Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2018 | Apr. 30, 2018 | |
Document and Entity Information [Abstract] | ||
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, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Outstanding (in shares) | 20,660,452 |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | ||
Assets: | ||||
Cash and due from banks | $ 76,856 | $ 55,269 | ||
Interest-bearing deposits | 888,396 | 660,342 | ||
Securities purchased under agreements to resell | 2,673,200 | 2,605,460 | ||
Federal funds sold | 748,000 | 1,280,000 | ||
Available-for-sale securities (Notes 3 and 5) | 7,222,912 | 7,128,758 | ||
Held-to-maturity securities (estimated fair values of $6,010,981 and $5,919,299, respectively) (Notes 4 and 5) | 5,999,164 | 5,897,668 | ||
Advances (Note 6) | 32,964,711 | 34,055,064 | ||
Mortgage loans held for portfolio, net of allowance for loan losses of $(850) and $(850), respectively (Notes 7 and 8) | 10,495,825 | 10,356,341 | ||
Accrued interest receivable | 107,415 | 105,314 | ||
Premises, software, and equipment, net | 36,731 | 36,795 | ||
Derivative assets, net (Note 9) | [1] | 140,278 | 128,206 | [2] |
Other assets | 38,440 | 39,689 | ||
Total assets | 61,391,928 | 62,348,906 | ||
Liabilities: | ||||
Deposits | 457,336 | 564,799 | ||
Consolidated obligations (Note 10): | ||||
Discount notes | 19,556,171 | 20,358,157 | ||
Bonds | 37,778,855 | 37,895,653 | ||
Total consolidated obligations, net | 57,335,026 | 58,253,810 | ||
Accrued interest payable | 140,637 | 135,691 | ||
Affordable Housing Program payable (Note 11) | 35,086 | 32,166 | ||
Derivative liabilities, net (Note 9) | [1] | 2,396 | 2,718 | [2] |
Mandatorily redeemable capital stock (Note 12) | 163,782 | 164,322 | ||
Other liabilities | 248,741 | 249,894 | ||
Total liabilities | 58,383,004 | 59,403,400 | ||
Commitments and contingencies (Note 16) | ||||
Capital stock (putable at par value of $100 per share): | ||||
Capital stock | 1,880,945 | 1,857,766 | ||
Retained earnings: | ||||
Unrestricted | 800,447 | 792,783 | ||
Restricted | 193,221 | 183,551 | ||
Total retained earnings | 993,668 | 976,334 | ||
Total accumulated other comprehensive income (Note 13) | 134,311 | 111,406 | ||
Total capital | 3,008,924 | 2,945,506 | ||
Total liabilities and capital | 61,391,928 | 62,348,906 | ||
Class B-1 issued and outstanding shares: 18,804,764 and 18,566,388, respectively | ||||
Capital stock (putable at par value of $100 per share): | ||||
Capital stock | 1,880,476 | 1,856,639 | ||
Class B-2 issued and outstanding shares: 4,686 and 11,271, respectively | ||||
Capital stock (putable at par value of $100 per share): | ||||
Capital stock | $ 469 | $ 1,127 | ||
[1] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017. Previously, this amount was included with netting adjustments and cash collateral. | |||
[2] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments within the gross recognized amount as of December 31, 2017. Previously, this amount was included with the gross amounts of netting adjustments and cash collateral. |
Statements of Condition (Unaud3
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Estimated fair value | $ 6,010,981 | $ 5,919,299 |
Allowance for loan losses | $ (850) | $ (850) |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 |
Class B-1 | ||
Common stock issued (in shares) | 18,804,764 | 18,566,388 |
Common stock outstanding (in shares) | 18,804,764 | 18,566,388 |
Class B-2 | ||
Common stock issued (in shares) | 4,686 | 11,271 |
Common stock outstanding (in shares) | 4,686 | 11,271 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Interest Income: | ||
Advances | $ 143,794 | $ 74,281 |
Prepayment fees on advances, net | 0 | 18 |
Interest-bearing deposits | 3,208 | 335 |
Securities purchased under agreements to resell | 5,097 | 818 |
Federal funds sold | 12,288 | 7,697 |
Available-for-sale securities | 40,566 | 24,382 |
Held-to-maturity securities | 34,920 | 25,463 |
Mortgage loans held for portfolio | 83,554 | 75,976 |
Other interest income, net | 12 | 585 |
Total interest income | 323,439 | 209,555 |
Interest Expense: | ||
Consolidated obligation discount notes | 70,358 | 25,496 |
Consolidated obligation bonds | 178,228 | 122,551 |
Deposits | 1,977 | 752 |
Mandatorily redeemable capital stock | 2,745 | 1,753 |
Total interest expense | 253,308 | 150,552 |
Net interest income | 70,131 | 59,003 |
Provision for (reversal of) credit losses | (104) | 151 |
Net interest income after provision for credit losses | 70,235 | 58,852 |
Other Income (Loss): | ||
Total other-than-temporary impairment losses | 0 | 0 |
Non-credit portion reclassified to (from) other comprehensive income, net | 0 | (82) |
Net other-than-temporary impairment losses, credit portion | 0 | (82) |
Net gains (losses) on derivatives and hedging activities | 5,932 | (4,375) |
Service fees | 225 | 218 |
Standby letters of credit fees | 98 | 188 |
Other, net | (68) | 386 |
Total other income (loss) | 6,187 | (3,665) |
Other Expenses: | ||
Compensation and benefits | 12,977 | 11,237 |
Other operating expenses | 6,418 | 5,711 |
Federal Housing Finance Agency | 920 | 826 |
Office of Finance | 1,191 | 1,309 |
Other | 891 | 770 |
Total other expenses | 22,397 | 19,853 |
Income before assessments | 54,025 | 35,334 |
Affordable Housing Program assessments | 5,677 | 3,709 |
Net income | $ 48,348 | $ 31,625 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 48,348 | $ 31,625 |
Other Comprehensive Income (Loss): | ||
Net change in unrealized gains on available-for-sale securities | 22,553 | 22,756 |
Net non-credit portion of other-than-temporary impairment losses on available-for-sale securities | 31 | 591 |
Net non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | (2) | 6 |
Pension benefits, net | 323 | 328 |
Total other comprehensive income | 22,905 | 23,681 |
Total comprehensive income | $ 71,253 | $ 55,306 |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | $ 2,945,506 | $ 2,436,196 |
Total comprehensive income | 71,253 | 55,306 |
Proceeds from issuance of capital stock | 23,179 | 61,503 |
Cash dividends on capital stock (4.25% and 6.75% respectively, annualized) | (31,014) | (15,564) |
Ending balance | $ 3,008,924 | $ 2,537,441 |
Capital Stock Class B Putable | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance (in shares) | 18,578 | 14,926 |
Beginning balance | $ 1,857,766 | $ 1,492,581 |
Proceeds from issuance of capital stock (in shares) | 231 | 615 |
Proceeds from issuance of capital stock | $ 23,179 | $ 61,503 |
Ending Balance (in shares) | 18,809 | 15,541 |
Ending balance | $ 1,880,945 | $ 1,554,084 |
Retained Earnings Total [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | 976,334 | 887,247 |
Total comprehensive income | 48,348 | 31,625 |
Cash dividends on capital stock (4.25% and 6.75% respectively, annualized) | (31,014) | (15,564) |
Ending balance | 993,668 | 903,308 |
Retained Earnings, Unrestricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | 792,783 | 734,982 |
Total comprehensive income | 38,678 | 25,300 |
Cash dividends on capital stock (4.25% and 6.75% respectively, annualized) | (31,014) | (15,564) |
Ending balance | 800,447 | 744,718 |
Retained Earnings, Restricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | 183,551 | 152,265 |
Total comprehensive income | 9,670 | 6,325 |
Cash dividends on capital stock (4.25% and 6.75% respectively, annualized) | 0 | 0 |
Ending balance | 193,221 | 158,590 |
Accumulated Other Comprehensive Income (Loss) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | 111,406 | 56,368 |
Total comprehensive income | 22,905 | 23,681 |
Ending balance | $ 134,311 | $ 80,049 |
Statements of Capital (Unaudit7
Statements of Capital (Unaudited) (Parenthetical) | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Statement of Stockholders' Equity [Abstract] | ||
Annualized dividend rate on capital stock | 6.75% | 4.25% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Operating Activities: | |||
Net income | $ 48,348 | $ 31,625 | |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Amortization and depreciation | 15,140 | 23,407 | |
Changes in net derivative and hedging activities | 95,082 | 5,136 | |
Net other-than-temporary impairment losses, credit portion | 0 | 82 | |
Provision for (reversal of) credit losses | (104) | 151 | |
Changes in: | |||
Accrued interest receivable | (2,128) | (3,373) | |
Other assets | 651 | (80) | |
Accrued interest payable | 5,063 | 3,717 | |
Other liabilities | 3,290 | (4,462) | |
Total adjustments, net | 116,994 | 24,578 | |
Net cash provided by operating activities | 165,342 | 56,203 | |
Net change in: | |||
Interest-bearing deposits | (228,149) | (54,925) | |
Securities purchased under agreements to resell | (67,740) | (518,691) | |
Federal funds sold | 532,000 | (130,000) | |
Available-for-sale securities: | |||
Proceeds from maturities | 12,781 | 213,828 | |
Purchases | (236,181) | (975,896) | |
Held-to-maturity securities: | |||
Proceeds from maturities | 163,884 | 245,375 | |
Purchases | (264,633) | (156,272) | |
Advances: | |||
Principal repayments | 85,397,827 | 47,667,609 | |
Disbursements to members | (84,411,165) | (49,261,521) | |
Mortgage loans held for portfolio: | |||
Principal collections | 279,197 | 281,627 | |
Purchases from members | (429,338) | (436,317) | |
Purchases of premises, software, and equipment | (1,413) | (1,180) | |
Loans to other Federal Home Loan Banks: | |||
Principal repayments | 300,000 | 0 | |
Disbursements | (300,000) | 0 | |
Net cash provided by (used in) investing activities | 747,070 | (3,126,363) | |
Financing Activities: | |||
Changes in deposits | (43,740) | 3,603 | |
Net payments on derivative contracts with financing elements | (2,324) | (7,267) | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 89,946,844 | 49,173,379 | |
Bonds | 4,364,745 | 6,935,723 | |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (90,751,935) | (47,578,774) | |
Bonds | (4,396,040) | (5,928,520) | |
Proceeds from issuance of capital stock | 23,179 | 61,503 | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (540) | (3,113) | |
Dividend payments on capital stock | (31,014) | (15,564) | |
Net cash provided by (used in) financing activities | (890,825) | 2,640,970 | |
Net increase (decrease) in cash and due from banks | 21,587 | (429,190) | |
Cash and due from banks at beginning of period | 55,269 | 546,612 | |
Cash and due from banks at end of period | 76,856 | 117,422 | |
Supplemental Disclosures: | |||
Interest payments | 239,477 | 143,059 | |
Purchases of securities, traded but not yet settled | 0 | 217,647 | |
Affordable Housing Program payments | [1] | 2,757 | 3,104 |
Capitalized interest on certain held-to-maturity securities | $ 1,620 | $ 219 | |
[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, 2018 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 1 - Summary of Significant Accounting Policies We use acronyms and terms throughout these notes to financial statements that are defined herein or 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. Certain disclosures that would have substantially duplicated the disclosures in the financial statements, and notes thereto, included in our 2017 Form 10-K have been omitted unless the information contained in those disclosures materially changed. Therefore, these interim financial statements should be read in conjunction with our audited financial statements, and notes thereto, included in our 2017 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 2017 Form 10-K in Note 1 - Summary of Significant Accounting Policies . There have been no significant changes to these policies through March 31, 2018 . However, see Note 2 - Recently Adopted and Issued Accounting Guidance . 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 pertain to derivatives and hedging activities, fair value, 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 total assets, total liabilities, total capital, net income, total comprehensive income, or net cash flows. |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Changes and Error Corrections [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance Recently Adopted Accounting Guidance. Revenue from Contracts with Customers (ASU 2014-09). On May 28, 2014, the FASB issued guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for recognizing revenue arising from contracts with customers and supersedes most current revenue recognition guidance, including industry specific guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of nonfinancial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, or lease contracts. The guidance, which included subsequent amendments, was effective for interim and annual periods beginning on January 1, 2018. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows. Recognition and Measurement of Financial Assets and Financial Liabilities (ASU 2016-01). On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. The guidance was effective for the interim and annual periods beginning on January 1, 2018. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows. Classification of Certain Cash Receipts and Cash Payments (ASU 2016-15). On August 26, 2016, the FASB issued amendments intended to reduce diversity in practice in how cash receipts and cash payments are presented and classified on the statement of cash flows for certain transactions. These amendments were adopted on a retrospective basis effective beginning on January 1, 2018. As a result, the amount of interest payments as reported in the supplemental disclosures increased by $22,290 for the three months ended March 31, 2017 . The adoption of these amendments had no effect on our financial condition, results of operations or cash flows. Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost (ASU 2017-07). 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 pension and 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. These amendments were effective for interim and annual periods beginning on January 1, 2018. The adoption of these amendments had no effect on our financial condition, results of operations, or cash flows. However, the amendments were applied retrospectively for the presentation of the service cost component and the other components of net periodic pension cost on the income statement, which resulted in a reclassification from compensation and benefits to other expenses for the non-service components of $527 for the three months ended March 31, 2017 . |
Available-for-Sale Securities
Available-for-Sale Securities | 3 Months Ended |
Mar. 31, 2018 | |
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, 2018 Cost (1) OTTI Gains Losses Fair Value GSE and TVA debentures $ 4,276,983 $ — $ 61,621 $ — $ 4,338,604 GSE MBS 2,623,635 — 53,961 (510 ) 2,677,086 Private-label RMBS 177,869 (40 ) 29,393 — 207,222 Total AFS securities $ 7,078,487 $ (40 ) $ 144,975 $ (510 ) $ 7,222,912 December 31, 2017 GSE and TVA debentures $ 4,357,250 $ — $ 46,679 $ — $ 4,403,929 GSE MBS 2,460,455 — 45,840 — 2,506,295 Private-label RMBS 189,212 (68 ) 29,390 — 218,534 Total AFS securities $ 7,006,917 $ (68 ) $ 121,909 $ — $ 7,128,758 (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, 2018 Fair Value Losses Fair Value Losses Fair Value Losses GSE MBS $ 171,853 $ (510 ) $ — $ — $ 171,853 $ (510 ) Private-label RMBS — — 2,312 (40 ) 2,312 (40 ) Total impaired AFS securities $ 171,853 $ (510 ) $ 2,312 $ (40 ) $ 174,165 $ (550 ) December 31, 2017 GSE MBS $ — $ — $ — $ — $ — $ — Private-label RMBS — — 2,494 (68 ) 2,494 (68 ) Total impaired AFS securities $ — $ — $ 2,494 $ (68 ) $ 2,494 $ (68 ) Contractual Maturity. The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. March 31, 2018 December 31, 2017 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 83,170 $ 83,234 $ 83,666 $ 83,754 Due after 1 year through 5 years 2,338,592 2,363,113 2,317,516 2,336,699 Due after 5 years through 10 years 1,672,152 1,705,086 1,766,440 1,791,829 Due after 10 years 183,069 187,171 189,628 191,647 Total non-MBS 4,276,983 4,338,604 4,357,250 4,403,929 Total MBS 2,801,504 2,884,308 2,649,667 2,724,829 Total AFS securities $ 7,078,487 $ 7,222,912 $ 7,006,917 $ 7,128,758 Realized Gains and Losses. There were no sales of AFS securities during the three months ended March 31, 2018 . As of March 31, 2018 , 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, 2018 | |
