Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Oct. 31, 2016 | |
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, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Common B Shares Outstanding | 16,198,619 |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Assets: | ||
Cash and due from banks | $ 658,314 | $ 4,931,602 |
Interest-bearing deposits | 155,359 | 161 |
Securities purchased under agreements to resell | 2,250,000 | 0 |
Federal funds sold | 1,450,000 | 0 |
Available-for-sale securities (Notes 3 and 5) | 6,349,317 | 4,069,149 |
Held-to-maturity securities (estimated fair values of $6,072,716 and $6,405,865, respectively) (Notes 4 and 5) | 6,000,371 | 6,345,337 |
Advances (Note 6) | 26,473,137 | 26,908,908 |
Mortgage loans held for portfolio, net of allowance for loan losses of $(850) and $(1,125), respectively (Notes 7 and 8) | 9,269,930 | 8,145,790 |
Accrued interest receivable | 94,380 | 88,377 |
Premises, software, and equipment, net | 36,995 | 38,501 |
Derivative assets, net (Note 9) | 140,239 | 49,867 |
Other assets | 31,227 | 30,412 |
Total assets | 52,909,269 | 50,608,104 |
Liabilities: | ||
Deposits | 578,232 | 556,764 |
Consolidated obligations (Note 10): | ||
Discount notes | 16,392,571 | 19,251,376 |
Bonds | 32,740,146 | 27,861,617 |
Total consolidated obligations, net | 49,132,717 | 47,112,993 |
Accrued interest payable | 90,595 | 81,836 |
Affordable Housing Program payable (Note 11) | 23,669 | 31,103 |
Derivative liabilities, net (Note 9) | 94,250 | 80,614 |
Mandatorily redeemable capital stock (Note 12) | 179,219 | 14,063 |
Other liabilities | 470,722 | 344,934 |
Total liabilities | 50,569,404 | 48,222,307 |
Commitments and contingencies (Note 16) | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | 1,437,764 | 1,527,806 |
Retained earnings: | ||
Unrestricted | 717,694 | 705,449 |
Restricted | 144,199 | 129,664 |
Total retained earnings | 861,893 | 835,113 |
Total accumulated other comprehensive income (Note 13) | 40,208 | 22,878 |
Total capital | 2,339,865 | 2,385,797 |
Total liabilities and capital | 52,909,269 | 50,608,104 |
Class B-1 issued and outstanding shares: 14,354,794 and 15,277,692, respectively | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | 1,435,480 | 1,527,769 |
Class B-2 issued and outstanding shares: 22,843 and 371, respectively | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | $ 2,284 | $ 37 |
Statements of Condition (Unaud3
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 |
Held-to-Maturity Securities - Estimated Fair Values | $ 6,072,716 | $ 6,405,865 |
Allowance for loan losses | $ (850) | $ (1,125) |
Class B-1 [Member] | ||
Common stock issued (in shares) | 14,354,794 | 15,277,692 |
Common stock outstanding (in shares) | 14,354,794 | 15,277,692 |
Class B-2 [Member] | ||
Common stock issued (in shares) | 22,843 | 371 |
Common stock outstanding (in shares) | 22,843 | 371 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest Income: | ||||
Advances | $ 55,487 | $ 32,584 | $ 155,243 | $ 90,263 |
Prepayment fees on advances, net | 6 | 7 | 205 | 299 |
Interest-bearing deposits | 252 | 51 | 650 | 158 |
Securities purchased under agreements to resell | 2,769 | 468 | 4,992 | 935 |
Federal funds sold | 1,655 | 718 | 7,165 | 1,882 |
Available-for-sale securities | 18,218 | 8,556 | 47,997 | 23,382 |
Held-to-maturity securities | 30,638 | 28,353 | 84,427 | 87,100 |
Mortgage loans held for portfolio | 67,994 | 68,676 | 205,165 | 195,076 |
Other interest income, net | 434 | (784) | 1,171 | (739) |
Total interest income | 177,453 | 138,629 | 507,015 | 398,356 |
Interest Expense: | ||||
Consolidated obligation discount notes | 16,485 | 4,834 | 47,588 | 11,307 |
Consolidated obligation bonds | 109,368 | 85,536 | 309,767 | 242,455 |
Deposits | 190 | 20 | 412 | 62 |
Mandatorily redeemable capital stock | 1,880 | 135 | 4,748 | 391 |
Total interest expense | 127,923 | 90,525 | 362,515 | 254,215 |
Net interest income | 49,530 | 48,104 | 144,500 | 144,141 |
Provision for (reversal of) credit losses | 85 | (180) | (132) | (568) |
Net interest income after provision for credit losses | 49,445 | 48,284 | 144,632 | 144,709 |
Other Income (Loss): | ||||
Total other-than-temporary impairment losses | 0 | 0 | 0 | 0 |
Non-credit portion reclassified to (from) other comprehensive income, net | (75) | (29) | (168) | (61) |
Net other-than-temporary impairment losses, credit portion | (75) | (29) | (168) | (61) |
Net gains (losses) on derivatives and hedging activities | (4,826) | (659) | (9,716) | 4,724 |
Service fees | 227 | 256 | 970 | 644 |
Standby letters of credit fees | 165 | 162 | 570 | 501 |
Other, net (Note 16) | 339 | 308 | 1,089 | 5,747 |
Total other income (loss) | (4,170) | 38 | (7,255) | 11,555 |
Other Expenses: | ||||
Compensation and benefits | 11,274 | 10,181 | 33,195 | 31,879 |
Other operating expenses | 6,307 | 5,493 | 17,643 | 16,126 |
Federal Housing Finance Agency | 661 | 595 | 2,110 | 1,905 |
Office of Finance | 785 | 621 | 2,373 | 2,271 |
Other | 272 | 350 | 778 | 1,090 |
Total other expenses | 19,299 | 17,240 | 56,099 | 53,271 |
Income before assessments | 25,976 | 31,082 | 81,278 | 102,993 |
Affordable Housing Program assessments | 2,786 | 3,121 | 8,603 | 10,338 |
Net Income | $ 23,190 | $ 27,961 | $ 72,675 | $ 92,655 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 23,190 | $ 27,961 | $ 72,675 | $ 92,655 |
Other Comprehensive Income (Loss): | ||||
Net change in unrealized gains (losses) on available-for-sale securities | 24,784 | (13,280) | 23,878 | (14,684) |
Non-credit portion of other-than-temporary impairment losses on available-for-sale securities: | ||||
Reclassification of non-credit portion to other income (loss) | 75 | 29 | 168 | 61 |
Net change in fair value not in excess of cumulative non-credit losses | (131) | (86) | (79) | (192) |
Unrealized gains (losses) | 564 | (2,615) | (5,733) | (4,146) |
Net non-credit portion of other-than-temporary impairment losses on available-for-sale securities | 508 | (2,672) | (5,644) | (4,277) |
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities: | ||||
Accretion of non-credit portion | 6 | 9 | 22 | 33 |
Net non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 6 | 9 | 22 | 33 |
Pension benefits, net | (310) | (413) | (926) | (1,240) |
Total other comprehensive income (loss) | 24,988 | (16,356) | 17,330 | (20,168) |
Total comprehensive income | $ 48,178 | $ 11,605 | $ 90,005 | $ 72,487 |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | $ 2,385,797 | $ 2,375,270 | ||
Total comprehensive income | $ 48,178 | $ 11,605 | 90,005 | 72,487 |
Proceeds from issuance of capital stock | 93,014 | 142,347 | ||
Stock Repurchased During Period, Value | (240,335) | |||
Shares reclassified to mandatorily redeemable capital stock, net | (4,158) | 0 | (183,056) | 0 |
Distributions on mandatorily redeemable capital stock | (1,072) | |||
Cash dividends on capital stock (4.25% and 4.08% in 2016 and 2015, respectively, annualized) | (44,823) | (48,307) | ||
Ending Balance | $ 2,339,865 | $ 2,301,462 | $ 2,339,865 | $ 2,301,462 |
Capital Stock Class B Putable [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance, Shares | 15,278 | 15,510 | ||
Beginning Balance | $ 1,527,806 | $ 1,550,981 | ||
Proceeds from issuance of capital stock, shares | 930 | 1,423 | ||
Proceeds from issuance of capital stock | $ 93,014 | $ 142,347 | ||
Stock Repurchased During Period, Shares | (2,403) | |||
Stock Repurchased During Period, Value | $ 240,335 | |||
Shares reclassified to mandatorily redeemable capital stock, net, shares | (1,830) | |||
Shares reclassified to mandatorily redeemable capital stock, net | $ (183,056) | |||
Ending Balance, Shares | 14,378 | 14,530 | 14,378 | 14,530 |
Ending Balance | $ 1,437,764 | $ 1,452,993 | $ 1,437,764 | $ 1,452,993 |
Retained Earnings Total [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 835,113 | 777,629 | ||
Total comprehensive income | 72,675 | 92,655 | ||
Distributions on mandatorily redeemable capital stock | (1,072) | |||
Cash dividends on capital stock (4.25% and 4.08% in 2016 and 2015, respectively, annualized) | (44,823) | (48,307) | ||
Ending Balance | 861,893 | 821,977 | 861,893 | 821,977 |
Retained Earnings, Unrestricted [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 705,449 | 672,159 | ||
Total comprehensive income | 58,140 | 74,124 | ||
Distributions on mandatorily redeemable capital stock | (1,072) | |||
Cash dividends on capital stock (4.25% and 4.08% in 2016 and 2015, respectively, annualized) | (44,823) | (48,307) | ||
Ending Balance | 717,694 | 697,976 | 717,694 | 697,976 |
Retained Earnings, Restricted [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 129,664 | 105,470 | ||
Total comprehensive income | 14,535 | 18,531 | ||
Distributions on mandatorily redeemable capital stock | 0 | |||
Cash dividends on capital stock (4.25% and 4.08% in 2016 and 2015, respectively, annualized) | 0 | 0 | ||
Ending Balance | 144,199 | 124,001 | 144,199 | 124,001 |
Accumulated Other Comprehensive Income (Loss) [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 22,878 | 46,660 | ||
Total comprehensive income | 17,330 | (20,168) | ||
Ending Balance | $ 40,208 | $ 26,492 | $ 40,208 | $ 26,492 |
Statements of Capital (Unaudit7
Statements of Capital (Unaudited) (Parenthetical) | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Statement of Stockholders' Equity [Abstract] | ||
Annualized Dividend Rate on Capital Stock (percentage) | 4.25% | 4.08% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Operating Activities: | |||
Net income | $ 72,675 | $ 92,655 | |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Amortization and depreciation | 42,947 | 41,702 | |
Prepayment fees on advances, net of related swap termination fees | (526) | (1,862) | |
Changes in net derivative and hedging activities | 30,601 | 35,970 | |
Net other-than-temporary impairment losses, credit portion | 168 | 61 | |
Provision for (reversal of) credit losses | (132) | (568) | |
Changes in: | |||
Accrued interest receivable | (6,133) | (3,197) | |
Other assets | 652 | (3,331) | |
Accrued interest payable | 8,759 | 6,645 | |
Other liabilities | 23,258 | 24,809 | |
Total adjustments, net | 99,594 | 100,229 | |
Net cash provided by operating activities | 172,269 | 192,884 | |
Net changes in: | |||
Interest-bearing deposits | (335,205) | (21,831) | |
Securities purchased under agreements to resell | (2,250,000) | (750,000) | |
Federal funds sold | (1,450,000) | (270,000) | |
Available-for-sale securities: | |||
Proceeds from maturities | 641,054 | 60,350 | |
Purchases | (2,643,720) | (79,866) | |
Held-to-maturity securities: | |||
Proceeds from maturities | 1,035,530 | 1,144,000 | |
Purchases | (845,844) | (316,868) | |
Advances: | |||
Principal repayments | 106,942,904 | 65,787,838 | |
Disbursements to members | (106,464,271) | (69,257,792) | |
Mortgage loans held for portfolio: | |||
Principal collections | 1,202,287 | 1,027,539 | |
Purchases from members | (2,307,678) | (2,306,586) | |
Purchases of premises, software, and equipment | (2,830) | (3,248) | |
Net cash used in investing activities | (6,477,773) | (4,986,464) | |
Financing Activities: | |||
Changes in deposits | 20,808 | (336,453) | |
Net payments on derivative contracts with financing elements | (28,417) | (45,278) | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 273,582,542 | 58,752,115 | |
Bonds | 26,104,166 | 17,396,692 | |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (276,449,167) | (56,898,077) | |
Bonds | (21,226,935) | (14,047,300) | |
Proceeds from issuance of capital stock | 93,014 | 142,347 | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (18,972) | (1,489) | |
Payments for redemption/repurchase of capital stock | 0 | (240,335) | |
Dividend payments on capital stock | (44,823) | (48,307) | |
Net cash provided by financing activities | 2,032,216 | 4,673,915 | |
Net increase (decrease) in cash and due from banks | (4,273,288) | (119,665) | |
Cash and due from banks at beginning of period | 4,931,602 | 3,550,939 | |
Cash and due from banks at end of period | 658,314 | 3,431,274 | |
Supplemental Disclosures: | |||
Interest payments | 302,462 | 234,740 | |
Purchases of securities traded but not yet settled | 230,700 | 0 | |
Affordable Housing Program payments | [1] | 16,037 | 14,254 |
Capitalized interest on certain held-to-maturity securities | 875 | 1,245 | |
Par value of shares reclassified to mandatorily redeemable capital stock, net | $ 183,056 | $ 0 | |
[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, 2016 | |
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 We use certain acronyms and terms throughout these notes to 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. Basis of Presentation. The accompanying interim financial statements 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. These interim financial statements should be read in conjunction with our audited financial statements and notes thereto, which are included in our 2015 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 calendar 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 2015 Form 10-K. There have been no significant changes to these policies through September 30, 2016 , with the exception of the change in accounting principle. Change in Accounting Principle. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires a reclassification on the statement of condition of unamortized debt issuance costs related to a recognized debt liability from assets to a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The guidance became effective for the interim and annual periods beginning on January 1, 2016 and was adopted retrospectively. As a result, unamortized concessions on consolidated obligations that were included in other assets at December 31, 2015 were reclassified as a reduction to the corresponding consolidated obligations. The reclassification resulted in a reduction in consolidated obligation discount notes of $920 and consolidated obligation bonds of $11,113 at December 31, 2015 . Accordingly, total assets and total liabilities were each reduced at December 31, 2015 by $12,033 . The adoption of this guidance did not have any effect on our results of operations or 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 derivatives and hedging activities, fair value estimates, the provision for credit losses, and OTTI. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. Reclassifications. We have reclassified certain amounts from the prior period to conform to the current period presentation. These reclassifications had no effect on net income, total comprehensive income, total capital, or net cash flows. |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 9 Months Ended |
Sep. 30, 2016 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance Recently Adopted Accounting Guidance. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships . On March 10, 2016, the FASB issued amendments to clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under GAAP does not, in and of itself, require dedesignation of that hedging relationship provided that all other hedge accounting criteria continue to be met. This guidance becomes effective for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The amendments provide entities with the option to apply the guidance using either a prospective approach or a modified retrospective approach to all derivative instruments that meet the specific conditions. We elected to early adopt the guidance prospectively on January 1, 2016. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows. 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. If the arrangement contains a software license, the license element of the arrangement should be accounted for as internal-use software; otherwise, the arrangement should be accounted for as a service contract. The guidance became effective for the interim and annual periods beginning on January 1, 2016 and was adopted prospectively. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows. Amendments to the Consolidation Analysis. On February 18, 2015, the FASB issued amended guidance to enhance the consolidation analysis for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and MBS transactions). The new guidance primarily emphasizes: (i) 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 interest in a VIE; and (iii) potentially changing consolidation exclusions for entities in several industries that typically make use of limited partnerships or VIEs. The guidance became effective for the interim and annual periods beginning on January 1, 2016 and was adopted prospectively. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows. Recently Issued Accounting Guidance. Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify guidance on the classification of certain cash receipts and payments on the statement of cash flows to reduce current and potential future diversity in practice regarding eight specific cash flow issues. This guidance is effective for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied using a retrospective transition method to each period presented. We are in the process of evaluating this guidance. Although the adoption of this guidance will have no effect on our financial condition or results of operations, its effect on the statement of cash flows has not yet been determined. Measurement of Credit Losses on Financial Instruments. On June 16, 2016, the FASB issued amended guidance for the measurement of credit losses on financial instruments. The amendments require entities to measure expected losses instead of incurred losses. Such measurement must be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate in its circumstances. The new guidance requires a financial asset, or a group of financial assets, measured at amortized cost basis to be presented at the net amount expected to be collected over the contractual term of the financial asset. The guidance also requires, among other provisions, the following: • The statement of income must reflect the measurement of credit losses for newly recognized financial assets, as well as the increases or decreases in expected credit losses that have taken place during the period; • Entities must determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination in a manner similar to other financial assets measured at amortized cost. The initial allowance for credit losses is required to be added to the purchase price; • Entities must record credit losses relating to AFS debt securities through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost; and • Public entities must further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination (i.e., vintage). This guidance is effective for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted as of the interim and annual reporting periods beginning after December 15, 2018. This guidance should be applied using a modified-retrospective approach whereby a cumulative-effect adjustment is recorded to retained earnings as of the beginning of the first reporting period in which the guidance is adopted. In addition, the guidance requires the use of a prospective transition approach for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which OTTI had been recognized before the effective date. We are in the process of evaluating this guidance. Therefore, its effect on our financial condition, results of operations, and cash flows has not yet been determined. Contingent Put and Call Options in Debt Instruments . On March 14, 2016, the FASB issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt host contracts. The guidance requires entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance becomes effective for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The guidance should be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are adopted. We are in the process of evaluating this guidance. Therefore, its effect on our financial condition, results of operations, and cash flows has not yet been determined. Revenue from Contracts with Customers. On May 28, 2014, the FASB issued new guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for recognizing revenue arising from contracts with customers and supersedes 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 certain other standards, such as financial instruments, certain guarantees, insurance contracts, or lease contracts. The guidance provides entities with the option of using either of the following two methods upon adoption: (i) a full retrospective method, applied to each prior reporting period presented; or (ii) a modified retrospective method, with the cumulative effect of initially applying this guidance recognized at the date of initial adoption. On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance by one year. In 2016, the FASB has issued additional amendments to clarify certain aspects of the guidance; however, the amendments do not change the core principle in the guidance. The guidance is effective for interim and annual periods beginning on January 1, 2018. Early adoption is permitted only as of the interim and annual reporting periods beginning after January 1, 2017. 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. |
