Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2017 | Apr. 30, 2017 | |
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 | Mar. 31, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Common B Shares Outstanding | 18,185,294 |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Assets: | ||
Cash and due from banks | $ 117,422 | $ 546,612 |
Interest-bearing deposits | 215,602 | 150,225 |
Securities purchased under agreements to resell | 2,300,000 | 1,781,309 |
Federal funds sold | 1,780,000 | 1,650,000 |
Available-for-sale securities (Notes 3 and 5) | 6,915,452 | 6,059,835 |
Held-to-maturity securities (estimated fair values of $5,758,150 and $5,848,692, respectively) (Notes 4 and 5) | 5,730,228 | 5,819,573 |
Advances (Note 6) | 29,670,770 | 28,095,953 |
Mortgage loans held for portfolio, net of allowance for loan losses of $(850) and $(850), respectively (Notes 7 and 8) | 9,632,820 | 9,501,397 |
Accrued interest receivable | 97,076 | 93,716 |
Premises, software, and equipment, net | 37,323 | 37,638 |
Derivative assets, net (Note 9) | 136,879 | 134,848 |
Other assets | 35,359 | 36,294 |
Total assets | 56,668,931 | 53,907,400 |
Liabilities: | ||
Deposits | 525,426 | 524,073 |
Consolidated obligations (Note 10): | ||
Discount notes | 18,399,575 | 16,801,763 |
Bonds | 34,469,799 | 33,467,279 |
Total consolidated obligations, net | 52,869,374 | 50,269,042 |
Accrued interest payable | 102,106 | 98,411 |
Affordable Housing Program payable (Note 11) | 27,203 | 26,598 |
Derivative liabilities, net (Note 9) | 5,489 | 25,225 |
Mandatorily redeemable capital stock (Note 12) | 166,930 | 170,043 |
Other liabilities | 434,962 | 357,812 |
Total liabilities | 54,131,490 | 51,471,204 |
Commitments and contingencies (Note 16) | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | 1,554,084 | 1,492,581 |
Retained earnings: | ||
Unrestricted | 744,718 | 734,982 |
Restricted | 158,590 | 152,265 |
Total retained earnings | 903,308 | 887,247 |
Total accumulated other comprehensive income (Note 13) | 80,049 | 56,368 |
Total capital | 2,537,441 | 2,436,196 |
Total liabilities and capital | 56,668,931 | 53,907,400 |
Class B-1 issued and outstanding shares: 15,524,573 and 14,897,390, respectively | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | 1,552,457 | 1,489,739 |
Class B-2 issued and outstanding shares: 16,266 and 28,416, respectively | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | $ 1,627 | $ 2,842 |
Statements of Condition (Unaud3
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 |
Held-to-Maturity Securities - Estimated Fair Values | $ 5,758,150 | $ 5,848,692 |
Allowance for loan losses | $ (850) | $ (850) |
Class B-1 [Member] | ||
Common stock issued (in shares) | 15,524,573 | 14,897,390 |
Common stock outstanding (in shares) | 15,524,573 | 14,897,390 |
Class B-2 [Member] | ||
Common stock issued (in shares) | 16,266 | 28,416 |
Common stock outstanding (in shares) | 16,266 | 28,416 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Interest Income: | ||
Advances | $ 74,281 | $ 48,510 |
Prepayment fees on advances, net | 18 | 168 |
Interest-bearing deposits | 335 | 164 |
Securities purchased under agreements to resell | 818 | 1,587 |
Federal funds sold | 7,697 | 2,197 |
Available-for-sale securities | 24,382 | 13,857 |
Held-to-maturity securities | 25,463 | 26,276 |
Mortgage loans held for portfolio | 75,976 | 69,412 |
Other interest income, net | 585 | 285 |
Total interest income | 209,555 | 162,456 |
Interest Expense: | ||
Consolidated obligation discount notes | 25,496 | 15,932 |
Consolidated obligation bonds | 122,551 | 96,081 |
Deposits | 752 | 75 |
Mandatorily redeemable capital stock | 1,753 | 997 |
Total interest expense | 150,552 | 113,085 |
Net interest income | 59,003 | 49,371 |
Provision for credit losses | 151 | 25 |
Net interest income after provision for credit losses | 58,852 | 49,346 |
Other Income (Loss): | ||
Total other-than-temporary impairment losses | 0 | 0 |
Non-credit portion reclassified to (from) other comprehensive income, net | (82) | 0 |
Net other-than-temporary impairment losses, credit portion | (82) | 0 |
Net gains (losses) on derivatives and hedging activities | (4,375) | (2,097) |
Service fees | 218 | 363 |
Standby letters of credit fees | 188 | 184 |
Other, net | 386 | 348 |
Total other income (loss) | (3,665) | (1,202) |
Other Expenses: | ||
Compensation and benefits | 11,764 | 10,828 |
Other operating expenses | 5,711 | 5,311 |
Federal Housing Finance Agency | 826 | 789 |
Office of Finance | 1,309 | 955 |
Other | 243 | 264 |
Total other expenses | 19,853 | 18,147 |
Income before assessments | 35,334 | 29,997 |
Affordable Housing Program assessments | 3,709 | 3,100 |
Net Income | $ 31,625 | $ 26,897 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 31,625 | $ 26,897 |
Other Comprehensive Income (Loss): | ||
Net change in unrealized gains (losses) on available-for-sale securities | 22,756 | (213) |
Non-credit portion of other-than-temporary impairment losses on available-for-sale securities: | ||
Reclassification of non-credit portion to other income (loss) | 82 | 0 |
Net change in fair value not in excess of cumulative non-credit losses | (83) | 24 |
Unrealized gains (losses) | 592 | (5,791) |
Net non-credit portion of other-than-temporary impairment losses on available-for-sale securities | 591 | (5,767) |
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities: | ||
Accretion of non-credit portion | 6 | 8 |
Net non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 6 | 8 |
Pension benefits, net | 328 | 242 |
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 23,681 | (5,730) |
Total comprehensive income | $ 55,306 | $ 21,167 |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | $ 2,436,196 | $ 2,385,797 |
Total comprehensive income | 55,306 | 21,167 |
Proceeds from issuance of capital stock | 61,503 | 26,264 |
Shares reclassified to mandatorily redeemable capital stock, net | 0 | (178,898) |
Distributions on mandatorily redeemable capital stock | (1,038) | |
Cash dividends on capital stock (4.25% and 4.25% in 2017 and 2016, respectively, annualized) | (15,564) | (15,798) |
Ending Balance | $ 2,537,441 | $ 2,237,494 |
Capital Stock Class B Putable [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance, Shares | 14,926 | 15,278 |
Beginning Balance | $ 1,492,581 | $ 1,527,806 |
Proceeds from issuance of capital stock, shares | 615 | 263 |
Proceeds from issuance of capital stock | $ 61,503 | $ 26,264 |
Shares reclassified to mandatorily redeemable capital stock, net, shares | (1,789) | |
Shares reclassified to mandatorily redeemable capital stock, net | $ (178,898) | |
Ending Balance, Shares | 15,541 | 13,752 |
Ending Balance | $ 1,554,084 | $ 1,375,172 |
Retained Earnings Total [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | 887,247 | 835,113 |
Total comprehensive income | 31,625 | 26,897 |
Distributions on mandatorily redeemable capital stock | (1,038) | |
Cash dividends on capital stock (4.25% and 4.25% in 2017 and 2016, respectively, annualized) | (15,564) | (15,798) |
Ending Balance | 903,308 | 845,174 |
Retained Earnings, Unrestricted [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | 734,982 | 705,449 |
Total comprehensive income | 25,300 | 21,517 |
Distributions on mandatorily redeemable capital stock | (1,038) | |
Cash dividends on capital stock (4.25% and 4.25% in 2017 and 2016, respectively, annualized) | (15,564) | (15,798) |
Ending Balance | 744,718 | 710,130 |
Retained Earnings, Restricted [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | 152,265 | 129,664 |
Total comprehensive income | 6,325 | 5,380 |
Distributions on mandatorily redeemable capital stock | 0 | |
Cash dividends on capital stock (4.25% and 4.25% in 2017 and 2016, respectively, annualized) | 0 | 0 |
Ending Balance | 158,590 | 135,044 |
Accumulated Other Comprehensive Income (Loss) [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | 56,368 | 22,878 |
Total comprehensive income | 23,681 | (5,730) |
Ending Balance | $ 80,049 | $ 17,148 |
Statements of Capital (Unaudit7
Statements of Capital (Unaudited) (Parenthetical) | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Statement of Stockholders' Equity [Abstract] | ||
Annualized Dividend Rate on Capital Stock (percentage) | 4.25% | 4.25% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Operating Activities: | |||
Net income | $ 31,625 | $ 26,897 | |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Amortization and depreciation | 23,407 | 8,487 | |
Prepayment fees on advances, net of related swap termination fees | 0 | 160 | |
Changes in net derivative and hedging activities | 5,136 | 14,499 | |
Net other-than-temporary impairment losses, credit portion | 82 | 0 | |
Provision for credit losses | 151 | 25 | |
Changes in: | |||
Accrued interest receivable | (3,373) | (6,448) | |
Other assets | (80) | (41) | |
Accrued interest payable | 3,717 | 4,590 | |
Other liabilities | (4,462) | 4,008 | |
Total adjustments, net | 24,578 | 25,280 | |
Net cash provided by operating activities | 56,203 | 52,177 | |
Net change in: | |||
Interest-bearing deposits | (54,925) | (138,600) | |
Securities purchased under agreements to resell | (518,691) | (200,000) | |
Federal funds sold | (130,000) | (3,090,000) | |
Available-for-sale securities: | |||
Proceeds from maturities | 213,828 | 15,797 | |
Purchases | (975,896) | (1,200,000) | |
Held-to-maturity securities: | |||
Proceeds from maturities | 245,375 | 378,989 | |
Purchases | (156,272) | (561,376) | |
Advances: | |||
Principal repayments | 47,667,609 | 35,173,986 | |
Disbursements to members | (49,261,521) | (33,616,985) | |
Mortgage loans held for portfolio: | |||
Principal collections | 281,627 | 292,075 | |
Purchases from members | (436,317) | (449,770) | |
Purchases of premises, software, and equipment | (1,180) | (1,185) | |
Net cash used in investing activities | (3,126,363) | (3,397,069) | |
Financing Activities: | |||
Changes in deposits | 3,603 | (15,577) | |
Net payments on derivative contracts with financing elements | (7,267) | (9,397) | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 49,173,379 | 45,481,808 | |
Bonds | 6,935,723 | 10,370,069 | |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (47,578,774) | (49,682,290) | |
Bonds | (5,928,520) | (6,287,110) | |
Proceeds from issuance of capital stock | 61,503 | 26,264 | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (3,113) | (1,451) | |
Dividend payments on capital stock | (15,564) | (15,798) | |
Net cash provided by (used in) financing activities | 2,640,970 | (133,482) | |
Net decrease in cash and due from banks | (429,190) | (3,478,374) | |
Cash and due from banks at beginning of period | 546,612 | 4,931,602 | |
Cash and due from banks at end of period | 117,422 | 1,453,228 | |
Supplemental Disclosures: | |||
Interest payments | 120,769 | 85,522 | |
Purchases of securities traded but not yet settled | 217,647 | 102,580 | |
Affordable Housing Program payments | [1] | 3,104 | 5,968 |
Capitalized interest on certain held-to-maturity securities | 219 | 302 | |
Par value of shares reclassified to mandatorily redeemable capital stock, net | $ 0 | $ 178,898 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2017 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 1 - Summary of Significant Accounting Policies 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 "Bank," "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 2016 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 our 2016 Form 10-K in Note 1 - Summary of Significant Accounting Policies . There have been no significant changes to these policies through March 31, 2017 , except for our policy on derivatives, which has been updated to reflect changes made to the CME rulebook. Derivatives. We record derivative instruments, related cash collateral (including initial and variation margin received or pledged/posted) and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met, as either derivative assets or derivative liabilities at their estimated fair values. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. We use two clearinghouses for all cleared derivative transactions, LCH and CME. Effective January 3, 2017, CME made certain amendments to its rulebook, including changing the legal characterization of variation margin payments to be daily settled contracts, rather than cash collateral. Variation margin payments related to LCH contracts continue to be characterized as cash collateral. Initial margin continues to be considered by both clearinghouses as cash collateral. 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 | 3 Months Ended |
Mar. 31, 2017 | |
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. 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 amended guidance was effective for the interim and annual periods beginning on January 1, 2017. The adoption of this guidance on January 1, 2017 had no effect on our financial condition, results of operations, or cash flows. Recently Issued Accounting Guidance. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued amendments to shorten the amortization period for certain callable debt securities purchased at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. No change is required for securities purchased at a discount. This guidance is effective beginning on January 1, 2019. Early adoption is permitted. The guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. 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. Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amendments to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that an employer disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the income statement, and allow only the service cost component to be eligible for capitalization. This guidance is effective for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the income statement and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit. 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. |
Available-for-Sale Securities
Available-for-Sale Securities | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, 2017 Cost (1) OTTI Gains Losses Fair Value GSE and TVA debentures $ 5,008,287 $ — $ 41,347 $ (1,112 ) $ 5,048,522 GSE MBS 1,587,270 — 23,284 (1,295 ) 1,609,259 Private-label RMBS 230,142 (264 ) 27,793 — 257,671 Total AFS securities $ 6,825,699 $ (264 ) $ 92,424 $ (2,407 ) $ 6,915,452 December 31, 2016 GSE and TVA debentures $ 4,693,211 $ — $ 25,624 $ (4,201 ) $ 4,714,634 GSE MBS 1,058,037 — 18,279 (234 ) 1,076,082 Private-label RMBS 242,181 (263 ) 27,201 — 269,119 Total AFS securities $ 5,993,429 $ (263 ) $ 71,104 $ (4,435 ) $ 6,059,835 (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 March 31, 2017 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 473,269 $ (1,112 ) $ — $ — $ 473,269 $ (1,112 ) GSE MBS 151,453 (1,295 ) — — 151,453 (1,295 ) Private-label RMBS — — 2,768 (264 ) 2,768 (264 ) Total impaired AFS securities $ 624,722 $ (2,407 ) $ 2,768 $ (264 ) $ 627,490 $ (2,671 ) December 31, 2016 GSE and TVA debentures $ 525,722 $ (3,604 ) $ 176,104 $ (597 ) $ 701,826 $ (4,201 ) GSE MBS — — 78,704 (234 ) 78,704 (234 ) Private-label RMBS — — 3,002 (263 ) 3,002 (263 ) Total impaired AFS securities $ 525,722 $ (3,604 ) $ 257,810 $ (1,094 ) $ 783,532 $ (4,698 ) 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. March 31, 2017 December 31, 2016 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 765,657 $ 766,471 $ 972,508 $ 974,215 Due after 1 year through 5 years 2,185,175 2,209,961 1,841,488 1,855,517 Due after 5 years through 10 years 1,881,763 1,896,125 1,734,156 1,740,029 Due after 10 years 175,692 175,965 145,059 144,873 Total non-MBS 5,008,287 5,048,522 4,693,211 4,714,634 Total MBS 1,817,412 1,866,930 1,300,218 1,345,201 Total AFS securities $ 6,825,699 $ 6,915,452 $ 5,993,429 $ 6,059,835 Realized Gains and Losses. There were no sales of AFS securities during the three months ended March 31, 2017 . As of March 31, 2017 , 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 | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, 2017 Cost (1) OTTI Value Gains Losses Fair Value MBS and ABS: Other U.S. obligations -guaranteed MBS $ 2,725,842 $ — $ 2,725,842 $ 3,787 $ (12,932 ) $ 2,716,697 GSE MBS 2,948,608 — 2,948,608 45,092 (7,038 ) 2,986,662 Private-label RMBS 47,110 — 47,110 190 (515 ) 46,785 Private-label ABS 8,765 (97 ) 8,668 39 (701 ) 8,006 Total HTM securities $ 5,730,325 $ (97 ) $ 5,730,228 $ 49,108 $ (21,186 ) $ 5,758,150 December 31, 2016 MBS and ABS: Other U.S. obligations -guaranteed MBS $ 2,678,437 $ — $ 2,678,437 $ 5,412 $ (12,720 ) $ 2,671,129 GSE MBS 3,082,343 — 3,082,343 46,480 (8,841 ) 3,119,982 Private-label RMBS 49,748 — 49,748 61 (533 ) 49,276 Private-label ABS 9,148 (103 ) 9,045 40 (780 ) 8,305 Total HTM securities $ 5,819,676 $ (103 ) $ 5,819,573 $ 51,993 $ (22,874 ) $ 5,848,692 (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 March 31, 2017 Fair Value Losses Fair Value Losses Fair Value Losses (1) MBS and ABS: Other U.S. obligations - guaranteed MBS $ 534,985 $ (1,652 ) $ 1,395,431 $ (11,280 ) $ 1,930,416 $ (12,932 ) GSE MBS 762,845 (6,254 ) 298,696 (784 ) 1,061,541 (7,038 ) Private-label RMBS 12,980 (43 ) 19,520 (472 ) 32,500 (515 ) Private-label ABS — — 8,006 (759 ) 8,006 (759 ) Total impaired HTM securities $ 1,310,810 $ (7,949 ) $ 1,721,653 $ (13,295 ) $ 3,032,463 $ (21,244 ) December 31, 2016 MBS and ABS: Other U.S. obligations - guaranteed MBS $ 367,474 $ (997 ) $ 1,426,182 $ (11,723 ) $ 1,793,656 $ (12,720 ) GSE MBS 1,281,827 (7,915 ) 320,141 (926 ) 1,601,968 (8,841 ) Private-label RMBS 18,166 (62 ) 15,770 (471 ) 33,936 (533 ) Private-label ABS — — 8,304 (843 ) 8,304 (843 ) Total impaired HTM securities $ 1,667,467 $ (8,974 ) $ 1,770,397 $ (13,963 ) $ 3,437,864 $ (22,937 ) (1) For private-label ABS, the total of unrealized losses does not agree to total gross unrecognized holding losses at March 31, 2017 and December 31, 2016 of $701 and $780 , respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $97 and $103 , respectively, and gross unrecognized holding gains on previously OTTI securities of $39 and $40 , respectively. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 3 Months Ended |
