Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2019 | Apr. 30, 2019 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | Federal Home Loan Bank of Indianapolis | |
Entity Central Index Key | 0001331754 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2019 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
Entity Common Stock, Outstanding (in shares) | 21,852,143 | |
Entity Current Reporting Status | Yes |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Assets: | ||
Cash and due from banks | $ 73,099 | $ 100,735 |
Interest-bearing deposits | 316,530 | 1,210,705 |
Securities purchased under agreements to resell | 3,297,519 | 3,212,726 |
Federal funds sold | 3,100,000 | 3,085,000 |
Trading Securities | 1,121,889 | 0 |
Available-for-sale securities (Note 3) | 8,408,391 | 7,703,596 |
Held-to-maturity securities (estimated fair values of $5,456,391 and $5,676,145, respectively) (Note 3) | 5,454,506 | 5,673,720 |
Advances (Note 4) | 32,830,084 | 32,727,668 |
Mortgage loans held for portfolio, net of allowance for loan losses of $(600) and $(600), respectively (Notes 5 and 6) | 11,398,486 | 11,384,978 |
Accrued interest receivable | 132,955 | 124,611 |
Premises, software, and equipment, net | 36,645 | 37,198 |
Derivative assets, net (Note 7) | 175,687 | 116,764 |
Other assets | 36,976 | 33,998 |
Total assets | 66,382,767 | 65,411,699 |
Liabilities: | ||
Deposits | 698,727 | 500,440 |
Consolidated obligations (Note 8): | ||
Discount notes | 21,254,090 | 20,895,262 |
Bonds | 40,375,525 | 40,265,465 |
Total consolidated obligations, net | 61,629,615 | 61,160,727 |
Accrued interest payable | 179,334 | 179,728 |
Affordable Housing Program payable (Note 9) | 42,841 | 40,747 |
Derivative liabilities, net (Note 7) | 1,388 | 21,067 |
Mandatorily redeemable capital stock (Note 10) | 174,202 | 168,876 |
Other liabilities | 517,941 | 289,665 |
Total liabilities | 63,244,048 | 62,361,250 |
Commitments and contingencies (Note 14) | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | 1,985,330 | 1,930,952 |
Retained earnings: | ||
Unrestricted | 855,314 | 855,311 |
Restricted | 229,136 | 222,499 |
Total retained earnings | 1,084,450 | 1,077,810 |
Total accumulated other comprehensive income (Note 11) | 68,939 | 41,687 |
Total capital | 3,138,719 | 3,050,449 |
Total liabilities and capital | 66,382,767 | 65,411,699 |
Class B-1 issued and outstanding shares: 19,850,109 and 19,306,333, respectively | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | 1,985,011 | 1,930,633 |
Class B-2 issued and outstanding shares: 3,192 and 3,192, respectively | ||
Capital stock (putable at par value of $100 per share): | ||
Capital stock | $ 319 | $ 319 |
Statements of Condition (Unau_2
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Estimated fair value | $ 5,456,391 | $ 5,676,145 |
Allowance for loan losses | $ (600) | $ (600) |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 |
Class B-1 | ||
Common stock issued (in shares) | 19,850,109 | 19,306,333 |
Common stock outstanding (in shares) | 19,850,109 | 19,306,333 |
Class B-2 | ||
Common stock issued (in shares) | 3,192 | 3,192 |
Common stock outstanding (in shares) | 3,192 | 3,192 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Interest Income: | ||
Advances | $ 211,754 | $ 143,794 |
Interest-bearing deposits | 4,266 | 3,208 |
Securities purchased under agreements to resell | 19,814 | 5,097 |
Federal funds sold | 20,381 | 12,288 |
Trading Securities | 2,801 | 0 |
Available-for-sale securities | 49,481 | 40,566 |
Held-to-maturity securities | 40,884 | 34,920 |
Mortgage loans held for portfolio | 96,253 | 83,554 |
Other interest income | 0 | 12 |
Total interest income | 445,634 | 323,439 |
Interest Expense: | ||
Consolidated obligation discount notes | 119,374 | 70,358 |
Consolidated obligation bonds | 263,009 | 178,228 |
Deposits | 2,994 | 1,977 |
Mandatorily redeemable capital stock | 2,718 | 2,745 |
Total interest expense | 388,095 | 253,308 |
Net interest income | 57,539 | 70,131 |
Provision for (reversal of) credit losses | 54 | (104) |
Net interest income after provision for credit losses | 57,485 | 70,235 |
Other Income: | ||
Net gains on trading securities | 4,071 | 0 |
Net gains (losses) on derivatives and hedging activities | (3,422) | 5,932 |
Other, net | 2,015 | (68) |
Total other income (loss) | 3,016 | 6,187 |
Other Expenses: | ||
Compensation and benefits | 14,133 | 12,977 |