Available-for-Sale Securities
Available-for-Sale Securities | 9 Months Ended |
Sep. 30, 2016 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | Note 3 - Available-for-Sale Securities Major Security Types. The following table presents our AFS securities by type of security. Gross Gross Amortized Non-Credit Unrealized Unrealized Estimated September 30, 2016 Cost (1) OTTI Gains Losses Fair Value GSE and TVA debentures $ 5,065,910 $ — $ 17,906 $ (6,042 ) $ 5,077,774 GSE MBS 979,749 — 12,603 (492 ) 991,860 Private-label RMBS 255,098 (215 ) 24,800 — 279,683 Total AFS securities $ 6,300,757 $ (215 ) $ 55,309 $ (6,534 ) $ 6,349,317 December 31, 2015 GSE and TVA debentures $ 3,478,617 $ — $ 5,467 $ (3,542 ) $ 3,480,542 GSE MBS 271,249 — 477 (2,305 ) 269,421 Private-label RMBS 288,957 (304 ) 30,533 — 319,186 Total AFS securities $ 4,038,823 $ (304 ) $ 36,477 $ (5,847 ) $ 4,069,149 (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, 2016 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 1,005,402 $ (5,018 ) $ 180,075 $ (1,024 ) $ 1,185,477 $ (6,042 ) GSE MBS — — 83,648 (492 ) 83,648 (492 ) Private-label RMBS — — 3,353 (215 ) 3,353 (215 ) Total impaired AFS securities $ 1,005,402 $ (5,018 ) $ 267,076 $ (1,731 ) $ 1,272,478 $ (6,749 ) December 31, 2015 GSE and TVA debentures $ 578,809 $ (2,774 ) $ 107,349 $ (768 ) $ 686,158 $ (3,542 ) GSE MBS 183,508 (2,305 ) — — 183,508 (2,305 ) Private-label RMBS — — 4,179 (304 ) 4,179 (304 ) Total impaired AFS securities $ 762,317 $ (5,079 ) $ 111,528 $ (1,072 ) $ 873,845 $ (6,151 ) 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, 2016 December 31, 2015 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 1,095,395 $ 1,097,760 $ 820,210 $ 821,413 Due after 1 year through 5 years 1,973,214 1,982,605 1,921,544 1,924,567 Due after 5 years through 10 years 1,755,805 1,758,956 637,007 635,356 Due after 10 years 241,496 238,453 99,856 99,206 Total non-MBS 5,065,910 5,077,774 3,478,617 3,480,542 Total MBS 1,234,847 1,271,543 560,206 588,607 Total AFS securities $ 6,300,757 $ 6,349,317 $ 4,038,823 $ 4,069,149 Realized Gains and Losses. There were no sales of AFS securities during the three or nine months ended September 30, 2016 or 2015 . As of September 30, 2016 , 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, 2016 | |
Held-to-maturity Securities [Abstract] | |
Held-to-Maturity Securities | Note 4 - Held-to-Maturity Securities Major Security Types. The following table presents our HTM securities by type of security. Gross Gross Unrecognized Unrecognized Amortized Non-Credit Carrying Holding Holding Estimated September 30, 2016 Cost (1) OTTI Value Gains Losses Fair Value MBS and ABS: Other U.S. obligations -guaranteed MBS $ 2,765,248 $ — $ 2,765,248 $ 8,589 $ (10,573 ) $ 2,763,264 GSE MBS 3,171,926 — 3,171,926 77,872 (2,210 ) 3,247,588 Private-label RMBS 53,831 — 53,831 33 (441 ) 53,423 Private-label ABS 9,476 (110 ) 9,366 34 (959 ) 8,441 Total MBS and ABS 6,000,481 (110 ) 6,000,371 86,528 (14,183 ) 6,072,716 Total HTM securities $ 6,000,481 $ (110 ) $ 6,000,371 $ 86,528 $ (14,183 ) $ 6,072,716 December 31, 2015 GSE debentures $ 100,000 $ — $ 100,000 $ 2 $ — $ 100,002 MBS and ABS: Other U.S. obligations -guaranteed MBS 2,894,867 — 2,894,867 13,113 (12,148 ) 2,895,832 GSE MBS 3,267,647 — 3,267,647 63,687 (2,333 ) 3,329,001 Private-label RMBS 72,107 — 72,107 116 (939 ) 71,284 Private-label ABS 10,848 (132 ) 10,716 61 (1,031 ) 9,746 Total MBS and ABS 6,245,469 (132 ) 6,245,337 76,977 (16,451 ) 6,305,863 Total HTM securities $ 6,345,469 $ (132 ) $ 6,345,337 $ 76,979 $ (16,451 ) $ 6,405,865 (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. Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized September 30, 2016 Fair Value Losses Fair Value Losses Fair Value Losses (1) MBS and ABS: Other U.S. obligations - guaranteed MBS $ 254,215 $ (667 ) $ 1,477,024 $ (9,906 ) $ 1,731,239 $ (10,573 ) GSE MBS 896,530 (1,431 ) 218,277 (779 ) 1,114,807 (2,210 ) Private-label RMBS 20,106 (37 ) 17,480 (404 ) 37,586 (441 ) Private-label ABS — — 8,440 (1,035 ) 8,440 (1,035 ) Total MBS and ABS 1,170,851 (2,135 ) 1,721,221 (12,124 ) 2,892,072 (14,259 ) Total impaired HTM securities $ 1,170,851 $ (2,135 ) $ 1,721,221 $ (12,124 ) $ 2,892,072 $ (14,259 ) December 31, 2015 MBS and ABS: Other U.S. obligations - guaranteed MBS $ 1,271,907 $ (6,147 ) $ 603,045 $ (6,001 ) $ 1,874,952 $ (12,148 ) GSE MBS 566,277 (1,744 ) 224,436 (589 ) 790,713 (2,333 ) Private-label RMBS 16,206 (102 ) 24,958 (837 ) 41,164 (939 ) Private-label ABS — — 9,746 (1,102 ) 9,746 (1,102 ) Total MBS and ABS 1,854,390 (7,993 ) 862,185 (8,529 ) 2,716,575 (16,522 ) Total impaired HTM securities $ 1,854,390 $ (7,993 ) $ 862,185 $ (8,529 ) $ 2,716,575 $ (16,522 ) (1) For private-label ABS, total unrealized losses do not agree to total gross unrecognized holding losses at September 30, 2016 and December 31, 2015 of $959 and $1,031 , respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $110 and $132 , respectively, and gross unrecognized holding gains on previously OTTI securities of $34 and $61 , respectively. Contractual Maturity. The only non-MBS HTM security held at December 31, 2015 matured in 2016. 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. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 9 Months Ended |
Sep. 30, 2016 | |
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 for OTTI our individual AFS and HTM investment securities that have been previously OTTI or are in an unrealized loss position. 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 of amortized cost. If either of these conditions is met, we recognize an OTTI loss in earnings equal to the entire difference between the security's amortized cost and its estimated fair value at the statement of condition date. For those impaired securities that meet neither of these conditions, we perform a cash flow analysis to determine whether we expect to recover the entire amortized cost of the security as described in Note 1 - Summary of Significant Accounting Policies and Note 6 - Other-Than-Temporary Impairment in our 2015 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 1% to an increase of 10% over a twelve-month period. For the vast majority of housing markets, the changes range from an increase of 3% to an increase of 6% . 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 during the three months ended September 30, 2016 on the one 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 classification (prime, Alt-A or subprime) is based on the model used to project 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, 2016 Year of Securitization Prepayment Rates Default Rates Loss Severities Current Credit Enhancement Prime - 2006 11 % 15 % 35 % 0 % Results of OTTI Evaluation Process. As a result of our analysis, on one security initially impaired prior to January 1, 2015, OTTI credit losses of $75 and $168 were recognized for the three and nine months ended September 30, 2016 , respectively, and OTTI credit losses of $29 and $61 were recognized for the three and nine months ended September 30, 2015 , respectively. 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. 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, 2016 are considered temporary. |
Advances
Advances | 9 Months Ended |
Sep. 30, 2016 | |
Advances [Abstract] | |
Advances | Note 6 - Advances We had advances outstanding, as presented below by year of contractual maturity, with current interest rates ranging from 0.28% to 7.53% . September 30, 2016 December 31, 2015 Year of Contractual Maturity Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ — — $ 89 2.58 Due in 1 year or less 10,710,689 0.76 11,969,004 0.63 Due after 1 year through 2 years 2,986,418 1.79 2,678,669 1.50 Due after 2 years through 3 years 1,885,480 1.95 2,511,090 1.83 Due after 3 years through 4 years 2,776,421 1.58 1,705,052 2.44 Due after 4 years through 5 years 1,892,448 1.48 2,638,688 1.22 Thereafter 6,077,380 1.12 5,304,876 1.30 Total advances, par value 26,328,836 1.19 26,807,468 1.13 Fair-value hedging adjustments 120,049 69,829 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 24,252 31,611 Total advances $ 26,473,137 $ 26,908,908 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 $ — $ 89 $ — $ 89 Due in 1 year or less 17,027,539 17,669,284 10,889,189 12,224,004 Due after 1 year through 2 years 2,686,418 2,540,919 2,981,418 2,601,169 Due after 2 years through 3 years 1,825,980 2,309,925 1,880,480 2,491,090 Due after 3 years through 4 years 1,802,421 1,635,052 2,776,421 1,700,052 Due after 4 years through 5 years 1,220,948 1,553,688 2,181,448 2,635,688 Thereafter 1,765,530 1,098,511 5,619,880 5,155,376 Total advances, par value $ 26,328,836 $ 26,807,468 $ 26,328,836 $ 26,807,468 Under the Final Membership Rule, captive insurance companies that were admitted as FHLBank members on or after September 12, 2014 and do not meet the new definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership shall have their membership terminated by February 19, 2017. Upon termination, all of their outstanding advances shall be repaid. As a result, all of their outstanding advances as of September 30, 2016 totaling $328,500 are due in one year or less. Credit Risk Exposure and Security Terms. At September 30, 2016 and December 31, 2015 , we had a total of $14.7 billion and $14.8 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 56% and 55% , respectively, of total advances at par outstanding on those dates, were made to eight borrowers. At September 30, 2016 and December 31, 2015 , we held sufficient collateral to secure 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, 2016 | |
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. Term September 30, 2016 December 31, 2015 Fixed-rate long-term mortgages $ 7,887,336 $ 6,811,266 Fixed-rate medium-term (1) mortgages 1,169,663 1,170,789 Total mortgage loans held for portfolio, UPB 9,056,999 7,982,055 Unamortized premiums 207,333 162,875 Unamortized discounts (1,566 ) (1,832 ) Fair-value hedging adjustments 8,014 3,817 Allowance for loan losses (850 ) (1,125 ) Total mortgage loans held for portfolio, net $ 9,269,930 $ 8,145,790 (1) Defined as a term of 15 years or less at origination. Type September 30, 2016 December 31, 2015 Conventional $ 8,532,055 $ 7,371,032 Government -guaranteed or -insured 524,944 611,023 Total mortgage loans held for portfolio, UPB $ 9,056,999 $ 7,982,055 Product September 30, 2016 December 31, 2015 MPP $ 8,673,185 $ 7,543,183 MPF 383,814 438,872 Total mortgage loans held for portfolio, UPB $ 9,056,999 $ 7,982,055 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, 2016 | |
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 2015 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, 2016 and December 31, 2015 , we had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of our outstanding extensions of credit. At September 30, 2016 and December 31, 2015 , 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, 2016 or 2015 . 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. MPP Credit Enhancements. The following table presents the activity in the LRA. Three Months Ended September 30, Nine Months Ended September 30, LRA Activity 2016 2015 2016 2015 Balance of LRA, beginning of period $ 105,565 $ 82,624 $ 91,552 $ 61,949 Additions 11,722 5,721 27,140 27,229 Claims paid (301 ) (393 ) (786 ) (940 ) Distributions to PFIs (38 ) (66 ) (958 ) (352 ) Balance of LRA, end of period $ 116,948 $ 87,886 $ 116,948 $ 87,886 The following table presents the estimated impact of credit enhancements on the allowance for MPP loan losses. MPP Credit Waterfall September 30, 2016 December 31, 2015 Estimated incurred losses remaining after borrower's equity, before credit enhancements $ 6,453 $ 6,132 Portion of estimated losses recoverable from PMI (1,490 ) (1,477 ) Portion of estimated losses recoverable from LRA (1) (902 ) (550 ) Portion of estimated losses recoverable from SMI (3,411 ) (3,245 ) Allowance for unrecoverable PMI/SMI 100 140 Allowance for MPP loan losses $ 750 $ 1,000 (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 balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs. MPF Credit Enhancements. CE fees paid to PFIs totaled $74 and $233 for the three and nine months ended September 30, 2016 , respectively, compared with $87 and $271 for the three and nine months ended September 30, 2015 , respectively. Performance-based CE fees may be withheld to cover losses allocated to us. Any losses that occur in a pool 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, 2016 and December 31, 2015 , our exposure under the FLA was $3,509 and $3,482 , respectively. The PFIs’ CE obligations available to cover losses in excess of the FLA totaled $26,862 as of both September 30, 2016 and December 31, 2015 . Any estimated losses that would be absorbed by the CE obligation are not included in our allowance for loan losses. The resulting allowance for MPF loan losses at September 30, 2016 and December 31, 2015 was $100 and $125 , respectively. Credit Quality Indicators. The tables below present our key credit quality indicators for mortgage loans held for portfolio. Delinquency Status as of September 30, 2016 Conventional Government Total Past due: 30-59 days $ 38,105 $ 15,837 $ 53,942 60-89 days 10,128 3,474 13,602 90 days or more 29,939 1,667 31,606 Total past due 78,172 20,978 99,150 Total current 8,696,450 512,925 9,209,375 Total mortgage loans, recorded investment $ 8,774,622 $ 533,903 $ 9,308,525 Other Delinquency Statistics as of September 30, 2016 In process of foreclosure (1) $ 19,276 $ — $ 19,276 Serious delinquency rate (2) 0.34 % 0.31 % 0.34 % Past due 90 days or more still accruing interest (3) $ 24,702 $ 1,667 $ 26,369 On non-accrual status 6,456 — 6,456 Delinquency Status as of December 31, 2015 Conventional Government Total Past due: 30-59 days $ 41,704 $ 21,402 $ 63,106 60-89 days 11,609 5,099 16,708 90 days or more 37,938 3,123 41,061 Total past due 91,251 29,624 120,875 Total current 7,467,866 592,118 8,059,984 Total mortgage loans, recorded investment $ 7,559,117 $ 621,742 $ 8,180,859 Other Delinquency Statistics as of December 31, 2015 In process of foreclosure (1) $ 23,602 $ — $ 23,602 Serious delinquency rate (2) 0.50 % 0.50 % 0.50 % Past due 90 days or more still accruing interest (3) $ 30,764 $ 3,123 $ 33,887 On non-accrual status 8,374 — 8,374 (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, but are not necessarily considered to be on non-accrual status. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2015 Form 10-K. (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 on non-accrual status. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2015 Form 10-K. Allowance for Loan Losses on Mortgage Loans. The table below presents a rollforward of our allowance for loan losses. Three Months Ended September 30, Nine Months Ended September 30, Rollforward of Allowance for Loan Losses 2016 2015 2016 2015 Balance, beginning of period $ 850 $ 1,350 $ 1,125 $ 2,500 Charge-offs, net of recoveries (85 ) (45 ) (143 ) (807 ) Provision for (reversal of) loan losses 85 (180 ) (132 ) (568 ) Balance, end of period $ 850 $ 1,125 $ 850 $ 1,125 The tables below present our allowance for loan losses by impairment methodology and the recorded investment in mortgage loans by impairment methodology. Allowance for Loan Losses by Impairment Methodology September 30, 2016 December 31, 2015 Conventional loans collectively evaluated for impairment $ 761 $ 1,011 Conventional loans individually evaluated for impairment (1) 89 114 Total allowance for loan losses $ 850 $ 1,125 Recorded Investment by Impairment Methodology Conventional loans collectively evaluated for impairment $ 8,758,314 $ 7,541,817 Conventional loans individually evaluated for impairment (1) 16,308 17,300 Total recorded investment $ 8,774,622 $ 7,559,117 (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, 2016 and December 31, 2015 of $3,034 and $4,639 , 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, 2016 and December 31, 2015 includes $17 and $68 , respectively, for these potential claims. Individually Evaluated Impaired Loans . 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, 2016 December 31, 2015 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) $ 15,930 $ 15,954 $ — $ 16,426 $ 16,389 $ — MPP conventional loans with allowance for loan losses 378 382 72 874 863 46 Total $ 16,308 $ 16,336 $ 72 $ 17,300 $ 17,252 $ 46 (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, 2016 September 30, 2015 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 16,620 $ 187 $ 17,724 $ 216 MPP conventional loans with allowance for loan losses 377 6 880 13 Total $ 16,997 $ 193 $ 18,604 $ 229 Nine Months Ended Nine Months Ended September 30, 2016 September 30, 2015 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 16,929 $ 574 $ 18,347 $ 671 MPP conventional loans with allowance for loan losses 380 34 883 92 Total $ 17,309 $ 608 $ 19,230 $ 763 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, 2016 December 31, 2015 Recorded Investment Performing Non-Performing Total Performing Non-Performing Total MPP conventional loans $ 14,724 $ 1,584 $ 16,308 $ 14,997 $ 2,303 $ 17,300 MPF conventional loans 157 — 157 160 — 160 Due to the minimal change in terms of modified loans (i.e., no principal forgiven), our pre-modification recorded investment was not materially different than the post-modification recorded investment in TDRs. |