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, 2018 Cost (1) OTTI Value Gains Losses Fair Value MBS and ABS: Other U.S. obligations -guaranteed MBS $ 3,363,064 $ — $ 3,363,064 $ 13,075 $ (1,213 ) $ 3,374,926 GSE MBS 2,593,516 — 2,593,516 16,259 (15,832 ) 2,593,943 Private-label RMBS 35,499 — 35,499 251 (451 ) 35,299 Private-label ABS 7,138 (53 ) 7,085 75 (347 ) 6,813 Total HTM securities $ 5,999,217 $ (53 ) $ 5,999,164 $ 29,660 $ (17,843 ) $ 6,010,981 December 31, 2017 MBS and ABS: Other U.S. obligations -guaranteed MBS $ 3,299,157 $ — $ 3,299,157 $ 6,555 $ (6,690 ) $ 3,299,022 GSE MBS 2,553,193 — 2,553,193 26,727 (4,529 ) 2,575,391 Private-label RMBS 37,889 — 37,889 240 (307 ) 37,822 Private-label ABS 7,480 (51 ) 7,429 40 (405 ) 7,064 Total HTM securities $ 5,897,719 $ (51 ) $ 5,897,668 $ 33,562 $ (11,931 ) $ 5,919,299 (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, 2018 Fair Value Losses Fair Value Losses Fair Value Losses MBS and ABS: Other U.S. obligations - guaranteed MBS $ 775,364 $ (865 ) $ 406,502 $ (348 ) $ 1,181,866 $ (1,213 ) GSE MBS 965,195 (10,439 ) 193,403 (5,393 ) 1,158,598 (15,832 ) Private-label RMBS 13,618 (95 ) 10,869 (356 ) 24,487 (451 ) Private-label ABS — — 6,358 (347 ) 6,358 (347 ) Total impaired HTM securities $ 1,754,177 $ (11,399 ) $ 617,132 $ (6,444 ) $ 2,371,309 $ (17,843 ) December 31, 2017 MBS and ABS: Other U.S. obligations - guaranteed MBS $ 1,140,624 $ (3,274 ) $ 886,359 $ (3,416 ) $ 2,026,983 $ (6,690 ) GSE MBS 513,244 (2,191 ) 203,401 (2,338 ) 716,645 (4,529 ) Private-label RMBS 14,712 (26 ) 11,369 (281 ) 26,081 (307 ) Private-label ABS (1) — — 7,064 (416 ) 7,064 (416 ) Total impaired HTM securities $ 1,668,580 $ (5,491 ) $ 1,108,193 $ (6,451 ) $ 2,776,773 $ (11,942 ) (1) For private-label ABS, at December 31, 2017 , the total of unrealized losses does not agree to total gross unrecognized holding losses of $405 . Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $51 and gross unrecognized holding gains on previously OTTI securities of $40 . |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 3 Months Ended |
Mar. 31, 2018 | |
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 our individual AFS and HTM investment securities for OTTI, as disclosed in Note 1 - Summary of Significant Accounting Policies in our 2017 Form 10-K. Significant Inputs. The FHLBanks developed a short-term housing price forecast with projected changes ranging from a decrease of 7.0% to an increase of 12.0% over a twelve-month period. For the vast majority of markets, the changes range from an increase of 1.0% to an increase of 6.0% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. Results of OTTI Evaluation Process - Private-label RMBS and ABS. As part of our evaluation, we did not have any change in intent to sell, nor were we required to sell, any OTTI security during the three months ended March 31, 2018 . Therefore, 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 cash flow analysis, OTTI credit losses were recognized accordingly. 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, 2018 are considered temporary. |
Advances
Advances | 3 Months Ended |
Mar. 31, 2018 | |
Advances [Abstract] | |
Advances | Note 6 - Advances The following table presents advances outstanding by year of contractual maturity. March 31, 2018 December 31, 2017 Year of Contractual Maturity Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ — — $ — — Due in 1 year or less 16,038,030 1.76 16,935,411 1.46 Due after 1 year through 2 years 2,911,710 1.95 2,701,784 1.96 Due after 2 years through 3 years 2,469,124 1.88 2,682,073 1.69 Due after 3 years through 4 years 1,822,509 2.03 2,172,549 1.78 Due after 4 years through 5 years 2,638,907 2.22 2,213,319 1.93 Thereafter 7,302,527 1.92 7,464,333 1.66 Total advances, par value 33,182,807 1.87 34,169,469 1.61 Fair-value hedging adjustments (228,114 ) (126,137 ) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 10,018 11,732 Total advances $ 32,964,711 $ 34,055,064 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, Overdrawn demand and overnight deposit accounts $ — $ — $ — $ — Due in 1 year or less 23,719,041 25,067,272 16,135,030 17,032,411 Due after 1 year through 2 years 2,352,710 2,412,184 3,185,310 2,701,784 Due after 2 years through 3 years 1,816,824 1,716,873 3,161,124 3,406,673 Due after 3 years through 4 years 1,035,709 928,649 1,982,909 2,718,049 Due after 4 years through 5 years 1,565,317 1,494,529 3,273,132 2,524,619 Thereafter 2,693,206 2,549,962 5,445,302 5,785,933 Total advances, par value $ 33,182,807 $ 34,169,469 $ 33,182,807 $ 34,169,469 Credit Risk Exposure and Security Terms. At March 31, 2018 and December 31, 2017 , our top five borrowers held 43% and 45% , respectively, of total advances outstanding, at par. As security for the advances to these and our other borrowers, we held, or had access to, collateral with an estimated fair value at March 31, 2018 and December 31, 2017 that was well in excess of the advances outstanding on those dates, respectively. For information related to credit risk on advances and allowance methodology for credit losses, see Note 9 - Allowance for Credit Losses in our 2017 Form 10-K. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 3 Months Ended |
Mar. 31, 2018 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | Note 7 - Mortgage Loans Held for Portfolio The following tables present information on mortgage loans held for portfolio by term and type. Term March 31, 2018 December 31, 2017 Fixed-rate long-term mortgages $ 9,162,982 $ 8,989,545 Fixed-rate medium-term (1) mortgages 1,101,850 1,134,303 Total mortgage loans held for portfolio, UPB 10,264,832 10,123,848 Unamortized premiums 234,638 234,519 Unamortized discounts (2,523 ) (2,426 ) Fair-value hedging adjustments (272 ) 1,250 Allowance for loan losses (850 ) (850 ) Total mortgage loans held for portfolio, net $ 10,495,825 $ 10,356,341 (1) Defined as a term of 15 years or less at origination. Type March 31, 2018 December 31, 2017 Conventional $ 9,858,431 $ 9,701,600 Government-guaranteed or -insured 406,401 422,248 Total mortgage loans held for portfolio, UPB $ 10,264,832 $ 10,123,848 For information related to our credit risk on mortgage loans and allowance methodology for loan losses, see Note 8 - Allowance for Credit Losses . |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2018 | |
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 2017 Form 10-K. Conventional Mortgage Loans. Conventional MPP. The following table presents the activity in the LRA, which is reported in other liabilities. Three Months Ended March 31, LRA Activity 2018 2017 Liability, beginning of period $ 148,715 $ 125,683 Additions 5,146 5,231 Claims paid (170 ) (102 ) Distributions to PFIs (417 ) (84 ) Liability, end of period $ 153,274 $ 130,728 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, 2018 Conventional Government Total Past due: 30-59 days $ 53,679 $ 11,418 $ 65,097 60-89 days 7,790 2,225 10,015 90 days or more 19,749 1,469 21,218 Total past due 81,218 15,112 96,330 Total current 10,046,821 398,155 10,444,976 Total mortgage loans, recorded investment (1) $ 10,128,039 $ 413,267 $ 10,541,306 Delinquency Status as of December 31, 2017 Past due: 30-59 days $ 63,670 $ 11,848 $ 75,518 60-89 days 9,944 2,121 12,065 90 days or more 19,576 2,555 22,131 Total past due 93,190 16,524 109,714 Total current 9,878,030 412,869 10,290,899 Total mortgage loans, recorded investment (1) $ 9,971,220 $ 429,393 $ 10,400,613 Other Delinquency Statistics as of March 31, 2018 Conventional Government Total In process of foreclosure (2) $ 12,243 $ — $ 12,243 Serious delinquency rate (3) 0.19 % 0.36 % 0.20 % Past due 90 days or more still accruing interest (4) $ 17,769 $ 1,470 $ 19,239 On non-accrual status $ 2,856 $ — $ 2,856 Other Delinquency Statistics as of December 31, 2017 In process of foreclosure (2) $ 11,081 $ — $ 11,081 Serious delinquency rate (3) 0.20 % 0.59 % 0.21 % Past due 90 days or more still accruing interest (4) $ 16,603 $ 2,555 $ 19,158 On non-accrual status $ 3,464 $ — $ 3,464 (1) The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any deferred loan fees or costs, unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct charge-offs. The recorded investment is not net of any valuation allowance. (2) 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. (3) 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. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. (4) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status. Allowance for Loan Losses on Mortgage Loans. The following table presents the components of the allowance for loan losses, including the credit enhancement waterfall for MPP. Components of Allowance March 31, 2018 December 31, 2017 MPP estimated incurred losses remaining after borrower's equity, before credit enhancements (1) $ 4,428 $ 5,360 Portion of estimated incurred losses recoverable from credit enhancements: PMI (812 ) (995 ) LRA (2) (1,282 ) (1,262 ) SMI (1,614 ) (2,383 ) Total portion recoverable from credit enhancements (3,708 ) (4,640 ) Allowance for unrecoverable PMI/SMI 30 30 Allowance for MPP loan losses 750 750 Allowance for MPF Program loan losses 100 100 Allowance for loan losses $ 850 $ 850 (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 total LRA balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs. 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 2018 2017 Balance, beginning of period $ 850 $ 850 Charge-offs (150 ) (235 ) Recoveries 254 84 Provision for (reversal of) loan losses (104 ) 151 Balance, end of period $ 850 $ 850 Allowance for Loan Losses by Impairment Methodology March 31, 2018 December 31, 2017 Conventional loans collectively evaluated for impairment $ 724 $ 652 Conventional loans individually evaluated for impairment (1) 126 198 Total allowance for loan losses $ 850 $ 850 Recorded Investment by Impairment Methodology March 31, 2018 December 31, 2017 Conventional loans collectively evaluated for impairment $ 10,112,860 $ 9,956,689 Conventional loans individually evaluated for impairment (1) 15,179 14,531 Total recorded investment in conventional loans $ 10,128,039 $ 9,971,220 (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, 2018 and December 31, 2017 of $1,233 and $2,498 , 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, 2018 and December 31, 2017 includes $79 and $144 , respectively, for these potential claims. |
Derivative and Hedging Activiti
Derivative and Hedging Activities | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities | Note 9 - Derivatives and 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. Uncleared Derivatives. For certain of 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, 2018 was $839 , for which we were not required to post collateral. In addition, we held other derivative instruments in a net liability position of $314 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 would not have been required to deliver additional collateral to our uncleared derivative counterparties at March 31, 2018 . Cleared Derivatives. For cleared derivatives, the clearinghouse is our counterparty. We use LCH and CME as clearinghouses for all cleared derivative transactions. 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. 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 were characterized as cash collateral until January 16, 2018, when LCH changed the characterization of variation margin payments to be daily settled contracts, consistent with CME. Initial margin continues to be considered by both clearinghouses as cash collateral. Financial Statement Effect and Additional Financial Information. Derivative Notional Amounts. We record derivative instruments, related cash collateral 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, 2018 Derivatives Assets (1) Liabilities (1) Derivatives designated as hedging instruments: Interest-rate swaps $ 32,875,334 $ 234,875 $ 76,168 Total derivatives designated as hedging instruments 32,875,334 234,875 76,168 Derivatives not designated as hedging instruments: Interest-rate swaps 2,393,673 1,133 307 Swaptions 300,000 30 — Interest-rate caps/floors 149,500 141 — Interest-rate forwards 89,800 — 291 MDCs 82,090 138 23 Total derivatives not designated as hedging instruments 3,015,063 1,442 621 Total derivatives before adjustments $ 35,890,397 236,317 76,789 Netting adjustments and cash collateral (2) (96,039 ) (74,393 ) Total derivatives, net $ 140,278 $ 2,396 December 31, 2017 Derivatives designated as hedging instruments: Interest-rate swaps $ 31,084,068 $ 247,924 $ 50,445 Total derivatives designated as hedging instruments 31,084,068 247,924 50,445 Derivatives not designated as hedging instruments: Interest-rate swaps 1,026,778 1,174 734 Swaptions — — — Interest-rate caps/floors 245,500 92 — Interest-rate forwards 72,800 37 1 MDCs 70,831 73 48 Total derivatives not designated as hedging instruments 1,415,909 1,376 783 Total derivatives before adjustments $ 32,499,977 249,300 51,228 Netting adjustments and cash collateral (2) (121,094 ) (48,510 ) Total derivatives, net $ 128,206 $ 2,718 (1) To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017 . Previously, this amount was included with netting adjustments and cash collateral. (2) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2018 and December 31, 2017 totaled $131,214 and $16,437 , respectively. Cash collateral received from counterparties at March 31, 2018 and December 31, 2017 totaled $152,860 and $89,021 , respectively. 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. March 31, 2018 December 31, 2017 Derivative Assets Derivative Liabilities Derivative Assets (1) Derivative Liabilities (1) Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 231,617 $ 72,970 $ 118,932 $ 27,491 Cleared 4,562 3,505 130,258 23,688 Total gross recognized amount 236,179 76,475 249,190 51,179 Gross amounts of netting adjustments and cash collateral Uncleared (222,097 ) (70,888 ) (113,842 ) (24,822 ) Cleared 126,058 (3,505 ) (7,252 ) (23,688 ) Total gross amounts of netting adjustments and cash collateral (96,039 ) (74,393 ) (121,094 ) (48,510 ) Net amounts after netting adjustments and cash collateral Uncleared 9,520 2,082 5,090 2,669 Cleared 130,620 — 123,006 — Total net amounts after netting adjustments and cash collateral 140,140 2,082 128,096 2,669 Derivative instruments not meeting netting requirements (2) 138 314 110 49 Total derivatives, at estimated fair value $ 140,278 $ 2,396 $ 128,206 $ 2,718 (1) To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments within the gross recognized amount as of December 31, 2017 . Previously, this amount was included with the gross amounts of netting adjustments and cash collateral. (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 2018 2017 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ 7,324 $ (3,974 ) Total net gain (loss) related to fair-value hedge ineffectiveness 7,324 (3,974 ) Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 172 (22 ) Swaptions (58 ) (139 ) Interest-rate caps/floors 48 46 Interest-rate forwards 1,248 (168 ) Net interest settlements (638 ) (147 ) MDCs (1,370 ) 79 Total net gain (loss) on derivatives not designated as hedging instruments (598 ) (351 ) Other (1) (794 ) (50 ) Net gains (losses) on derivatives and hedging activities $ 5,932 $ (4,375 ) (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, 2018 Derivative Item Ineffectiveness Income (1) Advances $ 103,608 $ (100,748 ) $ 2,860 $ 1,339 AFS securities 154,327 (150,582 ) 3,745 (3,310 ) CO bonds (84,515 ) 85,234 719 1,264 Total $ 173,420 $ (166,096 ) $ 7,324 $ (707 ) Three Months Ended March 31, 2017 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 ) (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