Mar. 31, 2017 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Other-Than-Temporary-Impairment | 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. Significant Inputs. The FHLBanks developed a short-term housing price forecast with projected changes ranging from a decrease of 5% to an increase of 10% over a twelve-month period. For the vast majority of housing markets, the changes range from 0% 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 March 31, 2017 on the one security for which an OTTI was determined to have occurred, as well as the related current credit enhancement. Significant Modeling Assumptions for OTTI private-label RMBS for the three months ended March 31, 2017 Year of Securitization Prepayment Rates Default Rates Loss Severities Current Credit Enhancement Prime - 2006 9 % 14 % 28 % 0 % Results of OTTI Evaluation Process - Private-label RMBS and ABS. 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 debt security's amortized cost and its estimated fair value at the statement of condition date. We did not have any such change in intent or likelihood during the three months ended March 31, 2017 . For those remaining securities that meet neither of these conditions, we performed a cash flow analysis to determine whether we expect to recover the entire amortized cost of each security. As a result of our analysis, on one security previously impaired, OTTI credit losses of $82 and $0 were recognized for the three months ended March 31, 2017 and 2016 . 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. 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 March 31, 2017 are considered temporary. |
Advances
Advances | 3 Months Ended |
Mar. 31, 2017 | |
Advances [Abstract] | |
Advances | Note 6 - Advances The following table presents advances outstanding by year of contractual maturity. March 31, 2017 December 31, 2016 Year of Contractual Maturity Amount WAIR % Amount WAIR % Due in 1 year or less $ 14,094,490 1.04 $ 12,598,864 0.91 Due after 1 year through 2 years 2,490,071 1.81 2,752,629 1.74 Due after 2 years through 3 years 2,308,763 1.78 1,920,962 2.10 Due after 3 years through 4 years 2,280,800 1.56 2,605,198 1.38 Due after 4 years through 5 years 2,023,695 1.55 2,009,395 1.47 Thereafter 6,528,054 1.32 6,244,912 1.20 Total advances, par value 29,725,873 1.30 28,131,960 1.22 Fair-value hedging adjustments (74,109 ) (57,716 ) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 19,006 21,709 Total advances $ 29,670,770 $ 28,095,953 The following table presents advances outstanding 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 March 31, December 31, March 31, December 31, Due in 1 year or less $ 21,266,590 $ 19,390,714 $ 14,194,990 $ 12,767,364 Due after 1 year through 2 years 2,337,471 2,502,629 2,505,071 2,757,629 Due after 2 years through 3 years 1,798,763 1,856,463 2,582,363 1,915,962 Due after 3 years through 4 years 1,378,500 1,548,998 2,599,800 2,605,198 Due after 4 years through 5 years 961,395 900,095 2,165,095 2,535,895 Thereafter 1,983,154 1,933,061 5,678,554 5,549,912 Total advances, par value $ 29,725,873 $ 28,131,960 $ 29,725,873 $ 28,131,960 In accordance with the Final Membership Rule, captive insurance companies that were admitted as FHLBank members on or after September 12, 2014 repaid all of their outstanding advances and had their memberships terminated by February 19, 2017. Under 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 memberships terminated no later than February 19, 2021. Prior to termination, new advances to such members will be subject to certain restrictions relating to maturity dates and the ratio of advances to the captive insurer's total assets. The outstanding advances to these captive insurers mature on various dates through 2025. Credit Risk Exposure and Security Terms. At March 31, 2017 and December 31, 2016 , our top five borrowers held 45% and 43% , respectively, of total advances outstanding, at par. 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 | 3 Months Ended |
Mar. 31, 2017 | |
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, type, and product. Term March 31, 2017 December 31, 2016 Fixed-rate long-term mortgages $ 8,231,608 $ 8,086,412 Fixed-rate medium-term (1) mortgages 1,192,369 1,206,978 Total mortgage loans held for portfolio, UPB 9,423,977 9,293,390 Unamortized premiums 211,725 210,116 Unamortized discounts (2,650 ) (2,383 ) Fair-value hedging adjustments 618 1,124 Allowance for loan losses (850 ) (850 ) Total mortgage loans held for portfolio, net $ 9,632,820 $ 9,501,397 (1) Defined as a term of 15 years or less at origination. Type March 31, 2017 December 31, 2016 Conventional $ 8,946,252 $ 8,796,407 Government-guaranteed or -insured 477,725 496,983 Total mortgage loans held for portfolio, UPB $ 9,423,977 $ 9,293,390 Product March 31, 2017 December 31, 2016 MPP $ 9,075,506 $ 8,930,194 MPF Program 348,471 363,196 Total mortgage loans held for portfolio, UPB $ 9,423,977 $ 9,293,390 In December 2016, we agreed to sell a 90% participating interest in a $100 million MCC of certain newly acquired MPP loans to the FHLBank of Atlanta. Principal amounts settled in December 2016 totaled $72 million , and the remaining $18 million settled in January 2017. See Note 8 - Allowance for Credit Losses for information related to our credit risk on mortgage loans and allowance methodology for loan losses. |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2017 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses | Note 8 - Allowance for Credit Losses 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 2016 Form 10-K. Conventional Mortgage Loans. Conventional MPP. The following table presents the activity in the LRA. Three Months Ended March 31, LRA Activity 2017 2016 Balance of LRA, beginning of period $ 126,544 $ 91,552 Additions 5,446 5,407 Claims paid (102 ) (209 ) Distributions to PFIs (84 ) (87 ) Balance of LRA, end of period $ 131,804 $ 96,663 The following table presents the estimated impact of credit enhancements on the allowance for MPP loan losses. MPP Credit Waterfall March 31, 2017 December 31, 2016 Estimated incurred losses remaining after borrower's equity, before credit enhancements (1) $ 8,480 $ 8,689 Portion of estimated incurred losses recoverable from PMI (1,935 ) (1,981 ) Portion of estimated incurred losses recoverable from LRA (2) (2,150 ) (2,418 ) Portion of estimated incurred losses recoverable from SMI (3,695 ) (3,590 ) Allowance for unrecoverable PMI/SMI 50 50 Allowance for MPP loan losses $ 750 $ 750 (1) Based on a loss emergence period of 24 months. (2) 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. Credit Quality Indicators. The tables below present the key credit quality indicators for our mortgage loans held for portfolio. Delinquency Status as of March 31, 2017 Conventional Government Total Past due: 30-59 days $ 40,967 $ 12,515 $ 53,482 60-89 days 9,783 3,142 12,925 90 days or more 29,098 2,419 31,517 Total past due 79,848 18,076 97,924 Total current 9,107,904 467,722 9,575,626 Total mortgage loans, recorded investment $ 9,187,752 $ 485,798 $ 9,673,550 Other Delinquency Statistics as of March 31, 2017 In process of foreclosure (1) $ 17,548 $ — $ 17,548 Serious delinquency rate (2) 0.32 % 0.50 % 0.33 % Past due 90 days or more still accruing interest (3) $ 25,127 $ 2,419 $ 27,546 On non-accrual status 6,042 — 6,042 Delinquency Status as of December 31, 2016 Conventional Government Total Past due: 30-59 days $ 46,118 $ 17,183 $ 63,301 60-89 days 11,044 3,548 14,592 90 days or more 29,098 2,350 31,448 Total past due 86,260 23,081 109,341 Total current 8,949,441 482,316 9,431,757 Total mortgage loans, recorded investment $ 9,035,701 $ 505,397 $ 9,541,098 Other Delinquency Statistics as of December 31, 2016 In process of foreclosure (1) $ 17,749 $ — $ 17,749 Serious delinquency rate (2) 0.32 % 0.46 % 0.33 % Past due 90 days or more still accruing interest (3) $ 25,375 $ 2,350 $ 27,725 On non-accrual status 4,699 — 4,699 (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 2016 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. Servicers purchase many government loans, including FHA loans, when certain criteria are met. (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 2016 Form 10-K. Allowance for Loan Losses on Mortgage Loans. The tables below present a rollforward of our allowance for loan losses, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology. Three Months Ended March 31, Rollforward of Allowance for Loan Losses 2017 2016 Balance, beginning of period $ 850 $ 1,125 Charge-offs, net of recoveries (151 ) (300 ) Provision for loan losses 151 25 Balance, end of period $ 850 $ 850 Allowance for Loan Losses by Impairment Methodology March 31, 2017 December 31, 2016 Conventional loans collectively evaluated for impairment $ 722 $ 750 Conventional loans individually evaluated for impairment (1) 128 100 Total allowance for loan losses $ 850 $ 850 Recorded Investment by Impairment Methodology Conventional loans collectively evaluated for impairment $ 9,171,604 $ 9,020,194 Conventional loans individually evaluated for impairment (1) 16,148 15,507 Total recorded investment $ 9,187,752 $ 9,035,701 (1) The recorded investment in our MPP conventional loans individually evaluated for impairment excludes principal previously paid in full by the servicers as of March 31, 2017 and December 31, 2016 of $2,396 and $2,814 , 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 March 31, 2017 and December 31, 2016 includes $92 and $70 , respectively, for these potential claims. Individually Evaluated Impaired Loans . The tables below present the 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 these loans and related interest income recognized. Due to the minimal change in terms of modified loans (i.e., no principal forgiven), our pre-modification recorded investment in TDRs was not materially different than the post-modification recorded investment. March 31, 2017 December 31, 2016 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) $ 15,750 $ 15,823 $ — $ 15,158 $ 15,219 $ — MPP conventional loans with allowance for loan losses 398 407 36 349 358 30 Total $ 16,148 $ 16,230 $ 36 $ 15,507 $ 15,577 $ 30 (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 March 31, 2017 March 31, 2016 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 15,569 $ 193 $ 16,914 $ 212 MPP conventional loans with allowance for loan losses 400 6 706 11 Total $ 15,969 $ 199 $ 17,620 $ 223 |
Derivative and Hedging Activiti
Derivative and Hedging Activities | 3 Months Ended |
Mar. 31, 2017 | |
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 (including initial and variation margin received or pledged/posted) and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met. The following table presents the notional amount and estimated fair value of derivative assets and liabilities. Notional Estimated Fair Value Estimated Fair Value Amount of of Derivative of Derivative March 31, 2017 Derivatives Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 25,373,179 $ 258,838 $ 88,462 Total derivatives designated as hedging instruments 25,373,179 258,838 88,462 Derivatives not designated as hedging instruments: Interest-rate swaps 1,779,700 447 225 Swaptions 550,000 38 — Interest-rate caps/floors 364,500 366 — Interest-rate forwards 95,700 11 7 MDCs 96,249 305 30 Total derivatives not designated as hedging instruments 2,886,149 1,167 262 Total derivatives before adjustments $ 28,259,328 260,005 88,724 Netting adjustments (1) (80,558 ) (80,558 ) Cash collateral and variation margin for daily settled contracts (1) (42,568 ) (2,677 ) Total derivatives, net $ 136,879 $ 5,489 December 31, 2016 Derivatives designated as hedging instruments: Interest-rate swaps $ 23,998,498 $ 230,705 $ 102,201 Total derivatives designated as hedging instruments 23,998,498 230,705 102,201 Derivatives not designated as hedging instruments: Interest-rate swaps 901,344 1,430 31 Swaptions 350,000 2 50 Interest-rate caps/floors 364,500 322 2 Interest-rate forwards 99,100 339 352 MDCs 99,002 303 471 Total derivatives not designated as hedging instruments 1,813,946 2,396 906 Total derivatives before adjustments $ 25,812,444 233,101 103,107 Netting adjustments (1) (133,089 ) (133,089 ) Cash collateral (1) 34,836 55,207 Total derivatives, net $ 134,848 $ 25,225 (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 (includes fair value adjustments on derivatives for which variation margin payments are characterized as daily settled contracts). Cash collateral pledged to counterparties at March 31, 2017 and December 31, 2016 totaled $51,815 and $35,422 , respectively. Cash collateral received from counterparties at March 31, 2017 and December 31, 2016 totaled $58,065 and $55,793 , respectively. Variation margin for daily settled contracts totaled $33,642 at March 31, 2017 . See Note 1 - Summary of Significant Accounting Policies for more information. The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral received from or pledged to counterparties and variation margin for daily settled contracts. March 31, 2017 December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 94,209 $ 38,681 $ 86,606 $ 45,449 Cleared 165,480 50,006 145,853 56,835 Total gross recognized amount 259,689 88,687 232,459 102,284 Gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts Uncleared (86,503 ) (33,229 ) (76,255 ) (21,047 ) Cleared (1) (36,623 ) (50,006 ) (21,998 ) (56,835 ) Total gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts (123,126 ) (83,235 ) (98,253 ) (77,882 ) Net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts Uncleared 7,706 5,452 10,351 24,402 Cleared 128,857 — 123,855 — Total net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts 136,563 5,452 134,206 24,402 Derivative instruments not meeting netting requirements (2) 316 37 642 823 Total derivatives, at estimated fair value $ 136,879 $ 5,489 $ 134,848 $ 25,225 (1) Variation margin for daily settled contracts totaled $33,642 at March 31, 2017 . (2) 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 March 31, Type of Hedge 2017 2016 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ (3,974 ) $ (443 ) Total net gain (loss) related to fair-value hedge ineffectiveness (3,974 ) (443 ) Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps (22 ) (1,215 ) Swaptions (139 ) — Interest-rate caps/floors 46 (31 ) Interest-rate forwards (168 ) (2,474 ) Net interest settlements (147 ) (112 ) MDCs 79 2,178 Total net gain (loss) on derivatives not designated as hedging instruments (351 ) (1,654 ) Other (1) (50 ) — Net gains (losses) on derivatives and hedging activities $ (4,375 ) $ (2,097 ) (1) Consists of price alignment amounts on derivatives for which variation margin payments are characterized as daily settled contracts. 