Derivative and Hedging Activiti
Derivative and Hedging Activities | 9 Months Ended |
Sep. 30, 2016 | |
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. 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 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, 2016 Derivatives Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 24,263,105 $ 16,733 $ 296,870 Total derivatives designated as hedging instruments 24,263,105 16,733 296,870 Derivatives not designated as hedging instruments: Interest-rate swaps 980,947 567 634 Interest-rate caps/floors 356,500 103 — Interest-rate forwards 219,200 — 546 MDCs 220,100 533 42 Total derivatives not designated as hedging instruments 1,776,747 1,203 1,222 Total derivatives before adjustments $ 26,039,852 17,936 298,092 Netting adjustments (1) (178,543 ) (178,543 ) Cash collateral and related accrued interest (1) 300,846 (25,299 ) Total derivatives, net $ 140,239 $ 94,250 December 31, 2015 Derivatives designated as hedging instruments: Interest-rate swaps $ 24,602,221 $ 32,179 $ 208,811 Total derivatives designated as hedging instruments 24,602,221 32,179 208,811 Derivatives not designated as hedging instruments: Interest-rate swaps 252,417 421 77 Interest-rate caps/floors 340,500 62 1 Interest-rate forwards 106,300 51 82 MDCs 106,958 102 82 Total derivatives not designated as hedging instruments 806,175 636 242 Total derivatives before adjustments $ 25,408,396 32,815 209,053 Netting adjustments (1) (51,807 ) (51,807 ) Cash collateral and related accrued interest (1) 68,859 (76,632 ) Total derivatives, net $ 49,867 $ 80,614 (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, 2016 and December 31, 2015 was $326,295 and $146,301 , respectively. Cash collateral received from counterparties at September 30, 2016 and December 31, 2015 was $150 and $810 , respectively. 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, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 4,914 $ 123,874 $ 20,122 $ 174,280 Cleared 12,489 173,630 12,540 34,609 Total gross recognized amount 17,403 297,504 32,662 208,889 Gross amounts of netting adjustments and cash collateral Uncleared (4,914 ) (30,212 ) (17,858 ) (93,830 ) Cleared 127,217 (173,630 ) 34,910 (34,609 ) Total gross amounts of netting adjustments and cash collateral 122,303 (203,842 ) 17,052 (128,439 ) Net amounts after netting adjustments and cash collateral Uncleared — 93,662 2,264 80,450 Cleared 139,706 — 47,450 — Total net amounts after netting adjustments and cash collateral 139,706 93,662 49,714 80,450 Derivative instruments not meeting netting requirements (1) 533 588 153 164 Total derivatives, at estimated fair value $ 140,239 $ 94,250 $ 49,867 $ 80,614 (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 2016 2015 2016 2015 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ (4,680 ) $ 38 $ (7,257 ) $ 6,479 Total net gain (loss) related to fair-value hedge ineffectiveness (4,680 ) 38 (7,257 ) 6,479 Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 174 (344 ) (1,239 ) 521 Interest-rate caps/floors 7 (42 ) (40 ) (193 ) Interest-rate forwards (1,411 ) (2,434 ) (6,748 ) (3,782 ) Net interest settlements (48 ) 103 (172 ) 595 MDCs 1,132 2,020 5,740 1,104 Total net gain (loss) on derivatives not designated as hedging instruments (146 ) (697 ) (2,459 ) (1,755 ) Net gains (losses) on derivatives and hedging activities $ (4,826 ) $ (659 ) $ (9,716 ) $ 4,724 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, 2016 Derivative Item Ineffectiveness Income (1) Advances $ 63,062 $ (63,144 ) $ (82 ) $ (21,698 ) AFS securities 46,587 (55,011 ) (8,424 ) (23,443 ) CO bonds (16,709 ) 20,535 3,826 4,365 Total $ 92,940 $ (97,620 ) $ (4,680 ) $ (40,776 ) Three Months Ended September 30, 2015 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 ) Nine Months Ended September 30, 2016 Advances $ (56,653 ) $ 56,834 $ 181 $ (75,602 ) AFS securities (64,668 ) 52,251 (12,417 ) (75,534 ) CO Bonds 4,087 892 4,979 14,632 Total $ (117,234 ) $ 109,977 $ (7,257 ) $ (136,504 ) 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 ) (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 uncleared 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 uncleared derivative instruments in net liability positions. The aggregate estimated fair value of all uncleared derivative instruments with credit risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest on cash collateral) at September 30, 2016 was $118,960 , for which we have posted collateral, including accrued interest, with an estimated fair value of $25,299 in the normal course of business. In addition, we held other derivative instruments in a net liability position of $588 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 $5,000 of collateral (at estimated fair value) to our uncleared derivative counterparties at September 30, 2016 . For cleared derivatives, the clearinghouse determines initial margin requirements, and credit ratings are not generally 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, 2016 . |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 10 - Consolidated Obligations 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 totaled $967.7 billion and $905.2 billion at September 30, 2016 and December 31, 2015 , 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 (1) $ 16,392,571 $ 19,251,376 Par value 16,405,036 19,267,423 Weighted average effective interest rate 0.37 % 0.31 % (1) Amounts include impact of change in accounting principle. See Note 1 - Summary of Significant Accounting Policies and Change in Accounting Principle for additional information. CO Bonds. The following table presents our participation in CO bonds outstanding by contractual maturity. September 30, 2016 December 31, 2015 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 15,911,160 0.72 $ 14,492,585 0.48 Due after 1 year through 2 years 6,196,240 1.11 3,909,310 1.16 Due after 2 years through 3 years 2,512,330 1.65 1,468,570 1.56 Due after 3 years through 4 years 1,901,815 2.84 1,034,375 2.56 Due after 4 years through 5 years 889,980 2.33 1,683,800 3.18 Thereafter 5,335,000 2.98 5,278,000 3.21 Total CO bonds, par value 32,746,525 1.40 27,866,640 1.39 Unamortized premiums 28,431 27,253 Unamortized discounts (12,892 ) (13,185 ) Unamortized concessions (1) (13,140 ) (11,113 ) Fair-value hedging adjustments (8,778 ) (7,978 ) Total CO bonds $ 32,740,146 $ 27,861,617 (1) Amounts include impact of change in accounting principle. See Note 1 - Summary of Significant Accounting Policies and Change in Accounting Principle for additional information. 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 $ 26,043,525 $ 21,550,640 Callable 6,703,000 6,316,000 Total CO bonds, par value $ 32,746,525 $ 27,866,640 Year of Contractual Maturity or Next Call Date Due in 1 year or less $ 22,366,160 $ 20,690,585 Due after 1 year through 2 years 5,208,240 3,209,310 Due after 2 years through 3 years 2,230,330 919,570 Due after 3 years through 4 years 1,399,815 697,375 Due after 4 years through 5 years 476,980 1,219,800 Thereafter 1,065,000 1,130,000 Total CO bonds, par value $ 32,746,525 $ 27,866,640 |
Affordable Housing Program
Affordable Housing Program | 9 Months Ended |
Sep. 30, 2016 | |
Affordable Housing Program (AHP) [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 2016 2015 2016 2015 Balance at beginning of period $ 25,923 $ 35,120 $ 31,103 $ 36,899 Assessment (expense) 2,786 3,121 8,603 10,338 Subsidy usage, net (1) (5,040 ) (5,258 ) (16,037 ) (14,254 ) Balance at end of period $ 23,669 $ 32,983 $ 23,669 $ 32,983 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital
Capital | 9 Months Ended |
Sep. 30, 2016 | |
Capital [Abstract] | |
Capital | Note 12 - Capital Mandatorily Redeemable Capital Stock. Under the Final Membership Rule, captive insurance companies that were admitted as FHLBank members on or after September 12, 2014 and do not meet the new definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership shall have their membership terminated by February 19, 2017. Upon termination, all of their outstanding Class B stock shall be repurchased or redeemed. As a result, we reclassified their total outstanding Class B stock of $25,585 to MRCS effective with the Final Membership Rule. Captive insurance companies that were admitted as FHLBank members prior to September 12, 2014 and do not meet the new definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership shall have their membership terminated by February 19, 2021. Upon termination, all of their outstanding Class B stock shall be repurchased or redeemed after a five-year redemption period. As a result, we reclassified their total outstanding Class B stock of $153,313 to MRCS effective with the Final Membership Rule. The following tables present the activity, contractual year of redemption and distributions related to MRCS. Three Months Ended September 30, Nine Months Ended September 30, MRCS Activity 2016 2015 2016 2015 Liability at beginning of period $ 177,603 $ 14,341 $ 14,063 $ 15,673 Reclassification from capital stock 4,158 — 183,056 — Redemptions/repurchases (2,576 ) (157 ) (18,972 ) (1,489 ) Accrued distributions 34 — 1,072 — Liability at end of period $ 179,219 $ 14,184 $ 179,219 $ 14,184 MRCS Contractual Year of Redemption September 30, December 31, Year 1 (1) $ 17,806 $ 8,996 Year 2 5,054 — Year 3 13 5,054 Year 4 — 13 Year 5 (2) 4,158 — Thereafter (2) 152,188 — Total MRCS $ 179,219 $ 14,063 (1) Balances at September 30, 2016 and December 31, 2015 include $6,218 and $2,479 , respectively, of MRCS that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. (2) Represents the five-year redemption period of outstanding Class B stock held by the captive insurance companies following their termination of membership by February 19, 2021. Three Months Ended September 30, Nine Months Ended September 30, MRCS Distributions 2016 2015 2016 2015 Recorded as interest expense $ 1,880 $ 135 $ 4,748 $ 391 Recorded as distributions from retained earnings 34 — 1,072 — Total $ 1,914 $ 135 $ 5,820 $ 391 Capital Requirements. We are subject to capital requirements under our capital plan and the Finance Agency regulations as disclosed in Note 15 - Capital in our 2015 Form 10-K. As presented in the following table, we were in compliance with the Finance Agency's capital requirements at September 30, 2016 and December 31, 2015 . For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital. September 30, 2016 December 31, 2015 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 629,606 $ 2,478,876 $ 505,364 $ 2,376,982 Regulatory permanent capital-to-asset ratio 4.00 % 4.69 % 4.00 % 4.70 % Regulatory permanent capital $ 2,116,371 $ 2,478,876 $ 2,024,805 $ 2,376,982 Leverage ratio 5.00 % 7.03 % 5.00 % 7.04 % Leverage capital $ 2,645,463 $ 3,718,314 $ 2,531,007 $ 3,565,473 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 9 Months Ended |
Sep. 30, 2016 | |
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, 2015 and 2016 . 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, 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 losses — — 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 Balance, June 30, 2016 $ (809 ) $ 24,077 $ (116 ) $ (7,932 ) $ 15,220 OCI before reclassifications: Net change in unrealized gains (losses) 24,784 564 — — 25,348 Net change in fair value — (131 ) — — (131 ) Accretion of non-credit losses — — 6 — 6 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 75 — — 75 Pension benefits, net — — — (310 ) (310 ) Total other comprehensive income (loss) 24,784 508 6 (310 ) 24,988 Balance, September 30, 2016 $ 23,975 $ 24,585 $ (110 ) $ (8,242 ) $ 40,208 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, 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 losses — — 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 Balance, December 31, 2015 $ 97 $ 30,229 $ (132 ) $ (7,316 ) $ 22,878 OCI before reclassifications: Net change in unrealized gains (losses) 23,878 (5,733 ) — — 18,145 Net change in fair value — (79 ) — — (79 ) Accretion of non-credit losses — — 22 — 22 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 168 — — 168 Pension benefits, net — — — (926 ) (926 ) Total other comprehensive income (loss) 23,878 (5,644 ) 22 (926 ) 17,330 Balance, September 30, 2016 $ 23,975 $ 24,585 $ (110 ) $ (8,242 ) $ 40,208 |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2016 | |
Segment Reporting [Abstract] | |
Segment Information | Note 14 - Segment Information The following table presents our financial performance by operating segment. Three Months Ended September 30, 2016 Three Months Ended September 30, 2015 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 38,109 $ 11,421 $ 49,530 $ 30,844 $ 17,260 $ 48,104 Provision for (reversal of) credit losses — 85 85 — (180 ) (180 ) Other income (loss) (3,927 ) (243 ) (4,170 ) 425 (387 ) 38 Other expenses 16,357 2,942 19,299 15,269 1,971 17,240 Income before assessments 17,825 8,151 25,976 16,000 15,082 31,082 Affordable Housing Program assessments 1,971 815 2,786 1,612 1,509 3,121 Net income $ 15,854 $ 7,336 $ 23,190 $ 14,388 $ 13,573 $ 27,961 Nine Months Ended September 30, 2016 Nine Months Ended September 30, 2015 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 103,599 $ 40,901 $ 144,500 $ 93,511 $ 50,630 $ 144,141 Provision for (reversal of) credit losses — (132 ) (132 ) — (568 ) (568 ) Other income (loss) (6,387 ) (868 ) (7,255 ) 14,098 (2,543 ) 11,555 Other expenses 47,583 8,516 56,099 45,941 7,330 53,271 Income before assessments 49,629 31,649 81,278 61,668 41,325 102,993 Affordable Housing Program assessments 5,438 3,165 8,603 6,205 4,133 10,338 Net income $ 44,191 $ 28,484 $ 72,675 $ 55,463 $ 37,192 $ 92,655 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, 2016 $ 43,639,339 $ 9,269,930 $ 52,909,269 December 31, 2015 42,462,314 8,145,790 50,608,104 |
Estimated Fair Values
Estimated Fair Values | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Note 15 - Estimated Fair Values 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, 2016 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 658,314 $ 658,314 $ 658,314 $ — $ — $ — Interest-bearing deposits 155,359 155,359 155,028 331 — — Securities purchased under agreements to resell 2,250,000 2,250,000 — 2,250,000 — — Federal funds sold 1,450,000 1,450,000 — 1,450,000 — — AFS securities 6,349,317 6,349,317 — 6,069,634 279,683 — HTM securities 6,000,371 6,072,716 — 6,010,852 61,864 — Advances 26,473,137 26,436,078 — 26,436,078 — — Mortgage loans held for portfolio, net 9,269,930 9,622,451 — 9,596,652 25,799 — Accrued interest receivable 94,380 94,380 — 94,380 — — Derivative assets, net 140,239 140,239 — 17,936 — 122,303 Grantor trust assets (included in other assets) 17,022 17,022 17,022 — — — Liabilities: Deposits 578,232 578,232 — 578,232 — — Consolidated Obligations: Discount notes 16,392,571 16,405,036 — 16,405,036 — — Bonds 32,740,146 33,270,810 — 33,270,810 — — Accrued interest payable 90,595 90,595 — 90,595 — — Derivative liabilities, net 94,250 94,250 — 298,092 — (203,842 ) MRCS 179,219 179,219 179,219 — — — December 31, 2015 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 4,931,602 $ 4,931,602 $ 4,931,602 $ — $ — $ — Interest-bearing deposits 161 161 — 161 — — AFS securities 4,069,149 4,069,149 — 3,749,963 319,186 — HTM securities 6,345,337 6,405,865 — 6,324,835 81,030 — Advances 26,908,908 26,934,352 — 26,934,352 — — Mortgage loans held for portfolio, net 8,145,790 8,353,586 — 8,322,007 31,579 — Accrued interest receivable 88,377 88,377 — 88,377 — — Derivative assets, net 49,867 49,867 — 32,815 — 17,052 Grantor trust assets (included in other assets) 15,410 15,410 15,410 — — — Liabilities: Deposits 556,764 556,764 — 556,764 — — Consolidated Obligations: Discount notes 19,251,376 19,267,423 — 19,267,423 — — Bonds 27,861,617 28,161,640 — 28,161,640 — — Accrued interest payable 81,836 81,836 — 81,836 — — Derivative liabilities, net 80,614 80,614 — 209,053 — (128,439 ) MRCS 14,063 14,063 14,063 — — — (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 2015 Form 10-K. No changes have been made in the current year. 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. Netting September 30, 2016 Total Level 1 Level 2 Level 3 Adjustment (1) AFS securities: GSE and TVA debentures $ 5,077,774 $ — $ 5,077,774 $ — $ — GSE MBS 991,860 — 991,860 — — Private-label RMBS 279,683 — — 279,683 — Total AFS securities 6,349,317 — 6,069,634 279,683 — Derivative assets: Interest-rate related 139,706 — 17,403 — 122,303 Interest-rate forwards — — — — — MDCs 533 — 533 — — Total derivative assets, net 140,239 — 17,936 — 122,303 Grantor trust assets (included in other assets) 17,022 17,022 — — — Total assets at recurring estimated fair value $ 6,506,578 $ 17,022 $ 6,087,570 $ 279,683 $ 122,303 Derivative liabilities: Interest-rate related $ 93,662 $ — $ 297,504 $ — $ (203,842 ) Interest-rate forwards 546 — 546 — — MDCs 42 — 42 — — Total derivative liabilities, net 94,250 — 298,092 — (203,842 ) Total liabilities at recurring estimated fair value $ 94,250 $ — $ 298,092 $ — $ (203,842 ) Mortgage loans held for portfolio (2) $ 3,844 $ — $ — $ 3,844 $ — Total assets at non-recurring estimated fair value $ 3,844 $ — $ — $ 3,844 $ — December 31, 2015 AFS securities: GSE and TVA debentures $ 3,480,542 $ — $ 3,480,542 $ — $ — GSE MBS 269,421 — 269,421 — — Private-label RMBS 319,186 — — 319,186 — Total AFS securities 4,069,149 — 3,749,963 319,186 — Derivative assets: Interest-rate related 49,714 — 32,662 — 17,052 Interest-rate forwards 51 — 51 — — MDCs 102 — 102 — — Total derivative assets, net 49,867 — 32,815 — 17,052 Grantor trust assets (included in other assets) 15,410 15,410 — — — Total assets at recurring estimated fair value $ 4,134,426 $ 15,410 $ 3,782,778 $ 319,186 $ 17,052 Derivative liabilities: Interest-rate related $ 80,450 $ — $ 208,889 $ — $ (128,439 ) Interest-rate forwards 82 — 82 — — MDCs 82 — 82 — — Total derivative liabilities, net 80,614 — 209,053 — (128,439 ) Total liabilities at recurring estimated fair value $ 80,614 $ — $ 209,053 $ — $ (128,439 ) Mortgage loans held for portfolio (3) $ 4,449 $ — $ — $ 4,449 $ — Total assets at non-recurring estimated fair value $ 4,449 $ — $ — $ 4,449 $ — (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, 2016 . (3) Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 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 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 - AFS private-label RMBS 2016 2015 2016 2015 Balance, beginning of period $ 288,143 $ 364,719 $ 319,186 $ 401,050 Total realized and unrealized gains (losses): Accretion of credit losses in interest income 2,064 2,580 7,364 5,941 Net gains (losses) on changes in fair value in other income (loss) (75 ) (29 ) (168 ) (61 ) Non-credit portion in OCI Net change in fair value not in excess of cumulative non-credit losses in OCI (131 ) (86 ) (79 ) (192 ) Unrealized gains (losses) in OCI 564 (2,615 ) (5,733 ) (4,146 ) Reclassification of non-credit portion in OCI to other income (loss) 75 29 168 61 Purchases, issuances, sales and settlements: Settlements (10,957 ) (22,296 ) (41,055 ) (60,351 ) Balance, end of period $ 279,683 $ 342,302 $ 279,683 $ 342,302 Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period $ 1,989 $ 2,550 $ 6,336 $ 5,879 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2016 | |