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2018 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 10 - Consolidated Obligations In addition to being the primary obligor for all consolidated obligations 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 was $1.0 trillion at March 31, 2018 and December 31, 2017 . As provided by the Bank Act and Finance Agency regulations, consolidated obligations are backed only by the financial resources of all FHLBanks. Discount Notes. The following table presents our discount notes outstanding, all of which are due within one year of issuance. Discount Notes March 31, 2018 December 31, 2017 Book value $ 19,556,171 $ 20,358,157 Par value $ 19,595,701 $ 20,394,192 Weighted average effective interest rate 1.56 % 1.22 % CO Bonds. The following table presents our CO bonds outstanding by contractual maturity. March 31, 2018 December 31, 2017 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 14,506,920 1.55 $ 14,021,190 1.27 Due after 1 year through 2 years 8,320,340 1.86 9,392,470 1.46 Due after 2 years through 3 years 5,306,520 2.15 4,849,960 2.23 Due after 3 years through 4 years 1,212,870 2.05 1,294,470 2.17 Due after 4 years through 5 years 2,882,150 2.31 2,798,000 2.29 Thereafter 5,724,000 3.06 5,626,500 3.02 Total CO bonds, par value 37,952,800 2.00 37,982,590 1.80 Unamortized premiums 26,127 27,333 Unamortized discounts (14,758 ) (13,782 ) Unamortized concessions (14,481 ) (14,188 ) Fair-value hedging adjustments (170,833 ) (86,300 ) Total CO bonds $ 37,778,855 $ 37,895,653 The following tables present our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Redemption Feature March 31, 2018 December 31, 2017 Non-callable / non-putable $ 25,660,800 $ 26,277,590 Callable 12,292,000 11,705,000 Total CO bonds, par value $ 37,952,800 $ 37,982,590 Year of Contractual Maturity or Next Call Date March 31, 2018 December 31, 2017 Due in 1 year or less $ 25,657,920 $ 24,449,190 Due after 1 year through 2 years 8,220,340 9,098,470 Due after 2 years through 3 years 1,870,520 2,125,960 Due after 3 years through 4 years 453,870 584,470 Due after 4 years through 5 years 582,150 579,000 Thereafter 1,168,000 1,145,500 Total CO bonds, par value $ 37,952,800 $ 37,982,590 |
Affordable Housing Program
Affordable Housing Program | 3 Months Ended |
Mar. 31, 2018 | |
Affordable Housing Program (AHP) [Abstract] | |
Affordable Housing Program | Note 11 - Affordable Housing Program The following table summarizes the activity in our AHP funding obligation. Three Months Ended March 31, AHP Activity 2018 2017 Liability at beginning of period $ 32,166 $ 26,598 Assessment (expense) 5,677 3,709 Subsidy usage, net (1) (2,757 ) (3,104 ) Liability at end of period $ 35,086 $ 27,203 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. We made no AHP-related advances during the three months ended March 31, 2018 or 2017 and had no outstanding principal on AHP-related advances at March 31, 2018 or December 31, 2017 . |
Capital
Capital | 3 Months Ended |
Mar. 31, 2018 | |
Capital [Abstract] | |
Capital | Note 12 - Capital Stock Redemption and Repurchase. Through March 31, 2018 and December 31, 2017 , certain members had requested redemptions of their Class B stock, but the related stock totaling $5,144 at March 31, 2018 and December 31, 2017 was not considered mandatorily redeemable and reclassified to MRCS because the requesting members may revoke their requests, without substantial penalty, throughout the five -year waiting period. Therefore, these requests are not considered sufficiently substantive in nature. However, we consider redemption requests related to mergers, acquisitions or charter terminations, as well as involuntary terminations from membership, to be sufficiently substantive when made and, therefore, the related stock is considered mandatorily redeemable and reclassified to MRCS. Mandatorily Redeemable Capital Stock. The following table presents the activity in our MRCS. Three Months Ended March 31, MRCS Activity 2018 2017 Liability at beginning of period $ 164,322 $ 170,043 Redemptions/repurchases (540 ) (3,113 ) Liability at end of period $ 163,782 $ 166,930 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. All of their outstanding Class B stock, totaling $3,021 at December 31, 2016, was repurchased on or before February 19, 2017. The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the five -year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement. MRCS Contractual Year of Redemption March 31, 2018 December 31, 2017 Year 1 (1) $ 7,423 $ 7,963 Year 2 13 13 Year 3 — — Year 4 4,158 4,158 Year 5 — — Thereafter (2) 152,188 152,188 Total MRCS $ 163,782 $ 164,322 (1) Balances at March 31, 2018 and December 31, 2017 include $2,368 and $2,909 , 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 Class B stock held by certain captive insurance companies which begins immediately upon their termination of memberships no later than February 19, 2021, in accordance with the Final Membership Rule. The following table presents the distributions related to MRCS. Three Months Ended March 31, MRCS Distributions 2018 2017 Recorded as interest expense $ 2,745 $ 1,753 Recorded as distributions from retained earnings — — Total $ 2,745 $ 1,753 Capital Requirements. We are subject to three capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 15 - Capital in our 2017 Form 10-K. As presented in the following table, we were in compliance with those requirements at March 31, 2018 and December 31, 2017 . For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital. March 31, 2018 December 31, 2017 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 914,158 $ 3,038,395 $ 903,806 $ 2,998,422 Total regulatory capital-to-asset ratio 4.00 % 4.95 % 4.00 % 4.81 % Total regulatory capital $ 2,455,677 $ 3,038,395 $ 2,493,956 $ 2,998,422 Leverage ratio 5.00 % 7.42 % 5.00 % 7.21 % Leverage capital $ 3,069,596 $ 4,557,593 $ 3,117,445 $ 4,497,633 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 3 Months Ended |
Mar. 31, 2018 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Income (Loss) | 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, 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 Balance, December 31, 2017 $ 92,519 $ 29,322 $ (51 ) $ (10,384 ) $ 111,406 OCI before reclassifications: Net change in unrealized gains (losses) 22,553 3 — — 22,556 Net change in fair value — 28 — — 28 Accretion of non-credit losses — — (2 ) — (2 ) Reclassifications from OCI to net income: Non-credit portion of OTTI losses — — — — — Pension benefits, net — — — 323 323 Total other comprehensive income (loss) 22,553 31 (2 ) 323 22,905 Balance, March 31, 2018 $ 115,072 $ 29,353 $ (53 ) $ (10,061 ) $ 134,311 |
Segment Information
Segment Information | 3 Months Ended |
Mar. 31, 2018 | |
Segment Reporting [Abstract] | |
Segment Information | Note 14 - Segment Information The following table presents our financial performance by operating segment. Three Months Ended March 31, 2018 Three Months Ended March 31, 2017 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 52,324 $ 17,807 $ 70,131 $ 41,536 $ 17,467 $ 59,003 Provision for (reversal of) credit losses — (104 ) (104 ) — 151 151 Other income (loss) 6,342 (155 ) 6,187 (3,674 ) 9 (3,665 ) Other expenses 18,816 3,581 22,397 16,795 3,058 19,853 Income before assessments 39,850 14,175 54,025 21,067 14,267 35,334 Affordable Housing Program assessments 4,259 1,418 5,677 2,282 1,427 3,709 Net income $ 35,591 $ 12,757 $ 48,348 $ 18,785 $ 12,840 $ 31,625 The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total March 31, 2018 $ 50,896,103 $ 10,495,825 $ 61,391,928 December 31, 2017 51,992,565 10,356,341 62,348,906 |
Estimated Fair Values
Estimated Fair Values | 3 Months Ended |
Mar. 31, 2018 | |
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, 2018 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 76,856 $ 76,856 $ 76,856 $ — $ — $ — Interest-bearing deposits 888,396 888,396 888,072 324 — — Securities purchased under agreements to resell 2,673,200 2,673,203 — 2,673,203 — — Federal funds sold 748,000 748,000 — 748,000 — — AFS securities 7,222,912 7,222,912 — 7,015,690 207,222 — HTM securities 5,999,164 6,010,981 — 5,968,869 42,112 — Advances 32,964,711 32,908,838 — 32,908,838 — — Mortgage loans held for portfolio, net 10,495,825 10,352,793 — 10,339,821 12,972 — Accrued interest receivable 107,415 107,415 — 107,415 — — Derivative assets, net 140,278 140,278 — 236,317 — (96,039 ) Grantor trust assets (2) 21,853 21,853 21,853 — — — Liabilities: Deposits 457,336 457,336 — 457,336 — — Consolidated Obligations: Discount notes 19,556,171 19,595,701 — 19,595,701 — — Bonds 37,778,855 37,713,776 — 37,713,776 — — Accrued interest payable 140,637 140,637 — 140,637 — — Derivative liabilities, net 2,396 2,396 — 76,789 — (74,393 ) MRCS 163,782 163,782 163,782 — — — December 31, 2017 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 55,269 $ 55,269 $ 55,269 $ — $ — $ — Interest-bearing deposits 660,342 660,342 659,926 416 — — Securities purchased under agreements to resell 2,605,460 2,605,461 — 2,605,461 — — Federal funds sold 1,280,000 1,280,000 — 1,280,000 — — AFS securities 7,128,758 7,128,758 — 6,910,224 218,534 — HTM securities 5,897,668 5,919,299 — 5,874,413 44,886 — Advances 34,055,064 34,001,397 — 34,001,397 — — Mortgage loans held for portfolio, net 10,356,341 10,426,213 — 10,413,134 13,079 — Accrued interest receivable 105,314 105,314 — 105,314 — — Derivative assets, net 128,206 128,206 — 249,300 — (121,094 ) Grantor trust assets (2) 21,698 21,698 21,698 — — — Liabilities: Deposits 564,799 564,799 — 564,799 — — Consolidated Obligations: Discount notes 20,358,157 20,394,192 — 20,394,192 — — Bonds 37,895,653 37,998,928 — 37,998,928 — — Accrued interest payable 135,691 135,691 — 135,691 — — Derivative liabilities, net 2,718 2,718 — 51,228 — (48,510 ) MRCS 164,322 164,322 164,322 — — — (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. To conform with the current presentation, variation margin of $24,954 has been allocated to individual derivative instruments as of December 31, 2017 . Previously, this amount was included with netting adjustments. (2) Included in other assets. 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 2017 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, 2018 Total Level 1 Level 2 Level 3 Adjustments (1) AFS securities: GSE and TVA debentures $ 4,338,604 $ — $ 4,338,604 $ — $ — GSE MBS 2,677,086 — 2,677,086 — — Private-label RMBS 207,222 — — 207,222 — Total AFS securities 7,222,912 — 7,015,690 207,222 — Derivative assets: Interest-rate related 140,140 — 236,179 — (96,039 ) MDCs 138 — 138 — — Total derivative assets, net 140,278 — 236,317 — (96,039 ) Grantor trust assets (2) 21,853 21,853 — — — Total assets at recurring estimated fair value $ 7,385,043 $ 21,853 $ 7,252,007 $ 207,222 $ (96,039 ) Derivative liabilities: Interest-rate related $ 2,082 $ — $ 76,475 $ — $ (74,393 ) Interest-rate forwards 291 — 291 — — MDCs 23 — 23 — — Total derivative liabilities, net 2,396 — 76,789 — (74,393 ) Total liabilities at recurring estimated fair value $ 2,396 $ — $ 76,789 $ — $ (74,393 ) Mortgage loans held for portfolio (3) $ 2,204 $ — $ — $ 2,204 $ — Total assets at non-recurring estimated fair value $ 2,204 $ — $ — $ 2,204 $ — December 31, 2017 AFS securities: GSE and TVA debentures $ 4,403,929 $ — $ 4,403,929 $ — $ — GSE MBS 2,506,295 — 2,506,295 — — Private-label RMBS 218,534 — — 218,534 — Total AFS securities 7,128,758 — 6,910,224 218,534 — Derivative assets: Interest-rate related 128,096 — 249,190 — (121,094 ) Interest-rate forwards 37 — 37 — — MDCs 73 — 73 — — Total derivative assets, net 128,206 — 249,300 — (121,094 ) Grantor trust assets (2) 21,698 21,698 — — — Total assets at recurring estimated fair value $ 7,278,662 $ 21,698 $ 7,159,524 $ 218,534 $ (121,094 ) Derivative liabilities: Interest-rate related $ 2,669 $ — $ 51,179 $ — $ (48,510 ) Interest-rate forwards 1 — 1 — — MDCs 48 — 48 — — Total derivative liabilities, net 2,718 — 51,228 — (48,510 ) Total liabilities at recurring estimated fair value $ 2,718 $ — $ 51,228 $ — $ (48,510 ) Mortgage loans held for portfolio (4) $ 2,637 $ — $ — $ 2,637 $ — Total assets at non-recurring estimated fair value $ 2,637 $ — $ — $ 2,637 $ — (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. To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017 . Previously, this amount was included with netting adjustments. (2) Included in other assets. (3) Amounts are as of the date the fair value adjustment was recorded during the three months ended March 31, 2018 . (4) Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2017 . 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 inputs used to determine the price were not readily observable. Three Months Ended March 31, Level 3 Rollforward - AFS private-label RMBS 2018 2017 Balance, beginning of period $ 218,534 $ 269,119 Total realized and unrealized gains (losses): Accretion of credit losses in interest income 1,438 1,871 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 28 (83 ) Unrealized gains (losses) in OCI 3 592 Reclassification of non-credit portion in OCI to other income (loss) — 82 Purchases, issuances, sales and settlements: Settlements (12,781 ) (13,828 ) Balance, end of period $ 207,222 $ 257,671 Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period $ 1,438 $ 1,789 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2018 | |
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, 2018 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 118,978 $ 116,218 $ 235,196 Unused lines of credit (1) 1,053,828 — 1,053,828 Commitments to fund additional advances (2) 21,550 — 21,550 Commitments to fund or purchase mortgage loans, net (3) 82,090 — 82,090 Unsettled CO bonds, at par 38,150 — 38,150 Unsettled discount notes, at par 669,132 — 669,132 (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, 2018 and December 31, 2017 , we had pledged cash collateral, at par, of $131,213 and $16,437 , respectively, to counterparties and clearing agents. At March 31, 2018 and December 31, 2017 , 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 . |
Related Party and Other Transac
Related Party and Other Transactions | 3 Months Ended |
Mar. 31, 2018 | |
Related Party Transactions [Abstract] | |
Related Party and Other Transactions | 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. March 31, 2018 December 31, 2017 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 37,832 2 % $ 40,564 2 % Advances 477,223 1 % 588,108 2 % The par values at March 31, 2018 reflect changes in the composition of directors' financial institutions effective January 1, 2018, due to changes in board membership resulting from the 2017 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 2018 2017 Net capital stock issuances (redemptions and repurchases) $ 846 $ 1,210 Net advances (repayments) (97,300 ) (12,249 ) Mortgage loan purchases 6,355 3,448 Transactions with Other FHLBanks. Occasionally, we loan (or borrow) short-term funds to (from) other FHLBanks. The following table presents the loans to other FHLBanks. Three Months Ended March 31, Loans to other FHLBanks 2018 2017 Disbursements $ (300,000 ) $ — Principal repayments 300,000 — There were no borrowings from other FHLBanks during the three months ended March 31, 2018 or 2017 . There were no loans to or borrowings from other FHLBanks outstanding at March 31, 2018 or December 31, 2017 . 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. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 18 - Subsequent Events Subsequent to March 31, 2018 , we made the decision to sell, and on May 2, 2018 executed a sale of, all of our private-label RMBS and ABS (par value of $250 million at sale). A net realized gain of approximately $32 million associated with the sale will be recorded in the second quarter of 2018. |
Summary of Significant Accoun27
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation | 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. |
Use of Estimates | 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 pertain to derivatives and hedging activities, fair value, 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 | Reclassifications. We have reclassified certain amounts from the prior period to conform to the current period presentation. These reclassifications had no effect on total assets, total liabilities, total capital, net income, total comprehensive income, or net cash flows. |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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, 2018 Cost (1) OTTI Gains Losses Fair Value GSE and TVA debentures $ 4,276,983 $ — $ 61,621 $ — $ 4,338,604 GSE MBS 2,623,635 — 53,961 (510 ) 2,677,086 Private-label RMBS 177,869 (40 ) 29,393 — 207,222 Total AFS securities $ 7,078,487 $ (40 ) $ 144,975 $ (510 ) $ 7,222,912 December 31, 2017 GSE and TVA debentures $ 4,357,250 $ — $ 46,679 $ — $ 4,403,929 GSE MBS 2,460,455 — 45,840 — 2,506,295 Private-label RMBS 189,212 (68 ) 29,390 — 218,534 Total AFS securities $ 7,006,917 $ (68 ) $ 121,909 $ — $ 7,128,758 (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. |