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 March 31, 2017 Derivative Item Ineffectiveness Income (1) Advances $ 15,736 $ (14,528 ) $ 1,208 $ (11,479 ) AFS securities 17,075 (20,083 ) (3,008 ) (16,865 ) CO bonds (5,552 ) 3,378 (2,174 ) 3,388 Total $ 27,259 $ (31,233 ) $ (3,974 ) $ (24,956 ) Three Months Ended March 31, 2016 Advances $ (93,046 ) $ 94,206 $ 1,160 $ (27,963 ) AFS securities (59,616 ) 59,694 78 (26,391 ) CO bonds 12,345 (14,026 ) (1,681 ) 5,627 Total $ (140,317 ) $ 139,874 $ (443 ) $ (48,727 ) (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 March 31, 2017 was $9,733 , for which we have posted collateral, including accrued interest, with an estimated fair value of $4,790 in the normal course of business. In addition, we held other derivative instruments in a net liability position of $37 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 $500 of collateral (at estimated fair value) to our uncleared derivative counterparties at March 31, 2017 . For cleared derivatives, the clearinghouse is our counterparty. We use two clearinghouses for all cleared derivative transactions, LCH and CME. Collateral is required to be posted daily for changes in the value of cleared derivatives to mitigate each counterparty's credit risk. The clearinghouse notifies the clearing agent of the required initial and variation margin, and the clearing agent notifies us. The requirement that we post initial and variation margin through the clearing agent for the benefit of the clearinghouse exposes us to institutional credit risk in the event that the clearing agent or clearinghouse fails to meet its obligations. Effective January 3, 2017, CME made certain amendments to its rulebook, including changing the legal characterization of variation margin payments to be daily settled contracts, rather than cash collateral. Variation margin payments related to LCH contracts continue to be characterized as cash collateral. Initial margin continues to be considered by both clearinghouses as cash collateral. For cleared derivatives, the clearinghouse determines margin requirements, into which credit ratings are not generally factored. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At March 31, 2017 , we were not required by our clearing agents to post any additional margin. |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2017 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 10 - Consolidated Obligations In addition to being the primary obligor for our portion of consolidated obligations (i.e., those issued on our behalf), we are jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all FHLBank outstanding consolidated obligations. The par values of the FHLBanks' outstanding consolidated obligations at March 31, 2017 and December 31, 2016 totaled $959.3 billion and $989.3 billion , respectively. Discount Notes. The following table presents our participation in discount notes outstanding, all of which are due within one year of issuance. Discount Notes March 31, December 31, Book value $ 18,399,575 $ 16,801,763 Par value 18,422,959 16,819,659 Weighted average effective interest rate 0.67 % 0.51 % CO Bonds. The following table presents our participation in CO bonds outstanding by contractual maturity. March 31, 2017 December 31, 2016 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 15,071,980 0.97 $ 16,234,460 0.85 Due after 1 year through 2 years 7,578,435 1.09 6,122,190 0.96 Due after 2 years through 3 years 3,545,400 2.02 2,718,945 1.65 Due after 3 years through 4 years 1,595,230 2.76 1,684,530 3.17 Due after 4 years through 5 years 945,200 2.00 1,040,000 2.17 Thereafter 5,777,000 2.93 5,708,000 2.92 Total CO bonds, par value 34,513,245 1.55 33,508,125 1.44 Unamortized premiums 28,784 27,462 Unamortized discounts (12,413 ) (12,059 ) Unamortized concessions (13,927 ) (13,705 ) Fair-value hedging adjustments (45,890 ) (42,544 ) Total CO bonds $ 34,469,799 $ 33,467,279 The following tables present our participation in CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Redemption Feature March 31, December 31, Non-callable / non-putable $ 25,935,445 $ 25,627,125 Callable 8,577,800 7,881,000 Total CO bonds, par value $ 34,513,245 $ 33,508,125 Year of Contractual Maturity or Next Call Date Due in 1 year or less $ 23,133,780 $ 23,825,460 Due after 1 year through 2 years 6,457,435 4,675,190 Due after 2 years through 3 years 2,679,400 2,240,945 Due after 3 years through 4 years 923,230 1,257,530 Due after 4 years through 5 years 319,400 474,000 Thereafter 1,000,000 1,035,000 Total CO bonds, par value $ 34,513,245 $ 33,508,125 |
Affordable Housing Program
Affordable Housing Program | 3 Months Ended |
Mar. 31, 2017 | |
Affordable Housing Program (AHP) [Abstract] | |
Affordable Housing Program | Note 11 - Affordable Housing Program We had no outstanding principal in AHP-related advances at March 31, 2017 or December 31, 2016 . The following table summarizes the activity in our AHP funding obligation. Three Months Ended March 31, AHP Activity 2017 2016 Balance at beginning of period $ 26,598 $ 31,103 Assessment (expense) 3,709 3,100 Subsidy usage, net (1) (3,104 ) (5,968 ) Balance at end of period $ 27,203 $ 28,235 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital
Capital | 3 Months Ended |
Mar. 31, 2017 | |
Capital [Abstract] | |
Capital | Note 12 - Capital Mandatorily Redeemable Capital Stock. The following table presents the activity related to MRCS. Three Months Ended March 31, MRCS Activity 2017 2016 Liability at beginning of period $ 170,043 $ 14,063 Reclassification from capital stock — 178,898 Redemptions/repurchases (3,113 ) (1,451 ) Accrued distributions — 1,038 Liability at end of period $ 166,930 $ 192,548 In accordance with the Final Membership Rule, captive insurance companies that were admitted as FHLBank members on or after September 12, 2014 had their memberships terminated by February 19, 2017. As a result, all of their outstanding Class B stock, totaling $3,021 at December 31, 2016 , was repurchased on or before February 19, 2017. 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 memberships terminated no later than 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 of, and effective with, the Final Membership Rule in February 2016, we reclassified all of the outstanding Class B stock of our captive insurance company members totaling $178,898 to MRCS. The following tables present the contractual year of redemption and distributions related to MRCS. MRCS Contractual Year of Redemption March 31, December 31, Year 1 (1) $ 5,517 $ 8,630 Year 2 5,054 5,054 Year 3 13 13 Year 4 — — Year 5 4,158 4,158 Thereafter (2) 152,188 152,188 Total MRCS $ 166,930 $ 170,043 (1) Balances at March 31, 2017 and December 31, 2016 include $5,517 and $5,609 , respectively, of Class B stock 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 certain captive insurance companies following their termination of memberships no later than February 19, 2021, in accordance with the Final Membership Rule. Three Months Ended March 31, MRCS Distributions 2017 2016 Recorded as interest expense $ 1,753 $ 997 Recorded as distributions from retained earnings — 1,038 Total $ 1,753 $ 2,035 Capital Requirements. We are subject to capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 15 - Capital in our 2016 Form 10-K. As presented in the following table, we were in compliance with the Finance Agency's capital requirements at March 31, 2017 and December 31, 2016 . For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital. March 31, 2017 December 31, 2016 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 816,224 $ 2,624,322 $ 760,946 $ 2,549,871 Regulatory permanent capital-to-asset ratio 4.00 % 4.63 % 4.00 % 4.73 % Regulatory permanent capital $ 2,266,757 $ 2,624,322 $ 2,156,296 $ 2,549,871 Leverage ratio 5.00 % 6.95 % 5.00 % 7.10 % Leverage capital $ 2,833,447 $ 3,936,483 $ 2,695,370 $ 3,824,806 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 3 Months Ended |
Mar. 31, 2017 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Income | Note 13 - Accumulated Other Comprehensive Income (Loss) The following table presents a summary of the changes in the components of AOCI. 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, 2015 $ 97 $ 30,229 $ (132 ) $ (7,316 ) $ 22,878 OCI before reclassifications: Net change in unrealized gains (losses) (213 ) (5,791 ) — — (6,004 ) Net change in fair value — 24 — — 24 Accretion of non-credit losses — — 8 — 8 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — — — — — Pension benefits, net — — — 242 242 Total other comprehensive income (loss) (213 ) (5,767 ) 8 242 (5,730 ) Balance, March 31, 2016 $ (116 ) $ 24,462 $ (124 ) $ (7,074 ) $ 17,148 Balance, December 31, 2016 $ 39,468 $ 26,938 $ (103 ) $ (9,935 ) $ 56,368 OCI before reclassifications: Net change in unrealized gains (losses) 22,756 592 — — 23,348 Net change in fair value — (83 ) — — (83 ) Accretion of non-credit losses — — 6 — 6 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 82 — — 82 Pension benefits, net — — — 328 328 Total other comprehensive income (loss) 22,756 591 6 328 23,681 Balance, March 31, 2017 $ 62,224 $ 27,529 $ (97 ) $ (9,607 ) $ 80,049 |
Segment Information
Segment Information | 3 Months Ended |
Mar. 31, 2017 | |
Segment Reporting [Abstract] | |
Segment Information | Note 14 - Segment Information The following table presents our financial performance by operating segment. Three Months Ended March 31, 2017 Three Months Ended March 31, 2016 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 41,536 $ 17,467 $ 59,003 $ 33,072 $ 16,299 $ 49,371 Provision for credit losses — 151 151 — 25 25 Other income (loss) (3,674 ) 9 (3,665 ) (942 ) (260 ) (1,202 ) Other expenses 16,795 3,058 19,853 15,410 2,737 18,147 Income before assessments 21,067 14,267 35,334 16,720 13,277 29,997 Affordable Housing Program assessments 2,282 1,427 3,709 1,772 1,328 3,100 Net income $ 18,785 $ 12,840 $ 31,625 $ 14,948 $ 11,949 $ 26,897 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 investments 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 compensation, benefits 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 its proportionate share of income before assessments. The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total March 31, 2017 $ 47,036,111 $ 9,632,820 $ 56,668,931 December 31, 2016 44,406,003 9,501,397 53,907,400 |
Estimated Fair Values
Estimated Fair Values | 3 Months Ended |
Mar. 31, 2017 | |
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. March 31, 2017 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 117,422 $ 117,422 $ 117,422 $ — $ — $ — Interest-bearing deposits 215,602 215,602 215,342 260 — — Securities purchased under agreements to resell 2,300,000 2,300,003 — 2,300,003 — — Federal funds sold 1,780,000 1,780,000 — 1,780,000 — — AFS securities 6,915,452 6,915,452 — 6,657,781 257,671 — HTM securities 5,730,228 5,758,150 — 5,703,359 54,791 — Advances 29,670,770 29,650,174 — 29,650,174 — — Mortgage loans held for portfolio, net 9,632,820 9,701,437 — 9,683,065 18,372 — Accrued interest receivable 97,076 97,076 — 97,076 — — Derivative assets, net 136,879 136,879 — 260,005 — (123,126 ) Grantor trust assets (included in other assets) 19,771 19,771 19,771 — — — Liabilities: Deposits 525,426 525,426 — 525,426 — — Consolidated Obligations: Discount notes 18,399,575 18,422,959 — 18,422,959 — — Bonds 34,469,799 34,619,093 — 34,619,093 — — Accrued interest payable 102,106 102,106 — 102,106 — — Derivative liabilities, net 5,489 5,489 — 88,724 — (83,235 ) MRCS 166,930 166,930 166,930 — — — December 31, 2016 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 546,612 $ 546,612 $ 546,612 $ — $ — $ — Interest-bearing deposits 150,225 150,225 150,072 153 — — Securities purchased under agreements to resell 1,781,309 1,781,309 — 1,781,309 — — Federal funds sold 1,650,000 1,650,000 — 1,650,000 — — AFS securities 6,059,835 6,059,835 — 5,790,716 269,119 — HTM securities 5,819,573 5,848,692 — 5,791,111 57,581 — Advances 28,095,953 28,059,477 — 28,059,477 — — Mortgage loans held for portfolio, net 9,501,397 9,587,394 — 9,567,140 20,254 — Accrued interest receivable 93,716 93,716 — 93,716 — — Derivative assets, net 134,848 134,848 — 233,101 — (98,253 ) Grantor trust assets (included in other assets) 18,117 18,117 18,117 — — — Liabilities: Deposits 524,073 524,073 — 524,073 — — Consolidated Obligations: Discount notes 16,801,763 16,819,659 — 16,819,659 — — Bonds 33,467,279 33,614,346 — 33,614,346 — — Accrued interest payable 98,411 98,411 — 98,411 — — Derivative liabilities, net 25,225 25,225 — 103,107 — (77,882 ) MRCS 170,043 170,043 170,043 — — — (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 (includes fair value adjustments on derivatives of $33,642 at March 31, 2017 for which variation margin payments are characterized as daily settled contracts). 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 2016 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 March 31, 2017 Total Level 1 Level 2 Level 3 Adjustment (1) AFS securities: GSE and TVA debentures $ 5,048,522 $ — $ 5,048,522 $ — $ — GSE MBS 1,609,259 — 1,609,259 — — Private-label RMBS 257,671 — — 257,671 — Total AFS securities 6,915,452 — 6,657,781 257,671 — Derivative assets: Interest-rate related 136,563 — 259,689 — (123,126 ) Interest-rate forwards 11 — 11 — — MDCs 305 — 305 — — Total derivative assets, net 136,879 — 260,005 — (123,126 ) Grantor trust assets (included in other assets) 19,771 19,771 — — — Total assets at recurring estimated fair value $ 7,072,102 $ 19,771 $ 6,917,786 $ 257,671 $ (123,126 ) Derivative liabilities: Interest-rate related $ 5,452 $ — $ 88,687 $ — $ (83,235 ) Interest-rate forwards 7 — 7 — — MDCs 30 — 30 — — Total derivative liabilities, net 5,489 — 88,724 — (83,235 ) Total liabilities at recurring estimated fair value $ 5,489 $ — $ 88,724 $ — $ (83,235 ) Mortgage loans held for portfolio (2) $ 4,208 $ — $ — $ 4,208 $ — Total assets at non-recurring estimated fair value $ 4,208 $ — $ — $ 4,208 $ — December 31, 2016 AFS securities: GSE and TVA debentures $ 4,714,634 $ — $ 4,714,634 $ — $ — GSE MBS 1,076,082 — 1,076,082 — — Private-label RMBS 269,119 — — 269,119 — Total AFS securities 6,059,835 — 5,790,716 269,119 — Derivative assets: Interest-rate related 134,206 — 232,459 — (98,253 ) Interest-rate forwards 339 — 339 — — MDCs 303 — 303 — — Total derivative assets, net 134,848 — 233,101 — (98,253 ) Grantor trust assets (included in other assets) 18,117 18,117 — — — Total assets at recurring estimated fair value $ 6,212,800 $ 18,117 $ 6,023,817 $ 269,119 $ (98,253 ) Derivative liabilities: Interest-rate related $ 24,402 $ — $ 102,284 $ — $ (77,882 ) Interest-rate forwards 352 — 352 — — MDCs 471 — 471 — — Total derivative liabilities, net 25,225 — 103,107 — (77,882 ) Total liabilities at recurring estimated fair value $ 25,225 $ — $ 103,107 $ — $ (77,882 ) Mortgage loans held for portfolio (3) $ 3,492 $ — $ — $ 3,492 $ — Total assets at non-recurring estimated fair value $ 3,492 $ — $ — $ 3,492 $ — (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 (includes fair value adjustments on derivatives of $33,642 at March 31, 2017 for which variation margin payments are characterized as daily settled contracts). (2) Amounts are as of the date the fair value adjustment was recorded during the three months ended March 31, 2017 . (3) Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2016 . 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 March 31, Level 3 Rollforward - AFS private-label RMBS 2017 2016 Balance, beginning of period $ 269,119 $ 319,186 Total realized and unrealized gains (losses): Accretion of credit losses in interest income 1,871 3,136 Net losses on changes in fair value in other income (loss) (82 ) — Net change in fair value not in excess of cumulative non-credit losses in OCI (83 ) 24 Unrealized gains (losses) in OCI 592 (5,791 ) Reclassification of non-credit portion in OCI to other income (loss) 82 — Purchases, issuances, sales and settlements: Settlements (13,828 ) (15,797 ) Balance, end of period $ 257,671 $ 300,758 Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period $ 1,789 $ 2,276 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2017 | |