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, 2016 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 109,959 $ 197,282 $ 307,241 Unused lines of credit (1) 1,060,111 — 1,060,111 Commitments to fund or purchase mortgage loans (2) 220,100 — 220,100 Unsettled CO bonds, at par 262,000 — 262,000 Unsettled Discount Notes, at par 400 — 400 (1) Maximum line of credit amount per member is $50,000 . (2) Generally for periods up to 91 days. Pledged Collateral. At September 30, 2016 and December 31, 2015 , we had pledged cash collateral, at par, of $326,287 and $146,280 , respectively, to counterparties and clearing agents. At September 30, 2016 and December 31, 2015 , 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 from or on behalf of those defendants. These payments, net of legal fees and litigation expenses, totaled $0 and $60 for the three and nine months ended September 30, 2016 compared to $0 and $4,732 for the three and nine months ended September 30, 2015 , respectively, and were recorded in other income. We had previously dismissed the complaint as to the other named defendants. As a result, all proceedings in the RMBS litigation we filed have been concluded. 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, 2016 | |
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. The following table presents the outstanding balances with respect to transactions with related parties and their balance as a percent of the total balance on the statement of condition. Capital Stock and MRCS Advances Mortgage Loans Held for Portfolio (1) Flagstar Bank, FSB Par value % of Total Par value % of Total UPB % of Total September 30, 2016 $ 171,535 11 % $ 2,460,000 9 % $ 265,464 3 % December 31, 2015 169,881 11 % 3,541,000 13 % 337,498 4 % (1) Represents UPB of mortgage loans purchased from related party. We received net proceeds from issuances of capital stock to Flagstar Bank, FSB of $0 and $1,654 during the three and nine months ended September 30, 2016 , respectively, as compared to net payments to that member for repurchases of capital stock of $0 and $42,275 during the three and nine months ended September 30, 2015 , respectively. We had net advances to (repayments from) Flagstar Bank, FSB of $(183,700) and $(1,081,000) during the three and nine months ended September 30, 2016 , respectively, and $(174,000) and $1,510,000 during the three and nine months ended September 30, 2015 , respectively. We did not acquire any mortgage loans from related parties during the three or nine months ended September 30, 2016 or 2015 . Transactions with Directors' Financial Institutions. The following table presents the aggregate 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, 2016 $ 50,760 3 % $ 785,973 3 % $ 215,112 2 % December 31, 2015 34,457 2 % 374,122 1 % 208,137 3 % (1) Represents UPB of mortgage loans purchased from directors' financial institutions. The par values at September 30, 2016 include outstanding capital stock and advances of $13,045 and $205,357 , respectively, to a member that became a director's financial institution through a merger during the nine months ended September 30, 2016 . Those par values also include outstanding capital stock and advances of $3,960 and $88,000 , respectively, to a member that became a director's financial institution through the director's election to our board of directors effective January 1, 2016. Additionally, the par values at September 30, 2016 include outstanding capital stock and advances of $1,395 and $17,700 , respectively, to a member that became a director's financial institution through a change in a director's affiliation during the nine months ended September 30, 2016 . The following table presents transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions. Three Months Ended September 30, Nine Months Ended September 30, Transactions with Directors' Financial Institutions 2016 2015 2016 2015 Net advances (repayments) $ 6,681 $ (24,426 ) $ 170,642 $ (27,046 ) Mortgage loans purchased 10,891 12,062 31,308 33,186 |
Summary of Significant Accoun26
Summary of Significant Accounting Policies and Change in Accounting Principle (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation, Policy | Basis of Presentation. The accompanying interim financial statements 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 period 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 derivatives and hedging activities, fair value estimates, the provision for credit losses, and OTTI. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Available-for-sale Securities [Line Items] | |
Available-for-Sale (AFS) Securities by Major Security Type | The following table presents our AFS securities by type of security. Gross Gross Amortized Non-Credit Unrealized Unrealized Estimated September 30, 2016 Cost (1) OTTI Gains Losses Fair Value GSE and TVA debentures $ 5,065,910 $ — $ 17,906 $ (6,042 ) $ 5,077,774 GSE MBS 979,749 — 12,603 (492 ) 991,860 Private-label RMBS 255,098 (215 ) 24,800 — 279,683 Total AFS securities $ 6,300,757 $ (215 ) $ 55,309 $ (6,534 ) $ 6,349,317 December 31, 2015 GSE and TVA debentures $ 3,478,617 $ — $ 5,467 $ (3,542 ) $ 3,480,542 GSE MBS 271,249 — 477 (2,305 ) 269,421 Private-label RMBS 288,957 (304 ) 30,533 — 319,186 Total AFS securities $ 4,038,823 $ (304 ) $ 36,477 $ (5,847 ) $ 4,069,149 (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, 2016 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 1,005,402 $ (5,018 ) $ 180,075 $ (1,024 ) $ 1,185,477 $ (6,042 ) GSE MBS — — 83,648 (492 ) 83,648 (492 ) Private-label RMBS — — 3,353 (215 ) 3,353 (215 ) Total impaired AFS securities $ 1,005,402 $ (5,018 ) $ 267,076 $ (1,731 ) $ 1,272,478 $ (6,749 ) December 31, 2015 GSE and TVA debentures $ 578,809 $ (2,774 ) $ 107,349 $ (768 ) $ 686,158 $ (3,542 ) GSE MBS 183,508 (2,305 ) — — 183,508 (2,305 ) Private-label RMBS — — 4,179 (304 ) 4,179 (304 ) Total impaired AFS securities $ 762,317 $ (5,079 ) $ 111,528 $ (1,072 ) $ 873,845 $ (6,151 ) |
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, 2016 December 31, 2015 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 1,095,395 $ 1,097,760 $ 820,210 $ 821,413 Due after 1 year through 5 years 1,973,214 1,982,605 1,921,544 1,924,567 Due after 5 years through 10 years 1,755,805 1,758,956 637,007 635,356 Due after 10 years 241,496 238,453 99,856 99,206 Total non-MBS 5,065,910 5,077,774 3,478,617 3,480,542 Total MBS 1,234,847 1,271,543 560,206 588,607 Total AFS securities $ 6,300,757 $ 6,349,317 $ 4,038,823 $ 4,069,149 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities by Major Security Type | The following table presents our HTM securities by type of security. Gross Gross Unrecognized Unrecognized Amortized Non-Credit Carrying Holding Holding Estimated September 30, 2016 Cost (1) OTTI Value Gains Losses Fair Value MBS and ABS: Other U.S. obligations -guaranteed MBS $ 2,765,248 $ — $ 2,765,248 $ 8,589 $ (10,573 ) $ 2,763,264 GSE MBS 3,171,926 — 3,171,926 77,872 (2,210 ) 3,247,588 Private-label RMBS 53,831 — 53,831 33 (441 ) 53,423 Private-label ABS 9,476 (110 ) 9,366 34 (959 ) 8,441 Total MBS and ABS 6,000,481 (110 ) 6,000,371 86,528 (14,183 ) 6,072,716 Total HTM securities $ 6,000,481 $ (110 ) $ 6,000,371 $ 86,528 $ (14,183 ) $ 6,072,716 December 31, 2015 GSE debentures $ 100,000 $ — $ 100,000 $ 2 $ — $ 100,002 MBS and ABS: Other U.S. obligations -guaranteed MBS 2,894,867 — 2,894,867 13,113 (12,148 ) 2,895,832 GSE MBS 3,267,647 — 3,267,647 63,687 (2,333 ) 3,329,001 Private-label RMBS 72,107 — 72,107 116 (939 ) 71,284 Private-label ABS 10,848 (132 ) 10,716 61 (1,031 ) 9,746 Total MBS and ABS 6,245,469 (132 ) 6,245,337 76,977 (16,451 ) 6,305,863 Total HTM securities $ 6,345,469 $ (132 ) $ 6,345,337 $ 76,979 $ (16,451 ) $ 6,405,865 (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 [Member] | |
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. Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized September 30, 2016 Fair Value Losses Fair Value Losses Fair Value Losses (1) MBS and ABS: Other U.S. obligations - guaranteed MBS $ 254,215 $ (667 ) $ 1,477,024 $ (9,906 ) $ 1,731,239 $ (10,573 ) GSE MBS 896,530 (1,431 ) 218,277 (779 ) 1,114,807 (2,210 ) Private-label RMBS 20,106 (37 ) 17,480 (404 ) 37,586 (441 ) Private-label ABS — — 8,440 (1,035 ) 8,440 (1,035 ) Total MBS and ABS 1,170,851 (2,135 ) 1,721,221 (12,124 ) 2,892,072 (14,259 ) Total impaired HTM securities $ 1,170,851 $ (2,135 ) $ 1,721,221 $ (12,124 ) $ 2,892,072 $ (14,259 ) December 31, 2015 MBS and ABS: Other U.S. obligations - guaranteed MBS $ 1,271,907 $ (6,147 ) $ 603,045 $ (6,001 ) $ 1,874,952 $ (12,148 ) GSE MBS 566,277 (1,744 ) 224,436 (589 ) 790,713 (2,333 ) Private-label RMBS 16,206 (102 ) 24,958 (837 ) 41,164 (939 ) Private-label ABS — — 9,746 (1,102 ) 9,746 (1,102 ) Total MBS and ABS 1,854,390 (7,993 ) 862,185 (8,529 ) 2,716,575 (16,522 ) Total impaired HTM securities $ 1,854,390 $ (7,993 ) $ 862,185 $ (8,529 ) $ 2,716,575 $ (16,522 ) (1) For private-label ABS, total unrealized losses do not agree to total gross unrecognized holding losses at September 30, 2016 and December 31, 2015 of $959 and $1,031 , respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $110 and $132 , respectively, and gross unrecognized holding gains on previously OTTI securities of $34 and $61 , respectively. |
Other-Than-Temporary Impairme29
Other-Than-Temporary Impairment (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized in Earnings [Table Text Block] | The following table presents the significant modeling assumptions used to determine the amount of credit loss recognized in earnings during the three months ended September 30, 2016 on the one 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 classification (prime, Alt-A or subprime) is based on the model used to project 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, 2016 Year of Securitization Prepayment Rates Default Rates Loss Severities Current Credit Enhancement Prime - 2006 11 % 15 % 35 % 0 % |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
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 0.28% to 7.53% . September 30, 2016 December 31, 2015 Year of Contractual Maturity Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ — — $ 89 2.58 Due in 1 year or less 10,710,689 0.76 11,969,004 0.63 Due after 1 year through 2 years 2,986,418 1.79 2,678,669 1.50 Due after 2 years through 3 years 1,885,480 1.95 2,511,090 1.83 Due after 3 years through 4 years 2,776,421 1.58 1,705,052 2.44 Due after 4 years through 5 years 1,892,448 1.48 2,638,688 1.22 Thereafter 6,077,380 1.12 5,304,876 1.30 Total advances, par value 26,328,836 1.19 26,807,468 1.13 Fair-value hedging adjustments 120,049 69,829 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 24,252 31,611 Total advances $ 26,473,137 $ 26,908,908 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 $ — $ 89 $ — $ 89 Due in 1 year or less 17,027,539 17,669,284 10,889,189 12,224,004 Due after 1 year through 2 years 2,686,418 2,540,919 2,981,418 2,601,169 Due after 2 years through 3 years 1,825,980 2,309,925 1,880,480 2,491,090 Due after 3 years through 4 years 1,802,421 1,635,052 2,776,421 1,700,052 Due after 4 years through 5 years 1,220,948 1,553,688 2,181,448 2,635,688 Thereafter 1,765,530 1,098,511 5,619,880 5,155,376 Total advances, par value $ 26,328,836 $ 26,807,468 $ 26,328,836 $ 26,807,468 |
Mortgage Loans Held for Portf31
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | The following tables present information on mortgage loans held for portfolio by term and by type. Term September 30, 2016 December 31, 2015 Fixed-rate long-term mortgages $ 7,887,336 $ 6,811,266 Fixed-rate medium-term (1) mortgages 1,169,663 1,170,789 Total mortgage loans held for portfolio, UPB 9,056,999 7,982,055 Unamortized premiums 207,333 162,875 Unamortized discounts (1,566 ) (1,832 ) Fair-value hedging adjustments 8,014 3,817 Allowance for loan losses (850 ) (1,125 ) Total mortgage loans held for portfolio, net $ 9,269,930 $ 8,145,790 (1) Defined as a term of 15 years or less at origination. Type September 30, 2016 December 31, 2015 Conventional $ 8,532,055 $ 7,371,032 Government -guaranteed or -insured 524,944 611,023 Total mortgage loans held for portfolio, UPB $ 9,056,999 $ 7,982,055 Product September 30, 2016 December 31, 2015 MPP $ 8,673,185 $ 7,543,183 MPF 383,814 438,872 Total mortgage loans held for portfolio, UPB $ 9,056,999 $ 7,982,055 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Allowance for Credit Losses [Abstract] | |
Changes in Lender Risk Account | The following table presents the activity in the LRA. Three Months Ended September 30, Nine Months Ended September 30, LRA Activity 2016 2015 2016 2015 Balance of LRA, beginning of period $ 105,565 $ 82,624 $ 91,552 $ 61,949 Additions 11,722 5,721 27,140 27,229 Claims paid (301 ) (393 ) (786 ) (940 ) Distributions to PFIs (38 ) (66 ) (958 ) (352 ) Balance of LRA, end of period $ 116,948 $ 87,886 $ 116,948 $ 87,886 |
Impact of MPP Risk Sharing Structure on Allowance for Credit Losses | The following table presents the estimated impact of credit enhancements on the allowance for MPP loan losses. MPP Credit Waterfall September 30, 2016 December 31, 2015 Estimated incurred losses remaining after borrower's equity, before credit enhancements $ 6,453 $ 6,132 Portion of estimated losses recoverable from PMI (1,490 ) (1,477 ) Portion of estimated losses recoverable from LRA (1) (902 ) (550 ) Portion of estimated losses recoverable from SMI (3,411 ) (3,245 ) Allowance for unrecoverable PMI/SMI 100 140 Allowance for MPP loan losses $ 750 $ 1,000 (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 balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs. |
Recorded Investment in Delinquent Mortgage Loans | The tables below present our key credit quality indicators for mortgage loans held for portfolio. Delinquency Status as of September 30, 2016 Conventional Government Total Past due: 30-59 days $ 38,105 $ 15,837 $ 53,942 60-89 days 10,128 3,474 13,602 90 days or more 29,939 1,667 31,606 Total past due 78,172 20,978 99,150 Total current 8,696,450 512,925 9,209,375 Total mortgage loans, recorded investment $ 8,774,622 $ 533,903 $ 9,308,525 Other Delinquency Statistics as of September 30, 2016 In process of foreclosure (1) $ 19,276 $ — $ 19,276 Serious delinquency rate (2) 0.34 % 0.31 % 0.34 % Past due 90 days or more still accruing interest (3) $ 24,702 $ 1,667 $ 26,369 On non-accrual status 6,456 — 6,456 Delinquency Status as of December 31, 2015 Conventional Government Total Past due: 30-59 days $ 41,704 $ 21,402 $ 63,106 60-89 days 11,609 5,099 16,708 90 days or more 37,938 3,123 41,061 Total past due 91,251 29,624 120,875 Total current 7,467,866 592,118 8,059,984 Total mortgage loans, recorded investment $ 7,559,117 $ 621,742 $ 8,180,859 Other Delinquency Statistics as of December 31, 2015 In process of foreclosure (1) $ 23,602 $ — $ 23,602 Serious delinquency rate (2) 0.50 % 0.50 % 0.50 % Past due 90 days or more still accruing interest (3) $ 30,764 $ 3,123 $ 33,887 On non-accrual status 8,374 — 8,374 (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, but are not necessarily considered to be on non-accrual status. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2015 Form 10-K. (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 on non-accrual status. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2015 Form 10-K. |
Rollforward of Allowance for Credit Losses on Mortgage Loans | The table below presents a rollforward of our allowance for loan losses. Three Months Ended September 30, Nine Months Ended September 30, Rollforward of Allowance for Loan Losses 2016 2015 2016 2015 Balance, beginning of period $ 850 $ 1,350 $ 1,125 $ 2,500 Charge-offs, net of recoveries (85 ) (45 ) (143 ) (807 ) Provision for (reversal of) loan losses 85 (180 ) (132 ) (568 ) Balance, end of period $ 850 $ 1,125 $ 850 $ 1,125 |
Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] | The tables below present our allowance for loan losses by impairment methodology and the recorded investment in mortgage loans by impairment methodology. Allowance for Loan Losses by Impairment Methodology September 30, 2016 December 31, 2015 Conventional loans collectively evaluated for impairment $ 761 $ 1,011 Conventional loans individually evaluated for impairment (1) 89 114 Total allowance for loan losses $ 850 $ 1,125 Recorded Investment by Impairment Methodology Conventional loans collectively evaluated for impairment $ 8,758,314 $ 7,541,817 Conventional loans individually evaluated for impairment (1) 16,308 17,300 Total recorded investment $ 8,774,622 $ 7,559,117 (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, 2016 and December 31, 2015 of $3,034 and $4,639 , 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, 2016 and December 31, 2015 includes $17 and $68 , respectively, for these potential claims. |
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, 2016 December 31, 2015 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) $ 15,930 $ 15,954 $ — $ 16,426 $ 16,389 $ — MPP conventional loans with allowance for loan losses 378 382 72 874 863 46 Total $ 16,308 $ 16,336 $ 72 $ 17,300 $ 17,252 $ 46 (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, 2016 September 30, 2015 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 16,620 $ 187 $ 17,724 $ 216 MPP conventional loans with allowance for loan losses 377 6 880 13 Total $ 16,997 $ 193 $ 18,604 $ 229 Nine Months Ended Nine Months Ended September 30, 2016 September 30, 2015 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 16,929 $ 574 $ 18,347 $ 671 MPP conventional loans with allowance for loan losses 380 34 883 92 Total $ 17,309 $ 608 $ 19,230 $ 763 |
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, 2016 December 31, 2015 Recorded Investment Performing Non-Performing Total Performing Non-Performing Total MPP conventional loans $ 14,724 $ 1,584 $ 16,308 $ 14,997 $ 2,303 $ 17,300 MPF conventional loans 157 — 157 160 — 160 |
