or more 37,083 2,308 1 650 40,042 Total past due 87,692 23,989 1,048 2,797 115,526 Total current 7,010,567 532,185 370,928 89,567 8,003,247 Total mortgage loans, recorded investment 7,098,259 556,174 371,976 92,364 8,118,773 Net unamortized premiums (142,358 ) (7,663 ) (6,390 ) (923 ) (157,334 ) Fair-value hedging adjustments (4,581 ) (22 ) 372 59 (4,172 ) Accrued interest receivable (29,244 ) (2,034 ) (1,695 ) (537 ) (33,510 ) Total mortgage loans held for portfolio, UPB $ 6,922,076 $ 546,455 $ 364,263 $ 90,963 $ 7,923,757 Other Delinquency Statistics September 30, 2015 In process of foreclosure (1) $ 23,353 $ — $ — $ — $ 23,353 Serious delinquency rate (2) 0.52 % 0.42 % — % 0.70 % 0.49 % Past due 90 days or more still accruing interest (3) $ 30,043 $ 2,308 $ — $ 650 $ 33,001 On non-accrual status 8,050 — 170 — 8,220 Mortgage Loans Held for Portfolio December 31, 2014 MPP MPF Conventional FHA Conventional Government Total Past due 30-59 days $ 59,365 $ 25,954 $ 1,011 $ 1,287 $ 87,617 Past due 60-89 days 14,879 6,010 252 657 21,798 Past due 90 days or more 49,128 3,636 1 483 53,248 Total past due 123,372 35,600 1,264 2,427 162,663 Total current 5,564,041 609,711 414,305 100,184 6,688,241 Total mortgage loans, recorded investment 5,687,413 645,311 415,569 102,611 6,850,904 Net unamortized premiums (97,411 ) (8,591 ) (7,400 ) (1,024 ) (114,426 ) Fair-value hedging adjustments (4,323 ) (45 ) 417 57 (3,894 ) Accrued interest receivable (23,219 ) (2,370 ) (2,117 ) (436 ) (28,142 ) Total mortgage loans held for portfolio, UPB $ 5,562,460 $ 634,305 $ 406,469 $ 101,208 $ 6,704,442 Other Delinquency Statistics December 31, 2014 In process of foreclosure (1) $ 32,369 $ — $ — $ — $ 32,369 Serious delinquency rate (2) 0.86 % 0.56 % — % 0.47 % 0.78 % Past due 90 days or more still accruing interest (3) $ 46,341 $ 3,636 $ — $ 483 $ 50,460 On non-accrual status 7,207 — 1 — 7,208 (1) Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status. (2) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total recorded investment in mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Many government loans, including FHA loans, are repurchased by the servicers when they reach 90 days or more delinquent status, similar to the rules for servicers of Ginnie Mae MBS, resulting in the lower serious delinquency rate for government loans. (3) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the mortgagor's payment status, we do not consider these loans to be non-accrual. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2014 Form 10-K. Individually Evaluated Impaired Loans . Certain conventional mortgage loans, primarily TDRs, may be specifically identified for purposes of calculating the allowance for loan losses. Credit loss is measured by factoring in expected cash shortfalls as of the reporting date. The tables below present the impaired conventional loans individually evaluated for impairment. The first table presents the recorded investment, UPB and related allowance associated with these loans, while the next table presents the average recorded investment of individually impaired loans and related interest income recognized. September 30, 2015 December 31, 2014 Individually Evaluated Impaired Loans Recorded Investment UPB Related Allowance for Loan Losses Recorded Investment UPB Related Allowance for Loan Losses MPP conventional loans without allowance for loan losses (1) $ 16,974 $ 16,906 $ — $ 13,744 $ 13,647 $ — MPP conventional loans with allowance for loan losses 878 867 46 6,145 6,099 321 Total $ 17,852 $ 17,773 $ 46 $ 19,889 $ 19,746 $ 321 (1) No allowance for loan losses was recorded on these impaired loans after consideration of the underlying loan-specific attribute data, estimated liquidation value of real estate collateral held, estimated costs associated with maintaining and disposing of the collateral, and credit enhancements. Three Months Ended Three Months Ended September 30, 2015 September 30, 2014 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 17,724 $ 216 $ 18,843 $ 267 MPP conventional loans with allowance for loan losses 880 13 725 10 Total $ 18,604 $ 229 $ 19,568 $ 277 Nine Months Ended Nine Months Ended September 30, 2015 September 30, 2014 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 18,347 $ 671 $ 18,389 $ 798 MPP conventional loans with allowance for loan losses 883 92 728 40 Total $ 19,230 $ 763 $ 19,117 $ 838 The table below presents the recorded investment of the performing and non-performing TDRs. Non-performing represents loans on non-accrual status only. September 30, 2015 December 31, 2014 Recorded Investment Performing Non-Performing Total Performing Non-Performing Total MPP conventional loans $ 15,815 $ 2,037 $ 17,852 $ 13,744 $ 6,145 $ 19,889 Due to the minimal change in terms of modified loans (i.e., no principal forgiven), our pre-modification recorded investment in TDRs was not materially different than the post-modification recorded investment. There was one MPF TDR during the three and nine months ended September 30, 2015 . The loan was performing at September 30, 2015 and had a recorded investment of $159 . There were no MPF TDRs during the three and nine months ended September 30, 2014 . |
Derivative and Hedging Activiti
Derivative and Hedging Activities | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities | Note 9 - Derivatives and Hedging Activities Financial Statement Effect and Additional Financial Information. Derivative Notional Amounts. The following table presents the notional amount and estimated fair value of derivative instruments, including the effect of netting adjustments, cash collateral, and the related accrued interest. Notional Estimated Fair Value Estimated Fair Value Amount of of Derivative of Derivative September 30, 2015 Derivatives Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 27,788,833 $ 35,916 $ 320,356 Total derivatives designated as hedging instruments 27,788,833 35,916 320,356 Derivatives not designated as hedging instruments: Interest-rate swaps 141,417 20 254 Interest-rate caps/floors 340,500 117 — Interest-rate forwards 122,800 — 865 MDCs 120,905 575 1 Total derivatives not designated as hedging instruments 725,622 712 1,120 Total derivatives before adjustments $ 28,514,455 36,628 321,476 Netting adjustments and cash collateral (1) 6,554 (216,668 ) Total derivatives, net $ 43,182 $ 104,808 December 31, 2014 Derivatives designated as hedging instruments: Interest-rate swaps $ 27,527,697 $ 55,095 $ 331,546 Total derivatives designated as hedging instruments 27,527,697 55,095 331,546 Derivatives not designated as hedging instruments: Interest-rate swaps 1,476,365 330 735 Interest-rate caps/floors 340,500 312 — Interest-rate forwards 252,100 — 1,631 MDCs 252,418 711 6 Total derivatives not designated as hedging instruments 2,321,383 1,353 2,372 Total derivatives before adjustments $ 29,849,080 56,448 333,918 Netting adjustments and cash collateral (1) (30,961 ) (230,665 ) Total derivatives, net $ 25,487 $ 103,253 (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at September 30, 2015 and December 31, 2014 was $223,372 and $201,284 , respectively. Cash collateral received from counterparties at September 30, 2015 and December 31, 2014 was $150 and $1,580 , respectively. We record derivative instruments, related cash collateral received or pledged, including initial and variation margin, and associated accrued interest, on a net basis by clearing agent and/or by counterparty when we have met the netting requirements. The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the related collateral received from or pledged to counterparties. September 30, 2015 December 31, 2014 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Bilateral $ 18,614 $ 247,777 $ 48,532 $ 308,041 Cleared 17,439 72,833 7,205 24,240 Total gross recognized amount 36,053 320,610 55,737 332,281 Gross amounts of netting adjustments and cash collateral Bilateral (18,593 ) (143,835 ) (48,389 ) (206,425 ) Cleared 25,147 (72,833 ) 17,428 (24,240 ) Total gross amounts of netting adjustments and cash collateral 6,554 (216,668 ) (30,961 ) (230,665 ) Net amounts after netting adjustments and cash collateral Bilateral 21 103,942 143 101,616 Cleared 42,586 — 24,633 — Total net amounts after netting adjustments and cash collateral 42,607 103,942 24,776 101,616 Derivative instruments not meeting netting requirements (1) 575 866 711 1,637 Total derivatives, at estimated fair value $ 43,182 $ 104,808 $ 25,487 $ 103,253 (1) Includes MDCs and certain interest-rate forwards. The following table presents the components of net gains (losses) on derivatives and hedging activities reported in other income (loss). Three Months Ended September 30, Nine Months Ended September 30, Type of Hedge 2015 2014 2015 2014 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ 38 $ 233 $ 6,479 $ (3,286 ) Total net gain (loss) related to fair-value hedge ineffectiveness 38 233 6,479 (3,286 ) Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps (344 ) (1,868 ) 521 3,903 Interest-rate caps/floors (42 ) (158 ) (193 ) (1,033 ) Interest-rate forwards (2,434 ) (365 ) (3,782 ) (3,790 ) Net interest settlements 103 2,955 595 8,395 MDCs 2,020 (120 ) 1,104 2,594 Total net gain (loss) on derivatives not designated as hedging instruments (697 ) 444 (1,755 ) 10,069 Net gains (losses) on derivatives and hedging activities $ (659 ) $ 677 $ 4,724 $ 6,783 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 effect of those derivatives on net interest income. Gain (Loss) Gain (Loss) Net Fair- Effect on on on Hedged Value Hedge Net Interest Three Months Ended September 30, 2015 Derivative Item Ineffectiveness Income (1) Advances $ (73,324 ) $ 72,760 $ (564 ) $ (39,511 ) AFS securities (19,310 ) 19,056 (254 ) (24,419 ) CO bonds 14,118 (13,262 ) 856 14,487 Total $ (78,516 ) $ 78,554 $ 38 $ (49,443 ) Three Months Ended September 30, 2014 Advances $ 45,658 $ (45,938 ) $ (280 ) $ (38,558 ) AFS securities 29,428 (29,991 ) (563 ) (24,487 ) CO bonds (13,614 ) 14,690 1,076 16,447 Total $ 61,472 $ (61,239 ) $ 233 $ (46,598 ) Nine Months Ended September 30, 2015 Advances $ (62,544 ) $ 64,252 $ 1,708 $ (118,180 ) AFS securities 1,531 (2,772 ) (1,241 ) (73,151 ) CO Bonds 24,355 (18,343 ) 6,012 45,728 Total $ (36,658 ) $ 43,137 $ 6,479 $ (145,603 ) Nine Months Ended September 30, 2014 Advances $ 24,525 $ (24,358 ) $ 167 $ (111,842 ) AFS securities 21,569 (22,010 ) (441 ) (73,508 ) CO Bonds 40,374 (43,386 ) (3,012 ) 54,634 Total $ 86,468 $ (89,754 ) $ (3,286 ) $ (130,716 ) (1) Includes the effect of derivatives in fair-value hedging relationships on net interest income that is recorded in the interest income/expense line item of the respective hedged items. Excludes the interest income/expense of the respective hedged items, which fully offset the interest income/expense of the derivatives, except to the extent of any hedge ineffectiveness. Net interest settlements on derivatives that are not in fair-value hedging relationships are reported in other income (loss). These amounts do not include the effect of amortization/accretion related to fair value hedging activities. Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by the counterparties to our derivative transactions. For our bilateral derivatives, we have credit support agreements that contain provisions requiring us to post additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating is lowered by an NRSRO, we could be required to deliver additional collateral on bilateral derivative instruments in net liability positions. The aggregate estimated fair value of all bilateral derivative instruments with credit risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest on cash collateral) at September 30, 2015 was $229,185 for which we have posted collateral, including accrued interest, with an estimated fair value of $125,243 in the normal course of business. In addition, we held other derivative instruments in a net liability position of $866 that are not subject to credit support agreements containing credit risk-related contingent features. If our credit rating had been lowered by an NRSRO (from an S&P equivalent of AA+ to AA), we could have been required to deliver up to an additional $4,045 of collateral (at estimated fair value) to our bilateral derivative counterparties at September 30, 2015 . For cleared derivatives, the clearinghouse determines initial margin requirements, and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including, but not limited to, credit rating downgrades. We were not required by our clearing agents to post additional initial margin at September 30, 2015 . |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2015 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 10 - Consolidated Obligations Although we are the primary obligor for our portion of consolidated obligations (i.e., those issued on our behalf), we are also jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all FHLBank consolidated obligations. The par values of the FHLBanks' outstanding consolidated obligations at September 30, 2015 and December 31, 2014 totaled $856.5 billion and $847.2 billion , respectively. Discount Notes. The following table presents our participation in discount notes outstanding, all of which are due within one year of issuance. Discount Notes September 30, December 31, Book value $ 14,425,407 $ 12,567,696 Par value 14,432,375 12,570,811 Weighted average effective interest rate 0.19 % 0.12 % CO Bonds. The following table presents our participation in CO bonds outstanding by contractual maturity. September 30, 2015 December 31, 2014 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 14,409,185 0.41 $ 11,695,550 0.33 Due after 1 year through 2 years 4,132,010 0.93 2,018,510 1.49 Due after 2 years through 3 years 1,950,420 1.98 2,158,950 1.76 Due after 3 years through 4 years 1,037,100 2.53 1,934,100 1.49 Due after 4 years through 5 years 1,722,175 3.06 999,700 2.51 Thereafter 5,591,500 3.18 6,692,000 3.11 Total CO bonds, par value 28,842,390 1.36 25,498,810 1.44 Unamortized premiums 28,882 27,138 Unamortized discounts (13,713 ) (14,913 ) Fair-value hedging adjustments 15,144 (7,897 ) Total CO bonds $ 28,872,703 $ 25,503,138 The following tables present our participation in CO bonds outstanding by redemption feature and contractual maturity or next call date. Redemption Feature September 30, December 31, Non-callable / non-putable $ 22,084,390 $ 17,253,810 Callable 6,758,000 8,245,000 Total CO bonds, par value $ 28,842,390 $ 25,498,810 Year of Contractual Maturity or Next Call Date Due in 1 year or less $ 21,167,185 $ 19,918,550 Due after 1 year through 2 years 3,365,010 1,651,510 Due after 2 years through 3 years 1,164,420 883,950 Due after 3 years through 4 years 727,100 461,100 Due after 4 years through 5 years 1,264,175 543,700 Thereafter 1,154,500 2,040,000 Total CO bonds, par value $ 28,842,390 $ 25,498,810 |
Affordable Housing Program
Affordable Housing Program | 9 Months Ended |
Sep. 30, 2015 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program | Note 11 - Affordable Housing Program The following table summarizes the activity in our AHP funding obligation. Three Months Ended September 30, Nine Months Ended September 30, AHP Activity 2015 2014 2015 2014 Balance at beginning of period $ 35,120 $ 43,462 $ 36,899 $ 42,778 Assessment (expense) 3,121 3,583 10,338 11,199 Subsidy usage, net (1) (5,258 ) (5,431 ) (14,254 ) (12,363 ) Balance at end of period $ 32,983 $ 41,614 $ 32,983 $ 41,614 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital
Capital | 9 Months Ended |
Sep. 30, 2015 | |
Capital [Abstract] | |
Capital | Note 12 - Capital We are subject to capital requirements under our capital plan and the Finance Agency regulations as disclosed in Note 15 - Capital in our 2014 Form 10-K. As presented in the following table, we were in compliance with the Finance Agency's capital requirements at September 30, 2015 and December 31, 2014 . For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital. September 30, 2015 December 31, 2014 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 492,930 $ 2,289,154 $ 566,683 $ 2,344,283 Regulatory permanent capital-to-asset ratio 4.00 % 4.90 % 4.00 % 5.60 % Regulatory permanent capital $ 1,869,430 $ 2,289,154 $ 1,674,121 $ 2,344,283 Leverage ratio 5.00 % 7.35 % 5.00 % 8.40 % Leverage capital $ 2,336,788 $ 3,433,731 $ 2,092,652 $ 3,516,425 Mandatorily Redeemable Capital Stock. At September 30, 2015 and December 31, 2014 , we had $14,184 and $15,673 , respectively, in capital stock subject to mandatory redemption, which is classified as a liability. There were seven and eight former members holding MRCS at September 30, 2015 and December 31, 2014 , respectively. The following tables present the activity in MRCS and distributions on MRCS. Three Months Ended September 30, Nine Months Ended September 30, MRCS Activity 2015 2014 2015 2014 Liability at beginning of period $ 14,341 $ 16,785 $ 15,673 $ 16,787 Reclassification from capital stock due to change in membership status — 47 — 47 Redemptions/repurchases (157 ) (695 ) (1,489 ) (697 ) Liability at end of period $ 14,184 $ 16,137 $ 14,184 $ 16,137 Three Months Ended September 30, Nine Months Ended September 30, MRCS Distributions 2015 2014 2015 2014 Recorded as interest expense $ 135 $ 129 $ 391 $ 874 Recorded as distributions from retained earnings — — — — Total $ 135 $ 129 $ 391 $ 874 Excess Capital Stock. Excess capital stock is defined as the amount of stock held by a member or former member in excess of our stock requirement for that institution. Finance Agency rules limit the ability of an FHLBank to create member excess stock under certain circumstances, including when its total excess stock exceeds 1% of total assets or if the issuance of excess stock would cause total excess stock to exceed 1% of total assets. Our excess stock totaled $197,914 at September 30, 2015 , which was 0.4% of our total assets. Therefore, we are currently permitted to issue new excess stock to members and distribute stock dividends. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 9 Months Ended |
Sep. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Abstract] | |
Accumulated Other Comprehensive Income | Note 13 - Accumulated Other Comprehensive Income The following table presents a summary of the changes in the components of AOCI for the three and nine months ended September 30, 2014 and 2015 . AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Non-Credit OTTI on AFS Securities Non-Credit OTTI on HTM Securities Pension Benefits Total AOCI Balance, June 30, 2014 $ 12,894 $ 38,856 $ (209 ) $ (4,364 ) $ 47,177 OCI before reclassifications: Net change in unrealized gains (losses) 9,696 569 — — 10,265 Net change in fair value — (46 ) — — (46 ) Accretion of non-credit losses — — 22 — 22 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 42 — — 42 Pension benefits, net — — — (36 ) (36 ) Total other comprehensive income (loss) 9,696 565 22 (36 ) 10,247 Balance, September 30, 2014 $ 22,590 $ 39,421 $ (187 ) $ (4,400 ) $ 57,424 Balance, June 30, 2015 $ 14,674 $ 36,567 $ (151 ) $ (8,242 ) $ 42,848 OCI before reclassifications: Net change in unrealized gains (losses) (13,280 ) (2,615 ) — — (15,895 ) Net change in fair value — (86 ) — — (86 ) Accretion of non-credit loss — — 9 — 9 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 29 — — 29 Pension benefits, net — — — (413 ) (413 ) Total other comprehensive income (loss) (13,280 ) (2,672 ) 9 (413 ) (16,356 ) Balance, September 30, 2015 $ 1,394 $ 33,895 $ (142 ) $ (8,655 ) $ 26,492 AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Non-Credit OTTI on AFS Securities Non-Credit OTTI on HTM Securities Pension Benefits Total AOCI Balance, December 31, 2013 $ 317 $ 25,936 $ (241 ) $ (4,292 ) $ 21,720 OCI before reclassifications: Net change in unrealized gains (losses) 22,273 13,442 — — 35,715 Net change in fair value — (227 ) — — (227 ) Accretion of non-credit loss — — 54 — 54 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 270 — — 270 Pension benefits, net — — — (108 ) (108 ) Total other comprehensive income (loss) 22,273 13,485 54 (108 ) 35,704 Balance, September 30, 2014 $ 22,590 $ 39,421 $ (187 ) $ (4,400 ) $ 57,424 Balance, December 31, 2014 $ 16,078 $ 38,172 $ (175 ) $ (7,415 ) $ 46,660 OCI before reclassifications: Net change in unrealized gains (losses) (14,684 ) (4,146 ) — — (18,830 ) Net change in fair value — (192 ) — — (192 ) Accretion of non-credit loss — — 33 — 33 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 61 — — 61 Pension benefits, net — — — (1,240 ) (1,240 ) Total other comprehensive income (loss) (14,684 ) (4,277 ) 33 (1,240 ) (20,168 ) Balance, September 30, 2015 $ 1,394 $ 33,895 $ (142 ) $ (8,655 ) $ 26,492 |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2015 | |