AFS 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, 2018 Fair Value Losses Fair Value Losses Fair Value Losses GSE MBS $ 171,853 $ (510 ) $ — $ — $ 171,853 $ (510 ) Private-label RMBS — — 2,312 (40 ) 2,312 (40 ) Total impaired AFS securities $ 171,853 $ (510 ) $ 2,312 $ (40 ) $ 174,165 $ (550 ) December 31, 2017 GSE MBS $ — $ — $ — $ — $ — $ — Private-label RMBS — — 2,494 (68 ) 2,494 (68 ) Total impaired AFS securities $ — $ — $ 2,494 $ (68 ) $ 2,494 $ (68 ) |
AFS Securities by Contractual Maturity | The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. March 31, 2018 December 31, 2017 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 83,170 $ 83,234 $ 83,666 $ 83,754 Due after 1 year through 5 years 2,338,592 2,363,113 2,317,516 2,336,699 Due after 5 years through 10 years 1,672,152 1,705,086 1,766,440 1,791,829 Due after 10 years 183,069 187,171 189,628 191,647 Total non-MBS 4,276,983 4,338,604 4,357,250 4,403,929 Total MBS 2,801,504 2,884,308 2,649,667 2,724,829 Total AFS securities $ 7,078,487 $ 7,222,912 $ 7,006,917 $ 7,128,758 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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, 2018 Cost (1) OTTI Value Gains Losses Fair Value MBS and ABS: Other U.S. obligations -guaranteed MBS $ 3,363,064 $ — $ 3,363,064 $ 13,075 $ (1,213 ) $ 3,374,926 GSE MBS 2,593,516 — 2,593,516 16,259 (15,832 ) 2,593,943 Private-label RMBS 35,499 — 35,499 251 (451 ) 35,299 Private-label ABS 7,138 (53 ) 7,085 75 (347 ) 6,813 Total HTM securities $ 5,999,217 $ (53 ) $ 5,999,164 $ 29,660 $ (17,843 ) $ 6,010,981 December 31, 2017 MBS and ABS: Other U.S. obligations -guaranteed MBS $ 3,299,157 $ — $ 3,299,157 $ 6,555 $ (6,690 ) $ 3,299,022 GSE MBS 2,553,193 — 2,553,193 26,727 (4,529 ) 2,575,391 Private-label RMBS 37,889 — 37,889 240 (307 ) 37,822 Private-label ABS 7,480 (51 ) 7,429 40 (405 ) 7,064 Total HTM securities $ 5,897,719 $ (51 ) $ 5,897,668 $ 33,562 $ (11,931 ) $ 5,919,299 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses). |
HTM Securities | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities in a Continuous Unrealized Loss Position | The following table presents impaired HTM securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized March 31, 2018 Fair Value Losses Fair Value Losses Fair Value Losses MBS and ABS: Other U.S. obligations - guaranteed MBS $ 775,364 $ (865 ) $ 406,502 $ (348 ) $ 1,181,866 $ (1,213 ) GSE MBS 965,195 (10,439 ) 193,403 (5,393 ) 1,158,598 (15,832 ) Private-label RMBS 13,618 (95 ) 10,869 (356 ) 24,487 (451 ) Private-label ABS — — 6,358 (347 ) 6,358 (347 ) Total impaired HTM securities $ 1,754,177 $ (11,399 ) $ 617,132 $ (6,444 ) $ 2,371,309 $ (17,843 ) December 31, 2017 MBS and ABS: Other U.S. obligations - guaranteed MBS $ 1,140,624 $ (3,274 ) $ 886,359 $ (3,416 ) $ 2,026,983 $ (6,690 ) GSE MBS 513,244 (2,191 ) 203,401 (2,338 ) 716,645 (4,529 ) Private-label RMBS 14,712 (26 ) 11,369 (281 ) 26,081 (307 ) Private-label ABS (1) — — 7,064 (416 ) 7,064 (416 ) Total impaired HTM securities $ 1,668,580 $ (5,491 ) $ 1,108,193 $ (6,451 ) $ 2,776,773 $ (11,942 ) (1) For private-label ABS, at December 31, 2017 , the total of unrealized losses does not agree to total gross unrecognized holding losses of $405 . Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $51 and gross unrecognized holding gains on previously OTTI securities of $40 |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | The following table presents advances outstanding by year of contractual maturity. March 31, 2018 December 31, 2017 Year of Contractual Maturity Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ — — $ — — Due in 1 year or less 16,038,030 1.76 16,935,411 1.46 Due after 1 year through 2 years 2,911,710 1.95 2,701,784 1.96 Due after 2 years through 3 years 2,469,124 1.88 2,682,073 1.69 Due after 3 years through 4 years 1,822,509 2.03 2,172,549 1.78 Due after 4 years through 5 years 2,638,907 2.22 2,213,319 1.93 Thereafter 7,302,527 1.92 7,464,333 1.66 Total advances, par value 33,182,807 1.87 34,169,469 1.61 Fair-value hedging adjustments (228,114 ) (126,137 ) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 10,018 11,732 Total advances $ 32,964,711 $ 34,055,064 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, Overdrawn demand and overnight deposit accounts $ — $ — $ — $ — Due in 1 year or less 23,719,041 25,067,272 16,135,030 17,032,411 Due after 1 year through 2 years 2,352,710 2,412,184 3,185,310 2,701,784 Due after 2 years through 3 years 1,816,824 1,716,873 3,161,124 3,406,673 Due after 3 years through 4 years 1,035,709 928,649 1,982,909 2,718,049 Due after 4 years through 5 years 1,565,317 1,494,529 3,273,132 2,524,619 Thereafter 2,693,206 2,549,962 5,445,302 5,785,933 Total advances, par value $ 33,182,807 $ 34,169,469 $ 33,182,807 $ 34,169,469 |
Mortgage Loans Held for Portf31
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | The following tables present information on mortgage loans held for portfolio by term and type. Term March 31, 2018 December 31, 2017 Fixed-rate long-term mortgages $ 9,162,982 $ 8,989,545 Fixed-rate medium-term (1) mortgages 1,101,850 1,134,303 Total mortgage loans held for portfolio, UPB 10,264,832 10,123,848 Unamortized premiums 234,638 234,519 Unamortized discounts (2,523 ) (2,426 ) Fair-value hedging adjustments (272 ) 1,250 Allowance for loan losses (850 ) (850 ) Total mortgage loans held for portfolio, net $ 10,495,825 $ 10,356,341 (1) Defined as a term of 15 years or less at origination. Type March 31, 2018 December 31, 2017 Conventional $ 9,858,431 $ 9,701,600 Government-guaranteed or -insured 406,401 422,248 Total mortgage loans held for portfolio, UPB $ 10,264,832 $ 10,123,848 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Allowance for Credit Losses [Abstract] | |
Changes in Lender Risk Account | The following table presents the activity in the LRA, which is reported in other liabilities. Three Months Ended March 31, LRA Activity 2018 2017 Liability, beginning of period $ 148,715 $ 125,683 Additions 5,146 5,231 Claims paid (170 ) (102 ) Distributions to PFIs (417 ) (84 ) Liability, end of period $ 153,274 $ 130,728 |
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, 2018 Conventional Government Total Past due: 30-59 days $ 53,679 $ 11,418 $ 65,097 60-89 days 7,790 2,225 10,015 90 days or more 19,749 1,469 21,218 Total past due 81,218 15,112 96,330 Total current 10,046,821 398,155 10,444,976 Total mortgage loans, recorded investment (1) $ 10,128,039 $ 413,267 $ 10,541,306 Delinquency Status as of December 31, 2017 Past due: 30-59 days $ 63,670 $ 11,848 $ 75,518 60-89 days 9,944 2,121 12,065 90 days or more 19,576 2,555 22,131 Total past due 93,190 16,524 109,714 Total current 9,878,030 412,869 10,290,899 Total mortgage loans, recorded investment (1) $ 9,971,220 $ 429,393 $ 10,400,613 Other Delinquency Statistics as of March 31, 2018 Conventional Government Total In process of foreclosure (2) $ 12,243 $ — $ 12,243 Serious delinquency rate (3) 0.19 % 0.36 % 0.20 % Past due 90 days or more still accruing interest (4) $ 17,769 $ 1,470 $ 19,239 On non-accrual status $ 2,856 $ — $ 2,856 Other Delinquency Statistics as of December 31, 2017 In process of foreclosure (2) $ 11,081 $ — $ 11,081 Serious delinquency rate (3) 0.20 % 0.59 % 0.21 % Past due 90 days or more still accruing interest (4) $ 16,603 $ 2,555 $ 19,158 On non-accrual status $ 3,464 $ — $ 3,464 (1) The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any deferred loan fees or costs, unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct charge-offs. The recorded investment is not net of any valuation allowance. (2) 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. (3) 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. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. (4) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status. |
Impact of MPP Risk Sharing Structure on Allowance for Credit Losses | The following table presents the components of the allowance for loan losses, including the credit enhancement waterfall for MPP. Components of Allowance March 31, 2018 December 31, 2017 MPP estimated incurred losses remaining after borrower's equity, before credit enhancements (1) $ 4,428 $ 5,360 Portion of estimated incurred losses recoverable from credit enhancements: PMI (812 ) (995 ) LRA (2) (1,282 ) (1,262 ) SMI (1,614 ) (2,383 ) Total portion recoverable from credit enhancements (3,708 ) (4,640 ) Allowance for unrecoverable PMI/SMI 30 30 Allowance for MPP loan losses 750 750 Allowance for MPF Program loan losses 100 100 Allowance for loan losses $ 850 $ 850 (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 total LRA balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs. |
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 2018 2017 Balance, beginning of period $ 850 $ 850 Charge-offs (150 ) (235 ) Recoveries 254 84 Provision for (reversal of) loan losses (104 ) 151 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, 2018 December 31, 2017 Conventional loans collectively evaluated for impairment $ 724 $ 652 Conventional loans individually evaluated for impairment (1) 126 198 Total allowance for loan losses $ 850 $ 850 Recorded Investment by Impairment Methodology March 31, 2018 December 31, 2017 Conventional loans collectively evaluated for impairment $ 10,112,860 $ 9,956,689 Conventional loans individually evaluated for impairment (1) 15,179 14,531 Total recorded investment in conventional loans $ 10,128,039 $ 9,971,220 (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, 2018 and December 31, 2017 of $1,233 and $2,498 , 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, 2018 and December 31, 2017 includes $79 and $144 , respectively, for these potential claims. |
Derivative and Hedging Activi33
Derivative and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Notional Amount and Estimated 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, 2018 Derivatives Assets (1) Liabilities (1) Derivatives designated as hedging instruments: Interest-rate swaps $ 32,875,334 $ 234,875 $ 76,168 Total derivatives designated as hedging instruments 32,875,334 234,875 76,168 Derivatives not designated as hedging instruments: Interest-rate swaps 2,393,673 1,133 307 Swaptions 300,000 30 — Interest-rate caps/floors 149,500 141 — Interest-rate forwards 89,800 — 291 MDCs 82,090 138 23 Total derivatives not designated as hedging instruments 3,015,063 1,442 621 Total derivatives before adjustments $ 35,890,397 236,317 76,789 Netting adjustments and cash collateral (2) (96,039 ) (74,393 ) Total derivatives, net $ 140,278 $ 2,396 December 31, 2017 Derivatives designated as hedging instruments: Interest-rate swaps $ 31,084,068 $ 247,924 $ 50,445 Total derivatives designated as hedging instruments 31,084,068 247,924 50,445 Derivatives not designated as hedging instruments: Interest-rate swaps 1,026,778 1,174 734 Swaptions — — — Interest-rate caps/floors 245,500 92 — Interest-rate forwards 72,800 37 1 MDCs 70,831 73 48 Total derivatives not designated as hedging instruments 1,415,909 1,376 783 Total derivatives before adjustments $ 32,499,977 249,300 51,228 Netting adjustments and cash collateral (2) (121,094 ) (48,510 ) Total derivatives, net $ 128,206 $ 2,718 (1) To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017 . Previously, this amount was included with netting adjustments and cash collateral. (2) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2018 and December 31, 2017 totaled $131,214 and $16,437 , respectively. Cash collateral received from counterparties at March 31, 2018 and December 31, 2017 totaled $152,860 and $89,021 , respectively. |
Offsetting of Derivative Assets and Derivative Liabilities | The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral received from or pledged to counterparties. March 31, 2018 December 31, 2017 Derivative Assets Derivative Liabilities Derivative Assets (1) Derivative Liabilities (1) Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 231,617 $ 72,970 $ 118,932 $ 27,491 Cleared 4,562 3,505 130,258 23,688 Total gross recognized amount 236,179 76,475 249,190 51,179 Gross amounts of netting adjustments and cash collateral Uncleared (222,097 ) (70,888 ) (113,842 ) (24,822 ) Cleared 126,058 (3,505 ) (7,252 ) (23,688 ) Total gross amounts of netting adjustments and cash collateral (96,039 ) (74,393 ) (121,094 ) (48,510 ) Net amounts after netting adjustments and cash collateral Uncleared 9,520 2,082 5,090 2,669 Cleared 130,620 — 123,006 — Total net amounts after netting adjustments and cash collateral 140,140 2,082 128,096 2,669 Derivative instruments not meeting netting requirements (2) 138 314 110 49 Total derivatives, at estimated fair value $ 140,278 $ 2,396 $ 128,206 $ 2,718 (1) To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments within the gross recognized amount as of December 31, 2017 . Previously, this amount was included with the gross amounts of netting adjustments and cash collateral. (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 2018 2017 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ 7,324 $ (3,974 ) Total net gain (loss) related to fair-value hedge ineffectiveness 7,324 (3,974 ) Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 172 (22 ) Swaptions (58 ) (139 ) Interest-rate caps/floors 48 46 Interest-rate forwards 1,248 (168 ) Net interest settlements (638 ) (147 ) MDCs (1,370 ) 79 Total net gain (loss) on derivatives not designated as hedging instruments (598 ) (351 ) Other (1) (794 ) (50 ) Net gains (losses) on derivatives and hedging activities $ 5,932 $ (4,375 ) (1) Consists of price alignment amounts on derivatives for which variation margin payments are characterized as daily settled contracts. |
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, 2018 Derivative Item Ineffectiveness Income (1) Advances $ 103,608 $ (100,748 ) $ 2,860 $ 1,339 AFS securities 154,327 (150,582 ) 3,745 (3,310 ) CO bonds (84,515 ) 85,234 719 1,264 Total $ 173,420 $ (166,096 ) $ 7,324 $ (707 ) Three Months Ended March 31, 2017 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 ) (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, 2018 | |
Debt Disclosure [Abstract] | |
Discount Notes | The following table presents our discount notes outstanding, all of which are due within one year of issuance. Discount Notes March 31, 2018 December 31, 2017 Book value $ 19,556,171 $ 20,358,157 Par value $ 19,595,701 $ 20,394,192 Weighted average effective interest rate 1.56 % 1.22 % |
CO Bonds by Year of Contractual Maturity | The following table presents our CO bonds outstanding by contractual maturity. March 31, 2018 December 31, 2017 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 14,506,920 1.55 $ 14,021,190 1.27 Due after 1 year through 2 years 8,320,340 1.86 9,392,470 1.46 Due after 2 years through 3 years 5,306,520 2.15 4,849,960 2.23 Due after 3 years through 4 years 1,212,870 2.05 1,294,470 2.17 Due after 4 years through 5 years 2,882,150 2.31 2,798,000 2.29 Thereafter 5,724,000 3.06 5,626,500 3.02 Total CO bonds, par value 37,952,800 2.00 37,982,590 1.80 Unamortized premiums 26,127 27,333 Unamortized discounts (14,758 ) (13,782 ) Unamortized concessions (14,481 ) (14,188 ) Fair-value hedging adjustments (170,833 ) (86,300 ) Total CO bonds $ 37,778,855 $ 37,895,653 |
CO Bonds by Redemption Feature | The following tables present our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Redemption Feature March 31, 2018 December 31, 2017 Non-callable / non-putable $ 25,660,800 $ 26,277,590 Callable 12,292,000 11,705,000 Total CO bonds, par value $ 37,952,800 $ 37,982,590 |