Derivative and Hedging Activi33
Derivative and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
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, 2016 Derivatives Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 24,263,105 $ 16,733 $ 296,870 Total derivatives designated as hedging instruments 24,263,105 16,733 296,870 Derivatives not designated as hedging instruments: Interest-rate swaps 980,947 567 634 Interest-rate caps/floors 356,500 103 — Interest-rate forwards 219,200 — 546 MDCs 220,100 533 42 Total derivatives not designated as hedging instruments 1,776,747 1,203 1,222 Total derivatives before adjustments $ 26,039,852 17,936 298,092 Netting adjustments (1) (178,543 ) (178,543 ) Cash collateral and related accrued interest (1) 300,846 (25,299 ) Total derivatives, net $ 140,239 $ 94,250 December 31, 2015 Derivatives designated as hedging instruments: Interest-rate swaps $ 24,602,221 $ 32,179 $ 208,811 Total derivatives designated as hedging instruments 24,602,221 32,179 208,811 Derivatives not designated as hedging instruments: Interest-rate swaps 252,417 421 77 Interest-rate caps/floors 340,500 62 1 Interest-rate forwards 106,300 51 82 MDCs 106,958 102 82 Total derivatives not designated as hedging instruments 806,175 636 242 Total derivatives before adjustments $ 25,408,396 32,815 209,053 Netting adjustments (1) (51,807 ) (51,807 ) Cash collateral and related accrued interest (1) 68,859 (76,632 ) Total derivatives, net $ 49,867 $ 80,614 (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, 2016 and December 31, 2015 was $326,295 and $146,301 , respectively. Cash collateral received from counterparties at September 30, 2016 and December 31, 2015 was $150 and $810 , 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, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 4,914 $ 123,874 $ 20,122 $ 174,280 Cleared 12,489 173,630 12,540 34,609 Total gross recognized amount 17,403 297,504 32,662 208,889 Gross amounts of netting adjustments and cash collateral Uncleared (4,914 ) (30,212 ) (17,858 ) (93,830 ) Cleared 127,217 (173,630 ) 34,910 (34,609 ) Total gross amounts of netting adjustments and cash collateral 122,303 (203,842 ) 17,052 (128,439 ) Net amounts after netting adjustments and cash collateral Uncleared — 93,662 2,264 80,450 Cleared 139,706 — 47,450 — Total net amounts after netting adjustments and cash collateral 139,706 93,662 49,714 80,450 Derivative instruments not meeting netting requirements (1) 533 588 153 164 Total derivatives, at estimated fair value $ 140,239 $ 94,250 $ 49,867 $ 80,614 (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 2016 2015 2016 2015 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ (4,680 ) $ 38 $ (7,257 ) $ 6,479 Total net gain (loss) related to fair-value hedge ineffectiveness (4,680 ) 38 (7,257 ) 6,479 Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 174 (344 ) (1,239 ) 521 Interest-rate caps/floors 7 (42 ) (40 ) (193 ) Interest-rate forwards (1,411 ) (2,434 ) (6,748 ) (3,782 ) Net interest settlements (48 ) 103 (172 ) 595 MDCs 1,132 2,020 5,740 1,104 Total net gain (loss) on derivatives not designated as hedging instruments (146 ) (697 ) (2,459 ) (1,755 ) Net gains (losses) on derivatives and hedging activities $ (4,826 ) $ (659 ) $ (9,716 ) $ 4,724 |
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, 2016 Derivative Item Ineffectiveness Income (1) Advances $ 63,062 $ (63,144 ) $ (82 ) $ (21,698 ) AFS securities 46,587 (55,011 ) (8,424 ) (23,443 ) CO bonds (16,709 ) 20,535 3,826 4,365 Total $ 92,940 $ (97,620 ) $ (4,680 ) $ (40,776 ) Three Months Ended September 30, 2015 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 ) Nine Months Ended September 30, 2016 Advances $ (56,653 ) $ 56,834 $ 181 $ (75,602 ) AFS securities (64,668 ) 52,251 (12,417 ) (75,534 ) CO Bonds 4,087 892 4,979 14,632 Total $ (117,234 ) $ 109,977 $ (7,257 ) $ (136,504 ) 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 ) (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, 2016 | |
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 (1) $ 16,392,571 $ 19,251,376 Par value 16,405,036 19,267,423 Weighted average effective interest rate 0.37 % 0.31 % (1) Amounts include impact of change in accounting principle. See Note 1 - Summary of Significant Accounting Policies and Change in Accounting Principle for additional information. |
CO Bonds by Year of Contractual Maturity | The following table presents our participation in CO bonds outstanding by contractual maturity. September 30, 2016 December 31, 2015 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 15,911,160 0.72 $ 14,492,585 0.48 Due after 1 year through 2 years 6,196,240 1.11 3,909,310 1.16 Due after 2 years through 3 years 2,512,330 1.65 1,468,570 1.56 Due after 3 years through 4 years 1,901,815 2.84 1,034,375 2.56 Due after 4 years through 5 years 889,980 2.33 1,683,800 3.18 Thereafter 5,335,000 2.98 5,278,000 3.21 Total CO bonds, par value 32,746,525 1.40 27,866,640 1.39 Unamortized premiums 28,431 27,253 Unamortized discounts (12,892 ) (13,185 ) Unamortized concessions (1) (13,140 ) (11,113 ) Fair-value hedging adjustments (8,778 ) (7,978 ) Total CO bonds $ 32,740,146 $ 27,861,617 (1) Amounts include impact of change in accounting principle. See Note 1 - Summary of Significant Accounting Policies and Change in Accounting Principle for additional information. |
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 $ 26,043,525 $ 21,550,640 Callable 6,703,000 6,316,000 Total CO bonds, par value $ 32,746,525 $ 27,866,640 |
CO Bonds by Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Call Date Due in 1 year or less $ 22,366,160 $ 20,690,585 Due after 1 year through 2 years 5,208,240 3,209,310 Due after 2 years through 3 years 2,230,330 919,570 Due after 3 years through 4 years 1,399,815 697,375 Due after 4 years through 5 years 476,980 1,219,800 Thereafter 1,065,000 1,130,000 Total CO bonds, par value $ 32,746,525 $ 27,866,640 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Affordable Housing Program (AHP) [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 2016 2015 2016 2015 Balance at beginning of period $ 25,923 $ 35,120 $ 31,103 $ 36,899 Assessment (expense) 2,786 3,121 8,603 10,338 Subsidy usage, net (1) (5,040 ) (5,258 ) (16,037 ) (14,254 ) Balance at end of period $ 23,669 $ 32,983 $ 23,669 $ 32,983 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Capital [Abstract] | |
MRCS Activity | The following tables present the activity, contractual year of redemption and distributions related to MRCS. Three Months Ended September 30, Nine Months Ended September 30, MRCS Activity 2016 2015 2016 2015 Liability at beginning of period $ 177,603 $ 14,341 $ 14,063 $ 15,673 Reclassification from capital stock 4,158 — 183,056 — Redemptions/repurchases (2,576 ) (157 ) (18,972 ) (1,489 ) Accrued distributions 34 — 1,072 — Liability at end of period $ 179,219 $ 14,184 $ 179,219 $ 14,184 |
Mandatorily Redeemable Capital Stock [Table Text Block] | MRCS Contractual Year of Redemption September 30, December 31, Year 1 (1) $ 17,806 $ 8,996 Year 2 5,054 — Year 3 13 5,054 Year 4 — 13 Year 5 (2) 4,158 — Thereafter (2) 152,188 — Total MRCS $ 179,219 $ 14,063 (1) Balances at September 30, 2016 and December 31, 2015 include $6,218 and $2,479 , respectively, of MRCS that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. (2) Represents the five-year redemption period of outstanding Class B stock held by the captive insurance companies following their termination of membership by February 19, 2021. |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | Three Months Ended September 30, Nine Months Ended September 30, MRCS Distributions 2016 2015 2016 2015 Recorded as interest expense $ 1,880 $ 135 $ 4,748 $ 391 Recorded as distributions from retained earnings 34 — 1,072 — Total $ 1,914 $ 135 $ 5,820 $ 391 |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | We are subject to capital requirements under our capital plan and the Finance Agency regulations as disclosed in Note 15 - Capital in our 2015 Form 10-K. As presented in the following table, we were in compliance with the Finance Agency's capital requirements at September 30, 2016 and December 31, 2015 . For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital. September 30, 2016 December 31, 2015 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 629,606 $ 2,478,876 $ 505,364 $ 2,376,982 Regulatory permanent capital-to-asset ratio 4.00 % 4.69 % 4.00 % 4.70 % Regulatory permanent capital $ 2,116,371 $ 2,478,876 $ 2,024,805 $ 2,376,982 Leverage ratio 5.00 % 7.03 % 5.00 % 7.04 % Leverage capital $ 2,645,463 $ 3,718,314 $ 2,531,007 $ 3,565,473 |
Accumulated Other Comprehensi37
Accumulated Other Comprehensive Income (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
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, 2015 and 2016 . 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, 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 losses — — 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 Balance, June 30, 2016 $ (809 ) $ 24,077 $ (116 ) $ (7,932 ) $ 15,220 OCI before reclassifications: Net change in unrealized gains (losses) 24,784 564 — — 25,348 Net change in fair value — (131 ) — — (131 ) Accretion of non-credit losses — — 6 — 6 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 75 — — 75 Pension benefits, net — — — (310 ) (310 ) Total other comprehensive income (loss) 24,784 508 6 (310 ) 24,988 Balance, September 30, 2016 $ 23,975 $ 24,585 $ (110 ) $ (8,242 ) $ 40,208 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, 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 losses — — 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 Balance, December 31, 2015 $ 97 $ 30,229 $ (132 ) $ (7,316 ) $ 22,878 OCI before reclassifications: Net change in unrealized gains (losses) 23,878 (5,733 ) — — 18,145 Net change in fair value — (79 ) — — (79 ) Accretion of non-credit losses — — 22 — 22 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 168 — — 168 Pension benefits, net — — — (926 ) (926 ) Total other comprehensive income (loss) 23,878 (5,644 ) 22 (926 ) 17,330 Balance, September 30, 2016 $ 23,975 $ 24,585 $ (110 ) $ (8,242 ) $ 40,208 |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Three Months Ended September 30, 2016 Three Months Ended September 30, 2015 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 38,109 $ 11,421 $ 49,530 $ 30,844 $ 17,260 $ 48,104 Provision for (reversal of) credit losses — 85 85 — (180 ) (180 ) Other income (loss) (3,927 ) (243 ) (4,170 ) 425 (387 ) 38 Other expenses 16,357 2,942 19,299 15,269 1,971 17,240 Income before assessments 17,825 8,151 25,976 16,000 15,082 31,082 Affordable Housing Program assessments 1,971 815 2,786 1,612 1,509 3,121 Net income $ 15,854 $ 7,336 $ 23,190 $ 14,388 $ 13,573 $ 27,961 Nine Months Ended September 30, 2016 Nine Months Ended September 30, 2015 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 103,599 $ 40,901 $ 144,500 $ 93,511 $ 50,630 $ 144,141 Provision for (reversal of) credit losses — (132 ) (132 ) — (568 ) (568 ) Other income (loss) (6,387 ) (868 ) (7,255 ) 14,098 (2,543 ) 11,555 Other expenses 47,583 8,516 56,099 45,941 7,330 53,271 Income before assessments 49,629 31,649 81,278 61,668 41,325 102,993 Affordable Housing Program assessments 5,438 3,165 8,603 6,205 4,133 10,338 Net income $ 44,191 $ 28,484 $ 72,675 $ 55,463 $ 37,192 $ 92,655 |
Schedule of Segment Assets by Segment | The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total September 30, 2016 $ 43,639,339 $ 9,269,930 $ 52,909,269 December 31, 2015 42,462,314 8,145,790 50,608,104 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
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, 2016 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 658,314 $ 658,314 $ 658,314 $ — $ — $ — Interest-bearing deposits 155,359 155,359 155,028 331 — — Securities purchased under agreements to resell 2,250,000 2,250,000 — 2,250,000 — — Federal funds sold 1,450,000 1,450,000 — 1,450,000 — — AFS securities 6,349,317 6,349,317 — 6,069,634 279,683 — HTM securities 6,000,371 6,072,716 — 6,010,852 61,864 — Advances 26,473,137 26,436,078 — 26,436,078 — — Mortgage loans held for portfolio, net 9,269,930 9,622,451 — 9,596,652 25,799 — Accrued interest receivable 94,380 94,380 — 94,380 — — Derivative assets, net 140,239 140,239 — 17,936 — 122,303 Grantor trust assets (included in other assets) 17,022 17,022 17,022 — — — Liabilities: Deposits 578,232 578,232 — 578,232 — — Consolidated Obligations: Discount notes 16,392,571 16,405,036 — 16,405,036 — — Bonds 32,740,146 33,270,810 — 33,270,810 — — Accrued interest payable 90,595 90,595 — 90,595 — — Derivative liabilities, net 94,250 94,250 — 298,092 — (203,842 ) MRCS 179,219 179,219 179,219 — — — December 31, 2015 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 4,931,602 $ 4,931,602 $ 4,931,602 $ — $ — $ — Interest-bearing deposits 161 161 — 161 — — AFS securities 4,069,149 4,069,149 — 3,749,963 319,186 — HTM securities 6,345,337 6,405,865 — 6,324,835 81,030 — Advances 26,908,908 26,934,352 — 26,934,352 — — Mortgage loans held for portfolio, net 8,145,790 8,353,586 — 8,322,007 31,579 — Accrued interest receivable 88,377 88,377 — 88,377 — — Derivative assets, net 49,867 49,867 — 32,815 — 17,052 Grantor trust assets (included in other assets) 15,410 15,410 15,410 — — — Liabilities: Deposits 556,764 556,764 — 556,764 — — Consolidated Obligations: Discount notes 19,251,376 19,267,423 — 19,267,423 — — Bonds 27,861,617 28,161,640 — 28,161,640 — — Accrued interest payable 81,836 81,836 — 81,836 — — Derivative liabilities, net 80,614 80,614 — 209,053 — (128,439 ) MRCS 14,063 14,063 14,063 — — — (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 and Nonrecurring 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. Netting September 30, 2016 Total Level 1 Level 2 Level 3 Adjustment (1) AFS securities: GSE and TVA debentures $ 5,077,774 $ — $ 5,077,774 $ — $ — GSE MBS 991,860 — 991,860 — — Private-label RMBS 279,683 — — 279,683 — Total AFS securities 6,349,317 — 6,069,634 279,683 — Derivative assets: Interest-rate related 139,706 — 17,403 — 122,303 Interest-rate forwards — — — — — MDCs 533 — 533 — — Total derivative assets, net 140,239 — 17,936 — 122,303 Grantor trust assets (included in other assets) 17,022 17,022 — — — Total assets at recurring estimated fair value $ 6,506,578 $ 17,022 $ 6,087,570 $ 279,683 $ 122,303 Derivative liabilities: Interest-rate related $ 93,662 $ — $ 297,504 $ — $ (203,842 ) Interest-rate forwards 546 — 546 — — MDCs 42 — 42 — — Total derivative liabilities, net 94,250 — 298,092 — (203,842 ) Total liabilities at recurring estimated fair value $ 94,250 $ — $ 298,092 $ — $ (203,842 ) Mortgage loans held for portfolio (2) $ 3,844 $ — $ — $ 3,844 $ — Total assets at non-recurring estimated fair value $ 3,844 $ — $ — $ 3,844 $ — December 31, 2015 AFS securities: GSE and TVA debentures $ 3,480,542 $ — $ 3,480,542 $ — $ — GSE MBS 269,421 — 269,421 — — Private-label RMBS 319,186 — — 319,186 — Total AFS securities 4,069,149 — 3,749,963 319,186 — Derivative assets: Interest-rate related 49,714 — 32,662 — 17,052 Interest-rate forwards 51 — 51 — — MDCs 102 — 102 — — Total derivative assets, net 49,867 — 32,815 — 17,052 Grantor trust assets (included in other assets) 15,410 15,410 — — — Total assets at recurring estimated fair value $ 4,134,426 $ 15,410 $ 3,782,778 $ 319,186 $ 17,052 Derivative liabilities: Interest-rate related $ 80,450 $ — $ 208,889 $ — $ (128,439 ) Interest-rate forwards 82 — 82 — — MDCs 82 — 82 — — Total derivative liabilities, net 80,614 — 209,053 — (128,439 ) Total liabilities at recurring estimated fair value $ 80,614 $ — $ 209,053 $ — $ (128,439 ) Mortgage loans held for portfolio (3) $ 4,449 $ — $ — $ 4,449 $ — Total assets at non-recurring estimated fair value $ 4,449 $ — $ — $ 4,449 $ — (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, 2016 . (3) Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 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 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 - AFS private-label RMBS 2016 2015 2016 2015 Balance, beginning of period $ 288,143 $ 364,719 $ 319,186 $ 401,050 Total realized and unrealized gains (losses): Accretion of credit losses in interest income 2,064 2,580 7,364 5,941 Net gains (losses) on changes in fair value in other income (loss) (75 ) (29 ) (168 ) (61 ) Non-credit portion in OCI Net change in fair value not in excess of cumulative non-credit losses in OCI (131 ) (86 ) (79 ) (192 ) Unrealized gains (losses) in OCI 564 (2,615 ) (5,733 ) (4,146 ) Reclassification of non-credit portion in OCI to other income (loss) 75 29 168 61 Purchases, issuances, sales and settlements: Settlements (10,957 ) (22,296 ) (41,055 ) (60,351 ) Balance, end of period $ 279,683 $ 342,302 $ 279,683 $ 342,302 Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period $ 1,989 $ 2,550 $ 6,336 $ 5,879 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. September 30, 2016 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 109,959 $ 197,282 $ 307,241 Unused lines of credit (1) 1,060,111 — 1,060,111 Commitments to fund or purchase mortgage loans (2) 220,100 — 220,100 Unsettled CO bonds, at par 262,000 — 262,000 Unsettled Discount Notes, at par 400 — 400 (1) Maximum line of credit amount per member is $50,000 . (2) Generally for periods up to 91 days. |
Transactions with Related Par41
Transactions with Related Parties and Other Entities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Related Party Transaction [Line Items] | |
Outstanding Balances and Balance as a Percent of Total Balance with Respect to Transactions with Related Parties | The following table presents the outstanding balances with respect to transactions with related parties and their balance as a percent of the total balance on the statement of condition. Capital Stock and MRCS Advances Mortgage Loans Held for Portfolio (1) Flagstar Bank, FSB Par value % of Total Par value % of Total UPB % of Total September 30, 2016 $ 171,535 11 % $ 2,460,000 9 % $ 265,464 3 % December 31, 2015 169,881 11 % 3,541,000 13 % 337,498 4 % (1) Represents UPB of mortgage loans purchased from related party. |
Directors' Financial Institutions | |
Related Party Transaction [Line Items] | |
Outstanding Balances and Balance as a Percent of Total Balance with Respect to Transactions with Related Parties | The following table presents the aggregate 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, 2016 $ 50,760 3 % $ 785,973 3 % $ 215,112 2 % December 31, 2015 34,457 2 % 374,122 1 % 208,137 3 % (1) Represents UPB of mortgage loans purchased from directors' financial institutions. |