Other operating expenses | 5,974 | 6,418 |
Federal Housing Finance Agency | 996 | 920 |
Office of Finance | 1,136 | 1,191 |
Other | 1,088 | 891 |
Total other expenses | 23,327 | 22,397 |
Income before assessments | 37,174 | 54,025 |
Affordable Housing Program assessments | 3,989 | 5,677 |
Net income | 33,185 | 48,348 |
Correspondent Clearing [Member] | ||
Revenue from Contract with Customer, Including Assessed Tax | 193 | 225 |
Financial Service, Other [Member] | ||
Revenue from Contract with Customer, Including Assessed Tax | $ 159 | $ 98 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 33,185 | $ 48,348 |
Other Comprehensive Income: | ||
Net change in unrealized gains on available-for-sale securities | 26,905 | 22,553 |
Net non-credit portion of other-than-temporary impairment losses | 0 | 29 |
Pension benefits, net | 347 | 323 |
Total other comprehensive income (loss) | 27,252 | 22,905 |
Total comprehensive income | $ 60,437 | $ 71,253 |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | $ 3,050,449 | $ 2,945,506 |
Total comprehensive income | 60,437 | 71,253 |
Proceeds from issuance of capital stock | 56,487 | 23,179 |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | (2,109) | 0 |
Cash dividends on capital stock (6.75% and 5.50% respectively, annualized) | (26,545) | (31,014) |
Ending balance | $ 3,138,719 | $ 3,008,924 |
Capital Stock | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance (in shares) | 19,310 | 18,578 |
Beginning balance | $ 1,930,952 | $ 1,857,766 |
Proceeds from issuance of capital stock (in shares) | 564 | 231 |
Proceeds from issuance of capital stock | $ 56,487 | $ 23,179 |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | (21) | |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | $ (2,109) | |
Ending Balance (in shares) | 19,853 | 18,809 |
Ending balance | $ 1,985,330 | $ 1,880,945 |
Accumulated Other Comprehensive Income | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | 41,687 | 111,406 |
Total comprehensive income | 27,252 | 22,905 |
Ending balance | 68,939 | 134,311 |
Retained Earnings Total [Member] | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | 1,077,810 | 976,334 |
Total comprehensive income | 33,185 | 48,348 |
Cash dividends on capital stock (6.75% and 5.50% respectively, annualized) | (26,545) | (31,014) |
Ending balance | 1,084,450 | 993,668 |
Retained Earnings, Unrestricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | 855,311 | 792,783 |
Total comprehensive income | 26,548 | 38,678 |
Cash dividends on capital stock (6.75% and 5.50% respectively, annualized) | (26,545) | (31,014) |
Ending balance | 855,314 | 800,447 |
Retained Earnings, Restricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance | 222,499 | 183,551 |
Total comprehensive income | 6,637 | 9,670 |
Ending balance | $ 229,136 | $ 193,221 |
Statements of Capital (Unaudi_2
Statements of Capital (Unaudited) (Parenthetical) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Statement of Stockholders' Equity [Abstract] | ||
Annualized dividend rate on capital stock | 5.50% | 6.75% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Operating Activities: | |||
Net income | $ 33,185 | $ 48,348 | |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Amortization and depreciation | 18,150 | 15,140 | |
Changes in net derivative and hedging activities | (114,276) | 95,082 | |
Provision for (reversal of) credit losses | 54 | (104) | |
Net change in fair-value adjustments on trading securities | (4,071) | 0 | |
Changes in: | |||
Accrued interest receivable | (11,354) | (2,128) | |
Other assets | (1,394) | 651 | |
Accrued interest payable | (568) | 5,063 | |
Other liabilities | (1,918) | 3,290 | |
Total adjustments, net | (115,377) | 116,994 | |
Net cash provided by (used in) operating activities | (82,192) | 165,342 | |
Net change in: | |||
Interest-bearing deposits | 823,372 | (228,149) | |
Securities purchased under agreements to resell | (84,793) | (67,740) | |
Federal funds sold | (15,000) | 532,000 | |
Payments to Acquire Trading Securities Held-for-investment | (1,117,818) | 0 | |
Available-for-sale securities: | |||
Proceeds from maturities | 0 | 12,781 | |
Payments to Acquire Debt Securities, Available-for-sale | 315,000 | 236,181 | |
Held-to-maturity securities: | |||
Proceeds from maturities | 216,391 | 163,884 | |
Purchases | 0 | (264,633) | |
Advances: | |||
Principal repayments | 116,068,059 | 85,397,827 | |