CO Bonds by Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Call Date March 31, 2018 December 31, 2017 Due in 1 year or less $ 25,657,920 $ 24,449,190 Due after 1 year through 2 years 8,220,340 9,098,470 Due after 2 years through 3 years 1,870,520 2,125,960 Due after 3 years through 4 years 453,870 584,470 Due after 4 years through 5 years 582,150 579,000 Thereafter 1,168,000 1,145,500 Total CO bonds, par value $ 37,952,800 $ 37,982,590 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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 2018 2017 Liability at beginning of period $ 32,166 $ 26,598 Assessment (expense) 5,677 3,709 Subsidy usage, net (1) (2,757 ) (3,104 ) Liability at end of period $ 35,086 $ 27,203 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Capital [Abstract] | |
MRCS Activity | The following table presents the activity in our MRCS. Three Months Ended March 31, MRCS Activity 2018 2017 Liability at beginning of period $ 164,322 $ 170,043 Redemptions/repurchases (540 ) (3,113 ) Liability at end of period $ 163,782 $ 166,930 |
Mandatorily Redeemable Capital Stock | The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the five -year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement. MRCS Contractual Year of Redemption March 31, 2018 December 31, 2017 Year 1 (1) $ 7,423 $ 7,963 Year 2 13 13 Year 3 — — Year 4 4,158 4,158 Year 5 — — Thereafter (2) 152,188 152,188 Total MRCS $ 163,782 $ 164,322 (1) Balances at March 31, 2018 and December 31, 2017 include $2,368 and $2,909 , 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 Class B stock held by certain captive insurance companies which begins immediately upon 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 | The following table presents the distributions related to MRCS. Three Months Ended March 31, MRCS Distributions 2018 2017 Recorded as interest expense $ 2,745 $ 1,753 Recorded as distributions from retained earnings — — Total $ 2,745 $ 1,753 |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As presented in the following table, we were in compliance with those requirements at March 31, 2018 and December 31, 2017 . For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital. March 31, 2018 December 31, 2017 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 914,158 $ 3,038,395 $ 903,806 $ 2,998,422 Total regulatory capital-to-asset ratio 4.00 % 4.95 % 4.00 % 4.81 % Total regulatory capital $ 2,455,677 $ 3,038,395 $ 2,493,956 $ 2,998,422 Leverage ratio 5.00 % 7.42 % 5.00 % 7.21 % Leverage capital $ 3,069,596 $ 4,557,593 $ 3,117,445 $ 4,497,633 |
Accumulated Other Comprehensi37
Accumulated Other Comprehensive Income (Loss) (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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, 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 Balance, December 31, 2017 $ 92,519 $ 29,322 $ (51 ) $ (10,384 ) $ 111,406 OCI before reclassifications: Net change in unrealized gains (losses) 22,553 3 — — 22,556 Net change in fair value — 28 — — 28 Accretion of non-credit losses — — (2 ) — (2 ) Reclassifications from OCI to net income: Non-credit portion of OTTI losses — — — — — Pension benefits, net — — — 323 323 Total other comprehensive income (loss) 22,553 31 (2 ) 323 22,905 Balance, March 31, 2018 $ 115,072 $ 29,353 $ (53 ) $ (10,061 ) $ 134,311 |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Three Months Ended March 31, 2018 Three Months Ended March 31, 2017 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 52,324 $ 17,807 $ 70,131 $ 41,536 $ 17,467 $ 59,003 Provision for (reversal of) credit losses — (104 ) (104 ) — 151 151 Other income (loss) 6,342 (155 ) 6,187 (3,674 ) 9 (3,665 ) Other expenses 18,816 3,581 22,397 16,795 3,058 19,853 Income before assessments 39,850 14,175 54,025 21,067 14,267 35,334 Affordable Housing Program assessments 4,259 1,418 5,677 2,282 1,427 3,709 Net income $ 35,591 $ 12,757 $ 48,348 $ 18,785 $ 12,840 $ 31,625 |
Schedule of Segment Assets by Segment | The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total March 31, 2018 $ 50,896,103 $ 10,495,825 $ 61,391,928 December 31, 2017 51,992,565 10,356,341 62,348,906 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
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, 2018 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 76,856 $ 76,856 $ 76,856 $ — $ — $ — Interest-bearing deposits 888,396 888,396 888,072 324 — — Securities purchased under agreements to resell 2,673,200 2,673,203 — 2,673,203 — — Federal funds sold 748,000 748,000 — 748,000 — — AFS securities 7,222,912 7,222,912 — 7,015,690 207,222 — HTM securities 5,999,164 6,010,981 — 5,968,869 42,112 — Advances 32,964,711 32,908,838 — 32,908,838 — — Mortgage loans held for portfolio, net 10,495,825 10,352,793 — 10,339,821 12,972 — Accrued interest receivable 107,415 107,415 — 107,415 — — Derivative assets, net 140,278 140,278 — 236,317 — (96,039 ) Grantor trust assets (2) 21,853 21,853 21,853 — — — Liabilities: Deposits 457,336 457,336 — 457,336 — — Consolidated Obligations: Discount notes 19,556,171 19,595,701 — 19,595,701 — — Bonds 37,778,855 37,713,776 — 37,713,776 — — Accrued interest payable 140,637 140,637 — 140,637 — — Derivative liabilities, net 2,396 2,396 — 76,789 — (74,393 ) MRCS 163,782 163,782 163,782 — — — December 31, 2017 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 55,269 $ 55,269 $ 55,269 $ — $ — $ — Interest-bearing deposits 660,342 660,342 659,926 416 — — Securities purchased under agreements to resell 2,605,460 2,605,461 — 2,605,461 — — Federal funds sold 1,280,000 1,280,000 — 1,280,000 — — AFS securities 7,128,758 7,128,758 — 6,910,224 218,534 — HTM securities 5,897,668 5,919,299 — 5,874,413 44,886 — Advances 34,055,064 34,001,397 — 34,001,397 — — Mortgage loans held for portfolio, net 10,356,341 10,426,213 — 10,413,134 13,079 — Accrued interest receivable 105,314 105,314 — 105,314 — — Derivative assets, net 128,206 128,206 — 249,300 — (121,094 ) Grantor trust assets (2) 21,698 21,698 21,698 — — — Liabilities: Deposits 564,799 564,799 — 564,799 — — Consolidated Obligations: Discount notes 20,358,157 20,394,192 — 20,394,192 — — Bonds 37,895,653 37,998,928 — 37,998,928 — — Accrued interest payable 135,691 135,691 — 135,691 — — Derivative liabilities, net 2,718 2,718 — 51,228 — (48,510 ) MRCS 164,322 164,322 164,322 — — — (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. To conform with the current presentation, variation margin of $24,954 has been allocated to individual derivative instruments as of December 31, 2017 . Previously, this amount was included with netting adjustments. (2) Included in other assets. |
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, 2018 Total Level 1 Level 2 Level 3 Adjustments (1) AFS securities: GSE and TVA debentures $ 4,338,604 $ — $ 4,338,604 $ — $ — GSE MBS 2,677,086 — 2,677,086 — — Private-label RMBS 207,222 — — 207,222 — Total AFS securities 7,222,912 — 7,015,690 207,222 — Derivative assets: Interest-rate related 140,140 — 236,179 — (96,039 ) MDCs 138 — 138 — — Total derivative assets, net 140,278 — 236,317 — (96,039 ) Grantor trust assets (2) 21,853 21,853 — — — Total assets at recurring estimated fair value $ 7,385,043 $ 21,853 $ 7,252,007 $ 207,222 $ (96,039 ) Derivative liabilities: Interest-rate related $ 2,082 $ — $ 76,475 $ — $ (74,393 ) Interest-rate forwards 291 — 291 — — MDCs 23 — 23 — — Total derivative liabilities, net 2,396 — 76,789 — (74,393 ) Total liabilities at recurring estimated fair value $ 2,396 $ — $ 76,789 $ — $ (74,393 ) Mortgage loans held for portfolio (3) $ 2,204 $ — $ — $ 2,204 $ — Total assets at non-recurring estimated fair value $ 2,204 $ — $ — $ 2,204 $ — December 31, 2017 AFS securities: GSE and TVA debentures $ 4,403,929 $ — $ 4,403,929 $ — $ — GSE MBS 2,506,295 — 2,506,295 — — Private-label RMBS 218,534 — — 218,534 — Total AFS securities 7,128,758 — 6,910,224 218,534 — Derivative assets: Interest-rate related 128,096 — 249,190 — (121,094 ) Interest-rate forwards 37 — 37 — — MDCs 73 — 73 — — Total derivative assets, net 128,206 — 249,300 — (121,094 ) Grantor trust assets (2) 21,698 21,698 — — — Total assets at recurring estimated fair value $ 7,278,662 $ 21,698 $ 7,159,524 $ 218,534 $ (121,094 ) Derivative liabilities: Interest-rate related $ 2,669 $ — $ 51,179 $ — $ (48,510 ) Interest-rate forwards 1 — 1 — — MDCs 48 — 48 — — Total derivative liabilities, net 2,718 — 51,228 — (48,510 ) Total liabilities at recurring estimated fair value $ 2,718 $ — $ 51,228 $ — $ (48,510 ) Mortgage loans held for portfolio (4) $ 2,637 $ — $ — $ 2,637 $ — Total assets at non-recurring estimated fair value $ 2,637 $ — $ — $ 2,637 $ — (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. To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017 . Previously, this amount was included with netting adjustments. (2) Included in other assets. (3) Amounts are as of the date the fair value adjustment was recorded during the three months ended March 31, 2018 . (4) Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2017 . |
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 inputs used to determine the price were not readily observable. Three Months Ended March 31, Level 3 Rollforward - AFS private-label RMBS 2018 2017 Balance, beginning of period $ 218,534 $ 269,119 Total realized and unrealized gains (losses): Accretion of credit losses in interest income 1,438 1,871 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 28 (83 ) Unrealized gains (losses) in OCI 3 592 Reclassification of non-credit portion in OCI to other income (loss) — 82 Purchases, issuances, sales and settlements: Settlements (12,781 ) (13,828 ) Balance, end of period $ 207,222 $ 257,671 Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period $ 1,438 $ 1,789 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. March 31, 2018 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 118,978 $ 116,218 $ 235,196 Unused lines of credit (1) 1,053,828 — 1,053,828 Commitments to fund additional advances (2) 21,550 — 21,550 Commitments to fund or purchase mortgage loans, net (3) 82,090 — 82,090 Unsettled CO bonds, at par 38,150 — 38,150 Unsettled discount notes, at par 669,132 — 669,132 (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. |
Related Party and Other Trans41
Related Party and Other Transactions (Tables) | 3 Months Ended |
Mar. 31, 2018 | |
Related Party Transaction [Line Items] | |
Loans to Other Federal Home Loan Banks and Principal Repayments | Occasionally, we loan (or borrow) short-term funds to (from) other FHLBanks. The following table presents the loans to other FHLBanks. Three Months Ended March 31, Loans to other FHLBanks 2018 2017 Disbursements $ (300,000 ) $ — Principal repayments 300,000 — |
Directors' Financial Institutions | |
Related Party Transaction [Line Items] | |
Outstanding Balances and Balance as a Percent of Total Balance with Respect to Transactions with Related Parties | The following table presents the aggregate outstanding balances with directors' financial institutions and their balance as a percent of the total balance on our statement of condition. March 31, 2018 December 31, 2017 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 37,832 2 % $ 40,564 2 % Advances 477,223 1 % 588,108 2 % |
Directors' Financial institutions Activity | 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 2018 2017 Net capital stock issuances (redemptions and repurchases) $ 846 $ 1,210 Net advances (repayments) (97,300 ) (12,249 ) Mortgage loan purchases 6,355 3,448 |
Recently Adopted and Issued A42
Recently Adopted and Issued Accounting Guidance (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Interest payments | $ 239,477 | $ 143,059 |
Compensation and benefits | 12,977 | 11,237 |
Other | $ 891 | 770 |
Accounting Standards Update 2016-15 | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Interest payments | 22,290 | |
Accounting Standards Update 2017-07 | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Compensation and benefits | (527) | |
Other | $ 527 |
Available-for-Sale Securities -
Available-for-Sale Securities - Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 7,078,487 | $ 7,006,917 |
Non-Credit OTTI | (40) | (68) | |
Gross Unrealized Gains | 144,975 | 121,909 | |
Gross Unrealized Losses | (510) | 0 | |
Estimated Fair Value | 7,222,912 | 7,128,758 | |
GSE and TVA debentures | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 4,276,983 | 4,357,250 |
Non-Credit OTTI | 0 | 0 | |
Gross Unrealized Gains | 61,621 | 46,679 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | 4,338,604 | 4,403,929 | |
GSE MBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 2,623,635 | 2,460,455 |
Non-Credit OTTI | 0 | 0 | |
Gross Unrealized Gains | 53,961 | 45,840 | |
Gross Unrealized Losses | (510) | 0 | |
Estimated Fair Value | 2,677,086 | 2,506,295 | |
Residential Mortgage Backed Securities | Private-label RMBS | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 177,869 | 189,212 |
Non-Credit OTTI | (40) | (68) | |
Gross Unrealized Gains | 29,393 | 29,390 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | $ 207,222 | $ 218,534 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses) and fair-value hedge accounting adjustments. |
Available-for-Sale Securities44
Available-for-Sale Securities - Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 171,853 | $ 0 |
Less than 12 Months, Unrealized Losses | (510) | 0 |
12 Months or More, Estimated Fair Value | 2,312 | 2,494 |
12 Months or More, Unrealized Losses | (40) | (68) |
Total Estimated Fair Value | 174,165 | 2,494 |
Total Unrealized Losses | (550) | (68) |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 171,853 | 0 |
Less than 12 Months, Unrealized Losses | (510) | 0 |
12 Months or More, Estimated Fair Value | 0 | 0 |
12 Months or More, Unrealized Losses | 0 | 0 |
Total Estimated Fair Value | 171,853 | 0 |
Total Unrealized Losses | (510) | 0 |
Residential Mortgage Backed Securities | 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 | 2,312 | 2,494 |
12 Months or More, Unrealized Losses | (40) | (68) |
Total Estimated Fair Value | 2,312 | 2,494 |
Total Unrealized Losses | $ (40) | $ (68) |
Available-for-Sale Securities45
Available-for-Sale Securities - Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 7,078,487 | $ 7,006,917 |
Estimated Fair Value | 7,222,912 | 7,128,758 | |
Non-MBS | |||
Available-for-sale Securities [Line Items] | |||
Due in one year or less, Amortized Cost | 83,170 | 83,666 | |
Due after one year through five years, Amortized Cost | 2,338,592 | 2,317,516 | |
Due after five years through ten years, Amortized Cost | 1,672,152 | 1,766,440 | |
Due after ten years, Amortized Cost | 183,069 | 189,628 | |
Amortized Cost | 4,276,983 | 4,357,250 | |
Due in one year or less, Estimated Fair Value | 83,234 | 83,754 | |
Due after one year through five years, Estimated Fair Value | 2,363,113 | 2,336,699 | |
Due after five years through ten years, Estimated Fair Value | 1,705,086 | 1,791,829 | |
Due after ten years, Estimated Fair Value | 187,171 | 191,647 | |
Estimated Fair Value | 4,338,604 | 4,403,929 | |
MBS | |||
Available-for-sale Securities [Line Items] | |||
Amortized Cost | 2,801,504 | 2,649,667 | |
Estimated Fair Value | $ 2,884,308 | $ 2,724,829 | |
[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 - M
Held-to-Maturity Securities - Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 5,999,217 | $ 5,897,719 |
Non-Credit (OTTI) | (53) | (51) | |
Carrying Value | 5,999,164 | 5,897,668 | |
Gross Unrecognized Holding Gains | 29,660 | 33,562 | |
Gross Unrecognized Holding Losses | (17,843) | (11,931) | |
Estimated fair value | 6,010,981 | 5,919,299 | |
Other U.S. obligations -guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 3,363,064 | 3,299,157 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 3,363,064 | 3,299,157 | |
Gross Unrecognized Holding Gains | 13,075 | 6,555 | |
Gross Unrecognized Holding Losses | (1,213) | (6,690) | |
Estimated fair value | 3,374,926 | 3,299,022 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 2,593,516 | 2,553,193 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 2,593,516 | 2,553,193 | |
Gross Unrecognized Holding Gains | 16,259 | 26,727 | |
Gross Unrecognized Holding Losses | (15,832) | (4,529) | |
Estimated fair value | 2,593,943 | 2,575,391 | |
Private-label ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 7,138 | 7,480 |
Non-Credit (OTTI) | (53) | (51) | |
Carrying Value | 7,085 | 7,429 | |
Gross Unrecognized Holding Gains | 75 | 40 | |
Gross Unrecognized Holding Losses | (347) | (405) | |