Segment Reporting [Abstract] | |
Segment Information | Note 14 - Segment Information The following table presents our financial performance by operating segment. Three Months Ended September 30, 2015 Three Months Ended September 30, 2014 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 30,844 $ 17,260 $ 48,104 $ 30,128 $ 15,312 $ 45,440 Provision for (reversal of) credit losses — (180 ) (180 ) — (126 ) (126 ) Other income (loss) 425 (387 ) 38 7,266 (446 ) 6,820 Other expenses 15,269 1,971 17,240 14,565 2,122 16,687 Income before assessments 16,000 15,082 31,082 22,829 12,870 35,699 Affordable Housing Program assessments 1,612 1,509 3,121 2,296 1,287 3,583 Net income $ 14,388 $ 13,573 $ 27,961 $ 20,533 $ 11,583 $ 32,116 Nine Months Ended September 30, 2015 Nine Months Ended September 30, 2014 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 93,511 $ 50,630 $ 144,141 $ 89,080 $ 47,641 $ 136,721 Provision for (reversal of) credit losses — (568 ) (568 ) — (916 ) (916 ) Other income (loss) 14,089 (2,534 ) 11,555 23,732 (1,065 ) 22,667 Other expenses 45,941 7,330 53,271 42,808 6,386 49,194 Income before assessments 61,659 41,334 102,993 70,004 41,106 111,110 Affordable Housing Program assessments 6,204 4,134 10,338 7,088 4,111 11,199 Net income $ 55,455 $ 37,200 $ 92,655 $ 62,916 $ 36,995 $ 99,911 We measure the performance of each segment based upon the net interest spread of the underlying portfolio(s). Therefore, each segment's performance begins with net interest income. Direct other income and expense items also affect each segment's results. Direct other income/expense related to the traditional segment includes the direct earnings impact of derivatives and hedging activities related to advances and investment products as well as all other income and expense not associated with mortgage loans. The mortgage loans segment includes the direct earnings impact of derivatives and hedging activities as well as direct salary and other expenses (including an allocation for indirect overhead) associated with operating the MPP and MPF Program, and volume-driven costs associated with master servicing and quality control fees. The assessments related to AHP have been allocated to each segment based upon each segment's proportionate share of income before assessments. The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total September 30, 2015 $ 38,651,617 $ 8,084,138 $ 46,735,755 December 31, 2014 35,032,770 6,820,262 41,853,032 |
Estimated Fair Values
Estimated Fair Values | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Note 15 - Estimated Fair Values We review the fair value hierarchy classifications of our financial instruments on a quarterly basis. Changes in the observability of the inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in/out at estimated fair value as of the beginning of the quarter in which the changes occur. There were no such reclassifications during the three or nine months ended September 30, 2015 or 2014 . The following tables present the carrying value and estimated fair value of each of our financial instruments. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account, among other considerations, future business opportunities and the net profitability of assets and liabilities. September 30, 2015 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 3,431,274 $ 3,431,274 $ 3,431,274 $ — $ — $ — Interest-bearing deposits 221 221 — 221 — — Securities Purchased Under Agreements to Resell 750,000 750,000 — 750,000 — — Federal funds sold 270,000 270,000 — 270,000 — — AFS securities 3,551,371 3,551,371 — 3,209,069 342,302 — HTM securities 6,142,413 6,251,199 — 6,162,539 88,660 — Advances 24,297,197 24,342,156 — 24,342,156 — — Mortgage loans held for portfolio, net 8,084,138 8,364,863 — 8,333,864 30,999 — Accrued interest receivable 85,931 85,931 — 85,931 — — Derivative assets, net 43,182 43,182 — 36,628 — 6,554 Grantor trust assets (included in other assets) 14,241 14,241 14,241 — — — Liabilities: Deposits 749,019 749,019 — 749,019 — — Consolidated Obligations: Discount notes 14,425,407 14,432,375 — 14,432,375 — — Bonds 28,872,703 29,271,813 — 29,271,813 — — Accrued interest payable 83,679 83,679 — 83,679 — — Derivative liabilities, net 104,808 104,808 — 321,476 — (216,668 ) MRCS 14,184 14,184 14,184 — — — December 31, 2014 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 3,550,939 $ 3,550,939 $ 3,550,939 $ — $ — $ — Interest-bearing deposits 483 483 — 483 — — AFS securities 3,556,165 3,556,165 — 3,155,115 401,050 — HTM securities 6,982,115 7,098,616 — 6,987,768 110,848 — Advances 20,789,667 20,844,701 — 20,844,701 — — Mortgage loans held for portfolio, net 6,820,262 7,120,935 — 7,078,490 42,445 — Accrued interest receivable 82,866 82,866 — 82,866 — — Derivative assets, net 25,487 25,487 — 56,448 — (30,961 ) Grantor trust assets (included in other assets) 12,980 12,980 12,980 — — — Liabilities: Deposits 1,084,042 1,084,042 — 1,084,042 — — Consolidated Obligations: Discount notes 12,567,696 12,570,811 — 12,570,811 — — Bonds 25,503,138 25,882,934 — 25,882,934 — — Accrued interest payable 77,034 77,034 — 77,034 — — Derivative liabilities, net 103,253 103,253 — 333,918 — (230,665 ) MRCS 15,673 15,673 15,673 — — — (1) Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Summary of Valuation Techniques and Significant Inputs. A description of the valuation techniques, significant inputs, and levels of fair value hierarchy is disclosed in Note 19 - Estimated Fair Values in our 2014 Form 10-K. No changes have been made in the current year, except as disclosed below. Mortgage Loans Held for Portfolio . We record non-recurring fair value adjustments to reflect partial charge-offs on impaired mortgage loans. We estimate the fair value of these assets using a current property value obtained from a third-party model with a haircut applied to the modeled values to capture potentially distressed property sales. Estimated Fair Value Measurements. The following tables present by level within the fair value hierarchy the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. We did not have any financial assets or liabilities recorded at estimated fair value on a non-recurring basis on our statement of condition as of December 31, 2014 . Netting September 30, 2015 Total Level 1 Level 2 Level 3 Adjustment (1) AFS securities: GSE and TVA debentures $ 3,129,133 $ — $ 3,129,133 $ — $ — GSE MBS 79,936 — 79,936 — — Private-label RMBS 342,302 — — 342,302 — Total AFS securities 3,551,371 — 3,209,069 342,302 — Derivative assets: Interest-rate related 42,607 — 36,053 — 6,554 MDCs 575 — 575 — — Total derivative assets, net 43,182 — 36,628 — 6,554 Grantor trust assets (included in other assets) 14,241 14,241 — — — Total assets at recurring estimated fair value $ 3,608,794 $ 14,241 $ 3,245,697 $ 342,302 $ 6,554 Derivative liabilities: Interest-rate related $ 103,942 $ — $ 320,610 $ — $ (216,668 ) Interest-rate forwards 865 — 865 — — MDCs 1 — 1 — — Total derivative liabilities, net 104,808 — 321,476 — (216,668 ) Total liabilities at recurring estimated fair value $ 104,808 $ — $ 321,476 $ — $ (216,668 ) Mortgage loans held for portfolio (2) $ 4,593 $ — $ — $ 4,593 $ — Total assets at non-recurring estimated fair value $ 4,593 $ — $ — $ 4,593 $ — December 31, 2014 AFS securities: GSE and TVA debentures $ 3,155,115 $ — $ 3,155,115 $ — $ — Private-label RMBS 401,050 — — 401,050 — Total AFS securities 3,556,165 — 3,155,115 401,050 — Derivative assets: Interest-rate related 24,776 — 55,737 — (30,961 ) MDCs 711 — 711 — — Total derivative assets, net 25,487 — 56,448 — (30,961 ) Grantor trust assets (included in other assets) 12,980 12,980 — — — Total assets at recurring estimated fair value $ 3,594,632 $ 12,980 $ 3,211,563 $ 401,050 $ (30,961 ) Derivative liabilities: Interest-rate related $ 101,616 $ — $ 332,281 $ — $ (230,665 ) Interest-rate forwards 1,631 — 1,631 — — MDCs 6 — 6 — — Total derivative liabilities, net 103,253 — 333,918 — (230,665 ) Total liabilities at recurring estimated fair value $ 103,253 $ — $ 333,918 $ — $ (230,665 ) (1) Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. (2) Amounts are as of the date the fair value adjustment was recorded during the nine months ended September 30, 2015 . Level 3 Disclosures for All Assets and Liabilities that are Measured at Fair Value on a Recurring Basis. The table below presents a rollforward of our AFS private-label RMBS measured at estimated fair value on a recurring basis using Level 3 significant inputs. The estimated fair values for the private-label RMBS were determined using a pricing source, such as a dealer quote or comparable security price, for which the significant unobservable inputs used to determine the price were not readily available. Three Months Ended September 30, Nine Months Ended September 30, Level 3 Rollforward 2015 2014 2015 2014 Balance, beginning of period $ 364,719 $ 442,712 $ 401,050 $ 469,685 Total realized and unrealized gains (losses): Accretion of credit losses in interest income 2,580 872 5,941 1,746 Net gains (losses) on changes in fair value in other income (loss) (29 ) (42 ) (61 ) (270 ) Net change in fair value not in excess of cumulative non-credit losses in OCI (86 ) (46 ) (192 ) (227 ) Unrealized gains (losses) in OCI (2,615 ) 569 (4,146 ) 13,442 Reclassification of non-credit portion in OCI to other income (loss) 29 42 61 270 Purchases, issuances, sales and settlements: Settlements (22,296 ) (25,260 ) (60,351 ) (65,799 ) Balance, end of period $ 342,302 $ 418,847 $ 342,302 $ 418,847 Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period $ 2,550 $ 830 $ 5,879 $ 1,476 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 16 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts. September 30, 2015 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 70,736 $ 202,179 $ 272,915 Unused lines of credit (1) 966,138 — 966,138 Commitments to fund additional advances (2) 39,250 — 39,250 Commitments to fund or purchase mortgage loans (3) 120,905 — 120,905 Unsettled CO bonds, at par (4) 436,000 — 436,000 (1) Maximum line of credit amount per member is $50,000 . (2) Generally for periods up to six months. (3) Generally for periods up to 91 days. (4) Includes $265,000 hedged with associated interest-rate swaps. Pledged Collateral. At September 30, 2015 and December 31, 2014 , we had pledged cash collateral, at par, of $223,359 and $201,267 , respectively, to counterparties and clearing agents. At September 30, 2015 and December 31, 2014 , we had not pledged any securities as collateral. Legal Proceedings. We are subject to legal proceedings arising in the normal course of business. We record an accrual for a loss contingency when it is probable that a loss for which we could be liable has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these proceedings will have a material effect on our financial condition, results of operations or cash flows. In 2010, we filed a complaint asserting claims against several entities for negligent misrepresentation and violations of state and federal securities law occurring in connection with the sale of private-label RMBS to us. In 2013, 2014 and 2015, we executed confidential settlement agreements with certain defendants in this litigation, pursuant to which we have dismissed all pending claims against, and provided legal releases to, certain entities with respect to all applicable securities at issue in the litigation, in consideration of our receipt of cash payments on behalf of those defendants. These payments totaled $0 and $4,732 , net of legal fees and litigation expenses, for the three and nine months ended September 30, 2015 compared with $5,532 and $14,080 for the three and nine months ended September 30, 2014 , respectively, and were recorded in other income. Additional discussion of other commitments and contingencies is provided in Note 6 - Advances ; Note 7 - Mortgage Loans Held for Portfolio ; Note 9 - Derivatives and Hedging Activities ; Note 10 - Consolidated Obligations ; Note 12 - Capital ; and Note 15 - Estimated Fair Values . |
Transactions with Related Parti
Transactions with Related Parties and Other Entities | 9 Months Ended |
Sep. 30, 2015 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties and Other Entities | Note 17 - Transactions with Related Parties and Other Entities For financial reporting purposes, we define related parties as those members, and former members and their affiliates, with capital stock outstanding in excess of 10% of our total outstanding capital stock and MRCS. We had no related parties at September 30, 2015 or December 31, 2014 as no institution had such excess capital stock outstanding on those dates. Flagstar Bank, FSB was a related party at September 30, 2014 . We had net repayments of advances from Flagstar for the three and nine months ended September 30, 2014 of $881,705 and $838,000 , respectively. Transactions with Directors' Financial Institutions. The following table presents the outstanding balances with respect to transactions with directors' financial institutions and their balance as a percent of the total balance on our statement of condition. Capital Stock and MRCS Advances Mortgage Loans Held for Portfolio (1) Date Par value % of Total Par value % of Total UPB % of Total September 30, 2015 $ 34,457 2 % $ 310,530 1 % $ 208,037 3 % December 31, 2014 40,213 3 % 261,146 1 % 167,072 2 % (1) Represents UPB of mortgage loans purchased from directors' financial institutions. The following table presents net advances to (repayments from) directors' financial institutions and mortgage loans purchased from directors' financial institutions, taking into account the beginning and ending dates of the directors' terms and any merger activity. Three Months Ended Nine Months Ended September 30, September 30, Transactions with Directors' Financial Institutions 2015 2014 2015 2014 Net advances (repayments) $ (24,426 ) $ 18,178 $ (27,046 ) $ (6,558 ) Mortgage loans purchased 12,062 14,557 33,186 29,212 Transactions with Other FHLBanks. We did not purchase any participation interests from the FHLBank of Topeka in mortgage loans originated by certain of its members under the MPF Program in 2015, compared with $0 and $11,011 for the three and nine months ended September 30, 2014, respectively. We pay an MPF provider fee to the FHLBank of Chicago for our participation in the MPF program that is recorded in other expenses. For the three and nine months ended September 30, 2015 , we paid $65 and $200 , respectively, compared with $73 and $223 for the three and nine months ended September 30, 2014 , respectively. |
Summary of Significant Accoun26
Summary of Significant Accounting Policies and Change in Accounting Principle (Policies) | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation, Policy | Basis of Presentation. The accompanying interim financial statements of the Federal Home Loan Bank of Indianapolis have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. |
Reclassifications, Policy | Reclassifications. We have reclassified certain amounts from the prior periods to conform to the current period presentation. These reclassifications had no effect on net income, total comprehensive income, total capital, or net cash flows. |
Use of Estimates, Policy | Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant estimates include the determination of other-than-temporary impairment of certain private-label RMBS, the fair values of derivatives and other financial instruments, and the allowance for credit losses. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. |
Summary of Significant Accoun27
Summary of Significant Accounting Policies and Change in Accounting Principle (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Accounting Policies [Abstract] | |
Schedule of New Accounting Pronouncements and Changes in Accounting Principles | The following table presents the impact of the change in amortization and accretion methodology on amounts previously reported in our financial statements as of and for the three and nine months ended September 30, 2014. For the Three Months Ended September 30, 2014 Previous Method New Method Effect of Change Statements of Income: Interest income - mortgage loans held for portfolio $ 58,893 $ 57,075 $ (1,818 ) Net interest income after provision for credit losses 47,384 45,566 (1,818 ) Income before assessments 37,517 35,699 (1,818 ) Affordable Housing Program assessments 3,765 3,583 (182 ) Net income $ 33,752 $ 32,116 $ (1,636 ) Statements of Comprehensive Income: Net income $ 33,752 $ 32,116 $ (1,636 ) Total comprehensive income $ 43,999 $ 42,363 $ (1,636 ) As of and for the Nine Months Ended September 30, 2014 Previous Method New Method Effect of Change Statements of Condition: Mortgage loans held for portfolio, net $ 6,471,714 $ 6,448,824 $ (22,890 ) Total assets 41,038,155 41,015,265 (22,890 ) Affordable Housing Program payable 41,685 41,614 (71 ) Total liabilities 38,455,064 38,454,993 (71 ) Unrestricted retained earnings 694,433 675,028 (19,405 ) Restricted retained earnings 105,548 102,134 (3,414 ) Total retained earnings 799,981 777,162 (22,819 ) Total capital 2,583,091 2,560,272 (22,819 ) Total liabilities and capital $ 41,038,155 $ 41,015,265 $ (22,890 ) Statements of Income: Interest income - mortgage loans held for portfolio $ 173,404 $ 172,691 $ (713 ) Net interest income after provision for credit losses 138,350 137,637 (713 ) Income before assessments 111,823 111,110 (713 ) Affordable Housing Program assessments 11,270 11,199 (71 ) Net income $ 100,553 $ 99,911 $ (642 ) Statements of Comprehensive Income: Net income $ 100,553 $ 99,911 $ (642 ) Total comprehensive income $ 136,257 $ 135,615 $ (642 ) Statements of Capital: Total retained earnings, as of beginning of year $ 751,952 $ 729,775 $ (22,177 ) Total comprehensive income 136,257 135,615 (642 ) Total retained earnings, as of end of period 799,981 777,162 (22,819 ) Total capital $ 2,583,091 $ 2,560,272 $ (22,819 ) Statements of Cash Flows: Operating activities: Net income $ 100,553 $ 99,911 $ (642 ) Adjustments to reconcile net income to net cash provided by operating activities: Amortization and depreciation 14,318 15,031 713 Changes in: Other liabilities 13,883 13,812 (71 ) Total adjustments, net 86,967 87,609 642 Net cash provided by operating activities $ 187,520 $ 187,520 $ — |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Available-for-sale Securities [Line Items] | |