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. March 31, 2017 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 124,082 $ 179,422 $ 303,504 Unused lines of credit (1) 1,057,023 — 1,057,023 Commitments to fund additional advances (2) 156,000 — 156,000 Commitments to fund or purchase mortgage loans, net (3) 96,249 — 96,249 Unsettled CO bonds, at par 622,825 — 622,825 (1) Maximum line of credit amount per member is $50,000 . (2) Generally for periods up to six months. (3) Generally for periods up to 91 days. Pledged Collateral. At March 31, 2017 and December 31, 2016 , we had pledged cash collateral, at par, of $51,815 and $35,421 , respectively, to counterparties and clearing agents. Additionally, at March 31, 2017 , variation margin for daily settled contracts totaled $33,642 . At March 31, 2017 and December 31, 2016 , 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 could have a material effect on our financial condition, results of operations or cash flows. 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 | 3 Months Ended |
Mar. 31, 2017 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties and Other Entities | Note 17 - Related Party and Other Transactions Transactions with Related Parties. The following table presents the aggregate outstanding balances with directors' financial institutions and their balance as a percent of the total balance on our statement of condition. Capital Stock and MRCS Advances Date Par value % of Total Par value % of Total March 31, 2017 $ 37,862 2 % $ 496,108 2 % December 31, 2016 50,810 3 % 627,105 2 % The par values at March 31, 2017 reflect changes in the composition of directors' financial institutions effective January 1, 2017, due to changes in board membership resulting from the 2016 director election. 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 March 31, Transactions with Directors' Financial Institutions 2017 2016 Net capital stock issuances (redemptions and repurchases) $ 1,210 $ — Net advances (repayments) (12,249 ) 51,506 Mortgage loans purchases 3,448 5,693 Transactions with Other FHLBanks. In December 2016, we agreed to sell a 90% participating interest in a $100 million MCC of certain newly acquired MPP loans to the FHLBank of Atlanta. Principal amounts settled in December 2016 totaled $72 million , and the remaining $18 million settled in January 2017. |
Summary of Significant Accoun26
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2017 | |
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. |
Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block] | Derivatives. We record derivative instruments, related cash collateral (including initial and variation margin received or pledged/posted) and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met, as either derivative assets or derivative liabilities at their estimated fair values. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. We use two clearinghouses for all cleared derivative transactions, LCH and CME. Effective January 3, 2017, CME made certain amendments to its rulebook, including changing the legal characterization of variation margin payments to be daily settled contracts, rather than cash collateral. Variation margin payments related to LCH contracts continue to be characterized as cash collateral. Initial margin continues to be considered by both clearinghouses as cash collateral. |
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) | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, 2017 Cost (1) OTTI Gains Losses Fair Value GSE and TVA debentures $ 5,008,287 $ — $ 41,347 $ (1,112 ) $ 5,048,522 GSE MBS 1,587,270 — 23,284 (1,295 ) 1,609,259 Private-label RMBS 230,142 (264 ) 27,793 — 257,671 Total AFS securities $ 6,825,699 $ (264 ) $ 92,424 $ (2,407 ) $ 6,915,452 December 31, 2016 GSE and TVA debentures $ 4,693,211 $ — $ 25,624 $ (4,201 ) $ 4,714,634 GSE MBS 1,058,037 — 18,279 (234 ) 1,076,082 Private-label RMBS 242,181 (263 ) 27,201 — 269,119 Total AFS securities $ 5,993,429 $ (263 ) $ 71,104 $ (4,435 ) $ 6,059,835 (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 March 31, 2017 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 473,269 $ (1,112 ) $ — $ — $ 473,269 $ (1,112 ) GSE MBS 151,453 (1,295 ) — — 151,453 (1,295 ) Private-label RMBS — — 2,768 (264 ) 2,768 (264 ) Total impaired AFS securities $ 624,722 $ (2,407 ) $ 2,768 $ (264 ) $ 627,490 $ (2,671 ) December 31, 2016 GSE and TVA debentures $ 525,722 $ (3,604 ) $ 176,104 $ (597 ) $ 701,826 $ (4,201 ) GSE MBS — — 78,704 (234 ) 78,704 (234 ) Private-label RMBS — — 3,002 (263 ) 3,002 (263 ) Total impaired AFS securities $ 525,722 $ (3,604 ) $ 257,810 $ (1,094 ) $ 783,532 $ (4,698 ) |
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. March 31, 2017 December 31, 2016 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 765,657 $ 766,471 $ 972,508 $ 974,215 Due after 1 year through 5 years 2,185,175 2,209,961 1,841,488 1,855,517 Due after 5 years through 10 years 1,881,763 1,896,125 1,734,156 1,740,029 Due after 10 years 175,692 175,965 145,059 144,873 Total non-MBS 5,008,287 5,048,522 4,693,211 4,714,634 Total MBS 1,817,412 1,866,930 1,300,218 1,345,201 Total AFS securities $ 6,825,699 $ 6,915,452 $ 5,993,429 $ 6,059,835 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, 2017 Cost (1) OTTI Value Gains Losses Fair Value MBS and ABS: Other U.S. obligations -guaranteed MBS $ 2,725,842 $ — $ 2,725,842 $ 3,787 $ (12,932 ) $ 2,716,697 GSE MBS 2,948,608 — 2,948,608 45,092 (7,038 ) 2,986,662 Private-label RMBS 47,110 — 47,110 190 (515 ) 46,785 Private-label ABS 8,765 (97 ) 8,668 39 (701 ) 8,006 Total HTM securities $ 5,730,325 $ (97 ) $ 5,730,228 $ 49,108 $ (21,186 ) $ 5,758,150 December 31, 2016 MBS and ABS: Other U.S. obligations -guaranteed MBS $ 2,678,437 $ — $ 2,678,437 $ 5,412 $ (12,720 ) $ 2,671,129 GSE MBS 3,082,343 — 3,082,343 46,480 (8,841 ) 3,119,982 Private-label RMBS 49,748 — 49,748 61 (533 ) 49,276 Private-label ABS 9,148 (103 ) 9,045 40 (780 ) 8,305 Total HTM securities $ 5,819,676 $ (103 ) $ 5,819,573 $ 51,993 $ (22,874 ) $ 5,848,692 (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 March 31, 2017 Fair Value Losses Fair Value Losses Fair Value Losses (1) MBS and ABS: Other U.S. obligations - guaranteed MBS $ 534,985 $ (1,652 ) $ 1,395,431 $ (11,280 ) $ 1,930,416 $ (12,932 ) GSE MBS 762,845 (6,254 ) 298,696 (784 ) 1,061,541 (7,038 ) Private-label RMBS 12,980 (43 ) 19,520 (472 ) 32,500 (515 ) Private-label ABS — — 8,006 (759 ) 8,006 (759 ) Total impaired HTM securities $ 1,310,810 $ (7,949 ) $ 1,721,653 $ (13,295 ) $ 3,032,463 $ (21,244 ) December 31, 2016 MBS and ABS: Other U.S. obligations - guaranteed MBS $ 367,474 $ (997 ) $ 1,426,182 $ (11,723 ) $ 1,793,656 $ (12,720 ) GSE MBS 1,281,827 (7,915 ) 320,141 (926 ) 1,601,968 (8,841 ) Private-label RMBS 18,166 (62 ) 15,770 (471 ) 33,936 (533 ) Private-label ABS — — 8,304 (843 ) 8,304 (843 ) Total impaired HTM securities $ 1,667,467 $ (8,974 ) $ 1,770,397 $ (13,963 ) $ 3,437,864 $ (22,937 ) (1) For private-label ABS, the total of unrealized losses does not agree to total gross unrecognized holding losses at March 31, 2017 and December 31, 2016 of $701 and $780 , respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $97 and $103 , respectively, and gross unrecognized holding gains on previously OTTI securities of $39 and $40 , respectively. |
Other-Than-Temporary Impairme29
Other-Than-Temporary Impairment (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, 2017 on the one security for which an OTTI was determined to have occurred, as well as the related current credit enhancement. Significant Modeling Assumptions for OTTI private-label RMBS for the three months ended March 31, 2017 Year of Securitization Prepayment Rates Default Rates Loss Severities Current Credit Enhancement Prime - 2006 9 % 14 % 28 % 0 % |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | advances outstanding by year of contractual maturity. March 31, 2017 December 31, 2016 Year of Contractual Maturity Amount WAIR % Amount WAIR % Due in 1 year or less $ 14,094,490 1.04 $ 12,598,864 0.91 Due after 1 year through 2 years 2,490,071 1.81 2,752,629 1.74 Due after 2 years through 3 years 2,308,763 1.78 1,920,962 2.10 Due after 3 years through 4 years 2,280,800 1.56 2,605,198 1.38 Due after 4 years through 5 years 2,023,695 1.55 2,009,395 1.47 Thereafter 6,528,054 1.32 6,244,912 1.20 Total advances, par value 29,725,873 1.30 28,131,960 1.22 Fair-value hedging adjustments (74,109 ) (57,716 ) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 19,006 21,709 Total advances $ 29,670,770 $ 28,095,953 The following table presents advances outstanding 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 March 31, December 31, March 31, December 31, Due in 1 year or less $ 21,266,590 $ 19,390,714 $ 14,194,990 $ 12,767,364 Due after 1 year through 2 years 2,337,471 2,502,629 2,505,071 2,757,629 Due after 2 years through 3 years 1,798,763 1,856,463 2,582,363 1,915,962 Due after 3 years through 4 years 1,378,500 1,548,998 2,599,800 2,605,198 Due after 4 years through 5 years 961,395 900,095 2,165,095 2,535,895 Thereafter 1,983,154 1,933,061 5,678,554 5,549,912 Total advances, par value $ 29,725,873 $ 28,131,960 $ 29,725,873 $ 28,131,960 |
Mortgage Loans Held for Portf31
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | The following tables present information on mortgage loans held for portfolio by term, type, and product. Term March 31, 2017 December 31, 2016 Fixed-rate long-term mortgages $ 8,231,608 $ 8,086,412 Fixed-rate medium-term (1) mortgages 1,192,369 1,206,978 Total mortgage loans held for portfolio, UPB 9,423,977 9,293,390 Unamortized premiums 211,725 210,116 Unamortized discounts (2,650 ) (2,383 ) Fair-value hedging adjustments 618 1,124 Allowance for loan losses (850 ) (850 ) Total mortgage loans held for portfolio, net $ 9,632,820 $ 9,501,397 (1) Defined as a term of 15 years or less at origination. Type March 31, 2017 December 31, 2016 Conventional $ 8,946,252 $ 8,796,407 Government-guaranteed or -insured 477,725 496,983 Total mortgage loans held for portfolio, UPB $ 9,423,977 $ 9,293,390 Product March 31, 2017 December 31, 2016 MPP $ 9,075,506 $ 8,930,194 MPF Program 348,471 363,196 Total mortgage loans held for portfolio, UPB $ 9,423,977 $ 9,293,390 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Allowance for Credit Losses [Abstract] | |
Changes in Lender Risk Account | The following table presents the activity in the LRA. Three Months Ended March 31, LRA Activity 2017 2016 Balance of LRA, beginning of period $ 126,544 $ 91,552 Additions 5,446 5,407 Claims paid (102 ) (209 ) Distributions to PFIs (84 ) (87 ) Balance of LRA, end of period $ 131,804 $ 96,663 |
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 March 31, 2017 December 31, 2016 Estimated incurred losses remaining after borrower's equity, before credit enhancements (1) $ 8,480 $ 8,689 Portion of estimated incurred losses recoverable from PMI (1,935 ) (1,981 ) Portion of estimated incurred losses recoverable from LRA (2) (2,150 ) (2,418 ) Portion of estimated incurred losses recoverable from SMI (3,695 ) (3,590 ) Allowance for unrecoverable PMI/SMI 50 50 Allowance for MPP loan losses $ 750 $ 750 (1) Based on a loss emergence period of 24 months. (2) 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 the key credit quality indicators for our mortgage loans held for portfolio. Delinquency Status as of March 31, 2017 Conventional Government Total Past due: 30-59 days $ 40,967 $ 12,515 $ 53,482 60-89 days 9,783 3,142 12,925 90 days or more 29,098 2,419 31,517 Total past due 79,848 18,076 97,924 Total current 9,107,904 467,722 9,575,626 Total mortgage loans, recorded investment $ 9,187,752 $ 485,798 $ 9,673,550 Other Delinquency Statistics as of March 31, 2017 In process of foreclosure (1) $ 17,548 $ — $ 17,548 Serious delinquency rate (2) 0.32 % 0.50 % 0.33 % Past due 90 days or more still accruing interest (3) $ 25,127 $ 2,419 $ 27,546 On non-accrual status 6,042 — 6,042 Delinquency Status as of December 31, 2016 Conventional Government Total Past due: 30-59 days $ 46,118 $ 17,183 $ 63,301 60-89 days 11,044 3,548 14,592 90 days or more 29,098 2,350 31,448 Total past due 86,260 23,081 109,341 Total current 8,949,441 482,316 9,431,757 Total mortgage loans, recorded investment $ 9,035,701 $ 505,397 $ 9,541,098 Other Delinquency Statistics as of December 31, 2016 In process of foreclosure (1) $ 17,749 $ — $ 17,749 Serious delinquency rate (2) 0.32 % 0.46 % 0.33 % Past due 90 days or more still accruing interest (3) $ 25,375 $ 2,350 $ 27,725 On non-accrual status 4,699 — 4,699 (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 2016 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. Servicers purchase many government loans, including FHA loans, when certain criteria are met. (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 2016 Form 10-K. |
Rollforward of Allowance for Credit Losses on Mortgage Loans | The tables below present a rollforward of our allowance for loan losses, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology. Three Months Ended March 31, Rollforward of Allowance for Loan Losses 2017 2016 Balance, beginning of period $ 850 $ 1,125 Charge-offs, net of recoveries (151 ) (300 ) Provision for loan losses 151 25 Balance, end of period $ 850 $ 850 |
Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] | Allowance for Loan Losses by Impairment Methodology March 31, 2017 December 31, 2016 Conventional loans collectively evaluated for impairment $ 722 $ 750 Conventional loans individually evaluated for impairment (1) 128 100 Total allowance for loan losses $ 850 $ 850 Recorded Investment by Impairment Methodology Conventional loans collectively evaluated for impairment $ 9,171,604 $ 9,020,194 Conventional loans individually evaluated for impairment (1) 16,148 15,507 Total recorded investment $ 9,187,752 $ 9,035,701 (1) The recorded investment in our MPP conventional loans individually evaluated for impairment excludes principal previously paid in full by the servicers as of March 31, 2017 and December 31, 2016 of $2,396 and $2,814 , 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 March 31, 2017 and December 31, 2016 includes $92 and $70 , 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 these loans and related interest income recognized. Due to the minimal change in terms of modified loans (i.e., no principal forgiven), our pre-modification recorded investment in TDRs was not materially different than the post-modification recorded investment. March 31, 2017 December 31, 2016 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) $ 15,750 $ 15,823 $ — $ 15,158 $ 15,219 $ — MPP conventional loans with allowance for loan losses 398 407 36 349 358 30 Total $ 16,148 $ 16,230 $ 36 $ 15,507 $ 15,577 $ 30 (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 March 31, 2017 March 31, 2016 Individually Evaluated Impaired Loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized MPP conventional loans without allowance for loan losses $ 15,569 $ 193 $ 16,914 $ 212 MPP conventional loans with allowance for loan losses 400 6 706 11 Total $ 15,969 $ 199 $ 17,620 $ 223 |
Derivative and Hedging Activi33
Derivative and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | The following table presents the notional amount and estimated fair value of derivative assets and liabilities. Notional Estimated Fair Value Estimated Fair Value Amount of of Derivative of Derivative March 31, 2017 Derivatives Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 25,373,179 $ 258,838 $ 88,462 Total derivatives designated as hedging instruments 25,373,179 258,838 88,462 Derivatives not designated as hedging instruments: Interest-rate swaps 1,779,700 447 225 Swaptions 550,000 38 — Interest-rate caps/floors 364,500 366 — Interest-rate forwards 95,700 11 7 MDCs 96,249 305 30 Total derivatives not designated as hedging instruments 2,886,149 1,167 262 Total derivatives before adjustments $ 28,259,328 260,005 88,724 Netting adjustments (1) (80,558 ) (80,558 ) Cash collateral and variation margin for daily settled contracts (1) (42,568 ) (2,677 ) Total derivatives, net $ 136,879 $ 5,489 December 31, 2016 Derivatives designated as hedging instruments: Interest-rate swaps $ 23,998,498 $ 230,705 $ 102,201 Total derivatives designated as hedging instruments 23,998,498 230,705 102,201 Derivatives not designated as hedging instruments: Interest-rate swaps 901,344 1,430 31 Swaptions 350,000 2 50 Interest-rate caps/floors 364,500 322 2 Interest-rate forwards 99,100 339 352 MDCs 99,002 303 471 Total derivatives not designated as hedging instruments 1,813,946 2,396 906 Total derivatives before adjustments $ 25,812,444 233,101 103,107 Netting adjustments (1) (133,089 ) (133,089 ) Cash collateral (1) 34,836 55,207 Total derivatives, net $ 134,848 $ 25,225 (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 (includes fair value adjustments on derivatives for which variation margin payments are characterized as daily settled contracts). Cash collateral pledged to counterparties at March 31, 2017 and December 31, 2016 totaled $51,815 and $35,422 , respectively. Cash collateral received from counterparties at March 31, 2017 and December 31, 2016 totaled $58,065 and $55,793 , respectively. Variation margin for daily settled contracts totaled $33,642 at March 31, 2017 . See Note 1 - Summary of Significant Accounting Policies for more information. |