Estimated fair value | 6,813 | 7,064 | |
Residential Mortgage Backed Securities | Private-label RMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 35,499 | 37,889 |
Non-Credit (OTTI) | 0 | 0 | |
Carrying Value | 35,499 | 37,889 | |
Gross Unrecognized Holding Gains | 251 | 240 | |
Gross Unrecognized Holding Losses | (451) | (307) | |
Estimated fair value | $ 35,299 | $ 37,822 | |
[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 - U
Held-to-Maturity Securities - Unrealized Loss Position (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | $ 1,754,177 | $ 1,668,580 | |
Less than 12 Months, Unrealized Losses | (11,399) | (5,491) | |
12 Months or More, Estimated Fair Value | 617,132 | 1,108,193 | |
12 Months or More, Unrealized Losses | (6,444) | (6,451) | |
Total Estimated Fair Value | 2,371,309 | 2,776,773 | |
Unrealized Loss Position | (17,843) | (11,942) | |
Gross unrecognized holding losses | 17,843 | 11,931 | |
Non-credit (OTTI) losses | 53 | 51 | |
Gross unrecognized holding gains | 29,660 | 33,562 | |
Other U.S. obligations -guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 775,364 | 1,140,624 | |
Less than 12 Months, Unrealized Losses | (865) | (3,274) | |
12 Months or More, Estimated Fair Value | 406,502 | 886,359 | |
12 Months or More, Unrealized Losses | (348) | (3,416) | |
Total Estimated Fair Value | 1,181,866 | 2,026,983 | |
Unrealized Loss Position | (1,213) | (6,690) | |
Gross unrecognized holding losses | 1,213 | 6,690 | |
Non-credit (OTTI) losses | 0 | 0 | |
Gross unrecognized holding gains | 13,075 | 6,555 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 965,195 | 513,244 | |
Less than 12 Months, Unrealized Losses | (10,439) | (2,191) | |
12 Months or More, Estimated Fair Value | 193,403 | 203,401 | |
12 Months or More, Unrealized Losses | (5,393) | (2,338) | |
Total Estimated Fair Value | 1,158,598 | 716,645 | |
Unrealized Loss Position | (15,832) | (4,529) | |
Gross unrecognized holding losses | 15,832 | 4,529 | |
Non-credit (OTTI) losses | 0 | 0 | |
Gross unrecognized holding gains | 16,259 | 26,727 | |
Private-label ABS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 0 | 0 | [1] |
Less than 12 Months, Unrealized Losses | 0 | 0 | [1] |
12 Months or More, Estimated Fair Value | 6,358 | 7,064 | [1] |
12 Months or More, Unrealized Losses | (347) | (416) | [1] |
Total Estimated Fair Value | 6,358 | 7,064 | [1] |
Unrealized Loss Position | (347) | (416) | [1] |
Gross unrecognized holding losses | 347 | 405 | |
Non-credit (OTTI) losses | 53 | 51 | |
Gross unrecognized holding gains | 75 | 40 | |
Residential Mortgage Backed Securities | Private-label RMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Less than 12 Months, Estimated Fair Value | 13,618 | 14,712 | |
Less than 12 Months, Unrealized Losses | (95) | (26) | |
12 Months or More, Estimated Fair Value | 10,869 | 11,369 | |
12 Months or More, Unrealized Losses | (356) | (281) | |
Total Estimated Fair Value | 24,487 | 26,081 | |
Unrealized Loss Position | (451) | (307) | |
Gross unrecognized holding losses | 451 | 307 | |
Non-credit (OTTI) losses | 0 | 0 | |
Gross unrecognized holding gains | $ 251 | $ 240 | |
[1] | For private-label ABS, at December 31, 2017, the total of unrealized losses does not agree to total gross unrecognized holding losses of $405. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $51 and gross unrecognized holding gains on previously OTTI securities of $40 |
Other-Than-Temporary Impairme48
Other-Than-Temporary Impairment - Narrative (Details) | Mar. 31, 2018 |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Projected change in the twelve month housing price percentage rate, maximum decrease | (7.00%) |
Projected change in the twelve month housing price percentage rate, maximum increase | 12.00% |
Projected change in the short term housing price percentage rate, maximum decrease | 1.00% |
Projected change in the short term housing price percentage rate, maximum increase | 6.00% |
Advances - Advances by Year of
Advances - Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Year of Contractual Maturity, Amount | ||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 0 |
Due in 1 year or less | 16,038,030 | 16,935,411 |
Due after 1 year through 2 years | 2,911,710 | 2,701,784 |
Due after 2 years through 3 years | 2,469,124 | 2,682,073 |
Due after 3 years through 4 years | 1,822,509 | 2,172,549 |
Due after 4 years through 5 years | 2,638,907 | 2,213,319 |
Thereafter | 7,302,527 | 7,464,333 |
Total advances, par value | $ 33,182,807 | $ 34,169,469 |
Year of Contractual Maturity, WAIR % | ||
Overdrawn demand and overnight deposit accounts | 0.00% | 0.00% |
Due in 1 year or less | 1.76% | 1.46% |
Due after 1 year through 2 years | 1.95% | 1.96% |
Due after 2 years through 3 years | 1.88% | 1.69% |
Due after 3 years through 4 years | 2.03% | 1.78% |
Due after 4 years through 5 years | 2.22% | 1.93% |
Thereafter | 1.92% | 1.66% |
Total advances, par value | 1.87% | 1.61% |
Fair-value hedging adjustments | $ (228,114) | $ (126,137) |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 10,018 | 11,732 |
Total Advances | $ 32,964,711 | $ 34,055,064 |
Advances - Advances Outstanding
Advances - Advances Outstanding Earlier of Contractual Maturity or Next Call Date and Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 |
Advances [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 0 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 23,719,041 | 25,067,272 |
Due after 1 year through 2 years | 2,352,710 | 2,412,184 |
Due after 2 years through 3 years | 1,816,824 | 1,716,873 |
Due after 3 years through 4 years | 1,035,709 | 928,649 |
Due after 4 years through 5 years | 1,565,317 | 1,494,529 |
Thereafter | 2,693,206 | 2,549,962 |
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 | 16,135,030 | 17,032,411 |
Due after 1 year through 2 years | 3,185,310 | 2,701,784 |
Due after 2 years through 3 years | 3,161,124 | 3,406,673 |
Due after 3 years through 4 years | 1,982,909 | 2,718,049 |
Due after 4 years through 5 years | 3,273,132 | 2,524,619 |
Thereafter | 5,445,302 | 5,785,933 |
Total advances, par value | $ 33,182,807 | $ 34,169,469 |
Advances - Narrative (Details)
Advances - Narrative (Details) | Mar. 31, 2018 | Dec. 31, 2017 |
Advances [Abstract] | ||
Percent of advances par value held by top five borrowers | 43.00% | 45.00% |
Mortgage Loans Held for Portf52
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Dec. 31, 2017 | ||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage loans held for portfolio | $ 10,264,832 | $ 10,123,848 | |
Unamortized premiums | 234,638 | 234,519 | |
Unamortized discounts | (2,523) | (2,426) | |
Fair-value hedging adjustments | (272) | 1,250 | |
Allowance for loan losses | (850) | (850) | |
Total mortgage loans held for portfolio, net | 10,495,825 | 10,356,341 | |
Government-guaranteed or -insured | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage loans held for portfolio | 406,401 | 422,248 | |
Fixed-rate long-term mortgages | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage loans held for portfolio | 9,162,982 | 8,989,545 | |
Fixed-rate medium-term mortgages | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage loans held for portfolio | [1] | $ 1,101,850 | 1,134,303 |
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 | $ 9,858,431 | $ 9,701,600 | |
[1] | Defined as a term of 15 years or less at origination. |
Allowance for Credit Losses - C
Allowance for Credit Losses - Changes in Lender Risk Account (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Change in Lender Risk Account Balance [Roll Forward] | ||
Balance of LRA, beginning of period | $ 148,715 | $ 125,683 |
Additions | 5,146 | 5,231 |
Claims paid | (170) | (102) |
Distributions to PFIs | (417) | (84) |
Balance of LRA, end of period | $ 153,274 | $ 130,728 |
Allowance for Credit Losses - R
Allowance for Credit Losses - Recorded Investment in Delinquent Mortgage Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Dec. 31, 2017 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 96,330 | $ 109,714 | |
Total current | 10,444,976 | 10,290,899 | |
Total recorded investment in conventional loans | [1] | 10,541,306 | 10,400,613 |
In process of foreclosure | [2] | $ 12,243 | $ 11,081 |
Serious delinquency rate | [3] | 0.20% | 0.21% |
Past due 90 days or more still accruing interest | [4] | $ 19,239 | $ 19,158 |
On non-accrual status | $ 2,856 | 3,464 | |
Delinquent loan receivable | 90 days | ||
30-59 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 65,097 | 75,518 | |
60-89 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 10,015 | 12,065 | |
90 days or more | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 21,218 | 22,131 | |
Government | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 15,112 | 16,524 | |
Total current | 398,155 | 412,869 | |
Total recorded investment in conventional loans | [1] | 413,267 | 429,393 |
In process of foreclosure | [2] | $ 0 | $ 0 |
Serious delinquency rate | [3] | 0.36% | 0.59% |
Past due 90 days or more still accruing interest | [4] | $ 1,470 | $ 2,555 |
On non-accrual status | 0 | 0 | |
Government | 30-59 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 11,418 | 11,848 | |
Government | 60-89 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 2,225 | 2,121 | |
Government | 90 days or more | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 1,469 | 2,555 | |
Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 81,218 | 93,190 | |
Total current | 10,046,821 | 9,878,030 | |
Total recorded investment in conventional loans | [1] | 10,128,039 | 9,971,220 |
In process of foreclosure | [2] | $ 12,243 | $ 11,081 |
Serious delinquency rate | [3] | 0.19% | 0.20% |
Past due 90 days or more still accruing interest | [4] | $ 17,769 | $ 16,603 |
On non-accrual status | 2,856 | 3,464 | |
Conventional | 30-59 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 53,679 | 63,670 | |
Conventional | 60-89 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 7,790 | 9,944 | |
Conventional | 90 days or more | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 19,749 | $ 19,576 | |
[1] | The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any deferred loan fees or costs, unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct charge-offs. The recorded investment is not net of any valuation allowance. | ||
[2] | 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. | ||
[3] | 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. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. | ||
[4] | Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status. |
Allowance for Credit Losses -55
Allowance for Credit Losses - Credit Enhancements (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | $ 850 | $ 850 | |||
Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | 850 | 850 | $ 850 | $ 850 | |
Mortgage Purchase Program | Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Estimated incurred losses remaining after borrower's equity, before credit enhancements | [1] | 4,428 | 5,360 | ||
Portion of estimated losses recoverable from | (3,708) | (4,640) | |||
Allowance for unrecoverable PMI/SMI | 30 | 30 | |||
Allowance for loan losses | 750 | 750 | |||
Mortgage Purchase Program | Conventional | PMI | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Portion of estimated losses recoverable from | (812) | (995) | |||
Mortgage Purchase Program | Conventional | LRA | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Portion of estimated losses recoverable from | [2] | (1,282) | (1,262) | ||
Mortgage Purchase Program | Conventional | SMI | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Portion of estimated losses recoverable from | (1,614) | (2,383) | |||
Mortgage Partnership Finance Program | Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | $ 100 | $ 100 | |||
Maximum | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Loss emergence period | 24 months | ||||
[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 total LRA balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs. |
Allowance for Credit Losses - A
Allowance for Credit Losses - Allowance for Loan Losses and Impairment (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2018 | Mar. 31, 2017 | Mar. 31, 2018 | Dec. 31, 2017 | ||
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 | (104) | $ 151 | |||
Allowance for loan losses on mortgage loans, end of period | 850 | ||||
Total allowance for loan losses | 850 | $ 850 | $ 850 | ||
Total recorded investment in conventional loans | [1] | 10,541,306 | 10,400,613 | ||
Conventional | |||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Allowance for loan losses on mortgage loans, beginning of period | 850 | 850 | |||
Charge-offs | (150) | (235) | |||
Recoveries | 254 | 84 | |||
Provision for (reversal of) loan losses | (104) | 151 | |||
Allowance for loan losses on mortgage loans, end of period | 850 | 850 | |||
Allowance for loan losses by impairment, conventional loans collectively evaluated for impairment | 724 | 652 | |||
Allowance for loan losses by impairment, conventional loans individually evaluated for impairment | [2] | 126 | 198 | ||
Total allowance for loan losses | $ 850 | $ 850 | 850 | 850 | |
Recorded investment, loans collectively evaluated for impairment | 10,112,860 | 9,956,689 | |||
Recorded investment, loans individually evaluated for impairment | [2] | 15,179 | 14,531 | ||
Total recorded investment in conventional loans | [1] | 10,128,039 | 9,971,220 | ||
Principal paid in full by servicers | 1,233 | 2,498 | |||
Potential claims included in allowance | $ 79 | $ 144 | |||
[1] | The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any deferred loan fees or costs, unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct charge-offs. The recorded investment is not net of any valuation allowance. | ||||
[2] | 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, 2018 and December 31, 2017 of $1,233 and $2,498, 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, 2018 and December 31, 2017 includes $79 and $144, respectively, for these potential claims. |
Derivative and Hedging Activi57
Derivative and Hedging Activities - Narrative (Details) $ in Thousands | Mar. 31, 2018USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Net liability position, aggregate fair value | $ 839 |
Other derivative instruments in a net liability position | $ 314 |
Derivative and Hedging Activi58
Derivative and Hedging Activities - Notional Amount and Estimated Fair Value of Derivative Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | ||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | $ 35,890,397 | $ 32,499,977 | ||
Estimated fair value of derivative assets | [1] | 236,317 | 249,300 | |
Estimated fair value of derivative liabilities | [1] | 76,789 | 51,228 | |
Netting adjustments and cash collateral, derivative asset | [1],[2] | (96,039) | (121,094) | |
Netting adjustments and cash collateral, derivative liability | [1],[2] | (74,393) | (48,510) | |
Total derivatives, at estimated fair value | [1] | 140,278 | 128,206 | [3] |
Total derivatives, at estimated fair value | [1] | 2,396 | 2,718 | [3] |
Variation margin | 24,954 | |||
Cash collateral pledged to counterparties | 131,214 | 16,437 | ||
Cash collateral received from counterparties | 152,860 | 89,021 | ||
Derivatives designated as hedging instruments | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | 32,875,334 | 31,084,068 | ||
Estimated fair value of derivative assets | [1] | 234,875 | 247,924 | |
Estimated fair value of derivative liabilities | [1] | 76,168 | 50,445 | |
Derivatives designated as hedging instruments | Interest-rate swaps | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | 32,875,334 | 31,084,068 | ||
Estimated fair value of derivative assets | [1] | 234,875 | 247,924 | |
Estimated fair value of derivative liabilities | [1] | 76,168 | 50,445 | |
Derivatives not designated as hedging instruments | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | 3,015,063 | 1,415,909 | ||
Estimated fair value of derivative assets | [1] | 1,442 | 1,376 | |
Estimated fair value of derivative liabilities | [1] | 621 | 783 | |
Derivatives not designated as hedging instruments | Interest-rate swaps | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | 2,393,673 | 1,026,778 | ||