Available-for-Sale (AFS) Securities by Major Security Type | The following table presents information on our AFS securities by type of security. Gross Gross Amortized Non-Credit Unrealized Unrealized Estimated September 30, 2015 Cost (1) OTTI Gains Losses Fair Value GSE and TVA debentures $ 3,126,782 $ — $ 6,011 $ (3,660 ) $ 3,129,133 GSE MBS 80,893 — — (957 ) 79,936 Private-label RMBS 308,407 (258 ) 34,153 — 342,302 Total AFS securities $ 3,516,082 $ (258 ) $ 40,164 $ (4,617 ) $ 3,551,371 December 31, 2014 GSE and TVA debentures $ 3,139,037 $ — $ 17,430 $ (1,352 ) $ 3,155,115 Private-label RMBS 362,878 (127 ) 38,299 — 401,050 Total AFS securities $ 3,501,915 $ (127 ) $ 55,729 $ (1,352 ) $ 3,556,165 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses) and fair-value hedge accounting adjustments. |
Available-for-sale Securities | |
Available-for-sale Securities [Line Items] | |
AFS Securities in a Continuous Unrealized Loss Position | The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized September 30, 2015 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 342,303 $ (2,337 ) $ 108,355 $ (1,323 ) $ 450,658 $ (3,660 ) GSE MBS 79,936 (957 ) — — 79,936 (957 ) Private-label RMBS — — 4,696 (258 ) 4,696 (258 ) Total impaired AFS securities $ 422,239 $ (3,294 ) $ 113,051 $ (1,581 ) $ 535,290 $ (4,875 ) December 31, 2014 GSE and TVA debentures $ 264,959 $ (1,352 ) $ — $ — $ 264,959 $ (1,352 ) Private-label RMBS — — 5,656 (127 ) 5,656 (127 ) Total impaired AFS securities $ 264,959 $ (1,352 ) $ 5,656 $ (127 ) $ 270,615 $ (1,479 ) |
AFS Securities by Contractual Maturity | The amortized cost and estimated fair value of non-MBS AFS securities by contractual maturity are presented below. MBS are not presented by contractual maturity because their actual maturities will likely differ from contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. September 30, 2015 December 31, 2014 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in one year or less $ 621,667 $ 622,754 $ — $ — Due after one year through five years 1,904,018 1,907,238 2,484,379 2,497,034 Due after five years through ten years 601,097 599,141 654,658 658,081 Total non-MBS 3,126,782 3,129,133 3,139,037 3,155,115 Total MBS 389,300 422,238 362,878 401,050 Total AFS securities $ 3,516,082 $ 3,551,371 $ 3,501,915 $ 3,556,165 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities by Major Security Type | The following table presents information on our HTM securities by type of security. Gross Gross Unrecognized Unrecognized Amortized Non-Credit Carrying Holding Holding Estimated September 30, 2015 Cost (1) OTTI Value Gains Losses Fair Value GSE debentures $ 100,000 $ — $ 100,000 $ 46 $ — $ 100,046 MBS and ABS: Other U.S. obligations -guaranteed MBS 2,862,269 — 2,862,269 23,175 (3,854 ) 2,881,590 GSE MBS 3,089,944 — 3,089,944 91,823 (864 ) 3,180,903 Private-label RMBS 78,812 — 78,812 284 (813 ) 78,283 Manufactured housing loan ABS 10,026 — 10,026 — (1,029 ) 8,997 Home equity loan ABS 1,504 (142 ) 1,362 67 (49 ) 1,380 Total MBS and ABS 6,042,555 (142 ) 6,042,413 115,349 (6,609 ) 6,151,153 Total HTM securities $ 6,142,555 $ (142 ) $ 6,142,413 $ 115,395 $ (6,609 ) $ 6,251,199 December 31, 2014 GSE debentures $ 269,000 $ — $ 269,000 $ 199 $ — $ 269,199 MBS and ABS: Other U.S. obligations -guaranteed MBS 3,032,494 — 3,032,494 30,598 (5,959 ) 3,057,133 GSE MBS 3,567,958 — 3,567,958 93,583 (104 ) 3,661,437 Private-label RMBS 99,879 — 99,879 360 (1,049 ) 99,190 Manufactured housing loan ABS 11,243 — 11,243 — (1,164 ) 10,079 Home equity loan ABS 1,716 (175 ) 1,541 114 (77 ) 1,578 Total MBS and ABS 6,713,290 (175 ) 6,713,115 124,655 (8,353 ) 6,829,417 Total HTM securities $ 6,982,290 $ (175 ) $ 6,982,115 $ 124,854 $ (8,353 ) $ 7,098,616 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses). |
HTM Securities | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities in a Continuous Unrealized Loss Position | The following table presents impaired HTM securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. None of our non-MBS were in an unrealized loss position at September 30, 2015 or December 31, 2014 . Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized September 30, 2015 Fair Value Losses Fair Value Losses Fair Value Losses (1) MBS and ABS: Other U.S. obligations - guaranteed MBS $ 468,001 $ (579 ) $ 624,370 $ (3,275 ) $ 1,092,371 $ (3,854 ) GSE MBS 467,300 (864 ) — — 467,300 (864 ) Private-label RMBS 5,305 (9 ) 27,542 (804 ) 32,847 (813 ) Manufactured housing loan ABS — — 8,997 (1,029 ) 8,997 (1,029 ) Home equity loan ABS — — 1,379 (124 ) 1,379 (124 ) Total MBS and ABS 940,606 (1,452 ) 662,288 (5,232 ) 1,602,894 (6,684 ) Total impaired HTM securities $ 940,606 $ (1,452 ) $ 662,288 $ (5,232 ) $ 1,602,894 $ (6,684 ) December 31, 2014 MBS and ABS: Other U.S. obligations - guaranteed MBS $ 528,242 $ (1,254 ) $ 702,768 $ (4,705 ) $ 1,231,010 $ (5,959 ) GSE MBS 31,554 (8 ) 26,013 (96 ) 57,567 (104 ) Private-label RMBS 3,274 (3 ) 41,050 (1,046 ) 44,324 (1,049 ) Manufactured housing loan ABS — — 10,080 (1,164 ) 10,080 (1,164 ) Home equity loan ABS — — 1,579 (138 ) 1,579 (138 ) Total MBS and ABS 563,070 (1,265 ) 781,490 (7,149 ) 1,344,560 (8,414 ) Total impaired HTM securities $ 563,070 $ (1,265 ) $ 781,490 $ (7,149 ) $ 1,344,560 $ (8,414 ) (1) For home equity loan ABS, total unrealized losses do not agree to total gross unrecognized holding losses at September 30, 2015 and December 31, 2014 of $(49) and $(77) , respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $(142) and $(175) , respectively, and gross unrecognized holding gains on previously OTTI securities of $67 and $114 , respectively. |
HTM Securities by Contractual Maturity | The amortized cost, carrying value and estimated fair value of non-MBS HTM securities by contractual maturity are presented below. MBS and ABS are not presented by contractual maturity because their actual maturities will likely differ from contractual maturities as certain borrowers have the right to prepay their obligations with or without prepayment fees. September 30, 2015 December 31, 2014 Amortized Carrying Estimated Amortized Carrying Estimated Year of Contractual Maturity Cost (1) Value (2) Fair Value Cost (1) Value (2) Fair Value Non-MBS: Due in one year or less $ 100,000 $ 100,000 $ 100,046 $ 169,000 $ 169,000 $ 169,099 Due after one year through five years — — — 100,000 100,000 100,100 Total non-MBS 100,000 100,000 100,046 269,000 269,000 269,199 Total MBS and ABS 6,042,555 6,042,413 6,151,153 6,713,290 6,713,115 6,829,417 Total HTM securities $ 6,142,555 $ 6,142,413 $ 6,251,199 $ 6,982,290 $ 6,982,115 $ 7,098,616 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses). (2) Represents amortized cost after adjustment for non-credit OTTI recognized in AOCI. |
Other-Than-Temporary Impairme30
Other-Than-Temporary Impairment (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Other Than Temporary Impairments Analysis [Abstract] | |
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings [Table Text Block] | Significant Modeling Assumptions for OTTI private-label RMBS for the three months ended September 30, 2015 Year of Securitization Prepayment Rates (1) Default Rates (1) Loss Severities (1) Current Credit Enhancement (1) Prime - 2006 14 % 17 % 37 % 0 % (1) Weighted average based on UPB. |
Rollforward of the Amounts Related to Credit Losses Recognized into Earnings | The following table presents a rollforward of the amounts related to credit losses recognized in earnings. The rollforward excludes accretion of credit losses for securities that have not experienced a significant increase in cash flows. Three Months Ended Nine Months Ended September 30, September 30, Credit Loss Rollforward 2015 2014 2015 2014 Balance at beginning of period $ 66,049 $ 71,584 $ 69,626 $ 72,287 Additions: Additional credit losses for which OTTI was previously recognized (1) 29 42 61 270 Reductions: Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (2,636 ) (938 ) (6,245 ) (1,869 ) Balance at end of period $ 63,442 $ 70,688 $ 63,442 $ 70,688 (1) For the three and nine months ended September 30, 2015 and 2014 , the amount relates to one security originally impaired prior to January 1, 2014 . |
Total Securities Other-than-Temporarily Impaired during the Life of the Security | The following table presents the September 30, 2015 classification and balances of OTTI securities impaired prior to that date (i.e., life-to-date) but not necessarily as of that date. Securities are classified based on the originator's classification at the time of origination or based on the classification by the NRSROs upon issuance. Because there is no universally accepted definition of prime, Alt-A or subprime underwriting standards, such classifications are subjective. September 30, 2015 HTM Securities AFS Securities OTTI Life-to-Date UPB Amortized Cost Carrying Value Estimated Fair Value UPB Amortized Cost Estimated Fair Value Private-label RMBS - prime $ — $ — $ — $ — $ 364,387 $ 308,407 $ 342,302 Home equity loan ABS - subprime 679 650 509 575 — — — Total $ 679 $ 650 $ 509 $ 575 $ 364,387 $ 308,407 $ 342,302 |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | We had advances outstanding, as presented below by year of contractual maturity, with current interest rates ranging from 0% to 7.53% . September 30, 2015 December 31, 2014 Year of Contractual Maturity Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 2,338 2.49 $ — — Due in 1 year or less 9,623,731 0.78 7,406,652 0.83 Due after 1 year through 2 years 2,618,739 1.26 2,529,649 1.28 Due after 2 years through 3 years 2,754,766 1.88 2,331,427 1.57 Due after 3 years through 4 years 1,431,261 2.10 2,047,262 2.05 Due after 4 years through 5 years 2,565,347 1.47 1,571,567 2.51 Thereafter 5,103,973 1.36 4,743,645 1.31 Total advances, par value 24,100,155 1.23 20,630,202 1.33 Fair-value hedging adjustments 162,787 117,118 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 34,255 42,347 Total advances $ 24,297,197 $ 20,789,667 |
Advances by Year of Contractual Maturity, Next Call Date, or Next Put or Convert Date | The following table presents advances by the earlier of the year of contractual maturity or the next call date and next put date. Year of Contractual Maturity or Next Call Date Year of Contractual Maturity or Next Put Date September 30, December 31, September 30, December 31, Overdrawn demand and overnight deposit accounts $ 2,338 $ — $ 2,338 $ — Due in 1 year or less 14,723,511 11,293,767 9,909,731 7,574,152 Due after 1 year through 2 years 2,370,989 2,533,649 2,556,239 2,499,649 Due after 2 years through 3 years 2,503,601 2,208,677 2,698,766 2,233,927 Due after 3 years through 4 years 1,366,261 1,847,262 1,416,261 2,012,262 Due after 4 years through 5 years 1,595,347 1,506,567 2,562,347 1,566,567 Thereafter 1,538,108 1,240,280 4,954,473 4,743,645 Total advances, par value $ 24,100,155 $ 20,630,202 $ 24,100,155 $ 20,630,202 |
Mortgage Loans Held for Portf32
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio by Term | The following tables present information on mortgage loans held for portfolio by term and by type. September 30, 2015 Term MPP MPF Total Fixed-rate long-term mortgages $ 6,354,895 $ 385,869 $ 6,740,764 Fixed-rate medium-term (1) mortgages 1,113,636 69,357 1,182,993 Total mortgage loans held for portfolio, UPB 7,468,531 455,226 7,923,757 Unamortized premiums 151,697 7,583 159,280 Unamortized discounts (1,676 ) (270 ) (1,946 ) Fair-value hedging adjustments 4,603 (431 ) 4,172 Allowance for loan losses (1,000 ) (125 ) (1,125 ) Total mortgage loans held for portfolio, net $ 7,622,155 $ 461,983 $ 8,084,138 December 31, 2014 Term MPP MPF Total Fixed-rate long-term mortgages $ 5,233,682 $ 428,758 $ 5,662,440 Fixed-rate medium-term (1) mortgages 963,083 78,919 1,042,002 Total mortgage loans held for portfolio, UPB 6,196,765 507,677 6,704,442 Unamortized premiums 107,876 8,726 116,602 Unamortized discounts (1,874 ) (302 ) (2,176 ) Fair-value hedging adjustments 4,369 (475 ) 3,894 Allowance for loan losses (2,250 ) (250 ) (2,500 ) Total mortgage loans held for portfolio, net $ 6,304,886 $ 515,376 $ 6,820,262 (1) Defined as a term of 15 years or less at origination. |
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type | September 30, 2015 Type MPP MPF Total Conventional $ 6,922,076 $ 364,263 $ 7,286,339 Government 546,455 90,963 637,418 Total mortgage loans held for portfolio, UPB $ 7,468,531 $ 455,226 $ 7,923,757 December 31, 2014 Type MPP MPF Total Conventional $ 5,562,460 $ 406,469 $ 5,968,929 Government 634,305 101,208 735,513 Total mortgage loans held for portfolio, UPB $ 6,196,765 $ 507,677 $ 6,704,442 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Allowance for Credit Losses [Abstract] | |
Changes in Lender Risk Account | The following table presents the actual activity in the LRA. Three Months Ended September 30, Nine Months Ended September 30, LRA Activity 2015 2014 2015 2014 Balance of LRA, beginning of period $ 82,624 $ 49,918 $ 61,949 $ 45,330 Additions 5,721 5,807 27,229 11,917 Claims paid (393 ) (411 ) (940 ) (1,664 ) Distributions (66 ) (93 ) (352 ) (362 ) Balance of LRA, end of period $ 87,886 $ 55,221 $ 87,886 $ 55,221 |
Impact of MPP Risk Sharing Structure on Allowance for Credit Losses | The following table presents the estimated impact of credit enhancements on the allowance. MPP Credit Waterfall September 30, 2015 December 31, 2014 Estimated losses remaining after borrower's equity, before credit enhancements $ 7,695 $ 25,232 Portion of estimated losses recoverable from PMI (1,764 ) (3,301 ) Portion of estimated losses recoverable from LRA (1) (1,154 ) (5,334 ) Portion of estimated losses recoverable from SMI (3,865 ) (14,587 ) Allowance for unrecoverable PMI/SMI 88 240 Allowance for MPP loan losses $ 1,000 $ 2,250 (1) Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the LRA is available to cover any losses not yet incurred and to distribute any excess funds to members. |
Rollforward of Allowance for Credit Losses on Mortgage Loans | The tables below present a rollforward of our allowance for loan losses, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology. MPP MPF Rollforward of Allowance Conventional Conventional Total Allowance for loan losses, June 30, 2015 $ 1,200 $ 150 $ 1,350 Charge-offs, net of recoveries (44 ) (1 ) (45 ) Provision for (reversal of) loan losses (156 ) (24 ) (180 ) Allowance for loan losses, September 30, 2015 $ 1,000 $ 125 $ 1,125 Allowance for loan losses, June 30, 2014 $ 3,000 $ 250 $ 3,250 Charge-offs, net of recoveries (124 ) — (124 ) Provision for (reversal of) loan losses (126 ) — (126 ) Allowance for loan losses, September 30, 2014 $ 2,750 $ 250 $ 3,000 Allowance for loan losses, December 31, 2014 $ 2,250 $ 250 $ 2,500 Charge-offs, net of recoveries (804 ) (3 ) (807 ) Provision for (reversal of) loan losses (446 ) (122 ) (568 ) Allowance for loan losses, September 30, 2015 $ 1,000 $ 125 $ 1,125 Allowance for loan losses, December 31, 2013 $ 4,000 $ 500 $ 4,500 Charge-offs, net of recoveries (575 ) (9 ) (584 ) Provision for (reversal of) loan losses (675 ) (241 ) (916 ) Allowance for loan losses, September 30, 2014 $ 2,750 $ 250 $ 3,000 |
Allowance for Credit Losses and Recorded Investment by Impairment Methodology | Allowance for Loan Losses, September 30, 2015 Loans collectively evaluated for impairment $ 907 $ 125 $ 1,032 Loans individually evaluated for impairment (1) 93 — 93 Total allowance for loan losses $ 1,000 $ 125 $ 1,125 Allowance for Loan Losses, December 31, 2014 Loans collectively evaluated for impairment $ 1,776 $ 250 $ 2,026 Loans individually evaluated for impairment (1) 474 — 474 Total allowance for loan losses $ 2,250 $ 250 $ 2,500 Recorded Investment, September 30, 2015 Loans collectively evaluated for impairment $ 7,080,407 $ 371,976 $ 7,452,383 Loans individually evaluated for impairment (1) 17,852 — 17,852 Total recorded investment $ 7,098,259 $ 371,976 $ 7,470,235 Recorded Investment, December 31, 2014 Loans collectively evaluated for impairment $ 5,667,524 $ 415,569 $ 6,083,093 Loans individually evaluated for impairment (1) 19,889 — 19,889 Total recorded investment $ 5,687,413 $ 415,569 $ 6,102,982 (1) The recorded investment in our MPP conventional loans individually evaluated for impairment excludes principal previously paid in full by the servicers as of September 30, 2015 and December 31, 2014 of $3,889 and $5,519 , respectively, that remains subject to potential claims by those servicers for any losses resulting from past or future liquidations of the underlying properties. However, the MPP allowance for loan losses as of September 30, 2015 and December 31, 2014 includes $47 and $153 , respectively, for these potential claims. |
Recorded Investment in Delinquent Mortgage Loans | The tables below present our key credit quality indicators for mortgage loans held for portfolio. Mortgage Loans Held for Portfolio September 30, 2015 MPP MPF Conventional FHA Conventional Government Total Past due 30-59 days $ 39,457 $ 17,500 $ 851 $ 1,570 $ 59,378 Past due 60-89 days 11,152 4,181 196 577 16,106 Past due 90 days or more 37,083 2,308 1 650 40,042 Total past due 87,692 23,989 1,048 2,797 115,526 Total current 7,010,567 532,185 370,928 89,567 8,003,247 Total mortgage loans, recorded investment 7,098,259 556,174 371,976 92,364 8,118,773 Net unamortized premiums (142,358 ) (7,663 ) (6,390 ) (923 ) (157,334 ) Fair-value hedging adjustments (4,581 ) (22 ) 372 59 (4,172 ) Accrued interest receivable (29,244 ) (2,034 ) (1,695 ) (537 ) (33,510 ) Total mortgage loans held for portfolio, UPB $ 6,922,076 $ 546,455 $ 364,263 $ 90,963 $ 7,923,757 Other Delinquency Statistics September 30, 2015 In process of foreclosure (1) $ 23,353 $ — $ — $ — $ 23,353 Serious delinquency rate (2) 0.52 % 0.42 % — % 0.70 % 0.49 % Past due 90 days or more still accruing interest (3) $ 30,043 $ 2,308 $ — $ 650 $ 33,001 On non-accrual status 8,050 — 170 — 8,220 Mortgage Loans Held for Portfolio December 31, 2014 MPP MPF Conventional FHA Conventional Government Total Past due 30-59 days $ 59,365 $ 25,954 $ 1,011 $ 1,287 $ 87,617 Past due 60-89 days 14,879 6,010 252 657 21,798 Past due 90 days or more 49,128 3,636 1 483 53,248 Total past due 123,372 35,600 1,264 2,427 162,663 Total current 5,564,041 609,711 414,305 100,184 6,688,241 Total mortgage loans, recorded investment 5,687,413 645,311 415,569 102,611 6,850,904 Net unamortized premiums (97,411 ) (8,591 ) (7,400 ) (1,024 ) (114,426 ) Fair-value hedging adjustments (4,323 ) (45 ) 417 57 (3,894 ) Accrued interest receivable (23,219 ) (2,370 ) (2,117 ) (436 ) (28,142 ) Total mortgage loans held for portfolio, UPB $ 5,562,460 $ 634,305 $ 406,469 $ 101,208 $ 6,704,442 Other Delinquency Statistics December 31, 2014 In process of foreclosure (1) $ 32,369 $ — $ — $ — $ 32,369 Serious delinquency rate (2) 0.86 % 0.56 % — % 0.47 % 0.78 % Past due 90 days or more still accruing interest (3) $ 46,341 $ 3,636 $ — $ 483 $ 50,460 On non-accrual status 7,207 — 1 — 7,208 (1) Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status. (2) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total recorded investment in mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Many government loans, including FHA loans, are repurchased by the servicers when they reach 90 days or more delinquent status, similar to the rules for servicers of Ginnie Mae MBS, resulting in the lower serious delinquency rate for government loans. (3) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the mortgagor's payment status, we do not consider these loans to be non-accrual. |
Individually Evaluated Impaired Loan Statistics by Product Class Level | The first table presents the recorded investment, UPB and related allowance associated with these loans, while the next table presents the average recorded investment of individually impaired loans and related interest income recognized. September 30, 2015 December 31, 2014 Individually Evaluated Impaired Loans Recorded Investment UPB Related Allowance for Loan Losses Recorded Investment UPB Related Allowance for Loan Losses MPP conventional loans without allowance for loan losses (1) $ 16,974 $ 16,906 $ — $ 13,744 $ 13,647 $ — MPP conventional loans with allowance for loan losses 878 867 46 6,145 6,099 321 Total $ 17,852 $ 17,773 $ 46 $ 19,889 $ 19,746 $ 321 (1) No allowance for loan losses was recorded on these impaired loans after consideration of the underlying loan-specific attribute data, estimated liquidation value of real estate collateral held, estimated costs associated with maintaining and disposing of the collateral, and credit enhancements. |