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 effect of the related collateral received from or pledged to counterparties and variation margin for daily settled contracts. March 31, 2017 December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 94,209 $ 38,681 $ 86,606 $ 45,449 Cleared 165,480 50,006 145,853 56,835 Total gross recognized amount 259,689 88,687 232,459 102,284 Gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts Uncleared (86,503 ) (33,229 ) (76,255 ) (21,047 ) Cleared (1) (36,623 ) (50,006 ) (21,998 ) (56,835 ) Total gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts (123,126 ) (83,235 ) (98,253 ) (77,882 ) Net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts Uncleared 7,706 5,452 10,351 24,402 Cleared 128,857 — 123,855 — Total net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts 136,563 5,452 134,206 24,402 Derivative instruments not meeting netting requirements (2) 316 37 642 823 Total derivatives, at estimated fair value $ 136,879 $ 5,489 $ 134,848 $ 25,225 (1) Variation margin for daily settled contracts totaled $33,642 at March 31, 2017 . (2) 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 March 31, Type of Hedge 2017 2016 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ (3,974 ) $ (443 ) Total net gain (loss) related to fair-value hedge ineffectiveness (3,974 ) (443 ) Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps (22 ) (1,215 ) Swaptions (139 ) — Interest-rate caps/floors 46 (31 ) Interest-rate forwards (168 ) (2,474 ) Net interest settlements (147 ) (112 ) MDCs 79 2,178 Total net gain (loss) on derivatives not designated as hedging instruments (351 ) (1,654 ) Other (1) (50 ) — Net gains (losses) on derivatives and hedging activities $ (4,375 ) $ (2,097 ) (1) Consists of price alignment amounts on derivatives for which variation margin payments are characterized as daily settled con |
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 March 31, 2017 Derivative Item Ineffectiveness Income (1) Advances $ 15,736 $ (14,528 ) $ 1,208 $ (11,479 ) AFS securities 17,075 (20,083 ) (3,008 ) (16,865 ) CO bonds (5,552 ) 3,378 (2,174 ) 3,388 Total $ 27,259 $ (31,233 ) $ (3,974 ) $ (24,956 ) Three Months Ended March 31, 2016 Advances $ (93,046 ) $ 94,206 $ 1,160 $ (27,963 ) AFS securities (59,616 ) 59,694 78 (26,391 ) CO bonds 12,345 (14,026 ) (1,681 ) 5,627 Total $ (140,317 ) $ 139,874 $ (443 ) $ (48,727 ) (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) | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, December 31, Book value $ 18,399,575 $ 16,801,763 Par value 18,422,959 16,819,659 Weighted average effective interest rate 0.67 % 0.51 % |
CO Bonds by Year of Contractual Maturity | The following table presents our participation in CO bonds outstanding by contractual maturity. March 31, 2017 December 31, 2016 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 15,071,980 0.97 $ 16,234,460 0.85 Due after 1 year through 2 years 7,578,435 1.09 6,122,190 0.96 Due after 2 years through 3 years 3,545,400 2.02 2,718,945 1.65 Due after 3 years through 4 years 1,595,230 2.76 1,684,530 3.17 Due after 4 years through 5 years 945,200 2.00 1,040,000 2.17 Thereafter 5,777,000 2.93 5,708,000 2.92 Total CO bonds, par value 34,513,245 1.55 33,508,125 1.44 Unamortized premiums 28,784 27,462 Unamortized discounts (12,413 ) (12,059 ) Unamortized concessions (13,927 ) (13,705 ) Fair-value hedging adjustments (45,890 ) (42,544 ) Total CO bonds $ 34,469,799 $ 33,467,279 |
CO Bonds by Redemption Feature | The following tables present our participation in CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Redemption Feature March 31, December 31, Non-callable / non-putable $ 25,935,445 $ 25,627,125 Callable 8,577,800 7,881,000 Total CO bonds, par value $ 34,513,245 $ 33,508,125 |
CO Bonds by Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Call Date Due in 1 year or less $ 23,133,780 $ 23,825,460 Due after 1 year through 2 years 6,457,435 4,675,190 Due after 2 years through 3 years 2,679,400 2,240,945 Due after 3 years through 4 years 923,230 1,257,530 Due after 4 years through 5 years 319,400 474,000 Thereafter 1,000,000 1,035,000 Total CO bonds, par value $ 34,513,245 $ 33,508,125 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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 March 31, AHP Activity 2017 2016 Balance at beginning of period $ 26,598 $ 31,103 Assessment (expense) 3,709 3,100 Subsidy usage, net (1) (3,104 ) (5,968 ) Balance at end of period $ 27,203 $ 28,235 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Capital [Abstract] | |
MRCS Activity | The following table presents the activity related to MRCS. Three Months Ended March 31, MRCS Activity 2017 2016 Liability at beginning of period $ 170,043 $ 14,063 Reclassification from capital stock — 178,898 Redemptions/repurchases (3,113 ) (1,451 ) Accrued distributions — 1,038 Liability at end of period $ 166,930 $ 192,548 |
Mandatorily Redeemable Capital Stock [Table Text Block] | MRCS Contractual Year of Redemption March 31, December 31, Year 1 (1) $ 5,517 $ 8,630 Year 2 5,054 5,054 Year 3 13 13 Year 4 — — Year 5 4,158 4,158 Thereafter (2) 152,188 152,188 Total MRCS $ 166,930 $ 170,043 (1) Balances at March 31, 2017 and December 31, 2016 include $5,517 and $5,609 , respectively, of Class B stock 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 certain captive insurance companies following their termination of memberships no later than February 19, 2021, in accordance with the Final Membership Rule. |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | Three Months Ended March 31, MRCS Distributions 2017 2016 Recorded as interest expense $ 1,753 $ 997 Recorded as distributions from retained earnings — 1,038 Total $ 1,753 $ 2,035 |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | We are subject to capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 15 - Capital in our 2016 Form 10-K. As presented in the following table, we were in compliance with the Finance Agency's capital requirements at March 31, 2017 and December 31, 2016 . For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital. March 31, 2017 December 31, 2016 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 816,224 $ 2,624,322 $ 760,946 $ 2,549,871 Regulatory permanent capital-to-asset ratio 4.00 % 4.63 % 4.00 % 4.73 % Regulatory permanent capital $ 2,266,757 $ 2,624,322 $ 2,156,296 $ 2,549,871 Leverage ratio 5.00 % 6.95 % 5.00 % 7.10 % Leverage capital $ 2,833,447 $ 3,936,483 $ 2,695,370 $ 3,824,806 |
Accumulated Other Comprehensi37
Accumulated Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Changes in the Components of AOCI | The following table presents a summary of the changes in the components of AOCI. 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, 2015 $ 97 $ 30,229 $ (132 ) $ (7,316 ) $ 22,878 OCI before reclassifications: Net change in unrealized gains (losses) (213 ) (5,791 ) — — (6,004 ) Net change in fair value — 24 — — 24 Accretion of non-credit losses — — 8 — 8 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — — — — — Pension benefits, net — — — 242 242 Total other comprehensive income (loss) (213 ) (5,767 ) 8 242 (5,730 ) Balance, March 31, 2016 $ (116 ) $ 24,462 $ (124 ) $ (7,074 ) $ 17,148 Balance, December 31, 2016 $ 39,468 $ 26,938 $ (103 ) $ (9,935 ) $ 56,368 OCI before reclassifications: Net change in unrealized gains (losses) 22,756 592 — — 23,348 Net change in fair value — (83 ) — — (83 ) Accretion of non-credit losses — — 6 — 6 Reclassifications from OCI to net income: Non-credit portion of OTTI losses — 82 — — 82 Pension benefits, net — — — 328 328 Total other comprehensive income (loss) 22,756 591 6 328 23,681 Balance, March 31, 2017 $ 62,224 $ 27,529 $ (97 ) $ (9,607 ) $ 80,049 |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Three Months Ended March 31, 2017 Three Months Ended March 31, 2016 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 41,536 $ 17,467 $ 59,003 $ 33,072 $ 16,299 $ 49,371 Provision for credit losses — 151 151 — 25 25 Other income (loss) (3,674 ) 9 (3,665 ) (942 ) (260 ) (1,202 ) Other expenses 16,795 3,058 19,853 15,410 2,737 18,147 Income before assessments 21,067 14,267 35,334 16,720 13,277 29,997 Affordable Housing Program assessments 2,282 1,427 3,709 1,772 1,328 3,100 Net income $ 18,785 $ 12,840 $ 31,625 $ 14,948 $ 11,949 $ 26,897 |
Schedule of Segment Assets by Segment | The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total March 31, 2017 $ 47,036,111 $ 9,632,820 $ 56,668,931 December 31, 2016 44,406,003 9,501,397 53,907,400 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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. March 31, 2017 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 117,422 $ 117,422 $ 117,422 $ — $ — $ — Interest-bearing deposits 215,602 215,602 215,342 260 — — Securities purchased under agreements to resell 2,300,000 2,300,003 — 2,300,003 — — Federal funds sold 1,780,000 1,780,000 — 1,780,000 — — AFS securities 6,915,452 6,915,452 — 6,657,781 257,671 — HTM securities 5,730,228 5,758,150 — 5,703,359 54,791 — Advances 29,670,770 29,650,174 — 29,650,174 — — Mortgage loans held for portfolio, net 9,632,820 9,701,437 — 9,683,065 18,372 — Accrued interest receivable 97,076 97,076 — 97,076 — — Derivative assets, net 136,879 136,879 — 260,005 — (123,126 ) Grantor trust assets (included in other assets) 19,771 19,771 19,771 — — — Liabilities: Deposits 525,426 525,426 — 525,426 — — Consolidated Obligations: Discount notes 18,399,575 18,422,959 — 18,422,959 — — Bonds 34,469,799 34,619,093 — 34,619,093 — — Accrued interest payable 102,106 102,106 — 102,106 — — Derivative liabilities, net 5,489 5,489 — 88,724 — (83,235 ) MRCS 166,930 166,930 166,930 — — — December 31, 2016 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustment (1) Assets: Cash and due from banks $ 546,612 $ 546,612 $ 546,612 $ — $ — $ — Interest-bearing deposits 150,225 150,225 150,072 153 — — Securities purchased under agreements to resell 1,781,309 1,781,309 — 1,781,309 — — Federal funds sold 1,650,000 1,650,000 — 1,650,000 — — AFS securities 6,059,835 6,059,835 — 5,790,716 269,119 — HTM securities 5,819,573 5,848,692 — 5,791,111 57,581 — Advances 28,095,953 28,059,477 — 28,059,477 — — Mortgage loans held for portfolio, net 9,501,397 9,587,394 — 9,567,140 20,254 — Accrued interest receivable 93,716 93,716 — 93,716 — — Derivative assets, net 134,848 134,848 — 233,101 — (98,253 ) Grantor trust assets (included in other assets) 18,117 18,117 18,117 — — — Liabilities: Deposits 524,073 524,073 — 524,073 — — Consolidated Obligations: Discount notes 16,801,763 16,819,659 — 16,819,659 — — Bonds 33,467,279 33,614,346 — 33,614,346 — — Accrued interest payable 98,411 98,411 — 98,411 — — Derivative liabilities, net 25,225 25,225 — 103,107 — (77,882 ) MRCS 170,043 170,043 170,043 — — — (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 (includes fair value adjustments on derivatives of $33,642 at March 31, 2017 for which variation margin payments are characterized as daily settled contracts). |
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 March 31, 2017 Total Level 1 Level 2 Level 3 Adjustment (1) AFS securities: GSE and TVA debentures $ 5,048,522 $ — $ 5,048,522 $ — $ — GSE MBS 1,609,259 — 1,609,259 — — Private-label RMBS 257,671 — — 257,671 — Total AFS securities 6,915,452 — 6,657,781 257,671 — Derivative assets: Interest-rate related 136,563 — 259,689 — (123,126 ) Interest-rate forwards 11 — 11 — — MDCs 305 — 305 — — Total derivative assets, net 136,879 — 260,005 — (123,126 ) Grantor trust assets (included in other assets) 19,771 19,771 — — — Total assets at recurring estimated fair value $ 7,072,102 $ 19,771 $ 6,917,786 $ 257,671 $ (123,126 ) Derivative liabilities: Interest-rate related $ 5,452 $ — $ 88,687 $ — $ (83,235 ) Interest-rate forwards 7 — 7 — — MDCs 30 — 30 — — Total derivative liabilities, net 5,489 — 88,724 — (83,235 ) Total liabilities at recurring estimated fair value $ 5,489 $ — $ 88,724 $ — $ (83,235 ) Mortgage loans held for portfolio (2) $ 4,208 $ — $ — $ 4,208 $ — Total assets at non-recurring estimated fair value $ 4,208 $ — $ — $ 4,208 $ — December 31, 2016 AFS securities: GSE and TVA debentures $ 4,714,634 $ — $ 4,714,634 $ — $ — GSE MBS 1,076,082 — 1,076,082 — — Private-label RMBS 269,119 — — 269,119 — Total AFS securities 6,059,835 — 5,790,716 269,119 — Derivative assets: Interest-rate related 134,206 — 232,459 — (98,253 ) Interest-rate forwards 339 — 339 — — MDCs 303 — 303 — — Total derivative assets, net 134,848 — 233,101 — (98,253 ) Grantor trust assets (included in other assets) 18,117 18,117 — — — Total assets at recurring estimated fair value $ 6,212,800 $ 18,117 $ 6,023,817 $ 269,119 $ (98,253 ) Derivative liabilities: Interest-rate related $ 24,402 $ — $ 102,284 $ — $ (77,882 ) Interest-rate forwards 352 — 352 — — MDCs 471 — 471 — — Total derivative liabilities, net 25,225 — 103,107 — (77,882 ) Total liabilities at recurring estimated fair value $ 25,225 $ — $ 103,107 $ — $ (77,882 ) Mortgage loans held for portfolio (3) $ 3,492 $ — $ — $ 3,492 $ — Total assets at non-recurring estimated fair value $ 3,492 $ — $ — $ 3,492 $ — (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 (includes fair value adjustments on derivatives of $33,642 at March 31, 2017 for which variation margin payments are characterized as daily settled contracts). (2) Amounts are as of the date the fair value adjustment was recorded during the three months ended March 31, 2017 . (3) Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2016 . |
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 March 31, Level 3 Rollforward - AFS private-label RMBS 2017 2016 Balance, beginning of period $ 269,119 $ 319,186 Total realized and unrealized gains (losses): Accretion of credit losses in interest income 1,871 3,136 Net losses on changes in fair value in other income (loss) (82 ) — Net change in fair value not in excess of cumulative non-credit losses in OCI (83 ) 24 Unrealized gains (losses) in OCI 592 (5,791 ) Reclassification of non-credit portion in OCI to other income (loss) 82 — Purchases, issuances, sales and settlements: Settlements (13,828 ) (15,797 ) Balance, end of period $ 257,671 $ 300,758 Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period $ 1,789 $ 2,276 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. March 31, 2017 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 124,082 $ 179,422 $ 303,504 Unused lines of credit (1) 1,057,023 — 1,057,023 Commitments to fund additional advances (2) 156,000 — 156,000 Commitments to fund or purchase mortgage loans, net (3) 96,249 — 96,249 Unsettled CO bonds, at par 622,825 — 622,825 (1) Maximum line of credit amount per member is $50,000 . (2) Generally for periods up to six months. (3) Generally for periods up to 91 days. |
Transactions with Related Par41
Transactions with Related Parties and Other Entities (Tables) - Directors' Financial Institutions | 3 Months Ended |
Mar. 31, 2017 | |
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 directors' financial institutions and their balance as a percent of the total balance on our statement of condition. Capital Stock and MRCS Advances Date Par value % of Total Par value % of Total March 31, 2017 $ 37,862 2 % $ 496,108 2 % December 31, 2016 50,810 3 % 627,105 2 % |
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 March 31, Transactions with Directors' Financial Institutions 2017 2016 Net capital stock issuances (redemptions and repurchases) $ 1,210 $ — Net advances (repayments) (12,249 ) 51,506 Mortgage loans purchases 3,448 5,693 |
Available-for-Sale Securities42
Available-for-Sale Securities (Major Security Types) (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,825,699 | $ 5,993,429 |
Non-Credit OTTI | (264) | (263) | |