Disbursements to members | (116,072,114) | (84,411,165) | |
Mortgage loans held for portfolio: | |||
Principal collections | 244,645 | 279,197 | |
Purchases from members | (257,582) | (429,338) | |
Purchases of premises, software, and equipment | (1,113) | (1,413) | |
Loans to other Federal Home Loan Banks: | |||
Principal repayments | 0 | 300,000 | |
Disbursements | 0 | (300,000) | |
Net cash provided by (used in) investing activities | (510,953) | 747,070 | |
Financing Activities: | |||
Changes in deposits | 115,127 | (43,740) | |
Net payments on derivative contracts with financing elements | (975) | (2,324) | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 95,442,803 | 89,946,844 | |
Bonds | 5,429,231 | 4,364,745 | |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (95,087,066) | (90,751,935) | |
Bonds | (5,366,770) | (4,396,040) | |
Proceeds from issuance of capital stock | 56,487 | 23,179 | |
Proceeds from Issuance of MRCS | [1] | 3,704 | 0 |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (487) | (540) | |
Dividend payments on capital stock | (26,545) | (31,014) | |
Net cash provided by (used in) financing activities | 565,509 | (890,825) | |
Net increase (decrease) in cash and due from banks | (27,636) | 21,587 | |
Cash and due from banks at beginning of period | 100,735 | 55,269 | |
Cash and due from banks at end of period | 73,099 | 76,856 | |
Supplemental Disclosures: | |||
Interest payments | 379,523 | 239,477 | |
Purchases of securities, traded but not yet settled | 225,222 | 0 | |
Affordable Housing Program payments | [2] | 1,895 | 2,757 |
Capitalized interest on certain held-to-maturity securities | 1,160 | 1,620 | |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | 2,109 | $ 0 | |
Common Stock [Member] | |||
Supplemental Disclosures: | |||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | $ 2,109 | ||
[1] | Represents a purchase of capital stock by a captive insurance company member, which is considered mandatorily redeemable as a result of the Final Membership Rule. | ||
[2] | 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, 2019 | |
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 2018 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 2018 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 2018 Form 10-K in Note 1 - Summary of Significant Accounting Policies . See Note 2 - Recently Adopted and Issued Accounting Guidance for the changes effective January 1, 2019. 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 and provision for credit losses. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 3 Months Ended |
Mar. 31, 2019 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted Accounting Guidance Recently Adopted Accounting Guidance. Leases (ASU 2016-02). On February 25, 2016, the FASB issued guidance which requires a lessee, in an operating or finance lease, to recognize on the statement of condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for a lease with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize a lease asset and lease liability. Under previous guidance, a lessee was not required to recognize a lease asset and lease liability arising from an operating lease on the statement of condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP. This guidance was effective for the interim and annual periods beginning on January 1, 2019. Upon adoption, we reported higher assets and liabilities as a result of including right-of-use assets and lease liabilities on the statement of condition, but its effect on our financial condition, results of operations, and cash flows was not material. Premium Amortization on Purchased Callable Debt Securities (ASU 2017-08). On March 30, 2017, the FASB issued guidance to shorten the amortization period for certain callable debt securities purchased at a premium. Specifically, the guidance requires the premium to be amortized to the earliest call date. No change is required for securities purchased at a discount, which continue to be amortized to their contractual maturities. This guidance was effective for the interim and annual periods beginning on January 1, 2019. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows. Targeted Improvements to Accounting for Hedging Activities (ASU 2017-12). On August 28, 2017, the FASB issued amended guidance to improve the financial reporting of hedging relationships to better portray the economic results of an entity's risk management activities in its financial statements. This guidance requires that, for fair-value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item. This guidance was effective for the interim and annual periods beginning on January 1, 2019. The adoption of this guidance had no effect on our financial condition, net income, or cash flows. However, the adoption resulted in a prospective reclassification in the statement of income of net losses from the change in fair value of hedging instruments and related hedged items in fair-value hedging relationships from other income to interest income for the three months ended March 31, 2019 of $13,876 . Inclusion of SOFR OIS Rate as a Benchmark Interest Rate for Hedge Accounting Purposes (ASU 2018-16) . On October 25, 2018, to facilitate the LIBOR to SOFR transition, the FASB issued guidance permitting the use of the OIS rate based on SOFR as an eligible U.S. benchmark interest rate for hedge accounting purposes. This guidance was effective for the interim and annual periods beginning on January 1, 2019, concurrent with the adoption of ASU 2017-12. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows. |
Investment Securities
Investment Securities | 3 Months Ended |
Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | Note 3 - Investment Securities Trading Securities. In January 2019, the Bank began purchasing U.S. Treasury securities classified as trading securities. Net Gains (Losses) on Trading Securities. The following table presents net gains (losses) on trading securities. Three Months Ended March 31, 2019 2018 Net gains on trading securities held at period end $ 4,071 $ — Net gains (losses) on trading securities that sold/matured during the period — — Net gains on trading securities $ 4,071 $ — Available-for-Sale Securities. Major Security Types. The following table presents our AFS securities by type of security. Gross Gross Amortized Unrealized Unrealized Estimated March 31, 2019 Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 4,294,155 $ 43,559 $ — $ 4,337,714 GSE MBS 4,034,345 43,958 (7,626 ) 4,070,677 Total AFS securities $ 8,328,500 $ 87,517 $ (7,626 ) $ 8,408,391 December 31, 2018 GSE and TVA debentures $ 4,239,622 $ 37,458 $ — $ 4,277,080 GSE MBS 3,410,988 27,797 (12,269 ) 3,426,516 Total AFS securities $ 7,650,610 $ 65,255 $ (12,269 ) $ 7,703,596 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal and, if applicable, fair-value hedging 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, 2019 Fair Value Losses Fair Value Losses Fair Value Losses GSE MBS $ 1,059,501 $ (6,396 ) $ 138,418 $ (1,230 ) $ 1,197,919 $ (7,626 ) Total impaired AFS securities $ 1,059,501 $ (6,396 ) $ 138,418 $ (1,230 ) $ 1,197,919 $ (7,626 ) December 31, 2018 GSE MBS $ 1,256,816 $ (12,269 ) $ — $ — $ 1,256,816 $ (12,269 ) Total impaired AFS securities $ 1,256,816 $ (12,269 ) $ — $ — $ 1,256,816 $ (12,269 ) Realized Gains and Losses. There were no sales of AFS securities during the three months ended March 31, 2019 . As of March 31, 2019 , we had no intention of selling any 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. Major Security Types. The following table presents our HTM securities by type of security. Gross Gross Unrecognized Unrecognized Amortized Holding Holding Estimated March 31, 2019 Cost (1) Gains Losses Fair Value MBS: Other U.S. obligations - guaranteed MBS $ 3,389,459 $ 8,621 $ (8,385 ) $ 3,389,695 GSE MBS 2,065,047 10,967 (9,318 ) 2,066,696 Total HTM securities $ 5,454,506 $ 19,588 $ (17,703 ) $ 5,456,391 December 31, 2018 MBS: Other U.S. obligations - guaranteed MBS $ 3,468,882 $ 11,034 $ (1,552 ) $ 3,478,364 GSE MBS 2,204,838 7,673 (14,730 ) 2,197,781 Total HTM securities $ 5,673,720 $ 18,707 $ (16,282 ) $ 5,676,145 (1) Carrying value equals amortized cost. Includes adjustments made to the cost basis of an investment for accretion, amortization and collection of principal. 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, 2019 Fair Value Losses Fair Value Losses Fair Value Losses MBS: Other U.S. obligations - guaranteed MBS $ 1,219,856 $ (6,365 ) $ 560,179 $ (2,020 ) $ 1,780,035 $ (8,385 ) GSE MBS 229,530 (209 ) 775,328 (9,109 ) 1,004,858 (9,318 ) Total impaired HTM securities $ 1,449,386 $ (6,574 ) $ 1,335,507 $ (11,129 ) $ 2,784,893 $ (17,703 ) December 31, 2018 MBS: Other U.S. obligations - guaranteed MBS $ 829,121 $ (873 ) $ 417,952 $ (679 ) $ 1,247,073 $ (1,552 ) GSE MBS 435,756 (890 ) 716,647 (13,840 ) 1,152,403 (14,730 ) Total impaired HTM securities $ 1,264,877 $ (1,763 ) $ 1,134,599 $ (14,519 ) $ 2,399,476 $ (16,282 ) Other-Than-Temporary Impairment. Evaluation Process and Results - 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, 2019 are considered temporary. |