Average Recorded Investment and Interest Income on Impaired Loans | Three Months Ended Three Months Ended September 30, 2015 September 30, 2014 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 17,724 $ 216 $ 18,843 $ 267 MPP conventional loans with allowance for loan losses 880 13 725 10 Total $ 18,604 $ 229 $ 19,568 $ 277 Nine Months Ended Nine Months Ended September 30, 2015 September 30, 2014 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 18,347 $ 671 $ 18,389 $ 798 MPP conventional loans with allowance for loan losses 883 92 728 40 Total $ 19,230 $ 763 $ 19,117 $ 838 |
Performing and Non-performing Troubled Debt Restructurings | The table below presents the recorded investment of the performing and non-performing TDRs. Non-performing represents loans on non-accrual status only. September 30, 2015 December 31, 2014 Recorded Investment Performing Non-Performing Total Performing Non-Performing Total MPP conventional loans $ 15,815 $ 2,037 $ 17,852 $ 13,744 $ 6,145 $ 19,889 |
Derivative and Hedging Activi34
Derivative and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | The following table presents the notional amount and estimated fair value of derivative instruments, including the effect of netting adjustments, cash collateral, and the related accrued interest. Notional Estimated Fair Value Estimated Fair Value Amount of of Derivative of Derivative September 30, 2015 Derivatives Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 27,788,833 $ 35,916 $ 320,356 Total derivatives designated as hedging instruments 27,788,833 35,916 320,356 Derivatives not designated as hedging instruments: Interest-rate swaps 141,417 20 254 Interest-rate caps/floors 340,500 117 — Interest-rate forwards 122,800 — 865 MDCs 120,905 575 1 Total derivatives not designated as hedging instruments 725,622 712 1,120 Total derivatives before adjustments $ 28,514,455 36,628 321,476 Netting adjustments and cash collateral (1) 6,554 (216,668 ) Total derivatives, net $ 43,182 $ 104,808 December 31, 2014 Derivatives designated as hedging instruments: Interest-rate swaps $ 27,527,697 $ 55,095 $ 331,546 Total derivatives designated as hedging instruments 27,527,697 55,095 331,546 Derivatives not designated as hedging instruments: Interest-rate swaps 1,476,365 330 735 Interest-rate caps/floors 340,500 312 — Interest-rate forwards 252,100 — 1,631 MDCs 252,418 711 6 Total derivatives not designated as hedging instruments 2,321,383 1,353 2,372 Total derivatives before adjustments $ 29,849,080 56,448 333,918 Netting adjustments and cash collateral (1) (30,961 ) (230,665 ) Total derivatives, net $ 25,487 $ 103,253 (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at September 30, 2015 and December 31, 2014 was $223,372 and $201,284 , respectively. Cash collateral received from counterparties at September 30, 2015 and December 31, 2014 was $150 and $1,580 , respectively. |
Offsetting of Derivative Assets and Derivative Liabilities | The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the related collateral received from or pledged to counterparties. September 30, 2015 December 31, 2014 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Bilateral $ 18,614 $ 247,777 $ 48,532 $ 308,041 Cleared 17,439 72,833 7,205 24,240 Total gross recognized amount 36,053 320,610 55,737 332,281 Gross amounts of netting adjustments and cash collateral Bilateral (18,593 ) (143,835 ) (48,389 ) (206,425 ) Cleared 25,147 (72,833 ) 17,428 (24,240 ) Total gross amounts of netting adjustments and cash collateral 6,554 (216,668 ) (30,961 ) (230,665 ) Net amounts after netting adjustments and cash collateral Bilateral 21 103,942 143 101,616 Cleared 42,586 — 24,633 — Total net amounts after netting adjustments and cash collateral 42,607 103,942 24,776 101,616 Derivative instruments not meeting netting requirements (1) 575 866 711 1,637 Total derivatives, at estimated fair value $ 43,182 $ 104,808 $ 25,487 $ 103,253 (1) Includes MDCs and certain interest-rate forwards. |
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 reported in other income (loss). Three Months Ended September 30, Nine Months Ended September 30, Type of Hedge 2015 2014 2015 2014 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ 38 $ 233 $ 6,479 $ (3,286 ) Total net gain (loss) related to fair-value hedge ineffectiveness 38 233 6,479 (3,286 ) Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps (344 ) (1,868 ) 521 3,903 Interest-rate caps/floors (42 ) (158 ) (193 ) (1,033 ) Interest-rate forwards (2,434 ) (365 ) (3,782 ) (3,790 ) Net interest settlements 103 2,955 595 8,395 MDCs 2,020 (120 ) 1,104 2,594 Total net gain (loss) on derivatives not designated as hedging instruments (697 ) 444 (1,755 ) 10,069 Net gains (losses) on derivatives and hedging activities $ (659 ) $ 677 $ 4,724 $ 6,783 |
Effect of Fair Value Hedge-Related Derivative Instruments | 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 effect of those derivatives on net interest income. Gain (Loss) Gain (Loss) Net Fair- Effect on on on Hedged Value Hedge Net Interest Three Months Ended September 30, 2015 Derivative Item Ineffectiveness Income (1) Advances $ (73,324 ) $ 72,760 $ (564 ) $ (39,511 ) AFS securities (19,310 ) 19,056 (254 ) (24,419 ) CO bonds 14,118 (13,262 ) 856 14,487 Total $ (78,516 ) $ 78,554 $ 38 $ (49,443 ) Three Months Ended September 30, 2014 Advances $ 45,658 $ (45,938 ) $ (280 ) $ (38,558 ) AFS securities 29,428 (29,991 ) (563 ) (24,487 ) CO bonds (13,614 ) 14,690 1,076 16,447 Total $ 61,472 $ (61,239 ) $ 233 $ (46,598 ) Nine Months Ended September 30, 2015 Advances $ (62,544 ) $ 64,252 $ 1,708 $ (118,180 ) AFS securities 1,531 (2,772 ) (1,241 ) (73,151 ) CO Bonds 24,355 (18,343 ) 6,012 45,728 Total $ (36,658 ) $ 43,137 $ 6,479 $ (145,603 ) Nine Months Ended September 30, 2014 Advances $ 24,525 $ (24,358 ) $ 167 $ (111,842 ) AFS securities 21,569 (22,010 ) (441 ) (73,508 ) CO Bonds 40,374 (43,386 ) (3,012 ) 54,634 Total $ 86,468 $ (89,754 ) $ (3,286 ) $ (130,716 ) (1) Includes the effect of derivatives in fair-value hedging relationships on net interest income that is recorded in the interest income/expense line item of the respective hedged items. Excludes the interest income/expense of the respective hedged items, which fully offset the interest income/expense of the derivatives, except to the extent of any hedge ineffectiveness. Net interest settlements on derivatives that are not in fair-value hedging relationships are reported in other income (loss). These amounts do not include the effect of amortization/accretion related to fair value hedging activities. |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Debt Disclosure [Abstract] | |
Discount Notes | The following table presents our participation in discount notes outstanding, all of which are due within one year of issuance. Discount Notes September 30, December 31, Book value $ 14,425,407 $ 12,567,696 Par value 14,432,375 12,570,811 Weighted average effective interest rate 0.19 % 0.12 % |
CO Bonds by Year of Contractual Maturity | The following table presents our participation in CO bonds outstanding by contractual maturity. September 30, 2015 December 31, 2014 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 14,409,185 0.41 $ 11,695,550 0.33 Due after 1 year through 2 years 4,132,010 0.93 2,018,510 1.49 Due after 2 years through 3 years 1,950,420 1.98 2,158,950 1.76 Due after 3 years through 4 years 1,037,100 2.53 1,934,100 1.49 Due after 4 years through 5 years 1,722,175 3.06 999,700 2.51 Thereafter 5,591,500 3.18 6,692,000 3.11 Total CO bonds, par value 28,842,390 1.36 25,498,810 1.44 Unamortized premiums 28,882 27,138 Unamortized discounts (13,713 ) (14,913 ) Fair-value hedging adjustments 15,144 (7,897 ) Total CO bonds $ 28,872,703 $ 25,503,138 |
CO Bonds by Redemption Feature | The following tables present our participation in CO bonds outstanding by redemption feature and contractual maturity or next call date. Redemption Feature September 30, December 31, Non-callable / non-putable $ 22,084,390 $ 17,253,810 Callable 6,758,000 8,245,000 Total CO bonds, par value $ 28,842,390 $ 25,498,810 |
CO Bonds by Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Call Date Due in 1 year or less $ 21,167,185 $ 19,918,550 Due after 1 year through 2 years 3,365,010 1,651,510 Due after 2 years through 3 years 1,164,420 883,950 Due after 3 years through 4 years 727,100 461,100 Due after 4 years through 5 years 1,264,175 543,700 Thereafter 1,154,500 2,040,000 Total CO bonds, par value $ 28,842,390 $ 25,498,810 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Affordable Housing Program [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation | The following table summarizes the activity in our AHP funding obligation. Three Months Ended September 30, Nine Months Ended September 30, AHP Activity 2015 2014 2015 2014 Balance at beginning of period $ 35,120 $ 43,462 $ 36,899 $ 42,778 Assessment (expense) 3,121 3,583 10,338 11,199 Subsidy usage, net (1) (5,258 ) (5,431 ) (14,254 ) (12,363 ) Balance at end of period $ 32,983 $ 41,614 $ 32,983 $ 41,614 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As presented in the following table, we were in compliance with the Finance Agency's capital requirements at September 30, 2015 and December 31, 2014 . For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital. September 30, 2015 December 31, 2014 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 492,930 $ 2,289,154 $ 566,683 $ 2,344,283 Regulatory permanent capital-to-asset ratio 4.00 % 4.90 % 4.00 % 5.60 % Regulatory permanent capital $ 1,869,430 $ 2,289,154 $ 1,674,121 $ 2,344,283 Leverage ratio 5.00 % 7.35 % 5.00 % 8.40 % Leverage capital $ 2,336,788 $ 3,433,731 $ 2,092,652 $ 3,516,425 |
MRCS Activity | The following tables present the activity in MRCS and distributions on MRCS. Three Months Ended September 30, Nine Months Ended September 30, MRCS Activity 2015 2014 2015 2014 Liability at beginning of period $ 14,341 $ 16,785 $ 15,673 $ 16,787 Reclassification from capital stock due to change in membership status — 47 — 47 Redemptions/repurchases (157 ) (695 ) (1,489 ) (697 ) Liability at end of period $ 14,184 $ 16,137 $ 14,184 $ 16,137 |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | Three Months Ended September 30, Nine Months Ended September 30, MRCS Distributions 2015 2014 2015 2014 Recorded as interest expense $ 135 $ 129 $ 391 $ 874 Recorded as distributions from retained earnings — — — — Total $ 135 $ 129 $ 391 $ 874 |
Accumulated Other Comprehensi38
Accumulated Other Comprehensive Income (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Abstract] | |
Schedule of Changes in the Components of AOCI | The following table presents a summary of the changes in the components of AOCI for the three and nine months ended September 30, 2014 and 2015 . AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Non-Credit OTTI on AFS Securities Non-Credit OTTI on HTM Securities Pension Benefits Total AOCI Balance, June 30, 2014 $ 12,894 $ 38,856 $ (209 ) $ (4,364 ) $ 47,177 OCI before reclassifications: Net change in unrealized gains (losses) 9,696 569 — — 10,265 Net change in fair value — (46 ) — — (46 ) Accretion of non-credit losses — — 22 — 22 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 42 — — 42 Pension benefits, net — — — (36 ) (36 ) Total other comprehensive income (loss) 9,696 565 22 (36 ) 10,247 Balance, September 30, 2014 $ 22,590 $ 39,421 $ (187 ) $ (4,400 ) $ 57,424 Balance, June 30, 2015 $ 14,674 $ 36,567 $ (151 ) $ (8,242 ) $ 42,848 OCI before reclassifications: Net change in unrealized gains (losses) (13,280 ) (2,615 ) — — (15,895 ) Net change in fair value — (86 ) — — (86 ) Accretion of non-credit loss — — 9 — 9 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 29 — — 29 Pension benefits, net — — — (413 ) (413 ) Total other comprehensive income (loss) (13,280 ) (2,672 ) 9 (413 ) (16,356 ) Balance, September 30, 2015 $ 1,394 $ 33,895 $ (142 ) $ (8,655 ) $ 26,492 AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Non-Credit OTTI on AFS Securities Non-Credit OTTI on HTM Securities Pension Benefits Total AOCI Balance, December 31, 2013 $ 317 $ 25,936 $ (241 ) $ (4,292 ) $ 21,720 OCI before reclassifications: Net change in unrealized gains (losses) 22,273 13,442 — — 35,715 Net change in fair value — (227 ) — — (227 ) Accretion of non-credit loss — — 54 — 54 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 270 — — 270 Pension benefits, net — — — (108 ) (108 ) Total other comprehensive income (loss) 22,273 13,485 54 (108 ) 35,704 Balance, September 30, 2014 $ 22,590 $ 39,421 $ (187 ) $ (4,400 ) $ 57,424 Balance, December 31, 2014 $ 16,078 $ 38,172 $ (175 ) $ (7,415 ) $ 46,660 OCI before reclassifications: Net change in unrealized gains (losses) (14,684 ) (4,146 ) — — (18,830 ) Net change in fair value — (192 ) — — (192 ) Accretion of non-credit loss — — 33 — 33 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 61 — — 61 Pension benefits, net — — — (1,240 ) (1,240 ) Total other comprehensive income (loss) (14,684 ) (4,277 ) 33 (1,240 ) (20,168 ) Balance, September 30, 2015 $ 1,394 $ 33,895 $ (142 ) $ (8,655 ) $ 26,492 |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Three Months Ended September 30, 2015 Three Months Ended September 30, 2014 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 30,844 $ 17,260 $ 48,104 $ 30,128 $ 15,312 $ 45,440 Provision for (reversal of) credit losses — (180 ) (180 ) — (126 ) (126 ) Other income (loss) 425 (387 ) 38 7,266 (446 ) 6,820 Other expenses 15,269 1,971 17,240 14,565 2,122 16,687 Income before assessments 16,000 15,082 31,082 22,829 12,870 35,699 Affordable Housing Program assessments 1,612 1,509 3,121 2,296 1,287 3,583 Net income $ 14,388 $ 13,573 $ 27,961 $ 20,533 $ 11,583 $ 32,116 Nine Months Ended September 30, 2015 Nine Months Ended September 30, 2014 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 93,511 $ 50,630 $ 144,141 $ 89,080 $ 47,641 $ 136,721 Provision for (reversal of) credit losses — (568 ) (568 ) — (916 ) (916 ) Other income (loss) 14,089 (2,534 ) 11,555 23,732 (1,065 ) 22,667 Other expenses 45,941 7,330 53,271 42,808 6,386 49,194 Income before assessments 61,659 41,334 102,993 70,004 41,106 111,110 Affordable Housing Program assessments 6,204 4,134 10,338 7,088 4,111 11,199 Net income $ 55,455 $ 37,200 $ 92,655 $ 62,916 $ 36,995 $ 99,911 |
Schedule of Segment Assets by Segment | The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total September 30, 2015 $ 38,651,617 $ 8,084,138 $ 46,735,755 December 31, 2014 35,032,770 6,820,262 41,853,032 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | The following tables present the carrying value and estimated fair value of each of our financial instruments. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account, among other considerations, future business opportunities and the net profitability of assets and liabilities. September 30, 2015 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 3,431,274 $ 3,431,274 $ 3,431,274 $ — $ — $ — Interest-bearing deposits 221 221 — 221 — — Securities Purchased Under Agreements to Resell 750,000 750,000 — 750,000 — — Federal funds sold 270,000 270,000 — 270,000 — — AFS securities 3,551,371 3,551,371 — 3,209,069 342,302 — HTM securities 6,142,413 6,251,199 — 6,162,539 88,660 — Advances 24,297,197 24,342,156 — 24,342,156 — — Mortgage loans held for portfolio, net 8,084,138 8,364,863 — 8,333,864 30,999 — Accrued interest receivable 85,931 85,931 — 85,931 — — Derivative assets, net 43,182 43,182 — 36,628 — 6,554 Grantor trust assets (included in other assets) 14,241 14,241 14,241 — — — Liabilities: Deposits 749,019 749,019 — 749,019 — — Consolidated Obligations: Discount notes 14,425,407 14,432,375 — 14,432,375 — — Bonds 28,872,703 29,271,813 — 29,271,813 — — Accrued interest payable 83,679 83,679 — 83,679 — — Derivative liabilities, net 104,808 104,808 — 321,476 — (216,668 ) MRCS 14,184 14,184 14,184 — — — December 31, 2014 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 3,550,939 $ 3,550,939 $ 3,550,939 $ — $ — $ — Interest-bearing deposits 483 483 — 483 — — AFS securities 3,556,165 3,556,165 — 3,155,115 401,050 — HTM securities 6,982,115 7,098,616 — 6,987,768 110,848 — Advances 20,789,667 20,844,701 — 20,844,701 — — Mortgage loans held for portfolio, net 6,820,262 7,120,935 — 7,078,490 42,445 — Accrued interest receivable 82,866 82,866 — 82,866 — — Derivative assets, net 25,487 25,487 — 56,448 — (30,961 ) Grantor trust assets (included in other assets) 12,980 12,980 12,980 — — — Liabilities: Deposits 1,084,042 1,084,042 — 1,084,042 — — Consolidated Obligations: Discount notes 12,567,696 12,570,811 — 12,570,811 — — Bonds 25,503,138 25,882,934 — 25,882,934 — — Accrued interest payable 77,034 77,034 — 77,034 — — Derivative liabilities, net 103,253 103,253 — 333,918 — (230,665 ) MRCS 15,673 15,673 15,673 — — — (1) Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables present by level within the fair value hierarchy the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. We did not have any financial assets or liabilities recorded at estimated fair value on a non-recurring basis on our statement of condition as of December 31, 2014 . Netting September 30, 2015 Total Level 1 Level 2 Level 3 Adjustment (1) AFS securities: GSE and TVA debentures $ 3,129,133 $ — $ 3,129,133 $ — $ — GSE MBS 79,936 — 79,936 — — Private-label RMBS 342,302 — — 342,302 — Total AFS securities 3,551,371 — 3,209,069 342,302 — Derivative assets: Interest-rate related 42,607 — 36,053 — 6,554 MDCs 575 — 575 — — Total derivative assets, net 43,182 — 36,628 — 6,554 Grantor trust assets (included in other assets) 14,241 14,241 — — — Total assets at recurring estimated fair value $ 3,608,794 $ 14,241 $ 3,245,697 $ 342,302 $ 6,554 Derivative liabilities: Interest-rate related $ 103,942 $ — $ 320,610 $ — $ (216,668 ) Interest-rate forwards 865 — 865 — — MDCs 1 — 1 — — Total derivative liabilities, net 104,808 — 321,476 — (216,668 ) Total liabilities at recurring estimated fair value $ 104,808 $ — $ 321,476 $ — $ (216,668 ) Mortgage loans held for portfolio (2) $ 4,593 $ — $ — $ 4,593 $ — Total assets at non-recurring estimated fair value $ 4,593 $ — $ — $ 4,593 $ — December 31, 2014 AFS securities: GSE and TVA debentures $ 3,155,115 $ — $ 3,155,115 $ — $ — Private-label RMBS 401,050 — — 401,050 — Total AFS securities 3,556,165 — 3,155,115 401,050 — Derivative assets: Interest-rate related 24,776 — 55,737 — (30,961 ) MDCs 711 — 711 — — Total derivative assets, net 25,487 — 56,448 — (30,961 ) Grantor trust assets (included in other assets) 12,980 12,980 — — — Total assets at recurring estimated fair value $ 3,594,632 $ 12,980 $ 3,211,563 $ 401,050 $ (30,961 ) Derivative liabilities: Interest-rate related $ 101,616 $ — $ 332,281 $ — $ (230,665 ) Interest-rate forwards 1,631 — 1,631 — — MDCs 6 — 6 — — Total derivative liabilities, net 103,253 — 333,918 — (230,665 ) Total liabilities at recurring estimated fair value $ 103,253 $ — $ 333,918 $ — $ (230,665 ) (1) Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. (2) Amounts are as of the date the fair value adjustment was recorded during the nine months ended September 30, 2015 . |