Directors' Financial institutions Activity [Table Text Block] | The following table presents transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions. Three Months Ended September 30, Nine Months Ended September 30, Transactions with Directors' Financial Institutions 2016 2015 2016 2015 Net advances (repayments) $ 6,681 $ (24,426 ) $ 170,642 $ (27,046 ) Mortgage loans purchased 10,891 12,062 31,308 33,186 |
Summary of Significant Accoun42
Summary of Significant Accounting Policies and Change in Accounting Principle (Change in Accounting) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Liabilities | $ 50,569,404 | $ 48,222,307 |
Discount notes | 16,392,571 | 19,251,376 |
Bonds | 32,740,146 | 27,861,617 |
Assets | $ 52,909,269 | 50,608,104 |
Restatement Adjustment | Accounting Standards Update 2015-03 [Member] | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Liabilities | 12,033 | |
Discount notes | (920) | |
Bonds | (11,113) | |
Assets | $ (12,033) |
Available-for-Sale Securities43
Available-for-Sale Securities (Major Security Types) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,300,757 | $ 4,038,823 |
Non-Credit OTTI | (215) | (304) | |
Gross Unrealized Gains | 55,309 | 36,477 | |
Gross Unrealized Losses | (6,534) | (5,847) | |
Estimated Fair Value | 6,349,317 | 4,069,149 | |
GSE and TVA debentures | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 5,065,910 | 3,478,617 |
Non-Credit OTTI | 0 | 0 | |
Gross Unrealized Gains | 17,906 | 5,467 | |
Gross Unrealized Losses | (6,042) | (3,542) | |
Estimated Fair Value | 5,077,774 | 3,480,542 | |
GSE MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 979,749 | 271,249 |
Non-Credit OTTI | 0 | 0 | |
Gross Unrealized Gains | 12,603 | 477 | |
Gross Unrealized Losses | (492) | (2,305) | |
Estimated Fair Value | 991,860 | 269,421 | |
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 255,098 | 288,957 |
Non-Credit OTTI | (215) | (304) | |
Gross Unrealized Gains | 24,800 | 30,533 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | $ 279,683 | $ 319,186 | |
[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 Securities44
Available-for-Sale Securities (Unrealized Loss Positions) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 1,005,402 | $ 762,317 |
Less than 12 Months, Unrealized Losses | (5,018) | (5,079) |
12 Months or More, Estimated Fair Value | 267,076 | 111,528 |
12 Months or More, Unrealized Losses | (1,731) | (1,072) |
Total Estimated Fair Value | 1,272,478 | 873,845 |
Total Unrealized Losses | (6,749) | (6,151) |
GSE and TVA debentures | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 1,005,402 | 578,809 |
Less than 12 Months, Unrealized Losses | (5,018) | (2,774) |
12 Months or More, Estimated Fair Value | 180,075 | 107,349 |
12 Months or More, Unrealized Losses | (1,024) | (768) |
Total Estimated Fair Value | 1,185,477 | 686,158 |
Total Unrealized Losses | (6,042) | (3,542) |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 0 | 183,508 |
Less than 12 Months, Unrealized Losses | 0 | (2,305) |
12 Months or More, Estimated Fair Value | 83,648 | 0 |
12 Months or More, Unrealized Losses | (492) | 0 |
Total Estimated Fair Value | 83,648 | 183,508 |
Total Unrealized Losses | (492) | (2,305) |
Residential Mortgage Backed Securities [Member] | Private-label RMBS | ||
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 | 3,353 | 4,179 |
12 Months or More, Unrealized Losses | (215) | (304) |
Total Estimated Fair Value | 3,353 | 4,179 |
Total Unrealized Losses | $ (215) | $ (304) |
Available-for-Sale Securities45
Available-for-Sale Securities (Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,300,757 | $ 4,038,823 |
Estimated Fair Value | 6,349,317 | 4,069,149 | |
Non-MBS | |||
Available-for-sale Securities [Line Items] | |||
Due in one year or less, Amortized Cost | 1,095,395 | 820,210 | |
Due after one year through five years, Amortized Cost | 1,973,214 | 1,921,544 | |
Due after five years through ten years, Amortized Cost | 1,755,805 | 637,007 | |
Due after ten years, Amortized Cost | 241,496 | 99,856 | |
Amortized Cost | 5,065,910 | 3,478,617 | |
Due in one year or less, Estimated Fair Value | 1,097,760 | 821,413 | |
Due after one year through five years, Estimated Fair Value | 1,982,605 | 1,924,567 | |
Due after five years through ten years, Estimated Fair Value | 1,758,956 | 635,356 | |
Due after ten years, Estimated Fair Value | 238,453 | 99,206 | |
Estimated Fair Value | 5,077,774 | 3,480,542 | |
MBS | |||
Available-for-sale Securities [Line Items] | |||
Amortized Cost | 1,234,847 | 560,206 | |
Estimated Fair Value | $ 1,271,543 | $ 588,607 | |
[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, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,000,481 | $ 6,345,469 |
Non-Credit (OTTI) | (110) | (132) | |
Carrying Value | 6,000,371 | 6,345,337 | |
Gross Unrecognized Holding Gains | 86,528 | 76,979 | |
Gross Unrecognized Holding Losses | (14,183) | (16,451) | |
Estimated Fair Value | 6,072,716 | 6,405,865 | |
GSE debentures | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 100,000 | |
Non-Credit (OTTI) | 0 | ||
Carrying Value | 100,000 | ||
Gross Unrecognized Holding Gains | 2 | ||
Gross Unrecognized Holding Losses | 0 | ||
Estimated Fair Value | 100,002 | ||
Other U.S. obligations -guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 2,765,248 | 2,894,867 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 2,765,248 | 2,894,867 | |
Gross Unrecognized Holding Gains | 8,589 | 13,113 | |
Gross Unrecognized Holding Losses | (10,573) | (12,148) | |
Estimated Fair Value | 2,763,264 | 2,895,832 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 3,171,926 | 3,267,647 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 3,171,926 | 3,267,647 | |
Gross Unrecognized Holding Gains | 77,872 | 63,687 | |
Gross Unrecognized Holding Losses | (2,210) | (2,333) | |
Estimated Fair Value | 3,247,588 | 3,329,001 | |
Private-label ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 9,476 | 10,848 |
Non-Credit (OTTI) | (110) | (132) | |
Carrying Value | 9,366 | 10,716 | |
Gross Unrecognized Holding Gains | 34 | 61 | |
Gross Unrecognized Holding Losses | (959) | (1,031) | |
Estimated Fair Value | 8,441 | 9,746 | |
MBS and ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 6,000,481 | 6,245,469 |
Non-Credit (OTTI) | (110) | (132) | |
Carrying Value | 6,000,371 | 6,245,337 | |
Gross Unrecognized Holding Gains | 86,528 | 76,977 | |
Gross Unrecognized Holding Losses | (14,183) | (16,451) | |
Estimated Fair Value | 6,072,716 | 6,305,863 | |
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 53,831 | 72,107 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 53,831 | 72,107 | |
Gross Unrecognized Holding Gains | 33 | 116 | |
Gross Unrecognized Holding Losses | (441) | (939) | |
Estimated Fair Value | $ 53,423 | $ 71,284 | |
[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). |
Held-to-Maturity Securities (Un
Held-to-Maturity Securities (Unrealized Loss Position) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | $ 1,170,851 | $ 1,854,390 | |
Less than 12 Months, Unrealized Losses | (2,135) | (7,993) | |
12 Months or More, Estimated Fair Value | 1,721,221 | 862,185 | |
12 Months or More, Unrealized Losses | (12,124) | (8,529) | |
Total Estimated Fair Value | 2,892,072 | 2,716,575 | |
Unrealized Loss Position | [1] | (14,259) | (16,522) |
Gross Unrecognized Holding Losses | (14,183) | (16,451) | |
Non-Credit (OTTI) | (110) | (132) | |
Gross Unrecognized Holding Gains | 86,528 | 76,979 | |
Other U.S. obligations -guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 254,215 | 1,271,907 | |
Less than 12 Months, Unrealized Losses | (667) | (6,147) | |
12 Months or More, Estimated Fair Value | 1,477,024 | 603,045 | |
12 Months or More, Unrealized Losses | (9,906) | (6,001) | |
Total Estimated Fair Value | 1,731,239 | 1,874,952 | |
Unrealized Loss Position | [1] | (10,573) | (12,148) |
Gross Unrecognized Holding Losses | (10,573) | (12,148) | |
Non-Credit (OTTI) | 0 | 0 | |
Gross Unrecognized Holding Gains | 8,589 | 13,113 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 896,530 | 566,277 | |
Less than 12 Months, Unrealized Losses | (1,431) | (1,744) | |
12 Months or More, Estimated Fair Value | 218,277 | 224,436 | |
12 Months or More, Unrealized Losses | (779) | (589) | |
Total Estimated Fair Value | 1,114,807 | 790,713 | |
Unrealized Loss Position | [1] | (2,210) | (2,333) |
Gross Unrecognized Holding Losses | (2,210) | (2,333) | |
Non-Credit (OTTI) | 0 | 0 | |
Gross Unrecognized Holding Gains | 77,872 | 63,687 | |
Private-label 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 | 8,440 | 9,746 | |
12 Months or More, Unrealized Losses | (1,035) | (1,102) | |
Total Estimated Fair Value | 8,440 | 9,746 | |
Unrealized Loss Position | [1] | (1,035) | (1,102) |
MBS and ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 1,170,851 | 1,854,390 | |
Less than 12 Months, Unrealized Losses | (2,135) | (7,993) | |
12 Months or More, Estimated Fair Value | 1,721,221 | 862,185 | |
12 Months or More, Unrealized Losses | (12,124) | (8,529) | |
Total Estimated Fair Value | 2,892,072 | 2,716,575 | |
Unrealized Loss Position | [1] | (14,259) | (16,522) |
Gross Unrecognized Holding Losses | (14,183) | (16,451) | |
Non-Credit (OTTI) | (110) | (132) | |
Gross Unrecognized Holding Gains | 86,528 | 76,977 | |
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 20,106 | 16,206 | |
Less than 12 Months, Unrealized Losses | (37) | (102) | |
12 Months or More, Estimated Fair Value | 17,480 | 24,958 | |
12 Months or More, Unrealized Losses | (404) | (837) | |
Total Estimated Fair Value | 37,586 | 41,164 | |
Unrealized Loss Position | [1] | (441) | (939) |
Gross Unrecognized Holding Losses | (441) | (939) | |
Non-Credit (OTTI) | 0 | 0 | |
Gross Unrecognized Holding Gains | $ 33 | $ 116 | |
[1] | For private-label ABS, total unrealized losses do not agree to total gross unrecognized holding losses at September 30, 2016 and December 31, 2015 of $959 and $1,031, respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $110 and $132, respectively, and gross unrecognized holding gains on previously OTTI securities of $34 and $61, respectively. |
Other-Than-Temporary Impairme48
Other-Than-Temporary Impairment (Securities with OTTI Losses) (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016USD ($)Security | Sep. 30, 2015USD ($)Security | Sep. 30, 2016USD ($)Security | Sep. 30, 2015USD ($)Security | |
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Number of securities | Security | 1 | 1 | 1 | 1 |
Net other-than-temporary impairment losses, credit portion | $ | $ 75 | $ 29 | $ 168 | $ 61 |
Minimum | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Assumed current to through home price change rate (percentage) | (1.00%) | (1.00%) | ||
Projected house price change rate (percentage) | 3.00% | 3.00% | ||
Maximum | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Assumed current to through home price change rate (percentage) | 10.00% | 10.00% | ||
Projected house price change rate (percentage) | 6.00% | 6.00% | ||
Securitization in 2006 [Member] | Private-label RMBS | Residential Mortgage Backed Securities [Member] | Prime [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayent Rates | 11.00% | |||
Default Rates | 15.00% | |||
Loss Severities | 35.00% | |||
Current Credit Enhancement | 0.00% | 0.00% |
Advances (Narratives) (Details)
Advances (Narratives) (Details) $ in Thousands | Sep. 30, 2016USD ($)Borrower | Dec. 31, 2015USD ($)Borrower |
Federal Home Loan Bank, Advances [Line Items] | ||
Total advances, par value | $ 26,328,836 | $ 26,807,468 |
Advances to captive insurance companies due in one year or less | 328,500 | |
Advances outstanding greater than one billion dollars per borrower amount | 14,700,000 | $ 14,800,000 |
Threshold for outstanding | $ 1,000,000 | |
Advances outstanding greater than one billion dollars per borrower percent (percentage) | 56.00% | 55.00% |
Advances outstanding greater than one billion dollars per borrower, number of borrowers | Borrower | 8 | 8 |
Minimum | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rate of advances outstanding (percentage) | 0.28% | |
Maximum | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rate of advances outstanding (percentage) | 7.53% |
Advances by Year of Contractual
Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Year of Contractual Maturity, Amount | ||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 89 |
Due in 1 year or less | 10,710,689 | 11,969,004 |
Due after 1 year through 2 years | 2,986,418 | 2,678,669 |
Due after 2 years through 3 years | 1,885,480 | 2,511,090 |
Due after 3 years through 4 years | 2,776,421 | 1,705,052 |
Due after 4 years through 5 years | 1,892,448 | 2,638,688 |
Thereafter | 6,077,380 | 5,304,876 |
Total advances, par value | $ 26,328,836 | $ 26,807,468 |
Year of Contractual Maturity, WAIR % | ||
Overdrawn demand and overnight deposit accounts | 0.00% | 2.58% |
Due in 1 year or less | 0.76% | 0.63% |
Due after 1 year through 2 years | 1.79% | 1.50% |
Due after 2 years through 3 years | 1.95% | 1.83% |
Due after 3 years through 4 years | 1.58% | 2.44% |
Due after 4 years through 5 years | 1.48% | 1.22% |
Thereafter | 1.12% | 1.30% |
Total advances, par value | 1.19% | 1.13% |
Fair-value hedging adjustments | $ 120,049 | $ 69,829 |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 24,252 | 31,611 |
Total Advances | $ 26,473,137 | $ 26,908,908 |
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, 2016 | Dec. 31, 2015 |
Advances [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 89 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 17,027,539 | 17,669,284 |
Due after 1 year through 2 years | 2,686,418 | 2,540,919 |
Due after 2 years through 3 years | 1,825,980 | 2,309,925 |
Due after 3 years through 4 years | 1,802,421 | 1,635,052 |
Due after 4 years through 5 years | 1,220,948 | 1,553,688 |
Thereafter | 1,765,530 | 1,098,511 |
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 | 10,889,189 | 12,224,004 |
Due after 1 year through 2 years | 2,981,418 | 2,601,169 |
Due after 2 years through 3 years | 1,880,480 | 2,491,090 |
Due after 3 years through 4 years | 2,776,421 | 1,700,052 |
Due after 4 years through 5 years | 2,181,448 | 2,635,688 |
Thereafter | 5,619,880 | 5,155,376 |
Total advances, par value | $ 26,328,836 | $ 26,807,468 |
Mortgage Loans Held for Portf52
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 9 Months Ended | ||||||
Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | ||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | $ 9,056,999 | $ 7,982,055 | |||||
Unamortized premiums | 207,333 | 162,875 | |||||
Unamortized discounts | (1,566) | (1,832) | |||||
Fair-value hedging adjustments | 8,014 | 3,817 | |||||
Allowance for loan losses | (850) | (1,125) | |||||
Total mortgage loans held for portfolio, net | 9,269,930 | 8,145,790 | |||||
Fixed-rate long-term mortgages | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 7,887,336 | 6,811,266 | |||||
Fixed-rate medium-term mortgages | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | [1] | $ 1,169,663 | 1,170,789 | ||||
Fixed-rate medium-term mortgages | Maximum | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Original term | 15 years | ||||||
Mortgage Purchase Program | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | $ 8,673,185 | 7,543,183 | |||||
Mortgage Partnership Finance Program | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 383,814 | 438,872 | |||||
Conventional | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | 8,532,055 | 7,371,032 | |||||
Allowance for loan losses | (850) | $ (850) | (1,125) | $ (1,125) | $ (1,350) | $ (2,500) | |
Conventional | Mortgage Purchase Program | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Allowance for loan losses | (750) | (1,000) | |||||
Conventional | Mortgage Partnership Finance Program | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Allowance for loan losses | (100) | (125) | |||||
Government -guaranteed or -insured | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans Held for Portfolio, UPB | $ 524,944 | $ 611,023 | |||||
[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, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | ||
Credit Enhancement Fund [Roll Forward] | |||||||||
Balance of LRA, beginning of period | $ 105,565 | $ 82,624 | $ 91,552 | $ 61,949 | |||||
Additions | 11,722 | 5,721 | 27,140 | 27,229 | |||||
Claim paid | (301) | (393) | (786) | (940) | |||||
Distributions to members | (38) | (66) | (958) | (352) | |||||
Balance of LRA, end of period | 116,948 | 87,886 | 116,948 | 87,886 | |||||
Allowance for loan losses | 850 | 850 | $ 1,125 | ||||||
Credit enhancement fee paid to participating financial institutions, gross | 74 | 87 | 233 | 271 | |||||
First Loss Account | 3,509 | 3,509 | 3,482 | ||||||
CE Obligations available to cover losses in excess of the FLA | 26,862 | 26,862 | 26,862 | ||||||
Conventional | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Allowance for loan losses | 850 | $ 1,125 | 850 | $ 1,125 | $ 850 | 1,125 | $ 1,350 | $ 2,500 | |
Mortgage Purchase Program | Conventional | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Estimated incurred losses remaining after borrower's equity, before credit enhancements | 6,453 | 6,453 | 6,132 | ||||||
Allowance for unrecoverable PMI/SMI | 100 | 100 | 140 | ||||||
Allowance for loan losses | 750 | 750 | 1,000 | ||||||
Mortgage Purchase Program | Conventional | PMI | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Portion of estimated losses recoverable from | (1,490) | (1,490) | (1,477) | ||||||
Mortgage Purchase Program | Conventional | LRA | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Portion of estimated losses recoverable from | [1] | (902) | (902) | (550) | |||||
Mortgage Purchase Program | Conventional | SMI | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Portion of estimated losses recoverable from | (3,411) | (3,411) | (3,245) | ||||||
Mortgage Partnership Finance Program | Conventional | |||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||
Allowance for loan losses | $ 100 | $ 100 | $ 125 | ||||||
[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 balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs. |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Dec. 31, 2015 | ||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | $ 1,125 | ||||||
Provision for (reversal of) loan losses | $ 85 | $ (180) | (132) | $ (568) | |||
Allowance for loan losses on mortgage loans, end of period | 850 | 850 | |||||
Total allowance for loan losses | 850 | 1,125 | $ 850 | $ 1,125 | |||
Total recorded investment | 9,308,525 | 8,180,859 | |||||
Conventional | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | 850 | 1,350 | 1,125 | 2,500 | |||
Charge-offs, net of recoveries | (85) | (45) | (143) | (807) | |||
Provision for (reversal of) loan losses | 85 | (180) | (132) | (568) | |||
Allowance for loan losses on mortgage loans, end of period | 850 | 1,125 | 850 | 1,125 | |||
Allowance for loan losses, loans collectively evaluated for impairment | 761 | 1,011 | |||||