Gross Unrealized Gains | 92,424 | 71,104 | |
Gross Unrealized Losses | (2,407) | (4,435) | |
Estimated Fair Value | 6,915,452 | 6,059,835 | |
GSE and TVA debentures | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 5,008,287 | 4,693,211 |
Non-Credit OTTI | 0 | 0 | |
Gross Unrealized Gains | 41,347 | 25,624 | |
Gross Unrealized Losses | (1,112) | (4,201) | |
Estimated Fair Value | 5,048,522 | 4,714,634 | |
GSE MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 1,587,270 | 1,058,037 |
Non-Credit OTTI | 0 | 0 | |
Gross Unrealized Gains | 23,284 | 18,279 | |
Gross Unrealized Losses | (1,295) | (234) | |
Estimated Fair Value | 1,609,259 | 1,076,082 | |
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 230,142 | 242,181 |
Non-Credit OTTI | (264) | (263) | |
Gross Unrealized Gains | 27,793 | 27,201 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | $ 257,671 | $ 269,119 | |
[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 Securities43
Available-for-Sale Securities (Unrealized Loss Positions) (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 624,722 | $ 525,722 |
Less than 12 Months, Unrealized Losses | (2,407) | (3,604) |
12 Months or More, Estimated Fair Value | 2,768 | 257,810 |
12 Months or More, Unrealized Losses | (264) | (1,094) |
Total Estimated Fair Value | 627,490 | 783,532 |
Total Unrealized Losses | (2,671) | (4,698) |
GSE and TVA debentures | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 473,269 | 525,722 |
Less than 12 Months, Unrealized Losses | (1,112) | (3,604) |
12 Months or More, Estimated Fair Value | 0 | 176,104 |
12 Months or More, Unrealized Losses | 0 | (597) |
Total Estimated Fair Value | 473,269 | 701,826 |
Total Unrealized Losses | (1,112) | (4,201) |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 151,453 | 0 |
Less than 12 Months, Unrealized Losses | (1,295) | 0 |
12 Months or More, Estimated Fair Value | 0 | 78,704 |
12 Months or More, Unrealized Losses | 0 | (234) |
Total Estimated Fair Value | 151,453 | 78,704 |
Total Unrealized Losses | (1,295) | (234) |
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 | 2,768 | 3,002 |
12 Months or More, Unrealized Losses | (264) | (263) |
Total Estimated Fair Value | 2,768 | 3,002 |
Total Unrealized Losses | $ (264) | $ (263) |
Available-for-Sale Securities44
Available-for-Sale Securities (Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 | |
Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 6,825,699 | $ 5,993,429 |
Estimated Fair Value | 6,915,452 | 6,059,835 | |
Non-MBS | |||
Available-for-sale Securities [Line Items] | |||
Due in one year or less, Amortized Cost | 765,657 | 972,508 | |
Due after one year through five years, Amortized Cost | 2,185,175 | 1,841,488 | |
Due after five years through ten years, Amortized Cost | 1,881,763 | 1,734,156 | |
Due after ten years, Amortized Cost | 175,692 | 145,059 | |
Amortized Cost | 5,008,287 | 4,693,211 | |
Due in one year or less, Estimated Fair Value | 766,471 | 974,215 | |
Due after one year through five years, Estimated Fair Value | 2,209,961 | 1,855,517 | |
Due after five years through ten years, Estimated Fair Value | 1,896,125 | 1,740,029 | |
Due after ten years, Estimated Fair Value | 175,965 | 144,873 | |
Estimated Fair Value | 5,048,522 | 4,714,634 | |
MBS | |||
Available-for-sale Securities [Line Items] | |||
Amortized Cost | 1,817,412 | 1,300,218 | |
Estimated Fair Value | $ 1,866,930 | $ 1,345,201 | |
[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 | Mar. 31, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 5,730,325 | $ 5,819,676 |
Non-Credit (OTTI) | (97) | (103) | |
Carrying Value | 5,730,228 | 5,819,573 | |
Gross Unrecognized Holding Gains | 49,108 | 51,993 | |
Gross Unrecognized Holding Losses | (21,186) | (22,874) | |
Estimated Fair Value | 5,758,150 | 5,848,692 | |
Other U.S. obligations -guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 2,725,842 | 2,678,437 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 2,725,842 | 2,678,437 | |
Gross Unrecognized Holding Gains | 3,787 | 5,412 | |
Gross Unrecognized Holding Losses | (12,932) | (12,720) | |
Estimated Fair Value | 2,716,697 | 2,671,129 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 2,948,608 | 3,082,343 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 2,948,608 | 3,082,343 | |
Gross Unrecognized Holding Gains | 45,092 | 46,480 | |
Gross Unrecognized Holding Losses | (7,038) | (8,841) | |
Estimated Fair Value | 2,986,662 | 3,119,982 | |
Asset-backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 8,765 | 9,148 |
Non-Credit (OTTI) | (97) | (103) | |
Carrying Value | 8,668 | 9,045 | |
Gross Unrecognized Holding Gains | 39 | 40 | |
Gross Unrecognized Holding Losses | (701) | (780) | |
Estimated Fair Value | 8,006 | 8,305 | |
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 47,110 | 49,748 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 47,110 | 49,748 | |
Gross Unrecognized Holding Gains | 190 | 61 | |
Gross Unrecognized Holding Losses | (515) | (533) | |
Estimated Fair Value | $ 46,785 | $ 49,276 | |
[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 | Mar. 31, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | $ 1,310,810 | $ 1,667,467 | |
Less than 12 Months, Unrealized Losses | (7,949) | (8,974) | |
12 Months or More, Estimated Fair Value | 1,721,653 | 1,770,397 | |
12 Months or More, Unrealized Losses | (13,295) | (13,963) | |
Total Estimated Fair Value | 3,032,463 | 3,437,864 | |
Unrealized Loss Position | [1] | (21,244) | (22,937) |
Gross Unrecognized Holding Losses | (21,186) | (22,874) | |
Non-Credit (OTTI) | (97) | (103) | |
Gross Unrecognized Holding Gains | 49,108 | 51,993 | |
Other U.S. obligations -guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 534,985 | 367,474 | |
Less than 12 Months, Unrealized Losses | (1,652) | (997) | |
12 Months or More, Estimated Fair Value | 1,395,431 | 1,426,182 | |
12 Months or More, Unrealized Losses | (11,280) | (11,723) | |
Total Estimated Fair Value | 1,930,416 | 1,793,656 | |
Unrealized Loss Position | [1] | (12,932) | (12,720) |
Gross Unrecognized Holding Losses | (12,932) | (12,720) | |
Non-Credit (OTTI) | 0 | 0 | |
Gross Unrecognized Holding Gains | 3,787 | 5,412 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 762,845 | 1,281,827 | |
Less than 12 Months, Unrealized Losses | (6,254) | (7,915) | |
12 Months or More, Estimated Fair Value | 298,696 | 320,141 | |
12 Months or More, Unrealized Losses | (784) | (926) | |
Total Estimated Fair Value | 1,061,541 | 1,601,968 | |
Unrealized Loss Position | [1] | (7,038) | (8,841) |
Gross Unrecognized Holding Losses | (7,038) | (8,841) | |
Non-Credit (OTTI) | 0 | 0 | |
Gross Unrecognized Holding Gains | 45,092 | 46,480 | |
Asset-backed Securities [Member] | |||
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 | 8,006 | 8,304 | |
12 Months or More, Unrealized Losses | (759) | (843) | |
Total Estimated Fair Value | 8,006 | 8,304 | |
Unrealized Loss Position | [1] | (759) | (843) |
Gross Unrecognized Holding Losses | (701) | (780) | |
Non-Credit (OTTI) | (97) | (103) | |
Gross Unrecognized Holding Gains | 39 | 40 | |
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 12,980 | 18,166 | |
Less than 12 Months, Unrealized Losses | (43) | (62) | |
12 Months or More, Estimated Fair Value | 19,520 | 15,770 | |
12 Months or More, Unrealized Losses | (472) | (471) | |
Total Estimated Fair Value | 32,500 | 33,936 | |
Unrealized Loss Position | [1] | (515) | (533) |
Gross Unrecognized Holding Losses | (515) | (533) | |
Non-Credit (OTTI) | 0 | 0 | |
Gross Unrecognized Holding Gains | $ 190 | $ 61 | |
[1] | For private-label ABS, the total of unrealized losses does not agree to total gross unrecognized holding losses at March 31, 2017 and December 31, 2016 of $701 and $780, respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $97 and $103, respectively, and gross unrecognized holding gains on previously OTTI securities of $39 and $40, respectively. |
Other-Than-Temporary Impairme47
Other-Than-Temporary Impairment (Securities with OTTI Losses) (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017USD ($)securities | Mar. 31, 2016USD ($) | |
Other than Temporary Impairment, Disclosure [Line Items] | ||
Projected Change In The Twelve Month Housing Price Percentage Rate Maximum Decrease | (5.00%) | |
Projected Change In The Twelve Month Housing Price Percentage Rate Maximum Increase | 10.00% | |
Projected Change In The Short Term Housing Price Percentage Rate Maximum Decrease In Vast Majority Of Markets | 0.00% | |
Number of securities | securities | 1 | |
Net other-than-temporary impairment losses, credit portion | $ | $ 82 | $ 0 |
Projected Change In The Shortterm Housing Price Percentage Rate Maximum Increase In Vast Majority Of Markets | 6.00% | |
Prime [Member] | Private-label RMBS | Residential Mortgage Backed Securities [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Prepayent Rates | 9.00% | |
Other Than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Qualitative Disclosures, Default Rate | 14.00% | |
Loss Severities | 28.00% | |
Current Credit Enhancement | 0.00% |
Advances (Narratives) (Details)
Advances (Narratives) (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Federal Home Loan Bank, Advances [Line Items] | ||
Percent of Advances Par Value Held by Top Five Borrowers | 45.00% | 43.00% |
Total advances, par value | $ 29,725,873 | $ 28,131,960 |
Advances by Year of Contractual
Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Year of Contractual Maturity, Amount | ||
Due in 1 year or less | $ 14,094,490 | $ 12,598,864 |
Due after 1 year through 2 years | 2,490,071 | 2,752,629 |
Due after 2 years through 3 years | 2,308,763 | 1,920,962 |
Due after 3 years through 4 years | 2,280,800 | 2,605,198 |
Due after 4 years through 5 years | 2,023,695 | 2,009,395 |
Thereafter | 6,528,054 | 6,244,912 |
Total advances, par value | $ 29,725,873 | $ 28,131,960 |
Year of Contractual Maturity, WAIR % | ||
Due in 1 year or less | 1.04% | 0.91% |
Due after 1 year through 2 years | 1.81% | 1.74% |
Due after 2 years through 3 years | 1.78% | 2.10% |
Due after 3 years through 4 years | 1.56% | 1.38% |
Due after 4 years through 5 years | 1.55% | 1.47% |
Thereafter | 1.32% | 1.20% |
Total advances, par value | 1.30% | 1.22% |
Fair-value hedging adjustments | $ (74,109) | $ (57,716) |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 19,006 | 21,709 |
Total Advances | $ 29,670,770 | $ 28,095,953 |
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 | Mar. 31, 2017 | Dec. 31, 2016 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | $ 21,266,590 | $ 19,390,714 |
Due after 1 year through 2 years | 2,337,471 | 2,502,629 |
Due after 2 years through 3 years | 1,798,763 | 1,856,463 |
Due after 3 years through 4 years | 1,378,500 | 1,548,998 |
Due after 4 years through 5 years | 961,395 | 900,095 |
Thereafter | 1,983,154 | 1,933,061 |
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 | 14,194,990 | 12,767,364 |
Due after 1 year through 2 years | 2,505,071 | 2,757,629 |
Due after 2 years through 3 years | 2,582,363 | 1,915,962 |
Due after 3 years through 4 years | 2,599,800 | 2,605,198 |
Due after 4 years through 5 years | 2,165,095 | 2,535,895 |
Thereafter | 5,678,554 | 5,549,912 |
Total advances, par value | $ 29,725,873 | $ 28,131,960 |
Mortgage Loans Held for Portf51
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | ||||
Jan. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2015 | ||
Mortgage Loans on Real Estate [Line Items] | ||||||
Mortgage Loans Held for Portfolio, UPB | $ 9,293,390 | $ 9,423,977 | ||||
Unamortized premiums | 210,116 | 211,725 | ||||
Unamortized discounts | (2,383) | (2,650) | ||||
Fair-value hedging adjustments | 1,124 | 618 | ||||
Allowance for loan losses | (850) | (850) | ||||
Total mortgage loans held for portfolio, net | 9,501,397 | 9,632,820 | ||||
Principal Amount of Mortgage Loans Sold | $ 18,000 | 72,000 | ||||
Fixed-rate long-term mortgages | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Mortgage Loans Held for Portfolio, UPB | 8,086,412 | 8,231,608 | ||||
Fixed-rate medium-term mortgages | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Mortgage Loans Held for Portfolio, UPB | [1] | 1,206,978 | $ 1,192,369 | |||
Fixed-rate medium-term mortgages | Maximum | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Original term | 15 years | |||||
Conventional | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Mortgage Loans Held for Portfolio, UPB | 8,796,407 | $ 8,946,252 | ||||
Mortgage Purchase Program | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Mortgage Loans Held for Portfolio, UPB | 8,930,194 | 9,075,506 | ||||
Mortgage Partnership Finance Program | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Mortgage Loans Held for Portfolio, UPB | 363,196 | 348,471 | ||||
Conventional | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Allowance for loan losses | (850) | (850) | $ (850) | $ (1,125) | ||
Conventional | Mortgage Purchase Program | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Allowance for loan losses | (750) | (750) | ||||
Government-guaranteed or -insured | ||||||
Mortgage Loans on Real Estate [Line Items] | ||||||
Mortgage Loans Held for Portfolio, UPB | $ 496,983 | $ 477,725 | ||||
[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 | ||||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Credit Enhancement Fund [Roll Forward] | |||||
Balance of LRA, beginning of period | $ 126,544 | $ 91,552 | |||
Additions | 5,446 | 5,407 | |||
Claim paid | (102) | (209) | |||
Distributions to members | (84) | (87) | |||
Balance of LRA, end of period | 131,804 | 96,663 | |||
Allowance for loan losses | 850 | $ 850 | |||
Conventional | |||||
Credit Enhancement Fund [Roll Forward] | |||||
Allowance for loan losses | 850 | $ 850 | 850 | $ 1,125 | |
Mortgage Purchase Program | Conventional | |||||
Credit Enhancement Fund [Roll Forward] | |||||
Estimated incurred losses remaining after borrower's equity, before credit enhancements | [1] | 8,480 | 8,689 | ||
Allowance for unrecoverable PMI/SMI | 50 | 50 | |||
Allowance for loan losses | 750 | 750 | |||
Mortgage Purchase Program | Conventional | PMI | |||||
Credit Enhancement Fund [Roll Forward] | |||||
Portion of estimated losses recoverable from | (1,935) | (1,981) | |||
Mortgage Purchase Program | Conventional | LRA | |||||
Credit Enhancement Fund [Roll Forward] | |||||
Portion of estimated losses recoverable from | [2] | (2,150) | (2,418) | ||
Mortgage Purchase Program | Conventional | SMI | |||||
Credit Enhancement Fund [Roll Forward] | |||||
Portion of estimated losses recoverable from | $ (3,695) | $ (3,590) | |||
[1] | Based on a loss emergence period of 24 months. | ||||
[2] | 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 | ||||
Mar. 31, 2017 | Mar. 31, 2016 | Mar. 31, 2017 | Dec. 31, 2016 | ||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Allowance for loan losses on mortgage loans, beginning of period | $ 850 | ||||
Provision for (reversal of) loan losses | 151 | $ 25 | |||
Allowance for loan losses on mortgage loans, end of period | 850 | ||||
Total allowance for loan losses | 850 | $ 850 | $ 850 | ||
Total recorded investment | 9,673,550 | 9,541,098 | |||
Conventional | |||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Allowance for loan losses on mortgage loans, beginning of period | 850 | 1,125 | |||
Charge-offs, net of recoveries | (151) | (300) | |||
Provision for (reversal of) loan losses | 151 | 25 | |||
Allowance for loan losses on mortgage loans, end of period | 850 | 850 | |||
Allowance for loan losses, loans collectively evaluated for impairment | 722 | 750 | |||
Allowance for loan losses, loans individually evaluated for impairment | [1] | 128 | 100 | ||
Total allowance for loan losses | 850 | $ 1,125 | 850 | 850 | |
Recorded Investment, loans collectively evaluated for impairment | 9,171,604 | 9,020,194 | |||
Recorded Investment, loans individually evaluated for impairment | [1] | 16,148 | 15,507 | ||
Total recorded investment | 9,187,752 | 9,035,701 | |||
Principal paid in full by servicers | 2,396 | 2,814 | |||
Potential claims included in allowance | 92 | 70 | |||
Mortgage Purchase Program | Conventional | |||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Allowance for loan losses on mortgage loans, beginning of period | 750 | ||||
Allowance for loan losses on mortgage loans, end of period | 750 | ||||
Total allowance for loan losses | $ 750 | $ 750 | $ 750 | ||