Reconciliation of AFS Private-label RMBS Measured at Estimated Fair Value on a Recurring Basis using Level 3 Significant Inputs | The table below presents a rollforward of our AFS private-label RMBS measured at estimated fair value on a recurring basis using Level 3 significant inputs. The estimated fair values for the private-label RMBS were determined using a pricing source, such as a dealer quote or comparable security price, for which the significant unobservable inputs used to determine the price were not readily available. Three Months Ended September 30, Nine Months Ended September 30, Level 3 Rollforward 2015 2014 2015 2014 Balance, beginning of period $ 364,719 $ 442,712 $ 401,050 $ 469,685 Total realized and unrealized gains (losses): Accretion of credit losses in interest income 2,580 872 5,941 1,746 Net gains (losses) on changes in fair value in other income (loss) (29 ) (42 ) (61 ) (270 ) Net change in fair value not in excess of cumulative non-credit losses in OCI (86 ) (46 ) (192 ) (227 ) Unrealized gains (losses) in OCI (2,615 ) 569 (4,146 ) 13,442 Reclassification of non-credit portion in OCI to other income (loss) 29 42 61 270 Purchases, issuances, sales and settlements: Settlements (22,296 ) (25,260 ) (60,351 ) (65,799 ) Balance, end of period $ 342,302 $ 418,847 $ 342,302 $ 418,847 Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period $ 2,550 $ 830 $ 5,879 $ 1,476 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. September 30, 2015 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 70,736 $ 202,179 $ 272,915 Unused lines of credit (1) 966,138 — 966,138 Commitments to fund additional advances (2) 39,250 — 39,250 Commitments to fund or purchase mortgage loans (3) 120,905 — 120,905 Unsettled CO bonds, at par (4) 436,000 — 436,000 (1) Maximum line of credit amount per member is $50,000 . (2) Generally for periods up to six months. (3) Generally for periods up to 91 days. (4) Includes $265,000 hedged with associated interest-rate swaps. |
Transactions with Related Par42
Transactions with Related Parties and Other Entities (Tables) - Directors' Financial Institutions | 9 Months Ended |
Sep. 30, 2015 | |
Related Party Transaction [Line Items] | |
Outstanding Balances and Balance as a Percent of Total Balance with Respect to Transactions with Related Parties | Transactions with Directors' Financial Institutions. The following table presents the outstanding balances with respect to transactions with directors' financial institutions and their balance as a percent of the total balance on our statement of condition. Capital Stock and MRCS Advances Mortgage Loans Held for Portfolio (1) Date Par value % of Total Par value % of Total UPB % of Total September 30, 2015 $ 34,457 2 % $ 310,530 1 % $ 208,037 3 % December 31, 2014 40,213 3 % 261,146 1 % 167,072 2 % (1) Represents UPB of mortgage loans purchased from directors' financial institutions. |
Net Advances to (Repayments from) and Mortgage Loans Purchased from Related Parties | Three Months Ended Nine Months Ended September 30, September 30, Transactions with Directors' Financial Institutions 2015 2014 2015 2014 Net advances (repayments) $ (24,426 ) $ 18,178 $ (27,046 ) $ (6,558 ) Mortgage loans purchased 12,062 14,557 33,186 29,212 |
Summary of Significant Accoun43
Summary of Significant Accounting Policies and Change in Accounting Principle (Change in Accounting) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | |
Error Corrections and Prior Period Adjustments Restatement [Line Items] | ||||||||
Interest income - mortgage loans held for portfolio | $ 68,676 | $ 57,075 | $ 195,076 | $ 172,691 | ||||
Net interest income after provision for credit losses | 48,284 | 45,566 | 144,709 | 137,637 | ||||
Income before assessments | 31,082 | 35,699 | 102,993 | 111,110 | ||||
Affordable Housing Program assessments | 3,121 | 3,583 | 10,338 | 11,199 | ||||
Net income | 27,961 | 32,116 | 92,655 | 99,911 | ||||
Total comprehensive income | 11,605 | 42,363 | 72,487 | 135,615 | ||||
Mortgage loans held for portfolio, net | 8,084,138 | 8,084,138 | $ 6,820,262 | |||||
Total assets | 46,735,755 | 46,735,755 | 41,853,032 | |||||
Affordable Housing Program payable | 32,983 | 41,614 | 32,983 | 41,614 | $ 35,120 | 36,899 | $ 43,462 | $ 42,778 |
Total liabilities | 44,434,293 | 44,434,293 | 39,477,762 | |||||
Unrestricted retained earnings | 697,976 | 697,976 | 672,159 | |||||
Restricted retained earnings | 124,001 | 124,001 | 105,470 | |||||
Total retained earnings | 821,977 | 821,977 | 777,629 | |||||
Total capital | 2,301,462 | 2,560,272 | 2,301,462 | 2,560,272 | 2,375,270 | 2,361,426 | ||
Total liabilities and capital | $ 46,735,755 | 46,735,755 | $ 41,853,032 | |||||
Amortization and depreciation | 41,702 | 15,031 | ||||||
Other liabilities | 24,809 | 13,812 | ||||||
Total adjustments, net | $ 100,229 | 87,609 | ||||||
Change in Amortization and Accretion Method | ||||||||
Error Corrections and Prior Period Adjustments Restatement [Line Items] | ||||||||
Effect of change on net income | (1,636) | (642) | ||||||
Interest income - mortgage loans held for portfolio | 57,075 | 172,691 | ||||||
Net interest income after provision for credit losses | 45,566 | 137,637 | ||||||
Income before assessments | 35,699 | 111,110 | ||||||
Affordable Housing Program assessments | 3,583 | 11,199 | ||||||
Net income | 32,116 | 99,911 | ||||||
Total comprehensive income | 42,363 | 135,615 | ||||||
Mortgage loans held for portfolio, net | 6,448,824 | 6,448,824 | ||||||
Total assets | 41,015,265 | 41,015,265 | ||||||
Affordable Housing Program payable | 41,614 | 41,614 | ||||||
Total liabilities | 38,454,993 | 38,454,993 | ||||||
Unrestricted retained earnings | 675,028 | 675,028 | ||||||
Restricted retained earnings | 102,134 | 102,134 | ||||||
Total retained earnings | 777,162 | 777,162 | 729,775 | |||||
Total capital | 2,560,272 | 2,560,272 | ||||||
Total liabilities and capital | 41,015,265 | 41,015,265 | ||||||
Amortization and depreciation | 15,031 | |||||||
Other liabilities | 13,812 | |||||||
Total adjustments, net | 87,609 | |||||||
Net cash provided by operating activities | 187,520 | |||||||
Change in Amortization and Accretion Method | Previous Method | ||||||||
Error Corrections and Prior Period Adjustments Restatement [Line Items] | ||||||||
Interest income - mortgage loans held for portfolio | 58,893 | 173,404 | ||||||
Net interest income after provision for credit losses | 47,384 | 138,350 | ||||||
Income before assessments | 37,517 | 111,823 | ||||||
Affordable Housing Program assessments | 3,765 | 11,270 | ||||||
Net income | 33,752 | 100,553 | ||||||
Total comprehensive income | 43,999 | 136,257 | ||||||
Mortgage loans held for portfolio, net | 6,471,714 | 6,471,714 | ||||||
Total assets | 41,038,155 | 41,038,155 | ||||||
Affordable Housing Program payable | 41,685 | 41,685 | ||||||
Total liabilities | 38,455,064 | 38,455,064 | ||||||
Unrestricted retained earnings | 694,433 | 694,433 | ||||||
Restricted retained earnings | 105,548 | 105,548 | ||||||
Total retained earnings | 799,981 | 799,981 | 751,952 | |||||
Total capital | 2,583,091 | 2,583,091 | ||||||
Total liabilities and capital | 41,038,155 | 41,038,155 | ||||||
Amortization and depreciation | 14,318 | |||||||
Other liabilities | 13,883 | |||||||
Total adjustments, net | 86,967 | |||||||
Net cash provided by operating activities | 187,520 | |||||||
Change in Amortization and Accretion Method | Effect of Change | ||||||||
Error Corrections and Prior Period Adjustments Restatement [Line Items] | ||||||||
Interest income - mortgage loans held for portfolio | (1,818) | (713) | ||||||
Net interest income after provision for credit losses | (1,818) | (713) | ||||||
Income before assessments | (1,818) | (713) | ||||||
Affordable Housing Program assessments | (182) | (71) | ||||||
Net income | (1,636) | (642) | ||||||
Total comprehensive income | (1,636) | (642) | ||||||
Mortgage loans held for portfolio, net | (22,890) | (22,890) | ||||||
Total assets | (22,890) | (22,890) | ||||||
Affordable Housing Program payable | (71) | (71) | ||||||
Total liabilities | (71) | (71) | ||||||
Unrestricted retained earnings | (19,405) | (19,405) | ||||||
Restricted retained earnings | (3,414) | (3,414) | ||||||
Total retained earnings | (22,819) | (22,819) | $ (22,177) | |||||
Total capital | (22,819) | (22,819) | ||||||
Total liabilities and capital | $ (22,890) | (22,890) | ||||||
Amortization and depreciation | 713 | |||||||
Other liabilities | (71) | |||||||
Total adjustments, net | 642 | |||||||
Net cash provided by operating activities | $ 0 |
Available-for-Sale Securities44
Available-for-Sale Securities (Major Security Types) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 3,516,082 | $ 3,501,915 |
Non-Credit OTTI | (258) | (127) | |
Gross Unrealized Gains | 40,164 | 55,729 | |
Gross Unrealized Losses | (4,617) | (1,352) | |
Estimated Fair Value | 3,551,371 | 3,556,165 | |
GSE and TVA debentures | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 3,126,782 | 3,139,037 |
Non-Credit OTTI | 0 | 0 | |
Gross Unrealized Gains | 6,011 | 17,430 | |
Gross Unrealized Losses | (3,660) | (1,352) | |
Estimated Fair Value | 3,129,133 | 3,155,115 | |
GSE MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 80,893 | |
Non-Credit OTTI | 0 | ||
Gross Unrealized Gains | 0 | ||
Gross Unrealized Losses | (957) | ||
Estimated Fair Value | 79,936 | ||
Private-label RMBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 308,407 | 362,878 |
Non-Credit OTTI | (258) | (127) | |
Gross Unrealized Gains | 34,153 | 38,299 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | $ 342,302 | $ 401,050 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses) and fair-value hedge accounting adjustments. |
Available-for-Sale Securities45
Available-for-Sale Securities (Unrealized Loss Positions) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 422,239 | $ 264,959 |
Less than 12 Months, Unrealized Losses | (3,294) | (1,352) |
12 Months or More, Estimated Fair Value | 113,051 | 5,656 |
12 Months or More, Unrealized Losses | (1,581) | (127) |
Total Estimated Fair Value | 535,290 | 270,615 |
Total Unrealized Losses | (4,875) | (1,479) |
GSE and TVA debentures | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 342,303 | 264,959 |
Less than 12 Months, Unrealized Losses | (2,337) | (1,352) |
12 Months or More, Estimated Fair Value | 108,355 | 0 |
12 Months or More, Unrealized Losses | (1,323) | 0 |
Total Estimated Fair Value | 450,658 | 264,959 |
Total Unrealized Losses | (3,660) | (1,352) |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 79,936 | |
Less than 12 Months, Unrealized Losses | (957) | |
12 Months or More, Estimated Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Estimated Fair Value | 79,936 | |
Total Unrealized Losses | (957) | |
Private-label RMBS - prime | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 4,696 | 5,656 |
12 Months or More, Unrealized Losses | (258) | (127) |
Total Estimated Fair Value | 4,696 | 5,656 |
Total Unrealized Losses | $ (258) | $ (127) |
Available-for-Sale Securities46
Available-for-Sale Securities (Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 3,516,082 | $ 3,501,915 |
Estimated Fair Value | 3,551,371 | 3,556,165 | |
Non-MBS | |||
Available-for-sale Securities [Line Items] | |||
Due in one year or less, Amortized Cost | 621,667 | 0 | |
Due after one year through five years, Amortized Cost | 1,904,018 | 2,484,379 | |
Due after five years through ten years, Amortized Cost | 601,097 | 654,658 | |
Amortized Cost | 3,126,782 | 3,139,037 | |
Due in one year or less, Estimated Fair Value | 622,754 | 0 | |
Due after one year through five years, Estimated Fair Value | 1,907,238 | 2,497,034 | |
Due after five years through ten years, Estimated Fair Value | 599,141 | 658,081 | |
Estimated Fair Value | 3,129,133 | 3,155,115 | |
MBS | |||
Available-for-sale Securities [Line Items] | |||
Amortized Cost | 389,300 | 362,878 | |
Estimated Fair Value | $ 422,238 | $ 401,050 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses) and fair-value hedge accounting adjustments. |
Held-to-Maturity Securities (Ma
Held-to-Maturity Securities (Major Security Types) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,142,555 | $ 6,982,290 |
Non-Credit (OTTI) | (142) | (175) | |
Carrying Value | [2] | 6,142,413 | 6,982,115 |
Gross Unrecognized Holding Gains | 115,395 | 124,854 | |
Gross Unrecognized Holding Losses | (6,609) | (8,353) | |
Estimated Fair Value | 6,251,199 | 7,098,616 | |
GSE debentures | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 100,000 | 269,000 | |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 100,000 | 269,000 | |
Gross Unrecognized Holding Gains | 46 | 199 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Estimated Fair Value | 100,046 | 269,199 | |
Manufactured housing loan ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 10,026 | 11,243 | |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 10,026 | 11,243 | |
Gross Unrecognized Holding Gains | 0 | 0 | |
Gross Unrecognized Holding Losses | (1,029) | (1,164) | |
Estimated Fair Value | 8,997 | 10,079 | |
Home equity loan ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 1,504 | 1,716 | |
Non-Credit (OTTI) | (142) | (175) | |
Carrying Value | 1,362 | 1,541 | |
Gross Unrecognized Holding Gains | 67 | 114 | |
Gross Unrecognized Holding Losses | (49) | (77) | |
Estimated Fair Value | 1,380 | 1,578 | |
MBS and ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 6,042,555 | 6,713,290 |
Non-Credit (OTTI) | (142) | (175) | |
Carrying Value | [2] | 6,042,413 | 6,713,115 |
Gross Unrecognized Holding Gains | 115,349 | 124,655 | |
Gross Unrecognized Holding Losses | (6,609) | (8,353) | |
Estimated Fair Value | 6,151,153 | 6,829,417 | |
Mortgage Backed Securities | Other U.S. obligations -guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 2,862,269 | 3,032,494 | |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 2,862,269 | 3,032,494 | |
Gross Unrecognized Holding Gains | 23,175 | 30,598 | |
Gross Unrecognized Holding Losses | (3,854) | (5,959) | |
Estimated Fair Value | 2,881,590 | 3,057,133 | |
Mortgage Backed Securities | GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 3,089,944 | 3,567,958 | |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 3,089,944 | 3,567,958 | |
Gross Unrecognized Holding Gains | 91,823 | 93,583 | |
Gross Unrecognized Holding Losses | (864) | (104) | |
Estimated Fair Value | 3,180,903 | 3,661,437 | |
Mortgage Backed Securities | Private-label RMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 78,812 | 99,879 | |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 78,812 | 99,879 | |
Gross Unrecognized Holding Gains | 284 | 360 | |
Gross Unrecognized Holding Losses | (813) | (1,049) | |
Estimated Fair Value | $ 78,283 | $ 99,190 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses). | ||
[2] | Represents amortized cost after adjustment for non-credit OTTI recognized in AOCI. |
Held-to-Maturity Securities (Un
Held-to-Maturity Securities (Unrealized Loss Position) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 940,606 | $ 563,070 |
Less than 12 Months, Unrealized Losses | (1,452) | (1,265) |
12 Months or More, Estimated Fair Value | 662,288 | 781,490 |
12 Months or More, Unrealized Losses | (5,232) | (7,149) |
Total Estimated Fair Value | 1,602,894 | 1,344,560 |
Unrealized Loss Position | (6,684) | (8,414) |
Manufactured housing loan ABS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 8,997 | 10,080 |
12 Months or More, Unrealized Losses | (1,029) | (1,164) |
Total Estimated Fair Value | 8,997 | 10,080 |
Unrealized Loss Position | (1,029) | (1,164) |
Home equity loan ABS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 1,379 | 1,579 |
12 Months or More, Unrealized Losses | (124) | (138) |
Total Estimated Fair Value | 1,379 | 1,579 |
Unrealized Loss Position | (124) | (138) |
MBS and ABS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 940,606 | 563,070 |
Less than 12 Months, Unrealized Losses | (1,452) | (1,265) |
12 Months or More, Estimated Fair Value | 662,288 | 781,490 |
12 Months or More, Unrealized Losses | (5,232) | (7,149) |
Total Estimated Fair Value | 1,602,894 | 1,344,560 |
Unrealized Loss Position | (6,684) | (8,414) |
Mortgage Backed Securities | Other U.S. obligations -guaranteed MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 468,001 | 528,242 |
Less than 12 Months, Unrealized Losses | (579) | (1,254) |
12 Months or More, Estimated Fair Value | 624,370 | 702,768 |
12 Months or More, Unrealized Losses | (3,275) | (4,705) |
Total Estimated Fair Value | 1,092,371 | 1,231,010 |
Unrealized Loss Position | (3,854) | (5,959) |
Mortgage Backed Securities | GSE MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 467,300 | 31,554 |
Less than 12 Months, Unrealized Losses | (864) | (8) |
12 Months or More, Estimated Fair Value | 0 | 26,013 |
12 Months or More, Unrealized Losses | 0 | (96) |
Total Estimated Fair Value | 467,300 | 57,567 |
Unrealized Loss Position | (864) | (104) |
Mortgage Backed Securities | Private-label RMBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 5,305 | 3,274 |
Less than 12 Months, Unrealized Losses | (9) | (3) |
12 Months or More, Estimated Fair Value | 27,542 | 41,050 |
12 Months or More, Unrealized Losses | (804) | (1,046) |
Total Estimated Fair Value | 32,847 | 44,324 |
Unrealized Loss Position | $ (813) | $ (1,049) |
Held-to-Maturity Securities (Re
Held-to-Maturity Securities (Redemption Terms)(Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,142,555 | $ 6,982,290 |
Carrying Value | [2] | 6,142,413 | 6,982,115 |
Estimated Fair Value | 6,251,199 | 7,098,616 | |
Non-MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Due in One Year or Less, Amortized Cost | [1] | 100,000 | 169,000 |
Due After One Year Through Five Years, Amortized Cost | [1] | 0 | 100,000 |
Amortized Cost | [1] | 100,000 | 269,000 |
Due in One Year or Less, Carrying Value | [2] | 100,000 | 169,000 |
Due After One Year Through Five Years, Carrying Value | [2] | 0 | 100,000 |
Carrying Value | [2] | 100,000 | 269,000 |
Due in One Year or Less, Estimated Fair Value | 100,046 | 169,099 | |
Due After One Year Through Five Years, Estimated Fair Value | 0 | 100,100 | |
Estimated Fair Value | 100,046 | 269,199 | |
MBS and ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 6,042,555 | 6,713,290 |
Carrying Value | [2] | 6,042,413 | 6,713,115 |
Estimated Fair Value | $ 6,151,153 | $ 6,829,417 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses). | ||
[2] | Represents amortized cost after adjustment for non-credit OTTI recognized in AOCI. |
Held-to-Maturity Securities (Na
Held-to-Maturity Securities (Narrative) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Gross Unrecognized Holding Losses | $ (6,609) | $ (8,353) |
Schedule of Held-to-maturity Securities [Line Items] | ||
Non-Credit (OTTI) | (142) | (175) |
Gross Unrecognized Holding Losses | (6,609) | (8,353) |
Gross Unrecognized Holding Gains | 115,395 | 124,854 |
Home equity loan ABS | ||
Investments, Debt and Equity Securities [Abstract] | ||
Gross Unrecognized Holding Losses | (49) | (77) |
Schedule of Held-to-maturity Securities [Line Items] | ||
Non-Credit (OTTI) | (142) | (175) |
Gross Unrecognized Holding Losses | (49) | (77) |
Gross Unrecognized Holding Gains | $ 67 | $ 114 |
Other-Than-Temporary Impairme51
Other-Than-Temporary Impairment (Securities with OTTI Losses) (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015USD ($)Security | Sep. 30, 2014Security | Sep. 30, 2015USD ($)Security | Sep. 30, 2014Security | ||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
FLHB assumed current-to-trough home price decline rate | 3.00% | 3.00% | |||
FLHB assumed current-to-trough home price increase rate | 8.00% | 8.00% | |||
Number of securities | Security | 1 | 1 | 1 | 1 | |
HTM Securities | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