Advances
Advances | 3 Months Ended |
Mar. 31, 2019 | |
Advances [Abstract] | |
Advances | Note 4 - Advances The following table presents advances outstanding by redemption term. March 31, 2019 December 31, 2018 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 3,683 2.50 $ — — Due in 1 year or less 14,861,003 2.52 15,595,985 2.47 Due after 1 year through 2 years 2,961,722 2.29 2,957,861 2.19 Due after 2 years through 3 years 2,063,334 2.45 2,444,486 2.46 Due after 3 years through 4 years 2,474,991 2.50 2,139,695 2.36 Due after 4 years through 5 years 2,478,616 2.57 1,977,925 2.76 Thereafter 7,990,067 2.48 7,713,409 2.41 Total advances, par value 32,833,416 2.49 32,829,361 2.44 Fair-value hedging adjustments (6,733 ) (106,499 ) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 3,401 4,806 Total advances $ 32,830,084 $ 32,727,668 The following table presents advances outstanding by the earlier of the redemption date or the next call date and next put date. Earlier of Redemption or Next Call Date Earlier of Redemption or Next Put Date March 31, December 31, March 31, December 31, Overdrawn demand and overnight deposit accounts $ 3,683 $ — $ 3,683 $ — Due in 1 year or less 21,481,614 22,574,897 15,603,103 15,595,985 Due after 1 year through 2 years 2,203,573 2,061,411 3,761,222 3,682,461 Due after 2 years through 3 years 1,320,034 1,356,186 3,044,234 3,660,486 Due after 3 years through 4 years 1,716,401 1,581,905 3,156,216 2,547,995 Due after 4 years through 5 years 1,981,516 1,425,525 2,359,396 2,633,030 Thereafter 4,126,595 3,829,437 4,905,562 4,709,404 Total advances, par value $ 32,833,416 $ 32,829,361 $ 32,833,416 $ 32,829,361 Credit Risk Exposure and Security Terms. At both March 31, 2019 and December 31, 2018 , our top five borrowers held 40% 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, 2019 and December 31, 2018 that was well in excess of the advances outstanding on those dates, respectively. For information related to our credit risk on advances and allowance methodology for credit losses, see Note 7 - Allowance for Credit Losses in our 2018 Form 10-K. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 3 Months Ended |
Mar. 31, 2019 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Note 5 - Mortgage Loans Held for Portfolio The following tables present information on mortgage loans held for portfolio by term, type and product. Term March 31, 2019 December 31, 2018 Fixed-rate long-term mortgages $ 10,185,796 $ 10,145,476 Fixed-rate medium-term (1) mortgages 965,206 992,059 Total mortgage loans held for portfolio, UPB 11,151,002 11,137,535 Unamortized premiums 251,230 251,778 Unamortized discounts (2,382 ) (2,415 ) Fair-value hedging adjustments (764 ) (1,320 ) Allowance for loan losses (600 ) (600 ) Total mortgage loans held for portfolio, net $ 11,398,486 $ 11,384,978 (1) Defined as a term of 15 years or less at origination. Type March 31, 2019 December 31, 2018 Conventional $ 10,793,311 $ 10,769,980 Government-guaranteed or -insured 357,691 367,555 Total mortgage loans held for portfolio, UPB $ 11,151,002 $ 11,137,535 Product March 31, 2019 December 31, 2018 MPP $ 10,896,089 $ 10,875,079 MPF Program 254,913 262,456 Total mortgage loans held for portfolio, UPB $ 11,151,002 $ 11,137,535 For information related to our credit risk on mortgage loans and allowance methodology for loan losses, see Note 6 - Allowance for Credit Losses . |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2019 | |
Receivables [Abstract] | |