Estimated fair value of derivative assets | [1] | 1,133 | 1,174 | |
Estimated fair value of derivative liabilities | [1] | 307 | 734 | |
Derivatives not designated as hedging instruments | Swaptions | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | 300,000 | 0 | ||
Estimated fair value of derivative assets | [1] | 30 | 0 | |
Estimated fair value of derivative liabilities | [1] | 0 | 0 | |
Derivatives not designated as hedging instruments | Interest-rate caps/floors | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | 149,500 | 245,500 | ||
Estimated fair value of derivative assets | [1] | 141 | 92 | |
Estimated fair value of derivative liabilities | [1] | 0 | 0 | |
Derivatives not designated as hedging instruments | Interest-rate forwards | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | 89,800 | 72,800 | ||
Estimated fair value of derivative assets | [1] | 0 | 37 | |
Estimated fair value of derivative liabilities | [1] | 291 | 1 | |
Mortgages | Derivatives not designated as hedging instruments | Interest-rate forwards | ||||
Derivatives, Fair Value [Line Items] | ||||
Notional amount of derivatives | 82,090 | 70,831 | ||
Estimated fair value of derivative assets | [1] | 138 | 73 | |
Estimated fair value of derivative liabilities | [1] | $ 23 | $ 48 | |
[1] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017. Previously, this amount was included with netting adjustments and cash collateral. | |||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2018 and December 31, 2017 totaled $131,214 and $16,437, respectively. Cash collateral received from counterparties at March 31, 2018 and December 31, 2017 totaled $152,860 and $89,021, respectively. | |||
[3] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments within the gross recognized amount as of December 31, 2017. Previously, this amount was included with the gross amounts of netting adjustments and cash collateral. |
Derivative and Hedging Activi59
Derivative and Hedging Activities - Offsetting of Derivative Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | ||
Derivative Assets | ||||
Gross recognized amount | $ 236,179 | $ 249,190 | [1] | |
Gross amounts of netting adjustments and cash collateral | [2] | (96,039) | (121,094) | [1] |
Net amounts after netting adjustments and cash collateral | 140,140 | 128,096 | [1] | |
Derivative instruments not meeting netting requirements | [3] | 138 | 110 | [1] |
Total derivatives, at estimated fair value | [4] | 140,278 | 128,206 | [1] |
Derivative Liabilities | ||||
Gross recognized amount | 76,475 | 51,179 | [1] | |
Gross amounts of netting adjustments and cash collateral | [2] | (74,393) | (48,510) | [1] |
Net amounts after netting adjustments and cash collateral | 2,082 | 2,669 | [1] | |
Derivative instruments not meeting netting requirements | [3] | 314 | 49 | [1] |
Total derivatives, at estimated fair value | [4] | 2,396 | 2,718 | [1] |
Variation margin | 24,954 | |||
Uncleared | ||||
Derivative Assets | ||||
Gross recognized amount | 231,617 | 118,932 | [1] | |
Gross amounts of netting adjustments and cash collateral | (222,097) | (113,842) | [1] | |
Net amounts after netting adjustments and cash collateral | 9,520 | 5,090 | [1] | |
Derivative Liabilities | ||||
Gross recognized amount | 72,970 | 27,491 | [1] | |
Gross amounts of netting adjustments and cash collateral | (70,888) | (24,822) | [1] | |
Net amounts after netting adjustments and cash collateral | 2,082 | 2,669 | [1] | |
Cleared | ||||
Derivative Assets | ||||
Gross recognized amount | 4,562 | 130,258 | [1] | |
Gross amounts of netting adjustments and cash collateral | 126,058 | (7,252) | [1] | |
Net amounts after netting adjustments and cash collateral | 130,620 | 123,006 | [1] | |
Derivative Liabilities | ||||
Gross recognized amount | 3,505 | 23,688 | [1] | |
Gross amounts of netting adjustments and cash collateral | (3,505) | (23,688) | [1] | |
Net amounts after netting adjustments and cash collateral | $ 0 | $ 0 | [1] | |
[1] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments within the gross recognized amount as of December 31, 2017. Previously, this amount was included with the gross amounts of netting adjustments and cash collateral. | |||
[2] | 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. To conform with the current presentation, variation margin of $24,954 has been allocated to individual derivative instruments as of December 31, 2017. Previously, this amount was included with netting adjustments. | |||
[3] | Includes MDCs and certain interest-rate forwards. | |||
[4] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017. Previously, this amount was included with netting adjustments and cash collateral. |
Derivative and Hedging Activi60
Derivative and Hedging Activities - Derivatives Reported in Other Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) related to fair-value hedge ineffectiveness | $ 7,324 | $ (3,974) | |
Total net gain (loss) on derivatives not designated as hedging instruments | (598) | (351) | |
Other | [1] | (794) | (50) |
Net gains (losses) on derivatives and hedging activities | 5,932 | (4,375) | |
Interest-rate swaps | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) related to fair-value hedge ineffectiveness | 7,324 | (3,974) | |
Total net gain (loss) on derivatives not designated as hedging instruments | 172 | (22) | |
Swaptions | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | (58) | (139) | |
Interest-rate caps/floors | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | 48 | 46 | |
Interest-rate forwards | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | 1,248 | (168) | |
Net interest settlements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | (638) | (147) | |
Mortgages | Interest-rate forwards | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | $ (1,370) | $ 79 | |
[1] | Consists of price alignment amounts on derivatives for which variation margin payments are characterized as daily settled contracts. |
Derivative and Hedging Activi61
Derivative and Hedging Activities - Gain (Loss) on Derivatives, Net Fair-Vale Hedge Ineffectiveness and Impact on Net Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (loss) on derivatives | $ 173,420 | $ 27,259 | |
Gain (loss) on hedged item | (166,096) | (31,233) | |
Net fair value hedge ineffectiveness | 7,324 | (3,974) | |
Effect on net interest income | [1] | (707) | (24,956) |
Advances | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (loss) on derivatives | 103,608 | 15,736 | |
Gain (loss) on hedged item | (100,748) | (14,528) | |
Net fair value hedge ineffectiveness | 2,860 | 1,208 | |
Effect on net interest income | [1] | 1,339 | (11,479) |
AFS securities | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (loss) on derivatives | 154,327 | 17,075 | |
Gain (loss) on hedged item | (150,582) | (20,083) | |
Net fair value hedge ineffectiveness | 3,745 | (3,008) | |
Effect on net interest income | [1] | (3,310) | (16,865) |
CO bonds | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (loss) on derivatives | (84,515) | (5,552) | |
Gain (loss) on hedged item | 85,234 | 3,378 | |
Net fair value hedge ineffectiveness | 719 | (2,174) | |
Effect on net interest income | [1] | $ 1,264 | $ 3,388 |
[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 (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Dec. 31, 2017 | |
Schedule of Short-term and Long-term Debt [Line Items] | ||
FHLB system outstanding consolidated obligations | $ 1,000,000,000 | $ 1,000,000,000 |
Discount notes maturity period | 1 year | |
Discount Notes | ||
Book value | $ 19,556,171 | 20,358,157 |
Par value | $ 19,595,701 | $ 20,394,192 |
Weighted average effective interest rate | 1.56% | 1.22% |
CO Bonds [Abstract] | ||
Due in 1 year or less, amount | $ 14,506,920 | $ 14,021,190 |
Due after 1 year through 2 years, amount | 8,320,340 | 9,392,470 |
Due after 2 years through 3 years, amount | 5,306,520 | 4,849,960 |
Due after 3 years through 4 years, amount | 1,212,870 | 1,294,470 |
Due after 4 years through 5 years, amount | 2,882,150 | 2,798,000 |
Thereafter, amount | 5,724,000 | 5,626,500 |
Unamortized premiums | 26,127 | 27,333 |
Unamortized discounts | (14,758) | (13,782) |
Unamortized concessions | (14,481) | (14,188) |
Fair-value hedging adjustments | (170,833) | (86,300) |
Bonds | $ 37,778,855 | $ 37,895,653 |
Due in 1 year or less, WAIR % | 1.55% | 1.27% |
Due after 1 year through 2 years, WAIR % | 1.86% | 1.46% |
Due after 2 years through 3 years, WAIR % | 2.15% | 2.23% |
Due after 3 years through 4 years, WAIR % | 2.05% | 2.17% |
Due after 4 years through 5 years, WAIR % | 2.31% | 2.29% |
Thereafter, WAIR % | 3.06% | 3.02% |
Total CO bonds, par value, WAIR % | 2.00% | 1.80% |
Due in 1 year or less | $ 25,657,920 | $ 24,449,190 |
Due after 1 year through 2 years | 8,220,340 | 9,098,470 |
Due after 2 years through 3 years | 1,870,520 | 2,125,960 |
Due after 3 years through 4 years | 453,870 | 584,470 |
Due after 4 years through 5 years | 582,150 | 579,000 |
Thereafter | 1,168,000 | 1,145,500 |
Total CO bonds, par value | 37,952,800 | 37,982,590 |
Non-callable / non-putable | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | 25,660,800 | 26,277,590 |
Callable | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | $ 12,292,000 | $ 11,705,000 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||
Balance at beginning of period | $ 32,166 | $ 26,598 | |
Assessment (expense) | 5,677 | 3,709 | |
Subsidy usage, net | [1] | (2,757) | (3,104) |
Balance at end of period | $ 35,086 | $ 27,203 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Details)
Capital (Details) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2018USD ($)capital_requirement | Mar. 31, 2017USD ($) | Dec. 31, 2017USD ($) | Dec. 31, 2016USD ($) | ||
Capital [Abstract] | |||||
Stock reclassified to mandatorily redeemable capital stock | $ 5,144 | $ 5,144 | |||
Redemption period | 5 years | ||||
Outstanding Class B stock | $ 3,021 | ||||
Mandatorily Redeemable Capital Stock Activity [Roll Forward] | |||||
Liability at beginning of period | $ 164,322 | $ 170,043 | |||
Redemptions/repurchases | (540) | (3,113) | |||
Liability at end of period | 163,782 | 166,930 | |||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||
Year 1 | [1] | 7,423 | 7,963 | ||
Year 2 | 13 | 13 | |||
Year 3 | 0 | 0 | |||
Year 4 | 4,158 | 4,158 | |||
Year 5 | 0 | 0 | |||
Thereafter | [2] | 152,188 | 152,188 | ||
Stock not redeemed after redemption period due to outstanding items | 2,368 | 2,909 | |||
Recorded as interest expense | 2,745 | 1,753 | |||
Recorded as distributions from retained earnings | 0 | 0 | |||
Total | $ 2,745 | $ 1,753 | |||
Regulatory Capital Requirements | |||||
Number of regulatory capital requirements | capital_requirement | 3 | ||||
Risk-based capital, required | $ 914,158 | 903,806 | |||
Risk-based capital, actual | $ 3,038,395 | $ 2,998,422 | |||
Regulatory permanent capital-to-asset ratio, required | 4.00% | 4.00% | |||
Regulatory permanent capital-to-asset ratio, actual | 4.95% | 4.81% | |||
Regulatory capital, required | $ 2,455,677 | $ 2,493,956 | |||
Regulatory capital, actual | $ 3,038,395 | $ 2,998,422 | |||
Leverage ratio, required | 5.00% | 5.00% | |||
Leverage ratio, actual | 7.42% | 7.21% | |||
Leverage capital, required | $ 3,069,596 | $ 3,117,445 | |||
Leverage capital, actual | $ 4,557,593 | $ 4,497,633 | |||
[1] | Balances at March 31, 2018 and December 31, 2017 include $2,368 and $2,909, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. | ||||
[2] | Represents the five-year redemption period of Class B stock held by certain captive insurance companies which begins immediately upon their termination of memberships no later than February 19, 2021, in accordance with the Final Membership Rule. |
Accumulated Other Comprehensi65
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | $ 2,945,506 | $ 2,436,196 |
Total other comprehensive income | 22,905 | 23,681 |
Ending balance | 3,008,924 | 2,537,441 |
Unrealized Gains (Losses) on AFS Securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 92,519 | |
Total other comprehensive income | 22,553 | 22,756 |
Ending balance | 115,072 | 62,224 |
Unrealized Gains (Losses) on AFS Securities | AFS securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 39,468 | |
OCI before reclassifications | 22,553 | 22,756 |
Non-Credit OTTI | AFS securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 29,322 | 26,938 |
Reclassifications from OCI to net income | 0 | 82 |
Total other comprehensive income | 31 | 591 |
Ending balance | 29,353 | 27,529 |
Non-Credit OTTI | HTM Securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | (51) | (103) |
OCI before reclassifications | (2) | 6 |
Total other comprehensive income | (2) | 6 |
Ending balance | (53) | (97) |
Non-Credit OTTI, net change in unrealized gains (losses) | AFS securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
OCI before reclassifications | 3 | 592 |
Non-Credit OTTI, net change in fair value | AFS securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
OCI before reclassifications | 28 | (83) |
Pension Benefits | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | (10,384) | (9,935) |
Reclassifications from OCI to net income | 323 | 328 |
Total other comprehensive income | 323 | 328 |
Ending balance | (10,061) | (9,607) |
Accumulated Net Investment Gain (Loss) And Other-Than-Temporary Impairment Attributable to Parent | AFS securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
OCI before reclassifications | 22,556 | 23,348 |
Accumulated Other Comprehensive Income (Loss) | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 111,406 | 56,368 |
Ending balance | $ 134,311 | $ 80,049 |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Segment Reporting Information [Line Items] | |||
Net interest income | $ 70,131 | $ 59,003 | |
Provision for (reversal of) credit losses | (104) | 151 | |
Other income (loss) | 6,187 | (3,665) | |
Other expenses | 22,397 | 19,853 | |
Income before assessments | 54,025 | 35,334 | |
Affordable Housing Program assessments | 5,677 | 3,709 | |
Net income | 48,348 | 31,625 | |
Assets | 61,391,928 | $ 62,348,906 | |
Traditional | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 52,324 | 41,536 | |
Provision for (reversal of) credit losses | 0 | 0 | |
Other income (loss) | 6,342 | (3,674) | |
Other expenses | 18,816 | 16,795 | |
Income before assessments | 39,850 | 21,067 | |
Affordable Housing Program assessments | 4,259 | 2,282 | |
Net income | 35,591 | 18,785 | |
Assets | 50,896,103 | 51,992,565 | |
Mortgage Loans | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 17,807 | 17,467 | |
Provision for (reversal of) credit losses | (104) | 151 | |
Other income (loss) | (155) | 9 | |
Other expenses | 3,581 | 3,058 | |
Income before assessments | 14,175 | 14,267 | |
Affordable Housing Program assessments | 1,418 | 1,427 | |
Net income | 12,757 | $ 12,840 | |
Assets | $ 10,495,825 | $ 10,356,341 |
Estimated Fair Values - Carryin
Estimated Fair Values - Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | ||
Assets: | ||||||
Cash and due from banks | $ 76,856 | $ 55,269 | ||||
AFS securities | 7,222,912 | 7,128,758 | ||||
HTM securities | 5,999,164 | 5,897,668 | ||||
HTM securities | 6,010,981 | 5,919,299 | ||||
Accrued interest receivable | 107,415 | 105,314 | ||||
Derivative assets, net | [1] | 140,278 | 128,206 | [2] | ||
Netting adjustment | [3] | (96,039) | (121,094) | [2] | ||
Consolidated Obligations: | ||||||
Accrued interest payable | 140,637 | 135,691 | ||||
Derivative liabilities, net | [1] | 2,396 | 2,718 | [2] | ||
Netting adjustment | [3] | (74,393) | (48,510) | [2] | ||
MRCS | 163,782 | 164,322 | $ 166,930 | $ 170,043 | ||
Variation margin | 24,954 | |||||
Level 1 | ||||||
Assets: | ||||||
Cash and due from banks | 76,856 | 55,269 | ||||
Interest-bearing deposits | 888,072 | 659,926 | ||||
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 | [4] | 21,853 | 21,698 | |||
Liabilities: | ||||||
Deposits | 0 | 0 | ||||
Consolidated Obligations: | ||||||
Accrued interest payable | 0 | 0 | ||||
Derivative liabilities, net | 0 | 0 | ||||
MRCS | 163,782 | 164,322 | ||||
Level 2 | ||||||
Assets: | ||||||
Cash and due from banks | 0 | 0 | ||||
Interest-bearing deposits | 324 | 416 | ||||
Securities purchased under agreements to resell | 2,673,203 | 2,605,461 | ||||