OTTI Life-to-Date, UPB | $ 679 | $ 679 | |||
OTTI Life-to-Date, Amortized Cost | 650 | 650 | |||
OTTI Life-to-Date, Carrying Value | 509 | 509 | |||
OTTI Life-to-Date, Estimated Fair Value | 575 | 575 | |||
AFS Securities | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
OTTI Life-to-Date, UPB | 364,387 | 364,387 | |||
OTTI Life-to-Date, Amortized Cost | 308,407 | 308,407 | |||
OTTI Life-to-Date, Estimated Fair Value | $ 342,302 | $ 342,302 | |||
Minimum | Private-label RMBS - prime | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
Assumed current to trough home price increase rate | 2.00% | 2.00% | |||
Maximum | Private-label RMBS - prime | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
Assumed current to trough home price increase rate | 5.00% | 5.00% | |||
Prime | HTM Securities | Private-label RMBS - prime | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
OTTI Life-to-Date, UPB | $ 0 | $ 0 | |||
OTTI Life-to-Date, Amortized Cost | 0 | 0 | |||
OTTI Life-to-Date, Carrying Value | 0 | 0 | |||
OTTI Life-to-Date, Estimated Fair Value | 0 | 0 | |||
Prime | AFS Securities | Private-label RMBS - prime | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
OTTI Life-to-Date, UPB | 364,387 | 364,387 | |||
OTTI Life-to-Date, Amortized Cost | 308,407 | 308,407 | |||
OTTI Life-to-Date, Estimated Fair Value | 342,302 | 342,302 | |||
Subprime | HTM Securities | Home equity loan ABS | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
OTTI Life-to-Date, UPB | 679 | 679 | |||
OTTI Life-to-Date, Amortized Cost | 650 | 650 | |||
OTTI Life-to-Date, Carrying Value | 509 | 509 | |||
OTTI Life-to-Date, Estimated Fair Value | 575 | 575 | |||
Subprime | AFS Securities | Home equity loan ABS | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
OTTI Life-to-Date, UPB | 0 | 0 | |||
OTTI Life-to-Date, Amortized Cost | 0 | 0 | |||
OTTI Life-to-Date, Estimated Fair Value | $ 0 | $ 0 | |||
Securitization in 2006 [Member] | Prime | Private-label RMBS - prime | |||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||
Other Than Temporary Impairment Credit Losses Recognized In Earnings Credit Losses On Debt Securities Held Assumption For Measurement Prepayment Speed Weighted Average | [1] | 14.00% | |||
Other Than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Qualitative Disclosures, Default Rate | [1] | 17.00% | |||
Other Than Temporary Impairment Credit Losses Recognized In Earnings Credit Losses On Debt Securities Held Assumption For Measurement Loss Severity Weighted Average | [1] | 37.00% | |||
Other Than Temporary Impairment Credit Losses Recognized In Earnings Credit Losses On Debt Securities Held Assumption For Measurement Credit Enhancements Weighted Average | [1] | 0.00% | 0.00% | ||
[1] | Weighted average based on UPB. |
Other-Than-Temporary Impairme52
Other-Than-Temporary Impairment (Rollforward of the Cumulative Credit Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Balance at Beginning of Period | $ 66,049 | $ 71,584 | $ 69,626 | $ 72,287 | |
Additions: | |||||
Additional credit losses for which OTTI was previously recognized | [1] | 29 | 42 | 61 | 270 |
Reductions: | |||||
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (2,636) | (938) | (6,245) | (1,869) | |
Balance at End of Period | $ 63,442 | $ 70,688 | $ 63,442 | $ 70,688 | |
[1] | For the three and nine months ended September 30, 2015 and 2014, the amount relates to one security originally impaired prior to January 1, 2014. |
Advances (Narratives) (Details)
Advances (Narratives) (Details) $ in Thousands | Sep. 30, 2015USD ($)Borrower | Dec. 31, 2014USD ($)Borrower |
Federal Home Loan Bank, Advances [Line Items] | ||
Total advances, par value | $ 24,100,155 | $ 20,630,202 |
Advances outstanding greater than one billion dollars per borrower amount | 11,100,000 | $ 8,300,000 |
Threshold for outstanding | $ 1,000,000 | |
Advances outstanding greater than one billion dollars per borrower percent | 46.00% | 40.00% |
Advances outstanding greater than one billion dollars per borrower, number of borrowers | Borrower | 6 | 5 |
UPB of collateral to cover the Advances to these institutions | $ 21,000,000 | $ 15,100,000 |
Minimum | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rate of advances outstanding | 0.00% | |
Maximum | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rate of advances outstanding | 7.53% | |
Federal Home Loan Bank, Advances, Callable Option | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Total advances, par value | $ 6,400,000 | 5,600,000 |
Federal Home Loan Bank, Advances, Putable Option | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Total advances, par value | $ 455,500 | $ 179,000 |
Advances by Year of Contractual
Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Year of Contractual Maturity, Amount | ||
Overdrawn demand and overnight deposit accounts | $ 2,338 | $ 0 |
Due in 1 year or less | 9,623,731 | 7,406,652 |
Due after 1 year through 2 years | 2,618,739 | 2,529,649 |
Due after 2 years through 3 years | 2,754,766 | 2,331,427 |
Due after 3 years through 4 years | 1,431,261 | 2,047,262 |
Due after 4 years through 5 years | 2,565,347 | 1,571,567 |
Thereafter | 5,103,973 | 4,743,645 |
Total advances, par value | $ 24,100,155 | $ 20,630,202 |
Year of Contractual Maturity, WAIR % | ||
Overdrawn demand and overnight deposit accounts | 2.49% | 0.00% |
Due in 1 year or less | 0.78% | 0.83% |
Due after 1 year through 2 years | 1.26% | 1.28% |
Due after 2 years through 3 years | 1.88% | 1.57% |
Due after 3 years through 4 years | 2.10% | 2.05% |
Due after 4 years through 5 years | 1.47% | 2.51% |
Thereafter | 1.36% | 1.31% |
Total advances, par value | 1.23% | 1.33% |
Fair-value hedging adjustments | $ 162,787 | $ 117,118 |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 34,255 | 42,347 |
Total Advances | $ 24,297,197 | $ 20,789,667 |
Advances Earlier of Contractual
Advances Earlier of Contractual Maturity or Next Call Date and Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Advances [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 2,338 | $ 0 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 14,723,511 | 11,293,767 |
Due after 1 year through 2 years | 2,370,989 | 2,533,649 |
Due after 2 years through 3 years | 2,503,601 | 2,208,677 |
Due after 3 years through 4 years | 1,366,261 | 1,847,262 |
Due after 4 years through 5 years | 1,595,347 | 1,506,567 |
Thereafter | 1,538,108 | 1,240,280 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 9,909,731 | 7,574,152 |
Due after 1 year through 2 years | 2,556,239 | 2,499,649 |
Due after 2 years through 3 years | 2,698,766 | 2,233,927 |
Due after 3 years through 4 years | 1,416,261 | 2,012,262 |
Due after 4 years through 5 years | 2,562,347 | 1,566,567 |
Thereafter | 4,954,473 | 4,743,645 |
Total advances, par value | $ 24,100,155 | $ 20,630,202 |
Mortgage Loans Held for Portf56
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 9 Months Ended | ||||||
Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | ||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | $ 7,923,757 | $ 6,704,442 | |||||
Unamortized premiums | 159,280 | 116,602 | |||||
Unamortized discounts | (1,946) | (2,176) | |||||
Fair-value hedging adjustments | 4,172 | 3,894 | |||||
Allowance for loan losses | (1,125) | (2,500) | |||||
Total mortgage loans held for portfolio, net | 8,084,138 | 6,820,262 | |||||
Conventional | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 7,286,339 | 5,968,929 | |||||
Allowance for loan losses | (1,125) | $ (1,350) | (2,500) | $ (3,000) | $ (3,250) | $ (4,500) | |
Government | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 637,418 | 735,513 | |||||
Fixed-rate long-term mortgages | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 6,740,764 | 5,662,440 | |||||
Fixed-rate medium-term mortgages | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | [1] | $ 1,182,993 | 1,042,002 | ||||
Fixed-rate medium-term mortgages | Maximum | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Original term | 15 years | ||||||
MPP | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | $ 7,468,531 | 6,196,765 | |||||
Unamortized premiums | 151,697 | 107,876 | |||||
Unamortized discounts | (1,676) | (1,874) | |||||
Fair-value hedging adjustments | 4,603 | 4,369 | |||||
Allowance for loan losses | (1,000) | (2,250) | |||||
Total mortgage loans held for portfolio, net | 7,622,155 | 6,304,886 | |||||
MPP | Conventional | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 6,922,076 | 5,562,460 | |||||
Fair-value hedging adjustments | 4,581 | 4,323 | |||||
Allowance for loan losses | (1,000) | (1,200) | (2,250) | (2,750) | (3,000) | (4,000) | |
MPP | Government | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 546,455 | 634,305 | |||||
MPP | Fixed-rate long-term mortgages | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 6,354,895 | 5,233,682 | |||||
MPP | Fixed-rate medium-term mortgages | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | [1] | 1,113,636 | 963,083 | ||||
MPF | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 455,226 | 507,677 | |||||
Unamortized premiums | 7,583 | 8,726 | |||||
Unamortized discounts | (270) | (302) | |||||
Fair-value hedging adjustments | (431) | (475) | |||||
Allowance for loan losses | (125) | (250) | |||||
Total mortgage loans held for portfolio, net | 461,983 | 515,376 | |||||
MPF | Conventional | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 364,263 | 406,469 | |||||
Fair-value hedging adjustments | (372) | (417) | |||||
Allowance for loan losses | (125) | $ (150) | (250) | $ (250) | $ (250) | $ (500) | |
MPF | Government | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 90,963 | 101,208 | |||||
Fair-value hedging adjustments | (59) | (57) | |||||
MPF | Fixed-rate long-term mortgages | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 385,869 | 428,758 | |||||
MPF | Fixed-rate medium-term mortgages | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | [1] | $ 69,357 | $ 78,919 | ||||
[1] | Defined as a term of 15 years or less at origination. |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Enhancements) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | ||
Credit Enhancement Fund [Roll Forward] | |||||||||
Balance of LRA, beginning of period | $ 82,624 | $ 49,918 | $ 61,949 | $ 45,330 | |||||
Additions | 5,721 | 5,807 | 27,229 | 11,917 | |||||
Claim paid | (393) | (411) | (940) | (1,664) | |||||
Distributions | (66) | (93) | (352) | (362) | |||||
Balance of LRA, end of period | 87,886 | 55,221 | 87,886 | 55,221 | |||||
Allowance for loan losses | 1,125 | 1,125 | $ 2,500 | ||||||
Credit enhancement fee paid to participating financial institutions, gross | 87 | 99 | 271 | 302 | |||||
Exposure under FLA | 3,472 | 3,472 | 3,431 | ||||||
CE Obligations available to cover losses in excess of the FLA | 26,862 | 26,862 | 26,851 | ||||||
Losses in Excess of FLA | 0 | 0 | 2 | ||||||
Conventional | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Allowance for loan losses | 1,125 | 3,000 | 1,125 | 3,000 | $ 1,350 | 2,500 | $ 3,250 | $ 4,500 | |
MPP | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Allowance for loan losses | 1,000 | 1,000 | 2,250 | ||||||
MPP | Conventional | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Estimated losses remaining after borrower's equity, before credit enhancements | 7,695 | 7,695 | 25,232 | ||||||
Allowance for unrecoverable PMI/SMI | 88 | 88 | 240 | ||||||
Allowance for loan losses | 1,000 | 2,750 | 1,000 | 2,750 | 1,200 | 2,250 | 3,000 | 4,000 | |
MPP | Conventional | PMI | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Portion of estimated losses recoverable from | (1,764) | (1,764) | (3,301) | ||||||
MPP | Conventional | LRA | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Portion of estimated losses recoverable from | [1] | (1,154) | (1,154) | (5,334) | |||||
MPP | Conventional | SMI | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Portion of estimated losses recoverable from | (3,865) | (3,865) | (14,587) | ||||||
MPF | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Allowance for loan losses | 125 | 125 | 250 | ||||||
MPF | Conventional | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Allowance for loan losses | $ 125 | $ 250 | $ 125 | $ 250 | $ 150 | $ 250 | $ 250 | $ 500 | |
[1] | Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the LRA is available to cover any losses not yet incurred and to distribute any excess funds to members. |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Dec. 31, 2014 | ||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | $ 2,500 | ||||||
Provision for (reversal of) loan losses | $ (180) | $ (126) | (568) | $ (916) | |||
Allowance for loan losses on mortgage loans, end of period | 1,125 | 1,125 | |||||
Total allowance for loan losses | 1,125 | 2,500 | $ 1,125 | $ 2,500 | |||
Total recorded investment | 8,118,773 | 6,850,904 | |||||
Conventional | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | 1,350 | 3,250 | 2,500 | 4,500 | |||
Charge-offs, net of recoveries | (45) | (124) | (807) | (584) | |||
Provision for (reversal of) loan losses | (180) | (126) | (568) | (916) | |||
Allowance for loan losses on mortgage loans, end of period | 1,125 | 3,000 | 1,125 | 3,000 | |||
Allowance for loan losses, loans collectively evaluated for impairment | 1,032 | 2,026 | |||||
Allowance for loan losses, loans individually evaluated for impairment | [1] | 93 | 474 | ||||
Total allowance for loan losses | 1,350 | 3,250 | 2,500 | 4,500 | 1,125 | 2,500 | |
Recorded Investment, loans collectively evaluated for impairment | 7,452,383 | 6,083,093 | |||||
Recorded Investment, loans individually evaluated for impairment | [1] | 17,852 | 19,889 | ||||
Total recorded investment | 7,470,235 | 6,102,982 | |||||
Principal paid in full by servicers | 3,889 | 5,519 | |||||
Potential claims included in allowance | 47 | 153 | |||||
MPP | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | 2,250 | ||||||
Allowance for loan losses on mortgage loans, end of period | 1,000 | 1,000 | |||||
Total allowance for loan losses | 1,000 | 2,250 | 1,000 | 2,250 | |||
MPP | Conventional | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | 1,200 | 3,000 | 2,250 | 4,000 | |||
Charge-offs, net of recoveries | (44) | (124) | (804) | (575) | |||
Provision for (reversal of) loan losses | (156) | (126) | (446) | (675) | |||
Allowance for loan losses on mortgage loans, end of period | 1,000 | 2,750 | 1,000 | 2,750 | |||
Allowance for loan losses, loans collectively evaluated for impairment | 907 | 1,776 | |||||
Allowance for loan losses, loans individually evaluated for impairment | [1] | 93 | 474 | ||||
Total allowance for loan losses | 1,200 | 3,000 | 2,250 | 4,000 | 1,000 | 2,250 | |
Recorded Investment, loans collectively evaluated for impairment | 7,080,407 | 5,667,524 | |||||
Recorded Investment, loans individually evaluated for impairment | [1] | 17,852 | 19,889 | ||||
Total recorded investment | 7,098,259 | 5,687,413 | |||||
MPF | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | 250 | ||||||
Allowance for loan losses on mortgage loans, end of period | 125 | 125 | |||||
Total allowance for loan losses | 125 | 250 | 125 | 250 | |||
MPF | Conventional | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | 150 | 250 | 250 | 500 | |||
Charge-offs, net of recoveries | (1) | 0 | (3) | (9) | |||
Provision for (reversal of) loan losses | (24) | 0 | (122) | (241) | |||
Allowance for loan losses on mortgage loans, end of period | 125 | 250 | 125 | 250 | |||
Allowance for loan losses, loans collectively evaluated for impairment | 125 | 250 | |||||
Allowance for loan losses, loans individually evaluated for impairment | [1] | 0 | 0 | ||||
Total allowance for loan losses | $ 150 | $ 250 | $ 250 | $ 500 | 125 | 250 | |
Recorded Investment, loans collectively evaluated for impairment | 371,976 | 415,569 | |||||
Recorded Investment, loans individually evaluated for impairment | [1] | 0 | 0 | ||||
Total recorded investment | $ 371,976 | $ 415,569 | |||||
[1] | The recorded investment in our MPP conventional loans individually evaluated for impairment excludes principal previously paid in full by the servicers as of September 30, 2015 and December 31, 2014 of $3,889 and $5,519, respectively, that remains subject to potential claims by those servicers for any losses resulting from past or future liquidations of the underlying properties. However, the MPP allowance for loan losses as of September 30, 2015 and December 31, 2014 includes $47 and $153, respectively, for these potential claims. |
Allowance for Credit Losses (Pa
Allowance for Credit Losses (Past Due) (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2015 | Dec. 31, 2014 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Past due 30-59 days delinquent | $ 59,378 | $ 87,617 | |
Past due 60-89 days delinquent | 16,106 | 21,798 | |
Past due 90 days or more delinquent | 40,042 | 53,248 | |
Total past due | 115,526 | 162,663 | |
Total current | 8,003,247 | 6,688,241 | |
Total recorded investment | 8,118,773 | 6,850,904 | |
Net unamortized premiums | (157,334) | (114,426) | |
Fair-value hedging adjustments | (4,172) | (3,894) | |
Accrued interest receivable | (33,510) | (28,142) | |
Total mortgage loans held for portfolio, UPB | 7,923,757 | 6,704,442 | |
In process of foreclosure | [1] | $ 23,353 | $ 32,369 |
Serious delinquency rate (percentage) | [2] | 0.49% | 0.78% |
Past due 90 days or more still accruing interest | [3] | $ 33,001 | $ 50,460 |
On non-accrual status | $ 8,220 | 7,208 | |
Delinquent loan receivable (in days) | 90 days | ||
Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total recorded investment | $ 7,470,235 | 6,102,982 | |
Total mortgage loans held for portfolio, UPB | 7,286,339 | 5,968,929 | |
Government | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total mortgage loans held for portfolio, UPB | 637,418 | 735,513 | |
MPP | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair-value hedging adjustments | (4,603) | (4,369) | |
Total mortgage loans held for portfolio, UPB | 7,468,531 | 6,196,765 | |
MPP | Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Past due 30-59 days delinquent | 39,457 | 59,365 | |
Past due 60-89 days delinquent | 11,152 | 14,879 | |
Past due 90 days or more delinquent | 37,083 | 49,128 | |
Total past due | 87,692 | 123,372 | |
Total current | 7,010,567 | 5,564,041 | |
Total recorded investment | 7,098,259 | 5,687,413 | |
Net unamortized premiums | (142,358) | (97,411) | |
Fair-value hedging adjustments | (4,581) | (4,323) | |
Accrued interest receivable | (29,244) | (23,219) | |
Total mortgage loans held for portfolio, UPB | 6,922,076 | 5,562,460 | |
In process of foreclosure | [1] | $ 23,353 | $ 32,369 |
Serious delinquency rate (percentage) | [2] | 0.52% | 0.86% |
Past due 90 days or more still accruing interest | [3] | $ 30,043 | $ 46,341 |
On non-accrual status | 8,050 | 7,207 | |
MPP | FHA Loans | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Past due 30-59 days delinquent | 17,500 | 25,954 | |
Past due 60-89 days delinquent | 4,181 | 6,010 | |
Past due 90 days or more delinquent | 2,308 | 3,636 | |
Total past due | 23,989 | 35,600 | |
Total current | 532,185 | 609,711 | |
Total recorded investment | 556,174 | 645,311 | |
Net unamortized premiums | (7,663) | (8,591) | |
Fair-value hedging adjustments | (22) | (45) | |
Accrued interest receivable | (2,034) | (2,370) | |
Total mortgage loans held for portfolio, UPB | 546,455 | 634,305 | |
In process of foreclosure | [1] | $ 0 | $ 0 |
Serious delinquency rate (percentage) | [2] | 0.42% | 0.56% |
Past due 90 days or more still accruing interest | [3] | $ 2,308 | $ 3,636 |
On non-accrual status | 0 | 0 | |
MPP | Government | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total mortgage loans held for portfolio, UPB | 546,455 | 634,305 | |