Allowance for Credit Losses | Note 6 - 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 7 - Allowance for Credit Losses in our 2018 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 2019 2018 Liability, beginning of period $ 174,096 $ 148,715 Additions 3,070 5,146 Claims paid (87 ) (170 ) Distributions to PFIs (442 ) (417 ) Liability, end of period $ 176,637 $ 153,274 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, 2019 Conventional Government Total Past due: 30-59 days $ 50,134 $ 8,993 $ 59,127 60-89 days 6,542 2,008 8,550 90 days or more 13,089 2,273 15,362 Total past due 69,765 13,274 83,039 Total current 11,017,338 350,359 11,367,697 Total mortgage loans, recorded investment (1) $ 11,087,103 $ 363,633 $ 11,450,736 Delinquency Status as of December 31, 2018 Past due: 30-59 days $ 36,594 $ 9,352 $ 45,946 60-89 days 7,904 2,870 10,774 90 days or more 13,764 1,697 15,461 Total past due 58,262 13,919 72,181 Total current 11,003,243 359,758 11,363,001 Total mortgage loans, recorded investment (1) $ 11,061,505 $ 373,677 $ 11,435,182 Other Delinquency Statistics as of March 31, 2019 Conventional Government Total In process of foreclosure (2) $ 5,833 $ — $ 5,833 Serious delinquency rate (3) 0.12 % 0.62 % 0.13 % Past due 90 days or more still accruing interest (4) $ 12,203 $ 2,273 $ 14,476 On non-accrual status $ 1,630 $ — $ 1,630 Other Delinquency Statistics as of December 31, 2018 In process of foreclosure (2) $ 6,836 $ — $ 6,836 Serious delinquency rate (3) 0.12 % 0.45 % 0.14 % Past due 90 days or more still accruing interest (4) $ 12,849 $ 1,697 $ 14,546 On non-accrual status $ 1,762 $ — $ 1,762 (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, 2019 December 31, 2018 MPP estimated incurred losses remaining after borrower's equity, before credit enhancements (1) $ 3,647 $ 3,505 Portion of estimated incurred losses recoverable from credit enhancements: PMI (671 ) (627 ) LRA (2) (1,230 ) (1,137 ) SMI (1,261 ) (1,256 ) Total portion recoverable from credit enhancements (3,162 ) (3,020 ) Allowance for unrecoverable PMI/SMI 15 15 Allowance for MPP loan losses 500 500 Allowance for MPF Program loan losses 100 100 Allowance for loan losses $ 600 $ 600 (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 2019 2018 Balance, beginning of period $ 600 $ 850 Charge-offs (54 ) (150 ) Recoveries — 254 Provision for (reversal of) loan losses 54 (104 ) Balance, end of period $ 600 $ 850 Allowance for Loan Losses by Impairment Methodology March 31, 2019 December 31, 2018 Conventional loans collectively evaluated for impairment $ 529 $ 563 Conventional loans individually evaluated for impairment (1) 71 37 Total allowance for loan losses $ 600 $ 600 Recorded Investment by Impairment Methodology March 31, 2019 December 31, 2018 Conventional loans collectively evaluated for impairment $ 11,073,598 $ 11,048,075 Conventional loans individually evaluated for impairment (1) 13,505 13,430 Total recorded investment in conventional loans $ 11,087,103 $ 11,061,505 (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, 2019 and December 31, 2018 of $1,687 and $1,552 , 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, 2019 and December 31, 2018 includes $17 and $16 , respectively, for these potential claims. |
Derivative and Hedging Activiti
Derivative and Hedging Activities | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities | Note 7 - 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, 2019 was $93 , for which we were not required to post collateral. 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, 2019 . Cleared Derivatives. The clearinghouse determines margin requirements which are generally not based on credit ratings. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At March 31, 2019 , we were not required by our clearing agents to post any additional margin. 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. Estimated Fair Value Estimated Fair Value Notional of Derivative of Derivative March 31, 2019 Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 36,201,215 $ 118,458 $ 141,830 Total derivatives designated as hedging instruments 36,201,215 118,458 141,830 Derivatives not designated as hedging instruments: Interest-rate swaps 1,976,930 1,001 104 Swaptions 1,000,000 1 — Interest-rate caps/floors 679,500 444 — Interest-rate forwards 51,800 — 521 MDCs 49,856 171 15 Total derivatives not designated as hedging instruments 3,758,086 1,617 640 Total derivatives before adjustments $ 39,959,301 120,075 142,470 Netting adjustments and cash collateral (1) 55,612 (141,082 ) Total derivatives, net $ 175,687 $ 1,388 December 31, 2018 Derivatives designated as hedging instruments: Interest-rate swaps $ 35,135,617 $ 174,990 $ 123,331 Total derivatives designated as hedging instruments 35,135,617 174,990 123,331 Derivatives not designated as hedging instruments: Interest-rate swaps 965,930 562 106 Swaptions 950,000 105 — Interest-rate caps/floors 679,500 999 — Interest-rate forwards 44,100 — 202 MDCs 43,753 146 23 Total derivatives not designated as hedging