Federal funds sold | 748,000 | 1,280,000 | ||||
AFS securities | 7,015,690 | 6,910,224 | ||||
HTM securities | 5,968,869 | 5,874,413 | ||||
Advances | 32,908,838 | 34,001,397 | ||||
Mortgage loans held for portfolio, net | 10,339,821 | 10,413,134 | ||||
Accrued interest receivable | 107,415 | 105,314 | ||||
Derivative assets, net | 236,317 | 249,300 | ||||
Grantor trust assets | [4] | 0 | 0 | |||
Liabilities: | ||||||
Deposits | 457,336 | 564,799 | ||||
Consolidated Obligations: | ||||||
Accrued interest payable | 140,637 | 135,691 | ||||
Derivative liabilities, net | 76,789 | 51,228 | ||||
MRCS | 0 | 0 | ||||
Level 3 | ||||||
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 | 207,222 | 218,534 | ||||
HTM securities | 42,112 | 44,886 | ||||
Advances | 0 | 0 | ||||
Mortgage loans held for portfolio, net | 12,972 | 13,079 | ||||
Accrued interest receivable | 0 | 0 | ||||
Derivative assets, net | 0 | 0 | ||||
Grantor trust assets | [4] | 0 | 0 | |||
Liabilities: | ||||||
Deposits | 0 | 0 | ||||
Consolidated Obligations: | ||||||
Accrued interest payable | 0 | 0 | ||||
Derivative liabilities, net | 0 | 0 | ||||
MRCS | 0 | 0 | ||||
Fair Value | ||||||
Assets: | ||||||
Cash and due from banks | 76,856 | 55,269 | ||||
Interest-bearing deposits | 888,396 | 660,342 | ||||
Securities purchased under agreements to resell | 2,673,203 | 2,605,461 | ||||
Federal funds sold | 748,000 | 1,280,000 | ||||
AFS securities | 7,222,912 | 7,128,758 | ||||
HTM securities | 6,010,981 | 5,919,299 | ||||
Advances | 32,908,838 | 34,001,397 | ||||
Mortgage loans held for portfolio, net | 10,352,793 | 10,426,213 | ||||
Accrued interest receivable | 107,415 | 105,314 | ||||
Derivative assets, net | 140,278 | 128,206 | ||||
Grantor trust assets | [4] | 21,853 | 21,698 | |||
Liabilities: | ||||||
Deposits | 457,336 | 564,799 | ||||
Consolidated Obligations: | ||||||
Discount notes | 19,595,701 | 20,394,192 | ||||
Bonds | 37,713,776 | 37,998,928 | ||||
Accrued interest payable | 140,637 | 135,691 | ||||
Derivative liabilities, net | 2,396 | 2,718 | ||||
MRCS | 163,782 | 164,322 | ||||
Carrying value | ||||||
Assets: | ||||||
Cash and due from banks | 76,856 | 55,269 | ||||
Interest-bearing deposits | 888,396 | 660,342 | ||||
Securities purchased under agreements to resell | 2,673,200 | 2,605,460 | ||||
Federal funds sold | 748,000 | 1,280,000 | ||||
AFS securities | 7,222,912 | 7,128,758 | ||||
HTM securities | 5,999,164 | 5,897,668 | ||||
Advances | 32,964,711 | 34,055,064 | ||||
Mortgage loans held for portfolio, net | 10,495,825 | 10,356,341 | ||||
Accrued interest receivable | 107,415 | 105,314 | ||||
Derivative assets, net | 140,278 | 128,206 | ||||
Grantor trust assets | [4] | 21,853 | 21,698 | |||
Liabilities: | ||||||
Deposits | 457,336 | 564,799 | ||||
Consolidated Obligations: | ||||||
Accrued interest payable | 140,637 | 135,691 | ||||
Derivative liabilities, net | 2,396 | 2,718 | ||||
MRCS | 163,782 | 164,322 | ||||
Unsettled discount notes, at par | Level 1 | ||||||
Consolidated Obligations: | ||||||
Discount notes | 0 | 0 | ||||
Unsettled discount notes, at par | Level 2 | ||||||
Consolidated Obligations: | ||||||
Discount notes | 19,595,701 | 20,394,192 | ||||
Unsettled discount notes, at par | Level 3 | ||||||
Consolidated Obligations: | ||||||
Discount notes | 0 | 0 | ||||
Unsettled discount notes, at par | Carrying value | ||||||
Consolidated Obligations: | ||||||
Discount notes | 19,556,171 | 20,358,157 | ||||
CO bonds | Level 1 | ||||||
Consolidated Obligations: | ||||||
Bonds | 0 | 0 | ||||
CO bonds | Level 2 | ||||||
Consolidated Obligations: | ||||||
Bonds | 37,713,776 | 37,998,928 | ||||
CO bonds | Level 3 | ||||||
Consolidated Obligations: | ||||||
Bonds | 0 | 0 | ||||
CO bonds | Carrying value | ||||||
Consolidated Obligations: | ||||||
Bonds | $ 37,778,855 | $ 37,895,653 | ||||
[1] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017. Previously, this amount was included with netting adjustments and cash collateral. | |||||
[2] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments within the gross recognized amount as of December 31, 2017. Previously, this amount was included with the gross amounts of netting adjustments and cash collateral. | |||||
[3] | 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. To conform with the current presentation, variation margin of $24,954 has been allocated to individual derivative instruments as of December 31, 2017. Previously, this amount was included with netting adjustments. | |||||
[4] | Included in other assets. |
Estimated Fair Values - Estimat
Estimated Fair Values - Estimated Fair Value on a Recurring and Non-Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | $ 7,222,912 | $ 7,128,758 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | [1] | 140,278 | 128,206 | [2] | |
Netting adjustment | [3] | (96,039) | (121,094) | [2] | |
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | [1] | 2,396 | 2,718 | [2] | |
Netting adjustment | [3] | (74,393) | (48,510) | [2] | |
GSE and TVA debentures | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,338,604 | 4,403,929 | |||
GSE MBS | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 2,677,086 | 2,506,295 | |||
Private-label RMBS | Residential Mortgage Backed Securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 207,222 | 218,534 | |||
Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 7,222,912 | 7,128,758 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 140,278 | 128,206 | |||
Netting adjustment | [3] | (96,039) | (121,094) | ||
Grantor trust assets | [4] | 21,853 | 21,698 | ||
Total assets at estimated fair value | 7,385,043 | 7,278,662 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 2,396 | 2,718 | |||
Netting adjustment | [3] | (74,393) | (48,510) | ||
Total liabilities at recurring estimated fair value | 2,396 | 2,718 | |||
Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 140,140 | 128,096 | |||
Netting adjustment | [3] | (96,039) | (121,094) | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 2,082 | 2,669 | |||
Netting adjustment | [3] | (74,393) | (48,510) | ||
Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 37 | ||||
Netting adjustment | [3] | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 291 | 1 | |||
Netting adjustment | [3] | 0 | 0 | ||
Fair Value, Measurements, Recurring | Interest-rate forwards | Mortgages | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 138 | 73 | |||
Netting adjustment | [3] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 23 | 48 | |||
Netting adjustment | [3] | 0 | 0 | ||
Fair Value, Measurements, Recurring | GSE and TVA debentures | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,338,604 | 4,403,929 | |||
Fair Value, Measurements, Recurring | GSE MBS | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 2,677,086 | 2,506,295 | |||
Fair Value, Measurements, Recurring | Private-label RMBS | Residential Mortgage Backed Securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 207,222 | 218,534 | |||
Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 2,204 | 2,637 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 2,204 | [5] | 2,637 | [6] | |
Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [7] | 21,853 | 21,698 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Mortgage loans held for portfolio | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [4] | 21,853 | 21,698 | ||
Total assets at estimated fair value | 21,853 | 21,698 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total liabilities at recurring estimated fair value | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | ||||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | Interest-rate forwards | Mortgages | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | GSE and TVA debentures | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | GSE MBS | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | Private-label RMBS | Residential Mortgage Backed Securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 0 | [5] | 0 | [6] | |
Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 7,015,690 | 6,910,224 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 236,317 | 249,300 | |||
Grantor trust assets | [7] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 76,789 | 51,228 | |||
Mortgage loans held for portfolio | 10,339,821 | 10,413,134 | |||
Level 2 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 7,015,690 | 6,910,224 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 236,317 | 249,300 | |||
Grantor trust assets | [4] | 0 | |||
Total assets at estimated fair value | 7,252,007 | 7,159,524 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 76,789 | 51,228 | |||
Total liabilities at recurring estimated fair value | 76,789 | 51,228 | |||
Level 2 | Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 236,179 | 249,190 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 76,475 | 51,179 | |||
Level 2 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 37 | ||||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 291 | 1 | |||
Level 2 | Fair Value, Measurements, Recurring | Interest-rate forwards | Mortgages | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 138 | 73 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 23 | 48 | |||
Level 2 | Fair Value, Measurements, Recurring | GSE and TVA debentures | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,338,604 | 4,403,929 | |||
Level 2 | Fair Value, Measurements, Recurring | GSE MBS | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 2,677,086 | 2,506,295 | |||
Level 2 | Fair Value, Measurements, Recurring | Private-label RMBS | Residential Mortgage Backed Securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Level 2 | Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 0 | [5] | 0 | [6] | |
Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 207,222 | 218,534 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [7] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Mortgage loans held for portfolio | 12,972 | 13,079 | |||
Level 3 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 207,222 | 218,534 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [4] | 0 | 0 | ||
Total assets at estimated fair value | 207,222 | 218,534 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total liabilities at recurring estimated fair value | 0 | 0 | |||
Level 3 | Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 3 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | ||||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 3 | Fair Value, Measurements, Recurring | Interest-rate forwards | Mortgages | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 3 | Fair Value, Measurements, Recurring | GSE and TVA debentures | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Level 3 | Fair Value, Measurements, Recurring | GSE MBS | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Level 3 | Fair Value, Measurements, Recurring | Private-label RMBS | Residential Mortgage Backed Securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 207,222 | 218,534 | |||
Level 3 | Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 2,204 | 2,637 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | $ 2,204 | [5] | $ 2,637 | [6] | |
[1] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments as of December 31, 2017. Previously, this amount was included with netting adjustments and cash collateral. | ||||
[2] | To conform with the current presentation, variation margin of $24,954 has been allocated to the individual derivative instruments within the gross recognized amount as of December 31, 2017. Previously, this amount was included with the gross amounts of netting adjustments and cash collateral. | ||||
[3] | 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. To conform with the current presentation, variation margin of $24,954 has been allocated to individual derivative instruments as of December 31, 2017. Previously, this amount was included with netting adjustments. | ||||
[4] | Included in other assets. | ||||
[5] | Amounts are as of the date the fair value adjustment was recorded during the three months ended March 31, 2018. | ||||
[6] | Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2017. | ||||
[7] | Included in other assets. |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) - Private-label RMBS - Residential Mortgage Backed Securities - Fair Value, Measurements, Recurring - Level 3 - AFS securities - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2018 | Mar. 31, 2017 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning of period | $ 218,534 | $ 269,119 |
Accretion of credit losses in interest income | 1,438 | 1,871 |
Net losses on changes in fair value in other income (loss) | 0 | (82) |
Net change in fair value not in excess of cumulative non-credit losses in OCI | 28 | (83) |
Unrealized gains (losses) in OCI | 3 | 592 |
Reclassification of non-credit portion in OCI to other income (loss) | 0 | 82 |
Settlements | (12,781) | (13,828) |
Balance, end of period | 207,222 | 257,671 |
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ 1,438 | $ 1,789 |
Commitments and Contingencies70
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2018 | Dec. 31, 2017 | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Cash collateral pledged | $ 131,213,000 | $ 16,437,000 | |
Letters of credit outstanding | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | 118,978,000 | ||
Off-balance-sheet commitments expire after one year | 116,218,000 | ||
Off-balance-sheet commitments, Total | 235,196,000 | ||
Unused lines of credit | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | [1] | 1,053,828,000 | |
Off-balance-sheet commitments expire after one year | [1] | 0 | |
Off-balance-sheet commitments, Total | [1] | 1,053,828,000 | |
Maximum line of credit | 50,000,000 | ||
Commitments to fund additional advances | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | [2] | 21,550,000 | |
Off-balance-sheet commitments expire after one year | [2] | 0 | |
Off-balance-sheet commitments, Total | [2] | $ 21,550,000 | |
Commitments to fund additional Advances are generally for periods up | 6 months | ||
Commitments to fund or purchase mortgage loans, net | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | [3] | $ 82,090,000 | |
Off-balance-sheet commitments expire after one year | [3] | 0 | |
Off-balance-sheet commitments, Total | [3] | $ 82,090,000 | |
Period for Mortgage Loan Commitments | 91 days | ||
CO bonds | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | $ 38,150,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | 38,150,000 | ||
Unsettled discount notes, at par | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | 669,132,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | $ 669,132,000 | ||
[1] | Maximum line of credit amount per member is $50,000. | ||
[2] | Generally for periods up to six months. | ||
[3] | Generally for periods up to 91 days. |
Related Party and Other Trans71
Related Party and Other Transactions (Details) - USD ($) $ in Thousands | 1 Months Ended | 2 Months Ended | 3 Months Ended | |||
Jan. 31, 2017 | Dec. 31, 2016 | Jan. 31, 2017 | Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | ||||||
Advances, par value | $ 33,182,807 | $ 34,169,469 | ||||
Disbursements | (300,000) | $ 0 | ||||
Principal repayments | 300,000 | 0 | ||||
Participating interest in mortgage loans sold | 90.00% | |||||
Principal amount of mortgage loans sold | $ 18,000 | $ 72,000 | $ 100,000 | |||
Directors' Financial Institutions | ||||||
Related Party Transaction [Line Items] | ||||||
Capital stock, par value | $ 37,832 | $ 40,564 | ||||
Capital stock, % of total | 2.00% | 2.00% | ||||
Advances, par value | $ 477,223 | $ 588,108 | ||||
Advances, % of total | 1.00% | 2.00% | ||||
Net capital stock issuances (redemptions and repurchases) | $ 846 | 1,210 | ||||
Net advances (repayments) | (97,300) | (12,249) | ||||
Mortgage loan purchases | $ 6,355 | $ 3,448 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ in Millions | May 02, 2018 | Jun. 30, 2018 |
Forecast | ||
Subsequent Event [Line Items] | ||
Marketable Securities, Realized Gain (Loss) | $ 32 | |
Subsequent Event | ||
Subsequent Event [Line Items] | ||
Investments, Sold at Par | $ 250 |