MPF | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Fair-value hedging adjustments | 431 | 475 | |
Total mortgage loans held for portfolio, UPB | 455,226 | 507,677 | |
MPF | Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Past due 30-59 days delinquent | 851 | 1,011 | |
Past due 60-89 days delinquent | 196 | 252 | |
Past due 90 days or more delinquent | 1 | 1 | |
Total past due | 1,048 | 1,264 | |
Total current | 370,928 | 414,305 | |
Total recorded investment | 371,976 | 415,569 | |
Net unamortized premiums | (6,390) | (7,400) | |
Fair-value hedging adjustments | 372 | 417 | |
Accrued interest receivable | (1,695) | (2,117) | |
Total mortgage loans held for portfolio, UPB | 364,263 | 406,469 | |
In process of foreclosure | [1] | $ 0 | $ 0 |
Serious delinquency rate (percentage) | [2] | 0.00% | 0.00% |
Past due 90 days or more still accruing interest | [3] | $ 0 | $ 0 |
On non-accrual status | 170 | 1 | |
MPF | Government | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Past due 30-59 days delinquent | 1,570 | 1,287 | |
Past due 60-89 days delinquent | 577 | 657 | |
Past due 90 days or more delinquent | 650 | 483 | |
Total past due | 2,797 | 2,427 | |
Total current | 89,567 | 100,184 | |
Total recorded investment | 92,364 | 102,611 | |
Net unamortized premiums | (923) | (1,024) | |
Fair-value hedging adjustments | 59 | 57 | |
Accrued interest receivable | (537) | (436) | |
Total mortgage loans held for portfolio, UPB | 90,963 | 101,208 | |
In process of foreclosure | [1] | $ 0 | $ 0 |
Serious delinquency rate (percentage) | [2] | 0.70% | 0.47% |
Past due 90 days or more still accruing interest | [3] | $ 650 | $ 483 |
On non-accrual status | $ 0 | $ 0 | |
[1] | Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status. | ||
[2] | Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total recorded investment in mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Many government loans, including FHA loans, are repurchased by the servicers when they reach 90 days or more delinquent status, similar to the rules for servicers of Ginnie Mae MBS, resulting in the lower serious delinquency rate for government loans. | ||
[3] | Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the mortgagor's payment status, we do not consider these loans to be non-accrual. |
Allowance for Credit Losses (Im
Allowance for Credit Losses (Impaired Debt) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | ||
Financing Receivable, Impaired [Line Items] | ||||||
Document Period End Date | Sep. 30, 2015 | |||||
MPP | Conventional | ||||||
Financing Receivable, Impaired [Line Items] | ||||||
Conventional loans without allowance for loan losses, Recorded Investment | [1] | $ 16,974 | $ 16,974 | $ 13,744 | ||
Conventional loans with allowance for loan losses, Recorded Investment | 878 | 878 | 6,145 | |||
Total recorded investment | 17,852 | 17,852 | 19,889 | |||
Conventional loans without allowance for loan losses, UPB | [1] | 16,906 | 16,906 | 13,647 | ||
Conventional loans with allowance for loan losses, UPB | 867 | 867 | 6,099 | |||
Total UPB | 17,773 | 17,773 | 19,746 | |||
Allowance for loan losses | 46 | 46 | $ 321 | |||
Conventional loans without allowance, Average Recorded Investment | 17,724 | $ 18,843 | 18,347 | $ 18,389 | ||
Conventional loans without allowance, Interest Income Recognized | 216 | 267 | 671 | 798 | ||
Conventional loans with allowance, Average Recorded Investment | 880 | 725 | 883 | 728 | ||
Conventional loans with allowance, Interest Income Recognized | 13 | 10 | 92 | 40 | ||
Impaired Financing Receivable, Average Recorded Investment | 18,604 | 19,568 | 19,230 | 19,117 | ||
Impaired Financing Receivable, Interest Income, Accrual Method | $ 229 | $ 277 | $ 763 | $ 838 | ||
[1] | No allowance for loan losses was recorded on these impaired loans after consideration of the underlying loan-specific attribute data, estimated liquidation value of real estate collateral held, estimated costs associated with maintaining and disposing of the collateral, and credit enhancements. |
Allowance for Credit Losses (Tr
Allowance for Credit Losses (Troubled Debt Restructuring) (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2014USD ($) | Sep. 30, 2015USD ($)contract | Sep. 30, 2014USD ($) | Dec. 31, 2014USD ($) | |
Financing Receivable, Modifications [Line Items] | ||||
Document Period End Date | Sep. 30, 2015 | |||
Financing Receivable, Modifications, Subsequent Default, Recorded Investment | $ 0 | $ 0 | ||
MPF | ||||
Financing Receivable, Modifications [Line Items] | ||||
Performing | $ 159,000 | |||
Number of MPF TDR | contract | 1 | |||
Financing Receivable, Modifications, Recorded Investment | $ 0 | $ 0 | ||
MPP | Conventional | ||||
Financing Receivable, Modifications [Line Items] | ||||
Performing | $ 15,815,000 | $ 13,744,000 | ||
Non-Performing | 2,037,000 | 6,145,000 | ||
Financing Receivable, Modifications, Recorded Investment | $ 17,852,000 | $ 19,889,000 |
Derivative and Hedging Activi62
Derivative and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 28,514,455 | $ 29,849,080 | |
Estimated Fair Value of Derivative Assets | 36,628 | 56,448 | |
Estimated Fair Value of Derivative Liabilities | 321,476 | 333,918 | |
Netting adjustments and cash collateral, assets | [1],[2] | 6,554 | (30,961) |
Netting adjustments and cash collateral, liabilities | [1],[2] | (216,668) | (230,665) |
Derivative Asset, net | 43,182 | 25,487 | |
Derivative Liability, net | 104,808 | 103,253 | |
Derivatives designated as hedging instruments: | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 27,788,833 | 27,527,697 | |
Estimated Fair Value of Derivative Assets | 35,916 | 55,095 | |
Estimated Fair Value of Derivative Liabilities | 320,356 | 331,546 | |
Derivatives designated as hedging instruments: | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 27,788,833 | 27,527,697 | |
Estimated Fair Value of Derivative Assets | 35,916 | 55,095 | |
Estimated Fair Value of Derivative Liabilities | 320,356 | 331,546 | |
Derivatives not designated as hedging instruments: | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 725,622 | 2,321,383 | |
Estimated Fair Value of Derivative Assets | 712 | 1,353 | |
Estimated Fair Value of Derivative Liabilities | 1,120 | 2,372 | |
Derivatives not designated as hedging instruments: | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 141,417 | 1,476,365 | |
Estimated Fair Value of Derivative Assets | 20 | 330 | |
Estimated Fair Value of Derivative Liabilities | 254 | 735 | |
Derivatives not designated as hedging instruments: | Interest-rate caps/floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 340,500 | 340,500 | |
Estimated Fair Value of Derivative Assets | 117 | 312 | |
Estimated Fair Value of Derivative Liabilities | 0 | 0 | |
Derivatives not designated as hedging instruments: | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 122,800 | 252,100 | |
Estimated Fair Value of Derivative Assets | 0 | 0 | |
Estimated Fair Value of Derivative Liabilities | 865 | 1,631 | |
Derivatives not designated as hedging instruments: | MDCs | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 120,905 | 252,418 | |
Estimated Fair Value of Derivative Assets | 575 | 711 | |
Estimated Fair Value of Derivative Liabilities | $ 1 | $ 6 | |
[1] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at September 30, 2015 and December 31, 2014 was $223,372 and $201,284, respectively. Cash collateral received from counterparties at September 30, 2015 and December 31, 2014 was $150 and $1,580, respectively. |
Derivative and Hedging Activi63
Derivative and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | $ 36,053 | $ 55,737 | |
Derivative Liability, Fair Value, Gross Liability | 320,610 | 332,281 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2] | 6,554 | (30,961) |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2] | (216,668) | (230,665) |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 42,607 | 24,776 | |
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 103,942 | 101,616 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [3] | 575 | 711 |
Derivative Liability, Not Subject to Master Netting Arrangement | [3] | 866 | 1,637 |
Derivative Asset, net | 43,182 | 25,487 | |
Derivative Liability, net | 104,808 | 103,253 | |
Bilateral | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 18,614 | 48,532 | |
Derivative Liability, Fair Value, Gross Liability | 247,777 | 308,041 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (18,593) | (48,389) | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (143,835) | (206,425) | |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 21 | 143 | |
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 103,942 | 101,616 | |
Cleared | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 17,439 | 7,205 | |
Derivative Liability, Fair Value, Gross Liability | 72,833 | 24,240 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 25,147 | 17,428 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (72,833) | (24,240) | |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 42,586 | 24,633 | |
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | $ 0 | $ 0 | |
[1] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at September 30, 2015 and December 31, 2014 was $223,372 and $201,284, respectively. Cash collateral received from counterparties at September 30, 2015 and December 31, 2014 was $150 and $1,580, respectively. | ||
[3] | Includes MDCs and certain interest-rate forwards. |
Derivative and Hedging Activi64
Derivative and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair-value hedge ineffectiveness | $ 38 | $ 233 | $ 6,479 | $ (3,286) |
Total net gain (loss) on derivatives not designated as hedging instruments | (697) | 444 | (1,755) | 10,069 |
Net gains (losses) on derivatives and hedging activities | (659) | 677 | 4,724 | 6,783 |
Interest-rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair-value hedge ineffectiveness | 38 | 233 | 6,479 | (3,286) |
Total net gain (loss) on derivatives not designated as hedging instruments | (344) | (1,868) | 521 | 3,903 |
Interest-rate caps/floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | (42) | (158) | (193) | (1,033) |
Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | (2,434) | (365) | (3,782) | (3,790) |
Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | 103 | 2,955 | 595 | 8,395 |
MDCs | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | $ 2,020 | $ (120) | $ 1,104 | $ 2,594 |
Derivative and Hedging Activi65
Derivative and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives | $ (78,516) | $ 61,472 | $ (36,658) | $ 86,468 | |
Gain (Loss) on Hedged Item | 78,554 | (61,239) | 43,137 | (89,754) | |
Net Fair Value Hedge Ineffectiveness | 38 | 233 | 6,479 | (3,286) | |
Effect on Net Interest Income | [1] | (49,443) | (46,598) | (145,603) | (130,716) |
Advances | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives | (73,324) | 45,658 | (62,544) | 24,525 | |
Gain (Loss) on Hedged Item | 72,760 | (45,938) | 64,252 | (24,358) | |
Net Fair Value Hedge Ineffectiveness | (564) | (280) | 1,708 | 167 | |
Effect on Net Interest Income | [1] | (39,511) | (38,558) | (118,180) | (111,842) |
AFS Securities | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives | (19,310) | 29,428 | 1,531 | 21,569 | |
Gain (Loss) on Hedged Item | 19,056 | (29,991) | (2,772) | (22,010) | |
Net Fair Value Hedge Ineffectiveness | (254) | (563) | (1,241) | (441) | |
Effect on Net Interest Income | [1] | (24,419) | (24,487) | (73,151) | (73,508) |
CO bonds | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives | 14,118 | (13,614) | 24,355 | 40,374 | |
Gain (Loss) on Hedged Item | (13,262) | 14,690 | (18,343) | (43,386) | |
Net Fair Value Hedge Ineffectiveness | 856 | 1,076 | 6,012 | (3,012) | |
Effect on Net Interest Income | [1] | $ 14,487 | $ 16,447 | $ 45,728 | $ 54,634 |
[1] | Includes the effect of derivatives in fair-value hedging relationships on net interest income that is recorded in the interest income/expense line item of the respective hedged items. Excludes the interest income/expense of the respective hedged items, which fully offset the interest income/expense of the derivatives, except to the extent of any hedge ineffectiveness. Net interest settlements on derivatives that are not in fair-value hedging relationships are reported in other income (loss). These amounts do not include the effect of amortization/accretion related to fair value hedging activities. |
Derivative and Hedging Activi66
Derivative and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash collateral pledged to counterparties | $ 223,372 | $ 201,284 |
Cash collateral received from counterparties | 150 | $ 1,580 |
Net liability position, aggregate fair value | 229,185 | |
Collateral already posted, estimated fair value | 125,243 | |
Other derivative instruments in a net liability position | 866 | |
Additional collateral, fair value | $ 4,045 |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2015 | Dec. 31, 2014 | |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Discount Notes maturity period | 1 year | |
Discount Note [Abstract] | ||
Discount Notes | $ 14,425,407 | $ 12,567,696 |
CO Bonds [Abstract] | ||
Bonds | 28,872,703 | 25,503,138 |
CO Bonds | ||
CO Bonds [Abstract] | ||
Due in 1 year or less | 14,409,185 | 11,695,550 |
Due after 1 year through 2 years | 4,132,010 | 2,018,510 |
Due after 2 years through 3 years | 1,950,420 | 2,158,950 |
Due after 3 years through 4 years | 1,037,100 | 1,934,100 |
Due after 4 years through 5 years | 1,722,175 | 999,700 |
Thereafter | 5,591,500 | 6,692,000 |
Unamortized premiums | 28,882 | 27,138 |
Unamortized discounts | (13,713) | (14,913) |
Fair-value hedging adjustments | $ 15,144 | $ (7,897) |
Due in 1 year or less, WAIR % | 0.41% | 0.33% |
Due after 1 year through 2 years, WAIR % | 0.93% | 1.49% |
Due after 2 years through 3 years, WAIR % | 1.98% | 1.76% |
Due after 3 years through 4 years, WAIR % | 2.53% | 1.49% |
Due after 4 years through 5 years, WAIR % | 3.06% | 2.51% |
Thereafter, WAIR % | 3.18% | 3.11% |
Total WAIR% | 1.36% | 1.44% |
Earlier of Contractual Maturity or Next Call Date | ||
CO Bonds [Abstract] | ||
Due in 1 year or less | $ 21,167,185 | $ 19,918,550 |
Due after 1 year through 2 years | 3,365,010 | 1,651,510 |
Due after 2 years through 3 years | 1,164,420 | 883,950 |
Due after 3 years through 4 years | 727,100 | 461,100 |
Due after 4 years through 5 years | 1,264,175 | 543,700 |
Thereafter | 1,154,500 | 2,040,000 |
Non-callable / non-putable | ||
CO Bonds [Abstract] | ||
Bonds | 22,084,390 | 17,253,810 |
Callable | ||
CO Bonds [Abstract] | ||
Bonds | $ 6,758,000 | $ 8,245,000 |
Discount Notes | ||
Discount Note [Abstract] | ||
Weighted average effective interest rate | 0.19% | 0.12% |
FHLBanks | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated obligation | $ 856,500,000 | $ 847,200,000 |
Book value | ||
Discount Note [Abstract] | ||
Discount Notes | 14,425,407 | 12,567,696 |
Book value | CO Bonds | ||
CO Bonds [Abstract] | ||
Bonds | 28,872,703 | 25,503,138 |
Par value | ||
Discount Note [Abstract] | ||
Discount Notes | 14,432,375 | 12,570,811 |
CO Bonds [Abstract] | ||
Bonds | $ 28,842,390 | $ 25,498,810 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||||
Balance at beginning of period | $ 35,120 | $ 43,462 | $ 36,899 | $ 42,778 | |
Assessment (expense) | 3,121 | 3,583 | 10,338 | 11,199 | |
Subsidy usage, net | [1] | (5,258) | (5,431) | (14,254) | (12,363) |
Balance at end of period | $ 32,983 | $ 41,614 | $ 32,983 | $ 41,614 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Details)
Capital (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2015USD ($) | Sep. 30, 2014USD ($) | Sep. 30, 2015USD ($)Member | Sep. 30, 2014USD ($)Member | Dec. 31, 2014USD ($) | |
Regulatory Capital Requirements [Abstract] | |||||
Federal Home Loan Bank, Risk-Based Capital, Required | $ 492,930 | $ 492,930 | $ 566,683 | ||
Federal Home Loan Bank, Risk-Based Capital, Actual | $ 2,289,154 | $ 2,289,154 | $ 2,344,283 | ||
Regulatory permanent capital-to-asset ratio, Required | 4.00% | 4.00% | 4.00% | ||
Federal Home Loan Bank, Regulatory Capital Ratio, Actual | 4.90% | 4.90% | 5.60% | ||
Federal Home Loan Bank, Regulatory Capital, Required | $ 1,869,430 | $ 1,869,430 | $ 1,674,121 | ||
Federal Home Loan Bank, Regulatory Capital, Actual | $ 2,289,154 | $ 2,289,154 | $ 2,344,283 | ||
Leverage ratio, Required | 5.00% | 5.00% | 5.00% | ||
Federal Home Loan Bank, Leverage Ratio, Actual | 7.35% | 8.40% | |||
Federal Home Loan Bank, Leverage Capital, Required | $ 2,336,788 | $ 2,336,788 | $ 2,092,652 | ||
Federal Home Loan Bank, Leverage Capital, Actual | 3,433,731 | $ 3,433,731 | 3,516,425 | ||
Number of stockholders | Member | 7 | 8 | |||
Mandatorily Redeemable Capital Stock Acitvity [Roll Forward] | |||||
Liability at beginning of period | 14,341 | $ 16,785 | $ 15,673 | $ 16,787 | 16,787 |
Reclassification from capital stock due to change in membership status | 0 | 47 | 0 | 47 | |
Redemptions/repurchases | (157) | (695) | (1,489) | (697) | |
Liability at end of period | 14,184 | 16,137 | 14,184 | 16,137 | $ 15,673 |
Recorded as interest expense | 135 | 129 | 391 | 874 | |
Recorded as distributions from retained earnings | 0 | 0 | 0 | ||
Total | $ 135 | $ 129 | $ 391 | $ 874 | |
Excess and Surplus Capital Stock [Abstract] | |||||
Excess capital stock to assets allowed | 1.00% | 1.00% | |||
Excess capital stock | $ 197,914 | $ 197,914 | |||
Excess capital stock to assets | 0.40% | 0.40% |
Accumulated Other Comprehensi70
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Accumulated Other Comprehensive Income [Roll Forward] | ||||
Net change in fair value | $ (86) | $ (46) | $ (192) | $ (227) |
Pension benefits, net | (413) | (36) | (1,240) | (108) |
Total other comprehensive income (loss) | (16,356) | 10,247 | (20,168) | 35,704 |
Accumulated Other Comprehensive Income (Loss) [Member] | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | 42,848 | 47,177 | 46,660 | 21,720 |
Net change in unrealized gains (losses) | (15,895) | 10,265 | (18,830) | 35,715 |
Net change in fair value | (86) | (46) | (192) | (227) |
Accretion of non-credit loss | 9 | 22 | 33 | 54 |
Non-credit portion of OTTI losses | 29 | 42 | 61 | 270 |
Pension benefits, net | (413) | (36) | (1,240) | (108) |
Total other comprehensive income (loss) | (16,356) | 10,247 | (20,168) | 35,704 |
AOCI Balance, Ending | 26,492 | 57,424 | 26,492 | 57,424 |
Unrealized Gains (Losses) on AFS Securities | Available-for-sale Securities | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | 14,674 | 12,894 | 16,078 | 317 |
Net change in unrealized gains (losses) | (13,280) | 9,696 | (14,684) | 22,273 |
Total other comprehensive income (loss) | (13,280) | 9,696 | (14,684) | 22,273 |
AOCI Balance, Ending | 1,394 | 22,590 | 1,394 | 22,590 |
Non-Credit OTTI | Available-for-sale Securities | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | 36,567 | 38,856 | 38,172 | 25,936 |
Net change in unrealized gains (losses) | (2,615) | 569 | (4,146) | 13,442 |
Net change in fair value | (86) | (46) | (192) | (227) |
Non-credit portion of OTTI losses | 29 | 42 | 61 | 270 |
Total other comprehensive income (loss) | (2,672) | 565 | (4,277) | 13,485 |
AOCI Balance, Ending | 33,895 | 39,421 | 33,895 | 39,421 |
Non-Credit OTTI | HTM Securities | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | (151) | (209) | (175) | (241) |
Accretion of non-credit loss | 9 | 22 | 33 | 54 |
Total other comprehensive income (loss) | 9 | 22 | 33 | 54 |
AOCI Balance, Ending | (142) | (187) | (142) | (187) |
Pension Benefits | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | (8,242) | (4,364) | (7,415) | (4,292) |
Pension benefits, net | (413) | (36) | (1,240) | (108) |
Total other comprehensive income (loss) | (413) | (36) | (1,240) | (108) |