instruments 2,683,283 1,812 331 Total derivatives before adjustments $ 37,818,900 176,802 123,662 Netting adjustments and cash collateral (1) (60,038 ) (102,595 ) Total derivatives, net $ 116,764 $ 21,067 (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2019 and December 31, 2018 , including accrued interest, totaled $198,754 and $127,952 , respectively. Cash collateral received from counterparties and held at March 31, 2019 and December 31, 2018 , including accrued interest, totaled $2,060 and $85,395 , 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 held or pledged. March 31, 2019 December 31, 2018 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 102,753 $ 140,000 $ 174,725 $ 106,333 Cleared 17,151 1,934 1,931 17,104 Total gross recognized amount 119,904 141,934 176,656 123,437 Gross amounts of netting adjustments and cash collateral Uncleared (81,380 ) (139,148 ) (168,426 ) (85,491 ) Cleared 136,992 (1,934 ) 108,388 (17,104 ) Total gross amounts of netting adjustments and cash collateral 55,612 (141,082 ) (60,038 ) (102,595 ) Net amounts after netting adjustments and cash collateral Uncleared 21,373 852 6,299 20,842 Cleared 154,143 — 110,319 — Total net amounts after netting adjustments and cash collateral 175,516 852 116,618 20,842 Derivative instruments not meeting netting requirements (1) 171 536 146 225 Total derivatives, at estimated fair value $ 175,687 $ 1,388 $ 116,764 $ 21,067 (1) Includes MDCs and certain interest-rate forwards. The following table presents the components of net gains (losses) on derivatives and hedging activities reported in other income. Three Months Ended March 31, Type of Hedge 2019 2018 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ — $ 7,324 Total net gain (loss) related to fair-value hedge ineffectiveness — 7,324 Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 493 172 Swaptions (172 ) (58 ) Interest-rate caps/floors (555 ) 48 Interest-rate forwards (639 ) 1,248 Net interest settlements (3,117 ) (638 ) MDCs 568 (1,370 ) Total net gain (loss) on derivatives not designated as hedging instruments (3,422 ) (598 ) Price alignment interest (1) — (794 ) Net gains (losses) on derivatives and hedging activities in other income $ (3,422 ) $ 5,932 (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. For 2019, the portion related to derivatives not designated as hedging instruments is allocated to the applicable type of derivative. Beginning January 1, 2019, changes in the estimated fair value of the derivative hedging instrument and the associated hedged item attributable to the hedged risk for qualifying fair-value hedging relationships are prospectively included in the same line in the statement of income as the earnings effect of the hedged item. As a result, such changes in fair value are recorded in net interest income instead of other income for the three months ended March 31, 2019. Prior period amounts presented have not been reclassified. See Note 2 - Recently Adopted Accounting Guidance for more details. The following table presents, by type of hedged item, the net gains (losses) on derivatives and the related hedged items in qualifying fair-value hedging relationships and the impact on net interest income. Three Months Ended March 31, 2019 Advances Investments CO Bonds Total Changes in fair value: Hedged items $ 100,190 $ 137,793 $ (44,572 ) $ 193,411 Derivatives (104,842 ) (149,036 ) 46,591 (207,287 ) Net changes in fair value before price alignment interest (4,652 ) (11,243 ) 2,019 (13,876 ) Price alignment interest (1) (250 ) (920 ) 53 (1,117 ) Net interest settlements on derivatives (2) (3) 23,232 13,483 (18,952 ) 17,763 Amortization/accretion of active hedging relationships — 80 70 150 Net gains (losses) on qualifying fair-value hedging relationships 18,330 1,400 (16,810 ) 2,920 Amortization/accretion of discontinued fair-value hedging relationships (7 ) — (3,470 ) (3,477 ) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 18,323 $ 1,400 $ (20,280 ) $ (557 ) Three Months Ended March 31, 2018 Advances Investments CO Bonds Total Changes in fair value: Hedged items $ (100,748 ) $ (150,582 ) $ 85,234 $ (166,096 ) Derivatives 103,608 154,327 (84,515 ) 173,420 Net changes in fair value 2,860 3,745 719 7,324 Net interest settlements on derivatives (2) (3) 1,339 (3,310 ) 1,264 (707 ) Amortization/accretion of active hedging relationships — 86 89 175 Net gains (losses) on qualifying