[1] | The recorded investment in our MPP conventional loans individually evaluated for impairment excludes principal previously paid in full by the servicers as of March 31, 2017 and December 31, 2016 of $2,396 and $2,814, 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 March 31, 2017 and December 31, 2016 includes $92 and $70, respectively, for these potential claims. |
Allowance for Credit Losses (Pa
Allowance for Credit Losses (Past Due) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Dec. 31, 2016 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 97,924 | $ 109,341 | |
Total current | 9,575,626 | 9,431,757 | |
Total recorded investment | 9,673,550 | 9,541,098 | |
In process of foreclosure | [1] | $ 17,548 | $ 17,749 |
Serious delinquency rate (percentage) | [2] | 0.33% | 0.33% |
Past due 90 days or more still accruing interest | [3] | $ 27,546 | $ 27,725 |
On non-accrual status | $ 6,042 | 4,699 | |
Delinquent loan receivable (in days) | 90 days | ||
Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 79,848 | 86,260 | |
Total current | 9,107,904 | 8,949,441 | |
Total recorded investment | 9,187,752 | 9,035,701 | |
In process of foreclosure | [1] | $ 17,548 | $ 17,749 |
Serious delinquency rate (percentage) | [2] | 0.32% | 0.32% |
Past due 90 days or more still accruing interest | [3] | $ 25,127 | $ 25,375 |
On non-accrual status | 6,042 | 4,699 | |
US Government Agency Insured Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 18,076 | 23,081 | |
Total current | 467,722 | 482,316 | |
Total recorded investment | 485,798 | 505,397 | |
In process of foreclosure | [1] | $ 0 | $ 0 |
Serious delinquency rate (percentage) | [2] | 0.50% | 0.46% |
Past due 90 days or more still accruing interest | [3] | $ 2,419 | $ 2,350 |
On non-accrual status | 0 | 0 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 53,482 | 63,301 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 40,967 | 46,118 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | US Government Agency Insured Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 12,515 | 17,183 | |
Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 12,925 | 14,592 | |
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 9,783 | 11,044 | |
Financing Receivables, 60 to 89 Days Past Due [Member] | US Government Agency Insured Loans [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 3,142 | 3,548 | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 31,517 | 31,448 | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 29,098 | 29,098 | |
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 | $ 2,419 | $ 2,350 | |
[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 2016 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. Servicers purchase many government loans, including FHA loans, when certain criteria are met. | ||
[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 2016 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 | |||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | ||
Financing Receivable, Impaired [Line Items] | ||||
Conventional loans without allowance for loan losses, Recorded Investment | [1] | $ 15,750 | $ 15,158 | |
Conventional loans with allowance for loan losses, Recorded Investment | 398 | 349 | ||
Total recorded investment | 16,148 | 15,507 | ||
Conventional loans without allowance for loan losses, UPB | [1] | 15,823 | 15,219 | |
Conventional loans with allowance for loan losses, UPB | 407 | 358 | ||
Total UPB | 16,230 | 15,577 | ||
Allowance for loan losses | 36 | $ 30 | ||
Conventional loans without allowance, Average Recorded Investment | 15,569 | $ 16,914 | ||
Conventional loans without allowance, Interest Income Recognized | 193 | 212 | ||
Conventional loans with allowance, Average Recorded Investment | 400 | 706 | ||
Conventional loans with allowance, Interest Income Recognized | 6 | 11 | ||
Impaired Financing Receivable, Average Recorded Investment | 15,969 | 17,620 | ||
Impaired Financing Receivable, Interest Income, Accrual Method | $ 199 | $ 223 | ||
[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. |
Derivative and Hedging Activi56
Derivative and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Derivatives, Fair Value [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 51,815 | $ 35,422 |
Notional Amount of Derivatives | 28,259,328 | 25,812,444 |
Estimated Fair Value of Derivative Assets | 260,005 | 233,101 |
Estimated Fair Value of Derivative Liabilities | 88,724 | 103,107 |
Netting adjustments, assets | (80,558) | (133,089) |
Derivative Asset Fair Value Gross Asset and Right to Reclaim Cash Offset | (42,568) | 34,836 |
Netting adjustments, liabilities | (80,558) | (133,089) |
Cash collateral and related accrued interest, liabilities | (2,677) | 55,207 |
Derivative Asset, net | 136,879 | 134,848 |
Derivative Liability, net | 5,489 | 25,225 |
Derivative, Collateral, Obligation to Return Cash | 58,065 | 55,793 |
Variation Margin for Daily Settled Contracts, Net | 33,642 | |
Derivatives designated as hedging instruments: | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 25,373,179 | 23,998,498 |
Estimated Fair Value of Derivative Assets | 258,838 | 230,705 |
Estimated Fair Value of Derivative Liabilities | 88,462 | 102,201 |
Derivatives designated as hedging instruments: | Interest-rate swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 25,373,179 | 23,998,498 |
Estimated Fair Value of Derivative Assets | 258,838 | 230,705 |
Estimated Fair Value of Derivative Liabilities | 88,462 | 102,201 |
Derivatives not designated as hedging instruments: | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 2,886,149 | 1,813,946 |
Estimated Fair Value of Derivative Assets | 1,167 | 2,396 |
Estimated Fair Value of Derivative Liabilities | 262 | 906 |
Derivatives not designated as hedging instruments: | Interest-rate swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 1,779,700 | 901,344 |
Estimated Fair Value of Derivative Assets | 447 | 1,430 |
Estimated Fair Value of Derivative Liabilities | 225 | 31 |
Derivatives not designated as hedging instruments: | Interest Rate Swaption [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 550,000 | 350,000 |
Estimated Fair Value of Derivative Assets | 38 | 2 |
Estimated Fair Value of Derivative Liabilities | 0 | 50 |
Derivatives not designated as hedging instruments: | Interest-rate caps/floors | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 364,500 | 364,500 |
Estimated Fair Value of Derivative Assets | 366 | 322 |
Estimated Fair Value of Derivative Liabilities | 0 | 2 |
Derivatives not designated as hedging instruments: | Interest-rate forwards | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 95,700 | 99,100 |
Estimated Fair Value of Derivative Assets | 11 | 339 |
Estimated Fair Value of Derivative Liabilities | 7 | 352 |
Mortgages [Member] | Derivatives not designated as hedging instruments: | Interest-rate forwards | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 96,249 | 99,002 |
Estimated Fair Value of Derivative Assets | 305 | 303 |
Estimated Fair Value of Derivative Liabilities | $ 30 | $ 471 |
Derivative and Hedging Activi57
Derivative and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Variation Margin for Daily Settled Contracts, Net | $ (33,642) | |
Derivative Asset, Gross recognized amount | 259,689 | $ 232,459 |
Derivative Liability, Gross recognized amount | 88,687 | 102,284 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | (123,126) | (98,253) |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (83,235) | (77,882) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 136,563 | 134,206 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | 5,452 | 24,402 |
Derivative Asset, Derivative instruments not meeting netting requirements | 316 | 642 |
Derivative Liability, Derivative instruments not meeting netting requirements | 37 | 823 |
Derivative Asset, net | 136,879 | 134,848 |
Derivative Liability, net | 5,489 | 25,225 |
Uncleared | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative Asset, Gross recognized amount | 94,209 | 86,606 |
Derivative Liability, Gross recognized amount | 38,681 | 45,449 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | (86,503) | (76,255) |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (33,229) | (21,047) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 7,706 | 10,351 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | 5,452 | 24,402 |
Cleared | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative Asset, Gross recognized amount | 165,480 | 145,853 |
Derivative Liability, Gross recognized amount | 50,006 | 56,835 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | (36,623) | (21,998) |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (50,006) | (56,835) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 128,857 | 123,855 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | $ 0 | $ 0 |
Derivative and Hedging Activi58
Derivative and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ (3,974) | $ (443) |
Total net gain (loss) on derivatives not designated as hedging instruments | (351) | (1,654) |
Derivative Instruments, Other Gain (Loss) | (50) | 0 |
Net gains (losses) on derivatives and hedging activities | (4,375) | (2,097) |
Interest-rate swaps | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | (3,974) | (443) |
Total net gain (loss) on derivatives not designated as hedging instruments | (22) | (1,215) |
Interest Rate Swaption [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gain (loss) on derivatives not designated as hedging instruments | (139) | 0 |
Interest-rate caps/floors | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gain (loss) on derivatives not designated as hedging instruments | 46 | (31) |
Interest-rate forwards | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gain (loss) on derivatives not designated as hedging instruments | (168) | (2,474) |
Net interest settlements | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gain (loss) on derivatives not designated as hedging instruments | (147) | (112) |
Mortgages [Member] | Interest-rate forwards | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gain (loss) on derivatives not designated as hedging instruments | $ 79 | $ 2,178 |
Derivative and Hedging Activi59
Derivative and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivatives | $ 27,259 | $ (140,317) |
Gain (Loss) on Hedged Item | (31,233) | 139,874 |
Net Fair Value Hedge Ineffectiveness | (3,974) | (443) |
Effect on Net Interest Income | (24,956) | (48,727) |
Advances | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivatives | 15,736 | (93,046) |
Gain (Loss) on Hedged Item | (14,528) | 94,206 |
Net Fair Value Hedge Ineffectiveness | 1,208 | 1,160 |
Effect on Net Interest Income | (11,479) | (27,963) |
Available-for-sale Securities | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivatives | 17,075 | (59,616) |
Gain (Loss) on Hedged Item | (20,083) | 59,694 |
Net Fair Value Hedge Ineffectiveness | (3,008) | 78 |
Effect on Net Interest Income | (16,865) | (26,391) |
CO bonds | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivatives | (5,552) | 12,345 |
Gain (Loss) on Hedged Item | 3,378 | (14,026) |
Net Fair Value Hedge Ineffectiveness | (2,174) | (1,681) |
Effect on Net Interest Income | $ 3,388 | $ 5,627 |
Derivative and Hedging Activi60
Derivative and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash collateral pledged to counterparties | $ 51,815 | $ 35,422 |
Cash collateral received from counterparties | 58,065 | $ 55,793 |
Net liability position, aggregate fair value | 9,733 | |
Collateral already posted, estimated fair value | 4,790 | |
Other derivative instruments in a net liability position | 37 | |
Additional collateral, fair value | $ 500 |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Dec. 31, 2016 | |
Schedule of Short-term and Long-term Debt [Line Items] | ||
FHLB System outstanding consolidated obligations | $ 959,300,000 | $ 989,300,000 |
Discount Notes maturity period (years) | 1 year | |
Discount Note [Abstract] | ||
Discount Notes - Book Value | $ 18,399,575 | 16,801,763 |
Discount Notes - Par Value | $ 18,422,959 | $ 16,819,659 |
Weighted average effective interest rate (percentage) | 0.67% | 0.51% |
CO Bonds [Abstract] | ||
Due in 1 year or less | $ 15,071,980 | $ 16,234,460 |
Due after 1 year through 2 years | 7,578,435 | 6,122,190 |
Due after 2 years through 3 years | 3,545,400 | 2,718,945 |
Due after 3 years through 4 years | 1,595,230 | 1,684,530 |
Due after 4 years through 5 years | 945,200 | 1,040,000 |
Thereafter | 5,777,000 | 5,708,000 |
Unamortized premiums | 28,784 | 27,462 |
Unamortized discounts | (12,413) | (12,059) |
Unamortized concessions | (13,927) | (13,705) |
Fair-value hedging adjustments | $ (45,890) | $ (42,544) |
Due in 1 year or less, WAIR % | 0.97% | 0.85% |
Due after 1 year through 2 years, WAIR % | 1.09% | 0.96% |
Due after 2 years through 3 years, WAIR % | 2.02% | 1.65% |
Due after 3 years through 4 years, WAIR % | 2.76% | 3.17% |
Due after 4 years through 5 years, WAIR % | 2.00% | 2.17% |
Thereafter, WAIR % | 2.93% | 2.92% |
Total WAIR% | 1.55% | 1.44% |
CO Bonds, Par value | $ 34,513,245 | $ 33,508,125 |
Due in 1 year or less | 23,133,780 | 23,825,460 |
Due after 1 year through 2 years | 6,457,435 | 4,675,190 |
Due after 2 years through 3 years | 2,679,400 | 2,240,945 |
Due after 3 years through 4 years | 923,230 | 1,257,530 |
Due after 4 years through 5 years | 319,400 | 474,000 |
Thereafter | 1,000,000 | 1,035,000 |
Bonds | 34,469,799 | 33,467,279 |
Federal Home Loan Bank Consolidated Obligations With No Related Option Feature [Member] | ||
CO Bonds [Abstract] | ||
CO Bonds, Par value | 25,935,445 | 25,627,125 |
Federal Home Loan Bank Consolidated Obligations Callable Option [Member] | ||
CO Bonds [Abstract] | ||
CO Bonds, Par value | $ 8,577,800 | $ 7,881,000 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||
Balance at beginning of period | $ 26,598 | $ 31,103 | |
Assessment (expense) | 3,709 | 3,100 | |
Subsidy usage, net | [1] | (3,104) | (5,968) |
Balance at end of period | $ 27,203 | $ 28,235 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Details)
Capital (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | Feb. 01, 2016 | ||
Capital [Abstract] | |||||
Financial Instruments Subject to Mandatory Redemption Past Contractual Redemption Date Due to Outstanding Activity To Be Repurchased or Redeemed No Later Than February 19 2017 | $ 3,021 | ||||
Mandatorily Redeemable Capital Stock Activity [Roll Forward] | |||||
Liability at beginning of period | $ 170,043 | $ 14,063 | |||
Reclassification from capital stock | 0 | 178,898 | |||
Redemptions/repurchases | (3,113) | (1,451) | |||
Accrued distributions | 0 | 1,038 | |||
Liability at end of period | 166,930 | 192,548 | |||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||
Year 1 | [1] | 5,517 | 8,630 | ||
Year 2 | 5,054 | 5,054 | |||
Year 3 | 13 | 13 | |||
Year 4 | 0 | 0 | |||
Year 5 | 4,158 | 4,158 | |||
Thereafter | [2] | 152,188 | 152,188 | ||
Financial Instruments Subject to Mandatory Redemption, Past Contractual Redemption Date, Due to Outstanding Activity | 5,517 | 5,609 | |||
Recorded as interest expense | 1,753 | 997 | |||
Recorded as distributions from retained earnings | 0 | 1,038 | |||
Total | 1,753 | $ 2,035 | |||
Regulatory Capital Requirements [Abstract] | |||||
Federal Home Loan Bank, Risk-Based Capital, Required | 816,224 | 760,946 | |||
Federal Home Loan Bank, Risk-Based Capital, Actual | $ 2,624,322 | $ 2,549,871 | |||
Regulatory permanent capital-to-asset ratio, Required (percentage) | 4.00% | 4.00% | |||
Federal Home Loan Bank, Regulatory Capital Ratio, Actual (percentage) | 4.63% | 4.73% | |||
Federal Home Loan Bank, Regulatory Capital, Required | $ 2,266,757 | $ 2,156,296 | |||
Federal Home Loan Bank, Regulatory Capital, Actual | $ 2,624,322 | $ 2,549,871 | |||
Leverage ratio, Required (percentage) | 5.00% | 5.00% | |||
Federal Home Loan Bank, Leverage Ratio, Actual (percentage) | 6.95% | 7.10% | |||
Federal Home Loan Bank, Leverage Capital, Required | $ 2,833,447 | $ 2,695,370 | |||
Federal Home Loan Bank, Leverage Capital, Actual | $ 3,936,483 | $ 3,824,806 | |||
Class B Stock of Captive Insurance Company Members Reclassified to MRCS | $ 178,898 | ||||
[1] | Balances at March 31, 2017 and December 31, 2016 include $5,517 and $5,609, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. | ||||