AOCI Balance, Ending | $ (8,655) | $ (4,400) | $ (8,655) | $ (4,400) |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | |
Segment Reporting Information [Line Items] | |||||
Net interest income | $ 48,104 | $ 45,440 | $ 144,141 | $ 136,721 | |
Provision for (reversal of) credit losses | (180) | (126) | (568) | (916) | |
Other income (loss) | 38 | 6,820 | 11,555 | 22,667 | |
Other expenses | 17,240 | 16,687 | 53,271 | 49,194 | |
Income before assessments | 31,082 | 35,699 | 102,993 | 111,110 | |
Affordable Housing Program assessments | 3,121 | 3,583 | 10,338 | 11,199 | |
Net Income | 27,961 | 32,116 | 92,655 | 99,911 | |
Assets | 46,735,755 | 46,735,755 | $ 41,853,032 | ||
Traditional | |||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 30,844 | 30,128 | 93,511 | 89,080 | |
Provision for (reversal of) credit losses | 0 | 0 | 0 | 0 | |
Other income (loss) | 425 | 7,266 | 14,089 | 23,732 | |
Other expenses | 15,269 | 14,565 | 45,941 | 42,808 | |
Income before assessments | 16,000 | 22,829 | 61,659 | 70,004 | |
Affordable Housing Program assessments | 1,612 | 2,296 | 6,204 | 7,088 | |
Net Income | 14,388 | 20,533 | 55,455 | 62,916 | |
Assets | 38,651,617 | 38,651,617 | 35,032,770 | ||
Mortgage Loans | |||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 17,260 | 15,312 | 50,630 | 47,641 | |
Provision for (reversal of) credit losses | (180) | (126) | (568) | (916) | |
Other income (loss) | (387) | (446) | (2,534) | (1,065) | |
Other expenses | 1,971 | 2,122 | 7,330 | 6,386 | |
Income before assessments | 15,082 | 12,870 | 41,334 | 41,106 | |
Affordable Housing Program assessments | 1,509 | 1,287 | 4,134 | 4,111 | |
Net Income | 13,573 | $ 11,583 | 37,200 | $ 36,995 | |
Assets | $ 8,084,138 | $ 8,084,138 | $ 6,820,262 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | |
Assets: | |||||||
Interest-bearing deposits | $ 221 | $ 483 | |||||
AFS securities | 3,551,371 | 3,556,165 | |||||
HTM securities | 6,251,199 | 7,098,616 | |||||
Derivative assets, net | 43,182 | 25,487 | |||||
Netting adjustment | [1],[2] | 6,554 | (30,961) | ||||
Consolidated Obligations: | |||||||
Derivative liabilities, net (Note 9) | 104,808 | 103,253 | |||||
Netting adjustment | [1],[2] | (216,668) | (230,665) | ||||
MRCS | 14,184 | $ 14,341 | 15,673 | $ 16,137 | $ 16,785 | $ 16,787 | |
Level 1 [Member] | |||||||
Assets: | |||||||
Cash and due from banks | 3,431,274 | 3,550,939 | |||||
Interest-bearing deposits | 0 | 0 | |||||
Securities Purchased Under Agreements to Resell | 0 | ||||||
Federal funds sold | 0 | ||||||
AFS securities | 0 | 0 | |||||
HTM securities | 0 | 0 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net | 0 | 0 | |||||
Accrued interest receivable | 0 | 0 | |||||
Derivative assets, net | 0 | 0 | |||||
Grantor trust assets (included in other assets) | 14,241 | 12,980 | |||||
Liabilities: | |||||||
Deposits | 0 | 0 | |||||
Consolidated Obligations: | |||||||
Discount notes | 0 | 0 | |||||
Bonds | 0 | 0 | |||||
Accrued interest payable | 0 | 0 | |||||
Derivative liabilities, net (Note 9) | 0 | 0 | |||||
MRCS | 14,184 | 15,673 | |||||
Level 2 [Member] | |||||||
Assets: | |||||||
Cash and due from banks | 0 | 0 | |||||
Interest-bearing deposits | 221 | 483 | |||||
Securities Purchased Under Agreements to Resell | 750,000 | ||||||
Federal funds sold | 270,000 | ||||||
AFS securities | 3,209,069 | 3,155,115 | |||||
HTM securities | 6,162,539 | 6,987,768 | |||||
Advances | 24,342,156 | 20,844,701 | |||||
Mortgage loans held for portfolio, net | 8,333,864 | 7,078,490 | |||||
Accrued interest receivable | 85,931 | 82,866 | |||||
Derivative assets, net | 36,628 | 56,448 | |||||
Grantor trust assets (included in other assets) | 0 | 0 | |||||
Liabilities: | |||||||
Deposits | 749,019 | 1,084,042 | |||||
Consolidated Obligations: | |||||||
Discount notes | 14,432,375 | 12,570,811 | |||||
Bonds | 29,271,813 | 25,882,934 | |||||
Accrued interest payable | 83,679 | 77,034 | |||||
Derivative liabilities, net (Note 9) | 321,476 | 333,918 | |||||
MRCS | 0 | 0 | |||||
Level 3 [Member] | |||||||
Assets: | |||||||
Cash and due from banks | 0 | 0 | |||||
Interest-bearing deposits | 0 | 0 | |||||
Securities Purchased Under Agreements to Resell | 0 | ||||||
Federal funds sold | 0 | ||||||
AFS securities | 342,302 | 401,050 | |||||
HTM securities | 88,660 | 110,848 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net | 30,999 | 42,445 | |||||
Accrued interest receivable | 0 | 0 | |||||
Derivative assets, net | 0 | 0 | |||||
Grantor trust assets (included in other assets) | 0 | 0 | |||||
Liabilities: | |||||||
Deposits | 0 | 0 | |||||
Consolidated Obligations: | |||||||
Discount notes | 0 | 0 | |||||
Bonds | 0 | 0 | |||||
Accrued interest payable | 0 | 0 | |||||
Derivative liabilities, net (Note 9) | 0 | 0 | |||||
MRCS | 0 | 0 | |||||
Fair Value | |||||||
Assets: | |||||||
Cash and due from banks | 3,431,274 | 3,550,939 | |||||
Interest-bearing deposits | 221 | 483 | |||||
Securities Purchased Under Agreements to Resell | 750,000 | ||||||
Federal funds sold | 270,000 | ||||||
AFS securities | 3,551,371 | 3,556,165 | |||||
HTM securities | 6,251,199 | 7,098,616 | |||||
Advances | 24,342,156 | 20,844,701 | |||||
Mortgage loans held for portfolio, net | 8,364,863 | 7,120,935 | |||||
Accrued interest receivable | 85,931 | 82,866 | |||||
Derivative assets, net | 43,182 | 25,487 | |||||
Grantor trust assets (included in other assets) | 14,241 | 12,980 | |||||
Liabilities: | |||||||
Deposits | 749,019 | 1,084,042 | |||||
Consolidated Obligations: | |||||||
Discount notes | 14,432,375 | 12,570,811 | |||||
Bonds | 29,271,813 | 25,882,934 | |||||
Accrued interest payable | 83,679 | 77,034 | |||||
Derivative liabilities, net (Note 9) | 104,808 | 103,253 | |||||
MRCS | 14,184 | 15,673 | |||||
Book value | |||||||
Assets: | |||||||
Cash and due from banks | 3,431,274 | 3,550,939 | |||||
Interest-bearing deposits | 221 | 483 | |||||
Securities Purchased Under Agreements to Resell | 750,000 | ||||||
Federal funds sold | 270,000 | ||||||
AFS securities | 3,551,371 | 3,556,165 | |||||
HTM securities | 6,142,413 | 6,982,115 | |||||
Advances | 24,297,197 | 20,789,667 | |||||
Mortgage loans held for portfolio, net | 8,084,138 | 6,820,262 | |||||
Accrued interest receivable | 85,931 | 82,866 | |||||
Derivative assets, net | 43,182 | 25,487 | |||||
Grantor trust assets (included in other assets) | 14,241 | 12,980 | |||||
Liabilities: | |||||||
Deposits | 749,019 | 1,084,042 | |||||
Consolidated Obligations: | |||||||
Discount notes | 14,425,407 | 12,567,696 | |||||
Bonds | 28,872,703 | 25,503,138 | |||||
Accrued interest payable | 83,679 | 77,034 | |||||
Derivative liabilities, net (Note 9) | 104,808 | 103,253 | |||||
MRCS | $ 14,184 | $ 15,673 | |||||
[1] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||||||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at September 30, 2015 and December 31, 2014 was $223,372 and $201,284, respectively. Cash collateral received from counterparties at September 30, 2015 and December 31, 2014 was $150 and $1,580, respectively. |
Estimated Fair Values (Estimate
Estimated Fair Values (Estimated Fair Value on a Recurring and Non-Recurring Basis) (Details) - USD ($) $ in Thousands | Sep. 30, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | $ 3,551,371 | $ 3,556,165 | |
Derivative assets: | |||
Derivative assets, net | 43,182 | 25,487 | |
Netting adjustment | [1],[2] | 6,554 | (30,961) |
Derivative liabilities: | |||
Derivative liabilities, net | 104,808 | 103,253 | |
Netting adjustment | [1],[2] | (216,668) | (230,665) |
GSE MBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 79,936 | ||
Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | |
Derivative assets: | |||
Derivative assets, net | 0 | 0 | |
Grantor trust assets (included in other assets) | 14,241 | 12,980 | |
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 3,209,069 | 3,155,115 | |
Mortgage loans held for portfolio | 8,333,864 | 7,078,490 | |
Derivative assets: | |||
Derivative assets, net | 36,628 | 56,448 | |
Grantor trust assets (included in other assets) | 0 | 0 | |
Derivative liabilities: | |||
Derivative liabilities, net | 321,476 | 333,918 | |
Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 342,302 | 401,050 | |
Mortgage loans held for portfolio | 30,999 | 42,445 | |
Derivative assets: | |||
Derivative assets, net | 0 | 0 | |
Grantor trust assets (included in other assets) | 0 | 0 | |
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 3,551,371 | 3,556,165 | |
Derivative assets: | |||
Derivative assets, net | 43,182 | 25,487 | |
Netting adjustment | 6,554 | (30,961) | |
Grantor trust assets (included in other assets) | 14,241 | 12,980 | |
Total assets at recurring estimated fair value | 3,608,794 | 3,594,632 | |
Derivative liabilities: | |||
Derivative liabilities, net | 104,808 | 103,253 | |
Netting adjustment | (216,668) | (230,665) | |
Total liabilities at recurring estimated fair value | 104,808 | 103,253 | |
Fair Value, Measurements, Recurring [Member] | Interest Rate Contract | |||
Derivative assets: | |||
Derivative assets, net | 42,607 | 24,776 | |
Netting adjustment | 6,554 | (30,961) | |
Derivative liabilities: | |||
Derivative liabilities, net | 103,942 | 101,616 | |
Netting adjustment | (216,668) | (230,665) | |
Fair Value, Measurements, Recurring [Member] | MDCs | |||
Derivative assets: | |||
Derivative assets, net | 575 | 711 | |
Netting adjustment | 0 | 0 | |
Derivative liabilities: | |||
Derivative liabilities, net | 1 | 6 | |
Netting adjustment | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | GSE and TVA Debentures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 3,129,133 | 3,155,115 | |
Fair Value, Measurements, Recurring [Member] | GSE MBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 79,936 | ||
Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 342,302 | 401,050 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 0 | 0 | |
Derivative assets: | |||
Derivative assets, net | 0 | 0 | |
Grantor trust assets (included in other assets) | 14,241 | 12,980 | |
Total assets at recurring estimated fair value | 14,241 | 12,980 | |
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Total liabilities at recurring estimated fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Contract | |||
Derivative assets: | |||
Derivative assets, net | 0 | 0 | |
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | MDCs | |||
Derivative assets: | |||
Derivative assets, net | 0 | 0 | |
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | GSE and TVA Debentures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | GSE MBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 3,209,069 | 3,155,115 | |
Derivative assets: | |||
Derivative assets, net | 36,628 | 56,448 | |
Grantor trust assets (included in other assets) | 0 | 0 | |
Total assets at recurring estimated fair value | 3,245,697 | 3,211,563 | |
Derivative liabilities: | |||
Derivative liabilities, net | 321,476 | 333,918 | |
Total liabilities at recurring estimated fair value | 321,476 | 333,918 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Contract | |||
Derivative assets: | |||
Derivative assets, net | 36,053 | 55,737 | |
Derivative liabilities: | |||
Derivative liabilities, net | 320,610 | 332,281 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | MDCs | |||
Derivative assets: | |||
Derivative assets, net | 575 | 711 | |
Derivative liabilities: | |||
Derivative liabilities, net | 1 | 6 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | GSE and TVA Debentures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 3,129,133 | 3,155,115 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | GSE MBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 79,936 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 342,302 | 401,050 | |
Derivative assets: | |||
Derivative assets, net | 0 | 0 | |
Grantor trust assets (included in other assets) | 0 | 0 | |
Total assets at recurring estimated fair value | 342,302 | 401,050 | |
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Total liabilities at recurring estimated fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Contract | |||
Derivative assets: | |||
Derivative assets, net | 0 | 0 | |
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | MDCs | |||
Derivative assets: | |||
Derivative assets, net | 0 | 0 | |
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | GSE and TVA Debentures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | GSE MBS | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities | 342,302 | 401,050 | |
Fair Value, Measurements, Nonrecurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage loans held for portfolio | [3] | 4,593 | |
Total assets at non-recurring estimated fair value | 4,593 | ||
Fair Value, Measurements, Nonrecurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage loans held for portfolio | [3] | 0 | |
Total assets at non-recurring estimated fair value | 0 | ||
Fair Value, Measurements, Nonrecurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage loans held for portfolio | [3] | 0 | |
Total assets at non-recurring estimated fair value | 0 | ||
Fair Value, Measurements, Nonrecurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage loans held for portfolio | [3] | 4,593 | |
Total assets at non-recurring estimated fair value | 4,593 | ||
Interest-rate forwards | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract | |||
Derivative liabilities: | |||
Derivative liabilities, net | 865 | 1,631 | |
Netting adjustment | 0 | 0 | |
Interest-rate forwards | Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Contract | |||
Derivative liabilities: | |||
Derivative liabilities, net | 0 | 0 | |
Interest-rate forwards | Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Contract | |||
Derivative liabilities: | |||
Derivative liabilities, net | 865 | 1,631 | |
Interest-rate forwards | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Contract | |||
Derivative liabilities: | |||
Derivative liabilities, net | $ 0 | $ 0 | |
[1] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at September 30, 2015 and December 31, 2014 was $223,372 and $201,284, respectively. Cash collateral received from counterparties at September 30, 2015 and December 31, 2014 was $150 and $1,580, respectively. | ||
[3] | Amounts are as of the date the fair value adjustment was recorded during the nine months ended September 30, 2015. |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Net change in fair value not in excess of cumulative non-credit losses in OCI | $ (86) | $ (46) | $ (192) | $ (227) |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Private-label RMBS - prime | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 364,719 | 442,712 | 401,050 | 469,685 |
Accretion of credit losses in interest income | 2,580 | 872 | 5,941 | 1,746 |
Net gains (losses) on changes in fair value in other income (loss) | (29) | (42) | (61) | (270) |
Net change in fair value not in excess of cumulative non-credit losses in OCI | (86) | (46) | (192) | (227) |
Unrealized gains (losses) in OCI | (2,615) | 569 | (4,146) | 13,442 |
Reclassification of non-credit portion in OCI to other income (loss) | 29 | 42 | 61 | 270 |
Settlements | (22,296) | (25,260) | (60,351) | (65,799) |
Balance, end of period | 342,302 | 418,847 | 342,302 | 418,847 |
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ 2,550 | $ 830 | $ 5,879 | $ 1,476 |
Commitments and Contingencies75
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | ||
Loss Contingencies [Line Items] | ||||||
Cash collateral pledged | $ 223,359,000 | $ 223,359,000 | $ 201,267,000 | |||
Gain from litigation settlement | 0 | $ 5,532,000 | 4,732,000 | $ 14,080,000 | ||
Letters of credit outstanding | ||||||
Loss Contingencies [Line Items] | ||||||
Off-balance-sheet commitments expire within one year | 70,736,000 | 70,736,000 | ||||
Off-balance-sheet commitments expire after one year | 202,179,000 | 202,179,000 | ||||
Off-balance-sheet commitments, Total | 272,915,000 | 272,915,000 | ||||
Unused lines of credit | ||||||
Loss Contingencies [Line Items] | ||||||
Off-balance-sheet commitments expire within one year | [1] | 966,138,000 | 966,138,000 | |||
Off-balance-sheet commitments expire after one year | [1] | 0 | 0 | |||
Off-balance-sheet commitments, Total | [1] | 966,138,000 | 966,138,000 | |||
Commitments to fund additional advances | ||||||
Loss Contingencies [Line Items] | ||||||
Off-balance-sheet commitments expire within one year | [2] | 39,250,000 | 39,250,000 | |||
Off-balance-sheet commitments expire after one year | [2] | 0 | 0 | |||
Off-balance-sheet commitments, Total | [2] | 39,250,000 | $ 39,250,000 | |||
Commitments to fund additional Advances are generally for periods up | 6 months | |||||
Commitments to fund or purchase mortgage loans | ||||||
Loss Contingencies [Line Items] | ||||||
Off-balance-sheet commitments expire within one year | [3] | 120,905,000 | $ 120,905,000 | |||
Off-balance-sheet commitments expire after one year | [3] | 0 | 0 | |||
Off-balance-sheet commitments, Total | [3] | 120,905,000 | $ 120,905,000 | |||
Commitments to fund additional Advances are generally for periods up | 91 days | |||||
Unsettled CO bonds, at par | ||||||
Loss Contingencies [Line Items] | ||||||
Off-balance-sheet commitments expire within one year | [4] | 436,000,000 | $ 436,000,000 | |||
Off-balance-sheet commitments expire after one year | [4] | 0 | 0 | |||
Off-balance-sheet commitments, Total | [4] | 436,000,000 | 436,000,000 | |||
Letters of Credit | ||||||
Loss Contingencies [Line Items] | ||||||
Maximum line of credit | 50,000,000 | 50,000,000 | ||||
Unsecured Debt | Interest-rate swaps | ||||||
Loss Contingencies [Line Items] | ||||||
Off-balance-sheet commitments, Total | $ 265,000,000 | $ 265,000,000 | ||||
[1] | Maximum line of credit amount per member is $50,000 | |||||
[2] | Generally for periods up to six months. | |||||
[3] | Generally for periods up to 91 days. | |||||
[4] | Includes $265,000 hedged with associated interest-rate swaps. |
Transactions with Related Par76
Transactions with Related Parties and Other Entities (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2015 | Sep. 30, 2014 | Sep. 30, 2015 | Sep. 30, 2014 | Dec. 31, 2014 | ||
Related Party Transaction [Line Items] | ||||||
Total advances, par value | $ 24,100,155,000 | $ 24,100,155,000 | $ 20,630,202,000 | |||
Total mortgage loans held for portfolio, UPB | 7,923,757,000 | 7,923,757,000 | 6,704,442,000 | |||
Mortgage loans purchased | 2,306,586,000 | $ 945,230,000 | ||||
Payment for participation interest | $ 0 | 11,011,000 | ||||
Service fees | 256,000 | 220,000 | 644,000 | 662,000 | ||
Flagstar Bank, FSB | ||||||
Related Party Transaction [Line Items] | ||||||
Net advances to (repayments from) | (881,705,000) | (838,000,000) | ||||
Directors' Financial Institutions | ||||||
Related Party Transaction [Line Items] | ||||||
Capital Stock, including MRCS, par value | $ 34,457,000 | $ 34,457,000 | $ 40,213,000 | |||
Capital Stock, including MRCS, % of Total | 2.00% | 2.00% | 3.00% | |||
Total advances, par value | $ 310,530,000 | $ 310,530,000 | $ 261,146,000 | |||
Advances, % of Total | 1.00% | 1.00% | 1.00% | |||
Total mortgage loans held for portfolio, UPB | [1] | $ 208,037,000 | $ 208,037,000 | $ 167,072,000 | ||
Mortgage Loans Held for Portfolio, % of Total | [1] | 3.00% | 3.00% | 2.00% | ||
Net advances to (repayments from) | $ (24,426,000) | 18,178,000 | $ (27,046,000) | (6,558,000) | ||
Mortgage loans purchased | 12,062,000 | 14,557,000 | 33,186,000 | 29,212,000 | ||
FHLBank of Chicago | ||||||
Related Party Transaction [Line Items] | ||||||
Service fees | $ 65,000 | $ 73,000 | $ 200,000 | $ 223,000 | ||
[1] | Represents UPB of mortgage loans purchased from directors' financial institutions. |