Allowance for loan losses, loans individually evaluated for impairment | [1] | 89 | 114 | ||||
Total allowance for loan losses | 850 | $ 1,350 | 1,125 | $ 2,500 | 850 | 1,125 | |
Recorded Investment, loans collectively evaluated for impairment | 8,758,314 | 7,541,817 | |||||
Recorded Investment, loans individually evaluated for impairment | [1] | 16,308 | 17,300 | ||||
Total recorded investment | 8,774,622 | 7,559,117 | |||||
Principal paid in full by servicers | 3,034 | 4,639 | |||||
Potential claims included in allowance | 17 | 68 | |||||
Mortgage Purchase Program | Conventional | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | 1,000 | ||||||
Allowance for loan losses on mortgage loans, end of period | 750 | 750 | |||||
Total allowance for loan losses | 750 | 1,000 | 750 | 1,000 | |||
Mortgage Partnership Finance Program | Conventional | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Allowance for loan losses on mortgage loans, beginning of period | 125 | ||||||
Allowance for loan losses on mortgage loans, end of period | 100 | 100 | |||||
Total allowance for loan losses | $ 100 | $ 125 | $ 100 | $ 125 | |||
[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, 2016 and December 31, 2015 of $3,034 and $4,639, 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, 2016 and December 31, 2015 includes $17 and $68, respectively, for these potential claims. |
Allowance for Credit Losses (Pa
Allowance for Credit Losses (Past Due) (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Dec. 31, 2015 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 99,150 | $ 120,875 | |
Total current | 9,209,375 | 8,059,984 | |
Total recorded investment | 9,308,525 | 8,180,859 | |
In process of foreclosure | [1] | $ 19,276 | $ 23,602 |
Serious delinquency rate (percentage) | [2] | 0.34% | 0.50% |
Past due 90 days or more still accruing interest | [3] | $ 26,369 | $ 33,887 |
On non-accrual status | $ 6,456 | 8,374 | |
Delinquent loan receivable (in days) | 90 days | ||
Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 78,172 | 91,251 | |
Total current | 8,696,450 | 7,467,866 | |
Total recorded investment | 8,774,622 | 7,559,117 | |
In process of foreclosure | [1] | $ 19,276 | $ 23,602 |
Serious delinquency rate (percentage) | [2] | 0.34% | 0.50% |
Past due 90 days or more still accruing interest | [3] | $ 24,702 | $ 30,764 |
On non-accrual status | 6,456 | 8,374 | |
US Government Agency Insured Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 20,978 | 29,624 | |
Total current | 512,925 | 592,118 | |
Total recorded investment | 533,903 | 621,742 | |
In process of foreclosure | [1] | $ 0 | $ 0 |
Serious delinquency rate (percentage) | [2] | 0.31% | 0.50% |
Past due 90 days or more still accruing interest | [3] | $ 1,667 | $ 3,123 |
On non-accrual status | 0 | 0 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 53,942 | 63,106 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 38,105 | 41,704 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | US Government Agency Insured Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 15,837 | 21,402 | |
Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 13,602 | 16,708 | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 10,128 | 11,609 | |
Financing Receivables, 60 to 89 Days Past Due [Member] | US Government Agency Insured Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 3,474 | 5,099 | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 31,606 | 41,061 | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 29,939 | 37,938 | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | US Government Agency Insured Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 1,667 | $ 3,123 | |
[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, but are not necessarily considered to be on non-accrual status. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2015 Form 10-K. | ||
[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 on non-accrual status. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2015 Form 10-K. |
Allowance for Credit Losses (Im
Allowance for Credit Losses (Impaired Debt) (Details) - Mortgage Purchase Program - Conventional - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Financing Receivable, Impaired [Line Items] | ||||||
Conventional loans without allowance for loan losses, Recorded Investment | [1] | $ 15,930 | $ 15,930 | $ 16,426 | ||
Conventional loans with allowance for loan losses, Recorded Investment | 378 | 378 | 874 | |||
Total recorded investment | 16,308 | 16,308 | 17,300 | |||
Conventional loans without allowance for loan losses, UPB | [1] | 15,954 | 15,954 | 16,389 | ||
Conventional loans with allowance for loan losses, UPB | 382 | 382 | 863 | |||
Total UPB | 16,336 | 16,336 | 17,252 | |||
Allowance for loan losses | 72 | 72 | $ 46 | |||
Conventional loans without allowance, Average Recorded Investment | 16,620 | $ 17,724 | 16,929 | $ 18,347 | ||
Conventional loans without allowance, Interest Income Recognized | 187 | 216 | 574 | 671 | ||
Conventional loans with allowance, Average Recorded Investment | 377 | 880 | 380 | 883 | ||
Conventional loans with allowance, Interest Income Recognized | 6 | 13 | 34 | 92 | ||
Impaired Financing Receivable, Average Recorded Investment | 16,997 | 18,604 | 17,309 | 19,230 | ||
Impaired Financing Receivable, Interest Income, Accrual Method | $ 193 | $ 229 | $ 608 | $ 763 | ||
[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) - Conventional - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage Purchase Program | ||
Financing Receivable, Modifications [Line Items] | ||
Recorded Investment | $ 16,308 | $ 17,300 |
Mortgage Partnership Finance Program | ||
Financing Receivable, Modifications [Line Items] | ||
Recorded Investment | 157 | 160 |
Performing Financial Instruments [Member] | Mortgage Purchase Program | ||
Financing Receivable, Modifications [Line Items] | ||
Recorded Investment | 14,724 | 14,997 |
Performing Financial Instruments [Member] | Mortgage Partnership Finance Program | ||
Financing Receivable, Modifications [Line Items] | ||
Recorded Investment | 157 | 160 |
Nonperforming Financial Instruments [Member] | Mortgage Purchase Program | ||
Financing Receivable, Modifications [Line Items] | ||
Recorded Investment | 1,584 | 2,303 |
Nonperforming Financial Instruments [Member] | Mortgage Partnership Finance Program | ||
Financing Receivable, Modifications [Line Items] | ||
Recorded Investment | $ 0 | $ 0 |
Derivative and Hedging Activi58
Derivative and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 326,295 | $ 146,301 |
Notional Amount of Derivatives | 26,039,852 | 25,408,396 |
Estimated Fair Value of Derivative Assets | 17,936 | 32,815 |
Estimated Fair Value of Derivative Liabilities | 298,092 | 209,053 |
Netting adjustments, assets | (178,543) | (51,807) |
Derivative Asset Fair Value Gross Asset and Right to Reclaim Cash Offset | 300,846 | 68,859 |
Netting adjustments, liabilities | (178,543) | (51,807) |
Cash collateral and related accrued interest, liabilities | (25,299) | (76,632) |
Derivative Asset, net | 140,239 | 49,867 |
Derivative Liability, net | 94,250 | 80,614 |
Derivative, Collateral, Obligation to Return Cash | 150 | 810 |
Derivatives designated as hedging instruments: | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 24,263,105 | 24,602,221 |
Estimated Fair Value of Derivative Assets | 16,733 | 32,179 |
Estimated Fair Value of Derivative Liabilities | 296,870 | 208,811 |
Derivatives designated as hedging instruments: | Interest-rate swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 24,263,105 | 24,602,221 |
Estimated Fair Value of Derivative Assets | 16,733 | 32,179 |
Estimated Fair Value of Derivative Liabilities | 296,870 | 208,811 |
Derivatives not designated as hedging instruments: | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 1,776,747 | 806,175 |
Estimated Fair Value of Derivative Assets | 1,203 | 636 |
Estimated Fair Value of Derivative Liabilities | 1,222 | 242 |
Derivatives not designated as hedging instruments: | Interest-rate swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 980,947 | 252,417 |
Estimated Fair Value of Derivative Assets | 567 | 421 |
Estimated Fair Value of Derivative Liabilities | 634 | 77 |
Derivatives not designated as hedging instruments: | Interest-rate caps/floors | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 356,500 | 340,500 |
Estimated Fair Value of Derivative Assets | 103 | 62 |
Estimated Fair Value of Derivative Liabilities | 0 | 1 |
Derivatives not designated as hedging instruments: | Interest-rate forwards | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 219,200 | 106,300 |
Estimated Fair Value of Derivative Assets | 0 | 51 |
Estimated Fair Value of Derivative Liabilities | 546 | 82 |
Derivatives not designated as hedging instruments: | MDCs | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 220,100 | 106,958 |
Estimated Fair Value of Derivative Assets | 533 | 102 |
Estimated Fair Value of Derivative Liabilities | $ 42 | $ 82 |
Derivative and Hedging Activi59
Derivative and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative Asset, Gross recognized amount | $ 17,403 | $ 32,662 |
Derivative Liability, Gross recognized amount | 297,504 | 208,889 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | 122,303 | 17,052 |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (203,842) | (128,439) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 139,706 | 49,714 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | 93,662 | 80,450 |
Derivative Asset, Derivative instruments not meeting netting requirements | 533 | 153 |
Derivative Liability, Derivative instruments not meeting netting requirements | 588 | 164 |
Derivative Asset, net | 140,239 | 49,867 |
Derivative Liability, net | 94,250 | 80,614 |
Uncleared | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative Asset, Gross recognized amount | 4,914 | 20,122 |
Derivative Liability, Gross recognized amount | 123,874 | 174,280 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | (4,914) | (17,858) |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (30,212) | (93,830) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 0 | 2,264 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | 93,662 | 80,450 |
Cleared | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative Asset, Gross recognized amount | 12,489 | 12,540 |
Derivative Liability, Gross recognized amount | 173,630 | 34,609 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | 127,217 | 34,910 |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (173,630) | (34,609) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 139,706 | 47,450 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | $ 0 | $ 0 |
Derivative and Hedging Activi60
Derivative and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ (4,680) | $ 38 | $ (7,257) | $ 6,479 |
Total net gain (loss) on derivatives not designated as hedging instruments | (146) | (697) | (2,459) | (1,755) |
Net gains (losses) on derivatives and hedging activities | (4,826) | (659) | (9,716) | 4,724 |
Interest-rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | (4,680) | 38 | (7,257) | 6,479 |
Total net gain (loss) on derivatives not designated as hedging instruments | 174 | (344) | (1,239) | 521 |
Interest-rate caps/floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | 7 | (42) | (40) | (193) |
Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | (1,411) | (2,434) | (6,748) | (3,782) |
Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | (48) | 103 | (172) | 595 |
Mortgages [Member] | Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | $ 1,132 | $ 2,020 | $ 5,740 | $ 1,104 |
Derivative and Hedging Activi61
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, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives | $ 92,940 | $ (78,516) | $ (117,234) | $ (36,658) |
Gain (Loss) on Hedged Item | (97,620) | 78,554 | 109,977 | 43,137 |
Net Fair Value Hedge Ineffectiveness | (4,680) | 38 | (7,257) | 6,479 |
Effect on Net Interest Income | (40,776) | (49,443) | (136,504) | (145,603) |
Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives | 63,062 | (73,324) | (56,653) | (62,544) |
Gain (Loss) on Hedged Item | (63,144) | 72,760 | 56,834 | 64,252 |
Net Fair Value Hedge Ineffectiveness | (82) | (564) | 181 | 1,708 |
Effect on Net Interest Income | (21,698) | (39,511) | (75,602) | (118,180) |
AFS Securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives | 46,587 | (19,310) | (64,668) | 1,531 |
Gain (Loss) on Hedged Item | (55,011) | 19,056 | 52,251 | (2,772) |
Net Fair Value Hedge Ineffectiveness | (8,424) | (254) | (12,417) | (1,241) |
Effect on Net Interest Income | (23,443) | (24,419) | (75,534) | (73,151) |
CO bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives | (16,709) | 14,118 | 4,087 | 24,355 |
Gain (Loss) on Hedged Item | 20,535 | (13,262) | 892 | (18,343) |
Net Fair Value Hedge Ineffectiveness | 3,826 | 856 | 4,979 | 6,012 |
Effect on Net Interest Income | $ 4,365 | $ 14,487 | $ 14,632 | $ 45,728 |
Derivative and Hedging Activi62
Derivative and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash collateral pledged to counterparties | $ 326,295 | $ 146,301 |
Cash collateral received from counterparties | 150 | $ 810 |
Net liability position, aggregate fair value | 118,960 | |
Collateral already posted, estimated fair value | 25,299 | |
Other derivative instruments in a net liability position | 588 | |
Additional collateral, fair value | $ 5,000 |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | |
Schedule of Short-term and Long-term Debt [Line Items] | ||
FLHB's outstanding consolidated obligations | $ 967,700,000 | $ 905,200,000 |
Discount Notes maturity period (years) | 1 year | |
Discount Note [Abstract] | ||
Discount Notes | $ 16,392,571 | 19,251,376 |
Par value | $ 16,405,036 | $ 19,267,423 |
Weighted average effective interest rate (percentage) | 0.37% | 0.31% |
CO Bonds [Abstract] | ||
Due in 1 year or less | $ 15,911,160 | $ 14,492,585 |
Due after 1 year through 2 years | 6,196,240 | 3,909,310 |
Due after 2 years through 3 years | 2,512,330 | 1,468,570 |
Due after 3 years through 4 years | 1,901,815 | 1,034,375 |
Due after 4 years through 5 years | 889,980 | 1,683,800 |
Thereafter | 5,335,000 | 5,278,000 |
Unamortized premiums | 28,431 | 27,253 |
Unamortized concessions | (13,140) | (11,113) |
Fair-value hedging adjustments | $ (8,778) | $ (7,978) |
Due in 1 year or less, WAIR % | 0.72% | 0.48% |
Due after 1 year through 2 years, WAIR % | 1.11% | 1.16% |
Due after 2 years through 3 years, WAIR % | 1.65% | 1.56% |
Due after 3 years through 4 years, WAIR % | 2.84% | 2.56% |
Due after 4 years through 5 years, WAIR % | 2.33% | 3.18% |
Thereafter, WAIR % | 2.98% | 3.21% |
Total WAIR% | 1.40% | 1.39% |
CO Bonds, Par value | $ 32,746,525 | $ 27,866,640 |
Due in 1 year or less | 22,366,160 | 20,690,585 |
Due after 1 year through 2 years | 5,208,240 | 3,209,310 |
Due after 2 years through 3 years | 2,230,330 | 919,570 |
Due after 3 years through 4 years | 1,399,815 | 697,375 |
Due after 4 years through 5 years | 476,980 | 1,219,800 |
Thereafter | 1,065,000 | 1,130,000 |
Bonds | 32,740,146 | 27,861,617 |
Federal Home Loan Bank Consolidated Obligations With No Related Option Feature [Member] | ||
CO Bonds [Abstract] | ||
CO Bonds, Par value | 26,043,525 | 21,550,640 |
Federal Home Loan Bank Consolidated Obligations Callable Option [Member] | ||
CO Bonds [Abstract] | ||
CO Bonds, Par value | 6,703,000 | 6,316,000 |
Unsecured Debt [Member] | ||
CO Bonds [Abstract] | ||
Unamortized discounts | $ (12,892) | $ (13,185) |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||||
Balance at beginning of period | $ 25,923 | $ 35,120 | $ 31,103 | $ 36,899 | |
Assessment (expense) | 2,786 | 3,121 | 8,603 | 10,338 | |
Subsidy usage, net | [1] | (5,040) | (5,258) | (16,037) | (14,254) |
Balance at end of period | $ 23,669 | $ 32,983 | $ 23,669 | $ 32,983 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Details)
Capital (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Capital [Abstract] | ||||||
Capital stock reclassified to MRCS for captive insurance companies admitted as members after September 12, 2014 | $ 25,585 | $ 25,585 | ||||
Mandatorily Redeemable Capital Stock Activity [Roll Forward] | ||||||
Liability at beginning of period | 177,603 | $ 14,341 | 14,063 | $ 15,673 | ||
Reclassification from capital stock | 4,158 | 0 | 183,056 | 0 | ||
Redemptions/repurchases | (2,576) | (157) | (18,972) | (1,489) | ||
Accrued distributions | 34 | 0 | 1,072 | 0 | ||
Liability at end of period | 179,219 | 14,184 | 179,219 | 14,184 | ||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||||
Year 1 | [1] | 17,806 | 17,806 | $ 8,996 | ||
Year 2 | 5,054 | 5,054 | 0 | |||
Year 3 | 13 | 13 | 5,054 | |||
Year 4 | 0 | 0 | 13 | |||
Year 5 | [2] | 4,158 | 4,158 | 0 | ||
Thereafter | [2] | 152,188 | 152,188 | 0 | ||
Financial Instruments Subject to Mandatory Redemption, Past Contractual Redemption Date, Due to Outstanding Activity | 6,218 | 6,218 | 2,479 | |||
Recorded as interest expense | 1,880 | 135 | 4,748 | 391 | ||
Recorded as distributions from retained earnings | 34 | 0 | 1,072 | 0 | ||
Total | 1,914 | $ 135 | 5,820 | $ 391 | ||
Regulatory Capital Requirements [Abstract] | ||||||
Federal Home Loan Bank, Risk-Based Capital, Required | 629,606 | 629,606 | 505,364 | |||
Federal Home Loan Bank, Risk-Based Capital, Actual | $ 2,478,876 | $ 2,478,876 | $ 2,376,982 | |||
Regulatory permanent capital-to-asset ratio, Required (percentage) | 4.00% | 4.00% | 4.00% | |||
Federal Home Loan Bank, Regulatory Capital Ratio, Actual (percentage) | 4.69% | 4.69% | 4.70% | |||
Federal Home Loan Bank, Regulatory Capital, Required | $ 2,116,371 | $ 2,116,371 | $ 2,024,805 | |||
Federal Home Loan Bank, Regulatory Capital, Actual | $ 2,478,876 | $ 2,478,876 | $ 2,376,982 | |||
Leverage ratio, Required (percentage) | 5.00% | 5.00% | 5.00% | |||
Federal Home Loan Bank, Leverage Ratio, Actual (percentage) | 7.03% | 7.03% | 7.04% | |||
Federal Home Loan Bank, Leverage Capital, Required | $ 2,645,463 | $ 2,645,463 | $ 2,531,007 | |||
Federal Home Loan Bank, Leverage Capital, Actual | 3,718,314 | 3,718,314 | $ 3,565,473 | |||
Capital Stock Reclassified to MRCS for Captive Insurance Companies Admitted as Members Prior to September 12, 2014 | $ 153,313 | $ 153,313 | ||||
[1] | Balances at September 30, 2016 and December 31, 2015 include $6,218 and $2,479, respectively, of MRCS that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. | |||||
[2] | Represents the five-year redemption period of outstanding Class B stock held by the captive insurance companies following their termination of membership by February 19, 2021. |
Accumulated Other Comprehensi66
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | $ 40,208 | $ 40,208 | $ 22,878 | |||||
Net change in unrealized gains (losses) on available-for-sale securities | 24,784 | $ (13,280) | 23,878 | $ (14,684) | ||||