[2] | Represents the five-year redemption period of outstanding Class B stock held by certain captive insurance companies following their termination of memberships no later than February 19, 2021, in accordance with the Final Membership Rule. |
Accumulated Other Comprehensi64
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Availabe-for-sale Securities, before Tax | $ 82 | $ 0 | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 80,049 | $ 56,368 | ||
Net change in unrealized gains (losses) on available-for-sale securities | 22,756 | (213) | ||
Net change in fair value | (83) | 24 | ||
Accretion of non-credit portion | (6) | (8) | ||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 23,681 | (5,730) | ||
Accumulated Other Comprehensive Income (Loss) [Member] | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 80,049 | 17,148 | 56,368 | $ 22,878 |
Net change in unrealized gains (losses) on available-for-sale securities | 23,348 | (6,004) | ||
Net change in fair value | (83) | 24 | ||
Accretion of non-credit portion | 6 | 8 | ||
Non-credit portion of OTTI losses | 82 | 0 | ||
Pension benefits, net | 328 | 242 | ||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 23,681 | (5,730) | ||
Unrealized Gains (Losses) on AFS Securities | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 62,224 | (116) | 39,468 | 97 |
Net change in unrealized gains (losses) on available-for-sale securities | 22,756 | (213) | ||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 22,756 | (213) | ||
Non-Credit OTTI | Available-for-sale Securities | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 27,529 | 24,462 | 26,938 | 30,229 |
Net change in unrealized gains (losses) on available-for-sale securities | 592 | (5,791) | ||
Net change in fair value | (83) | 24 | ||
Non-credit portion of OTTI losses | 82 | 0 | ||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 591 | (5,767) | ||
Non-Credit OTTI | HTM Securities [Member] | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | (97) | (124) | (103) | (132) |
Accretion of non-credit portion | 6 | 8 | ||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 6 | 8 | ||
Pension Benefits | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | (9,607) | (7,074) | $ (9,935) | $ (7,316) |
Pension benefits, net | 328 | 242 | ||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | $ 328 | $ 242 |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Segment Reporting Information [Line Items] | |||
Net interest income | $ 59,003 | $ 49,371 | |
Provision for credit losses | 151 | 25 | |
Other income (loss) | (3,665) | (1,202) | |
Other expenses | 19,853 | 18,147 | |
Income before assessments | 35,334 | 29,997 | |
Affordable Housing Program assessments | 3,709 | 3,100 | |
Net Income | 31,625 | 26,897 | |
Assets | 56,668,931 | $ 53,907,400 | |
Traditional | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 41,536 | 33,072 | |
Provision for credit losses | 0 | 0 | |
Other income (loss) | (3,674) | (942) | |
Other expenses | 16,795 | 15,410 | |
Income before assessments | 21,067 | 16,720 | |
Affordable Housing Program assessments | 2,282 | 1,772 | |
Net Income | 18,785 | 14,948 | |
Assets | 47,036,111 | 44,406,003 | |
Mortgage Loans | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 17,467 | 16,299 | |
Provision for credit losses | 151 | 25 | |
Other income (loss) | 9 | (260) | |
Other expenses | 3,058 | 2,737 | |
Income before assessments | 14,267 | 13,277 | |
Affordable Housing Program assessments | 1,427 | 1,328 | |
Net Income | 12,840 | $ 11,949 | |
Assets | $ 9,632,820 | $ 9,501,397 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Variation Margin for Daily Settled Contracts, Net | $ (33,642) | |||
Assets: | ||||
Cash and due from banks | 117,422 | $ 546,612 | ||
AFS securities | 6,915,452 | 6,059,835 | ||
Held-to-maturity securities (estimated fair values of $5,758,150 and $5,848,692, respectively) (Notes 4 and 5) | 5,730,228 | 5,819,573 | ||
HTM securities | 5,758,150 | 5,848,692 | ||
Accrued interest receivable | 97,076 | 93,716 | ||
Derivative assets, net | 136,879 | 134,848 | ||
Netting adjustment | (123,126) | (98,253) | ||
Consolidated Obligations: | ||||
Accrued interest payable | 102,106 | 98,411 | ||
Derivative liabilities, net (Note 9) | 5,489 | 25,225 | ||
Netting adjustment | (83,235) | (77,882) | ||
MRCS | 166,930 | 170,043 | $ 192,548 | $ 14,063 |
Level 1 [Member] | ||||
Assets: | ||||
Cash and due from banks | 117,422 | 546,612 | ||
Interest-bearing deposits | 215,342 | 150,072 | ||
Securities purchased under agreements to resell | 0 | 0 | ||
Federal funds sold | 0 | 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) | 19,771 | 18,117 | ||
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 | 166,930 | 170,043 | ||
Level 2 [Member] | ||||
Assets: | ||||
Cash and due from banks | 0 | 0 | ||
Interest-bearing deposits | 260 | 153 | ||
Securities purchased under agreements to resell | 2,300,003 | 1,781,309 | ||
Federal funds sold | 1,780,000 | 1,650,000 | ||
AFS securities | 6,657,781 | 5,790,716 | ||
HTM securities | 5,703,359 | 5,791,111 | ||
Advances | 29,650,174 | 28,059,477 | ||
Mortgage loans held for portfolio, net | 9,683,065 | 9,567,140 | ||
Accrued interest receivable | 97,076 | 93,716 | ||
Derivative assets, net | 260,005 | 233,101 | ||
Grantor trust assets (included in other assets) | 0 | 0 | ||
Liabilities: | ||||
Deposits | 525,426 | 524,073 | ||
Consolidated Obligations: | ||||
Discount notes | 18,422,959 | 16,819,659 | ||
Bonds | 34,619,093 | 33,614,346 | ||
Accrued interest payable | 102,106 | 98,411 | ||
Derivative liabilities, net (Note 9) | 88,724 | 103,107 | ||
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 | 0 | ||
Federal funds sold | 0 | 0 | ||
AFS securities | 257,671 | 269,119 | ||
HTM securities | 54,791 | 57,581 | ||
Advances | 0 | 0 | ||
Mortgage loans held for portfolio, net | 18,372 | 20,254 | ||
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 | 117,422 | 546,612 | ||
Interest-bearing deposits | 215,602 | 150,225 | ||
Securities purchased under agreements to resell | 2,300,003 | 1,781,309 | ||
Federal funds sold | 1,780,000 | 1,650,000 | ||
AFS securities | 6,915,452 | 6,059,835 | ||
HTM securities | 5,758,150 | 5,848,692 | ||
Advances | 29,650,174 | 28,059,477 | ||
Mortgage loans held for portfolio, net | 9,701,437 | 9,587,394 | ||
Accrued interest receivable | 97,076 | 93,716 | ||
Derivative assets, net | 136,879 | 134,848 | ||
Grantor trust assets (included in other assets) | 19,771 | 18,117 | ||
Liabilities: | ||||
Deposits | 525,426 | 524,073 | ||
Consolidated Obligations: | ||||
Discount notes | 18,422,959 | 16,819,659 | ||
Bonds | 34,619,093 | 33,614,346 | ||
Accrued interest payable | 102,106 | 98,411 | ||
Derivative liabilities, net (Note 9) | 5,489 | 25,225 | ||
MRCS | 166,930 | 170,043 | ||
Carrying value | ||||
Assets: | ||||
Cash and due from banks | 117,422 | 546,612 | ||
Interest-bearing deposits | 215,602 | 150,225 | ||
Securities purchased under agreements to resell | 2,300,000 | 1,781,309 | ||
Federal funds sold | 1,780,000 | 1,650,000 | ||
AFS securities | 6,915,452 | 6,059,835 | ||
Held-to-maturity securities (estimated fair values of $5,758,150 and $5,848,692, respectively) (Notes 4 and 5) | 5,730,228 | 5,819,573 | ||
Advances | 29,670,770 | 28,095,953 | ||
Mortgage loans held for portfolio, net | 9,632,820 | 9,501,397 | ||
Accrued interest receivable | 97,076 | 93,716 | ||
Derivative assets, net | 136,879 | 134,848 | ||
Grantor trust assets (included in other assets) | 19,771 | 18,117 | ||
Liabilities: | ||||
Deposits | 525,426 | 524,073 | ||
Consolidated Obligations: | ||||
Discount notes | 18,399,575 | 16,801,763 | ||
Bonds | 34,469,799 | 33,467,279 | ||
Accrued interest payable | 102,106 | 98,411 | ||
Derivative liabilities, net (Note 9) | 5,489 | 25,225 | ||
MRCS | $ 166,930 | $ 170,043 |
Estimated Fair Values (Estimate
Estimated Fair Values (Estimated Fair Value on a Recurring and Non-Recurring Basis) (Details) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Variation Margin for Daily Settled Contracts, Net | $ 33,642,000 | |
AFS securities | 6,915,452,000 | $ 6,059,835,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 136,879,000 | 134,848,000 |
Netting adjustment | (123,126,000) | (98,253,000) |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 5,489,000 | 25,225,000 |
Netting adjustment | (83,235,000) | (77,882,000) |
GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 5,048,522,000 | 4,714,634,000 |
GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 1,609,259,000 | 1,076,082,000 |
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 | 257,671,000 | 269,119,000 |
Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 6,915,452,000 | 6,059,835,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 136,879,000 | 134,848,000 |
Netting adjustment | (123,126,000) | (98,253,000) |
Grantor trust assets (included in other assets) | 19,771,000 | 18,117,000 |
Total assets at estimated fair value | 7,072,102,000 | 6,212,800,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 5,489,000 | 25,225,000 |
Netting adjustment | (83,235,000) | (77,882,000) |
Total liabilities at recurring estimated fair value | 5,489,000 | 25,225,000 |
Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 136,563,000 | 134,206,000 |
Netting adjustment | (123,126,000) | (98,253,000) |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 5,452,000 | 24,402,000 |
Netting adjustment | (83,235,000) | (77,882,000) |
Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 11,000 | 339,000 |
Netting adjustment | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 7,000 | 352,000 |
Netting adjustment | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 305,000 | 303,000 |
Netting adjustment | 0 | |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 30,000 | 471,000 |
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 | 5,048,522,000 | 4,714,634,000 |
Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 1,609,259,000 | 1,076,082,000 |
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 | 257,671,000 | 269,119,000 |
Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at estimated fair value | 4,208,000 | 3,492,000 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | 4,208,000 | 3,492,000 |
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) | 19,771,000 | 18,117,000 |
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) | 19,771,000 | 18,117,000 |
Total assets at estimated fair value | 19,771,000 | 18,117,000 |
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 Contract [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] | 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 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 | 6,657,781,000 | 5,790,716,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 260,005,000 | 233,101,000 |
Grantor trust assets (included in other assets) | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 88,724,000 | 103,107,000 |
Mortgage loans held for portfolio | 9,683,065,000 | 9,567,140,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 6,657,781,000 | 5,790,716,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 260,005,000 | 233,101,000 |
Grantor trust assets (included in other assets) | 0 | 0 |
Total assets at estimated fair value | 6,917,786,000 | 6,023,817,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 88,724,000 | 103,107,000 |
Total liabilities at recurring estimated fair value | 88,724,000 | 103,107,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 259,689,000 | 232,459,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 88,687,000 | 102,284,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 11,000 | 339,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 7,000 | 352,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 305,000 | 303,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 30,000 | 471,000 |
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 | 5,048,522,000 | 4,714,634,000 |
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 | 1,609,259,000 | 1,076,082,000 |
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 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 | 257,671,000 | 269,119,000 |
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 | 18,372,000 | 20,254,000 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 257,671,000 | 269,119,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 0 | 0 |
Total assets at estimated fair value | 257,671,000 | 269,119,000 |
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 Contract [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] | 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 |
Netting adjustment | 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 | 257,671,000 | 269,119,000 |
Level 3 [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at estimated fair value | 4,208,000 | 3,492,000 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | $ 4,208,000 | $ 3,492,000 |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
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 | $ (83) | $ 24 |
Private-label RMBS | Residential Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Available-for-sale Securities [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning of period | 269,119 | 319,186 |
Accretion of credit losses in interest income | 1,871 | 3,136 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | (82) | 0 |
Net change in fair value not in excess of cumulative non-credit losses in OCI | (83) | 24 |
Unrealized gains (losses) in OCI | 592 | (5,791) |
Non-Credit Portion of OTTI Losses | 82 | 0 |
Settlements | (13,828) | (15,797) |
Balance, end of period | 257,671 | 300,758 |
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ 1,789 | $ 2,276 |
Commitments and Contingencies69
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2017 | Dec. 31, 2016 | |
Loss Contingencies [Line Items] | ||
Commitments to fund additional Advances are generally for periods up | 6 months | |
Period for Mortgage Loan Commitments | 91 days | |
Cash collateral pledged | $ 51,815,000 | $ 35,421,000 |
Variation Margin for Daily Settled Contracts, Net | 33,642,000 | |
Letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Off-balance-sheet commitments, Total | 303,504,000 | |
Standby Letters of Credit [Member] | ||
Loss Contingencies [Line Items] | ||
Off-balance-sheet commitments expire within one year | 124,082,000 | |
Off-balance-sheet commitments expire after one year | 179,422,000 | |
Unused lines of credit | ||
Loss Contingencies [Line Items] | ||
Off-balance-sheet commitments expire within one year | 1,057,023,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | 1,057,023,000 | |
Commitments to fund additional advances | ||
Loss Contingencies [Line Items] | ||
Off-balance-sheet commitments expire within one year | 156,000,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | 156,000,000 | |
CO bonds | ||
Loss Contingencies [Line Items] | ||
Off-balance-sheet commitments expire within one year | 622,825,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | 622,825,000 | |
MDCs | ||
Loss Contingencies [Line Items] | ||
Off-balance-sheet commitments, Total | 96,249,000 | |
MDCs | Interest-rate forwards | ||
Loss Contingencies [Line Items] | ||
Off-balance-sheet commitments expire within one year | 96,249,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Standby Letters of Credit [Member] | ||
Loss Contingencies [Line Items] | ||
Maximum line of credit | $ 50,000,000 |
Transactions with Related Par70
Transactions with Related Parties and Other Entities (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | ||
Jan. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2017 | Mar. 31, 2016 | |
Related Party Transaction [Line Items] | ||||
Principal Amount of Mortgage Loans Sold | $ 18,000 | $ 72,000 | ||
Proceeds from issuance of capital stock | $ 61,503 | $ 26,264 | ||
Net Advances to Directors Financial Institutions | (12,249) | 51,506 | ||
Total advances, par value | 28,131,960 | 29,725,873 | ||
Total mortgage loans held for portfolio, UPB | 9,293,390 | 9,423,977 | ||
Mortgage loans purchased from Directors' Financial Institutions | 3,448 | 5,693 | ||
Directors' Financial Institutions | ||||
Related Party Transaction [Line Items] | ||||
Net Capital Stock Issuances To Directors' Financial Institutions | 1,210 | $ 0 | ||
Capital Stock, including MRCS, par value | $ 50,810 | $ 37,862 | ||
Capital Stock, including MRCS, % of Total (percentage) | 3.00% | 2.00% | ||
Total advances, par value | $ 627,105 | $ 496,108 | ||
Advances, % of Total (percentage) | 2.00% | 2.00% |