Net change in fair value | (131) | (86) | (79) | (192) | ||||
Accretion of non-credit portion | 6 | 9 | 22 | 33 | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 24,988 | (16,356) | 17,330 | (20,168) | ||||
Accumulated Other Comprehensive Income (Loss) [Member] | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 40,208 | 26,492 | 40,208 | 26,492 | $ 15,220 | 22,878 | $ 42,848 | $ 46,660 |
Net change in unrealized gains (losses) on available-for-sale securities | 25,348 | (15,895) | 18,145 | (18,830) | ||||
Net change in fair value | (131) | (86) | (79) | (192) | ||||
Accretion of non-credit portion | 6 | 9 | 22 | 33 | ||||
Non-credit portion of OTTI losses | 75 | 29 | 168 | 61 | ||||
Pension benefits, net | (310) | (413) | (926) | (1,240) | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 24,988 | (16,356) | 17,330 | (20,168) | ||||
Unrealized Gains (Losses) on AFS Securities | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 23,975 | 1,394 | 23,975 | 1,394 | (809) | 97 | 14,674 | 16,078 |
Net change in unrealized gains (losses) on available-for-sale securities | 24,784 | (13,280) | 23,878 | (14,684) | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 24,784 | (13,280) | 23,878 | (14,684) | ||||
Non-Credit OTTI | Available-for-sale Securities | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 24,585 | 33,895 | 24,585 | 33,895 | 24,077 | 30,229 | 36,567 | 38,172 |
Net change in unrealized gains (losses) on available-for-sale securities | 564 | (2,615) | (5,733) | (4,146) | ||||
Net change in fair value | (131) | (86) | (79) | (192) | ||||
Non-credit portion of OTTI losses | 75 | 29 | 168 | 61 | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 508 | (2,672) | (5,644) | (4,277) | ||||
Non-Credit OTTI | HTM Securities [Member] | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | (110) | (142) | (110) | (142) | (116) | (132) | (151) | (175) |
Accretion of non-credit portion | 6 | 9 | 22 | 33 | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 6 | 9 | 22 | 33 | ||||
Pension Benefits | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | (8,242) | (8,655) | (8,242) | (8,655) | $ (7,932) | $ (7,316) | $ (8,242) | $ (7,415) |
Pension benefits, net | (310) | (413) | (926) | (1,240) | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | $ (310) | $ (413) | $ (926) | $ (1,240) |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Segment Reporting Information [Line Items] | |||||
Net interest income | $ 49,530 | $ 48,104 | $ 144,500 | $ 144,141 | |
Provision for (reversal of) credit losses | 85 | (180) | (132) | (568) | |
Other income (loss) | (4,170) | 38 | (7,255) | 11,555 | |
Other expenses | 19,299 | 17,240 | 56,099 | 53,271 | |
Income before assessments | 25,976 | 31,082 | 81,278 | 102,993 | |
Affordable Housing Program assessments | 2,786 | 3,121 | 8,603 | 10,338 | |
Net Income | 23,190 | 27,961 | 72,675 | 92,655 | |
Assets | 52,909,269 | 52,909,269 | $ 50,608,104 | ||
Traditional | |||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 38,109 | 30,844 | 103,599 | 93,511 | |
Provision for (reversal of) credit losses | 0 | 0 | 0 | 0 | |
Other income (loss) | (3,927) | 425 | (6,387) | 14,098 | |
Other expenses | 16,357 | 15,269 | 47,583 | 45,941 | |
Income before assessments | 17,825 | 16,000 | 49,629 | 61,668 | |
Affordable Housing Program assessments | 1,971 | 1,612 | 5,438 | 6,205 | |
Net Income | 15,854 | 14,388 | 44,191 | 55,463 | |
Assets | 43,639,339 | 43,639,339 | 42,462,314 | ||
Mortgage Loans | |||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 11,421 | 17,260 | 40,901 | 50,630 | |
Provision for (reversal of) credit losses | 85 | (180) | (132) | (568) | |
Other income (loss) | (243) | (387) | (868) | (2,543) | |
Other expenses | 2,942 | 1,971 | 8,516 | 7,330 | |
Income before assessments | 8,151 | 15,082 | 31,649 | 41,325 | |
Affordable Housing Program assessments | 815 | 1,509 | 3,165 | 4,133 | |
Net Income | 7,336 | $ 13,573 | 28,484 | $ 37,192 | |
Assets | $ 9,269,930 | $ 9,269,930 | $ 8,145,790 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
Assets: | ||||||
Cash and due from banks | $ 658,314 | $ 4,931,602 | ||||
AFS securities | 6,349,317 | 4,069,149 | ||||
Held-to-maturity securities (estimated fair values of $6,072,716 and $6,405,865, respectively) (Notes 4 and 5) | 6,000,371 | 6,345,337 | ||||
HTM securities | 6,072,716 | 6,405,865 | ||||
Accrued interest receivable | 94,380 | 88,377 | ||||
Derivative assets, net | 140,239 | 49,867 | ||||
Netting adjustment | (122,303) | (17,052) | ||||
Consolidated Obligations: | ||||||
Accrued interest payable | 90,595 | 81,836 | ||||
Derivative liabilities, net (Note 9) | 94,250 | 80,614 | ||||
Netting adjustment | (203,842) | (128,439) | ||||
MRCS | 179,219 | $ 177,603 | 14,063 | $ 14,184 | $ 14,341 | $ 15,673 |
Level 1 [Member] | ||||||
Assets: | ||||||
Cash and due from banks | 658,314 | 4,931,602 | ||||
Interest-bearing deposits | 155,028 | 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) | 17,022 | 15,410 | ||||
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 | 179,219 | 14,063 | ||||
Level 2 [Member] | ||||||
Assets: | ||||||
Cash and due from banks | 0 | 0 | ||||
Interest-bearing deposits | 331 | 161 | ||||
Securities purchased under agreements to resell | 2,250,000 | |||||
Federal funds sold | 1,450,000 | |||||
AFS securities | 6,069,634 | 3,749,963 | ||||
HTM securities | 6,010,852 | 6,324,835 | ||||
Advances | 26,436,078 | 26,934,352 | ||||
Mortgage loans held for portfolio, net | 9,596,652 | 8,322,007 | ||||
Accrued interest receivable | 94,380 | 88,377 | ||||
Derivative assets, net | 17,936 | 32,815 | ||||
Grantor trust assets (included in other assets) | 0 | 0 | ||||
Liabilities: | ||||||
Deposits | 578,232 | 556,764 | ||||
Consolidated Obligations: | ||||||
Discount notes | 16,405,036 | 19,267,423 | ||||
Bonds | 33,270,810 | 28,161,640 | ||||
Accrued interest payable | 90,595 | 81,836 | ||||
Derivative liabilities, net (Note 9) | 298,092 | 209,053 | ||||
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 | 279,683 | 319,186 | ||||
HTM securities | 61,864 | 81,030 | ||||
Advances | 0 | 0 | ||||
Mortgage loans held for portfolio, net | 25,799 | 31,579 | ||||
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 | 658,314 | 4,931,602 | ||||
Interest-bearing deposits | 155,359 | 161 | ||||
Securities purchased under agreements to resell | 2,250,000 | |||||
Federal funds sold | 1,450,000 | |||||
AFS securities | 6,349,317 | 4,069,149 | ||||
HTM securities | 6,072,716 | 6,405,865 | ||||
Advances | 26,436,078 | 26,934,352 | ||||
Mortgage loans held for portfolio, net | 9,622,451 | 8,353,586 | ||||
Accrued interest receivable | 94,380 | 88,377 | ||||
Derivative assets, net | 140,239 | 49,867 | ||||
Grantor trust assets (included in other assets) | 17,022 | 15,410 | ||||
Liabilities: | ||||||
Deposits | 578,232 | 556,764 | ||||
Consolidated Obligations: | ||||||
Discount notes | 16,405,036 | 19,267,423 | ||||
Bonds | 33,270,810 | 28,161,640 | ||||
Accrued interest payable | 90,595 | 81,836 | ||||
Derivative liabilities, net (Note 9) | 94,250 | 80,614 | ||||
MRCS | 179,219 | 14,063 | ||||
Carrying value | ||||||
Assets: | ||||||
Cash and due from banks | 658,314 | 4,931,602 | ||||
Interest-bearing deposits | 155,359 | 161 | ||||
Securities purchased under agreements to resell | 2,250,000 | |||||
Federal funds sold | 1,450,000 | |||||
AFS securities | 6,349,317 | 4,069,149 | ||||
Held-to-maturity securities (estimated fair values of $6,072,716 and $6,405,865, respectively) (Notes 4 and 5) | 6,000,371 | 6,345,337 | ||||
Advances | 26,473,137 | 26,908,908 | ||||
Mortgage loans held for portfolio, net | 9,269,930 | 8,145,790 | ||||
Accrued interest receivable | 94,380 | 88,377 | ||||
Derivative assets, net | 140,239 | 49,867 | ||||
Grantor trust assets (included in other assets) | 17,022 | 15,410 | ||||
Liabilities: | ||||||
Deposits | 578,232 | 556,764 | ||||
Consolidated Obligations: | ||||||
Discount notes | 16,392,571 | 19,251,376 | ||||
Bonds | 32,740,146 | 27,861,617 | ||||
Accrued interest payable | 90,595 | 81,836 | ||||
Derivative liabilities, net (Note 9) | 94,250 | 80,614 | ||||
MRCS | $ 179,219 | $ 14,063 |
Estimated Fair Values (Estimate
Estimated Fair Values (Estimated Fair Value on a Recurring and Non-Recurring Basis) (Details) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | $ 6,349,317,000 | $ 4,069,149,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 140,239,000 | 49,867,000 |
Netting adjustment | (122,303,000) | (17,052,000) |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 94,250,000 | 80,614,000 |
Netting adjustment | (203,842,000) | (128,439,000) |
GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 5,077,774,000 | 3,480,542,000 |
GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 991,860,000 | 269,421,000 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 279,683,000 | 319,186,000 |
Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 6,349,317,000 | 4,069,149,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 140,239,000 | 49,867,000 |
Netting adjustment | (122,303,000) | (17,052,000) |
Grantor trust assets (included in other assets) | 17,022,000 | 15,410,000 |
Total assets at recurring estimated fair value | 6,506,578,000 | 4,134,426,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 94,250,000 | 80,614,000 |
Netting adjustment | (203,842,000) | (128,439,000) |
Total liabilities at recurring estimated fair value | 94,250,000 | 80,614,000 |
Fair Value, Measurements, Recurring [Member] | Interest-rate swaps | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 139,706,000 | 49,714,000 |
Netting adjustment | (122,303,000) | (17,052,000) |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 93,662,000 | 80,450,000 |
Netting adjustment | (203,842,000) | (128,439,000) |
Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 51,000 |
Netting adjustment | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 546,000 | 82,000 |
Netting adjustment | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 533,000 | 102,000 |
Netting adjustment | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 42,000 | 82,000 |
Netting adjustment | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 5,077,774,000 | 3,480,542,000 |
Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 991,860,000 | 269,421,000 |
Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 279,683,000 | 319,186,000 |
Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at recurring estimated fair value | 3,844,000 | 4,449,000 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | 3,844,000 | 4,449,000 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 17,022,000 | 15,410,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Mortgage loans held for portfolio | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 17,022,000 | 15,410,000 |
Total assets at recurring estimated fair value | 17,022,000 | 15,410,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Total liabilities at recurring estimated fair value | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate swaps | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at recurring estimated fair value | 0 | 0 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | 0 | 0 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 6,069,634,000 | 3,749,963,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 17,936,000 | 32,815,000 |
Grantor trust assets (included in other assets) | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 298,092,000 | 209,053,000 |
Mortgage loans held for portfolio | 9,596,652,000 | 8,322,007,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 6,069,634,000 | 3,749,963,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 17,936,000 | 32,815,000 |
Grantor trust assets (included in other assets) | 0 | 0 |
Total assets at recurring estimated fair value | 6,087,570,000 | 3,782,778,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 298,092,000 | 209,053,000 |
Total liabilities at recurring estimated fair value | 298,092,000 | 209,053,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate swaps | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 17,403,000 | 32,662,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 297,504,000 | 208,889,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 51,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 546,000 | 82,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 533,000 | 102,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 42,000 | 82,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 5,077,774,000 | 3,480,542,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 991,860,000 | 269,421,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 2 [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at recurring estimated fair value | 0 | 0 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | 0 | 0 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 279,683,000 | 319,186,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Mortgage loans held for portfolio | 25,799,000 | 31,579,000 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 279,683,000 | 319,186,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 0 | 0 |
Total assets at recurring estimated fair value | 279,683,000 | 319,186,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Total liabilities at recurring estimated fair value | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate swaps | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 279,683,000 | 319,186,000 |
Level 3 [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at recurring estimated fair value | 3,844,000 | 4,449,000 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | $ 3,844,000 | $ 4,449,000 |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
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 | $ (131) | $ (86) | $ (79) | $ (192) |
Residential Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Private-label RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 288,143 | 364,719 | 319,186 | 401,050 |
Accretion of credit losses in interest income | 2,064 | 2,580 | 7,364 | 5,941 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | (75) | (29) | (168) | (61) |
Net change in fair value not in excess of cumulative non-credit losses in OCI | (131) | (86) | (79) | (192) |
Unrealized gains (losses) in OCI | 564 | (2,615) | (5,733) | (4,146) |
Settlements | (10,957) | (22,296) | (41,055) | (60,351) |
Balance, end of period | 279,683 | 342,302 | 279,683 | 342,302 |
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | 1,989 | 2,550 | 6,336 | 5,879 |
Non-Credit Portion of OTTI Losses | $ (75) | $ (29) | $ (168) | $ (61) |
Commitments and Contingencies71
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Loss Contingencies [Line Items] | |||||
Period for Mortgage Loan Commitments | 91 days | ||||
Cash collateral pledged | $ 326,287,000 | $ 326,287,000 | $ 146,280,000 | ||
Gain from litigation settlement | 0 | $ 0 | 60,000 | $ 4,732,000 | |
Letters of credit outstanding | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 109,959,000 | 109,959,000 | |||
Off-balance-sheet commitments expire after one year | 197,282,000 | 197,282,000 | |||
Off-balance-sheet commitments, Total | 307,241,000 | 307,241,000 | |||
Unused lines of credit | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 1,060,111,000 | 1,060,111,000 | |||
Off-balance-sheet commitments expire after one year | 0 | 0 | |||
Off-balance-sheet commitments, Total | 1,060,111,000 | 1,060,111,000 | |||
CO bonds | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 262,000,000 | 262,000,000 | |||
Off-balance-sheet commitments expire after one year | 0 | 0 | |||
Off-balance-sheet commitments, Total | 262,000,000 | 262,000,000 | |||
Consolidated Obligation Discount Notes [Member] | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 400,000 | 400,000 | |||
Off-balance-sheet commitments expire after one year | 0 | 0 | |||
Off-balance-sheet commitments, Total | 400,000 | 400,000 | |||
MDCs | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 220,100,000 | 220,100,000 | |||
Off-balance-sheet commitments expire after one year | 0 | 0 | |||
Off-balance-sheet commitments, Total | 220,100,000 | 220,100,000 | |||
Letters of Credit | |||||
Loss Contingencies [Line Items] | |||||
Maximum line of credit | $ 50,000,000 | $ 50,000,000 |
Transactions with Related Par72
Transactions with Related Parties and Other Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | |
Related Party Transaction [Line Items] | |||||
Proceeds from issuance of capital stock | $ 93,014 | $ 142,347 | |||
Stock Repurchased During Period, Value | 240,335 | ||||
Par Value of Capital Stock to a New Directors' Financial Institution through Merger | $ 13,045 | 13,045 | |||
Par Value of Advances to a New Directors' Financial Institution through Merger | 205,357 | 205,357 | |||
Par Value of Capital Stock to a New Directors' Financial Institution through Director Election | 3,960 | 3,960 | |||
Net Advances to Directors Financial Institutions | 6,681 | $ (24,426) | 170,642 | (27,046) | |
Total advances, par value | 26,328,836 | 26,328,836 | $ 26,807,468 | ||
Total mortgage loans held for portfolio, UPB | 9,056,999 | 9,056,999 | 7,982,055 | ||
Mortgage loans purchased from Directors' Financial Institutions | 10,891 | 12,062 | 31,308 | 33,186 | |
Par Value of Advances to a New Directors' Financial Institution through Director Election | 88,000 | 88,000 | |||
Par Value of Capital Stock to a New Directors Financial Institution through Change in Director Affiliation | 1,395 | 1,395 | |||
Par Value of Advances to a New Directors Financial Institution Through Change in Director Affiliation | 17,700 | 17,700 | |||
Flagstar Bank, FSB | |||||
Related Party Transaction [Line Items] | |||||
Proceeds from issuance of capital stock | 0 | 1,654 | |||
Stock Repurchased During Period, Value | 0 | 42,275 | |||
Capital Stock, including MRCS, par value | $ 171,535 | $ 171,535 | $ 169,881 | ||
Capital Stock, including MRCS, % of Total (percentage) | 11.00% | 11.00% | 11.00% | ||
Total advances, par value | $ 2,460,000 | $ 2,460,000 | $ 3,541,000 | ||
Advances, % of Total (percentage) | 9.00% | 9.00% | 13.00% | ||
Total mortgage loans held for portfolio, UPB | $ 265,464 | $ 265,464 | $ 337,498 | ||
Mortgage Loans Held for Portfolio, % of Total (percentage) | 3.00% | 3.00% | 4.00% | ||
Net advances to (repayments from) | $ (183,700) | $ (174,000) | $ (1,081,000) | $ 1,510,000 | |
Directors' Financial Institutions | |||||
Related Party Transaction [Line Items] | |||||
Capital Stock, including MRCS, par value | $ 50,760 | $ 50,760 | $ 34,457 | ||
Capital Stock, including MRCS, % of Total (percentage) | 3.00% | 3.00% | 2.00% | ||
Total advances, par value | $ 785,973 | $ 785,973 | $ 374,122 | ||
Advances, % of Total (percentage) | 3.00% | 3.00% | 1.00% | ||
Total mortgage loans held for portfolio, UPB | $ 215,112 | $ 215,112 | $ 208,137 | ||
Mortgage Loans Held for Portfolio, % of Total (percentage) | 2.00% | 2.00% | 3.00% |