fair-value hedging relationships 4,199 521 2,072 6,792 Add: amortization/accretion of discontinued fair-value hedging relationships (12 ) — (701 ) (713 ) Less: net changes in fair value (4) (2,860 ) (3,745 ) (719 ) (7,324 ) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 1,327 $ (3,224 ) $ 652 $ (1,245 ) (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. (2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (3) Excludes the interest income/expense of the respective hedged items. (4) Included in other income. The following table presents the amortized cost, and the related cumulative basis adjustments, on hedged items in qualifying fair-value hedging relationships. March 31, 2019 Advances Investments CO Bonds Total Amortized cost of hedged items (1) $ 14,825,791 $ 8,328,500 $ 13,429,451 $ 36,583,742 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships $ (6,733 ) $ (97,656 ) $ 54,616 $ (49,773 ) For discontinued fair-value hedging relationships — — 142 142 Total cumulative fair-value hedging basis adjustments on hedged items (2) $ (6,733 ) $ (97,656 ) $ 54,758 $ (49,631 ) (1) Includes only the portion of the amortized cost of the hedged items in qualifying fair-value hedging relationships. (2) Excludes any offsetting effect of the net fair value of the associated derivatives. |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 8 - 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 both March 31, 2019 and December 31, 2018 . 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, 2019 December 31, 2018 Book value $ 21,254,090 $ 20,895,262 Par value $ 21,320,545 $ 20,952,650 Weighted average effective interest rate 2.43 % 2.34 % CO Bonds. The following table presents our CO bonds outstanding by contractual maturity. March 31, 2019 December 31, 2018 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 19,752,490 2.27 $ 18,456,870 2.07 Due after 1 year through 2 years 7,716,745 2.28 8,823,285 2.30 Due after 2 years through 3 years 2,363,370 2.48 2,640,620 2.42 Due after 3 years through 4 years 3,078,650 2.35 3,024,000 2.33 Due after 4 years through 5 years 1,092,625 2.73 998,375 2.54 Thereafter 6,432,350 3.21 6,431,700 3.21 Total CO bonds, par value 40,436,230 2.45 40,374,850 2.36 Unamortized premiums 22,306 23,493 Unamortized discounts (14,818 ) (15,992 ) Unamortized concessions (13,435 ) (14,085 ) Fair-value hedging adjustments (54,758 ) (102,801 ) Total CO bonds $ 40,375,525 $ 40,265,465 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, 2019 December 31, 2018 Non-callable / non-putable $ 26,394,230 $ 27,462,850 Callable 14,042,000 12,912,000 Total CO bonds, par value $ 40,436,230 $ 40,374,850 Year of Contractual Maturity or Next Call Date March 31, 2019 December 31, 2018 Due in 1 year or less $ 32,609,490 $ 30,331,870 Due after 1 year through 2 years 4,080,745 6,069,285 Due after 2 years through 3 years 864,370 1,043,620 Due after 3 years through 4 years 641,650 626,000 Due after 4 years through 5 years 443,625 503,375 Thereafter 1,796,350 1,800,700 Total CO bonds, par value $ 40,436,230 $ 40,374,850 |
Affordable Housing Program
Affordable Housing Program | 3 Months Ended |
Mar. 31, 2019 | |
Affordable Housing Program (AHP) [Abstract] | |
Affordable Housing Program | Note 9 - Affordable Housing Program The following table summarizes the activity in our AHP funding obligation. Three Months Ended March 31, AHP Activity 2019 2018 Liability at beginning of period $ 40,747 $ 32,166 Assessment (expense) 3,989 5,677 Subsidy usage, net (1) (1,895 ) (2,757 ) Liability at end of period $ 42,841 $ 35,086 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital
Capital | 3 Months Ended |
Mar. 31, 2019 | |
Stockholders' Equity Note [Abstract] | |
Capital | Note 10 - Capital Mandatorily Redeemable Capital Stock. The following table presents the activity in our MRCS. Three Months Ended March 31, MRCS Activity 2019 2018 Liability at beginning of period $ 168,876 $ 164,322 Reclassification from capital stock 2,109 — Proceeds from issuance (1) 3,704 — Redemptions/repurchases (487 ) (540 ) Liability at end of period $ 174,202 $ 163,782 (1) Represents a purchase of capital stock by a captive insurance company member, which is considered mandatorily redeemable as a result of the Final Membership Rule. 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, 2019 December 31, 2018 Year 1 (1) $ 828 $ 1,316 Year 2 — — Year 3 8,649 8,649 Year 4 — — Year 5 28,833 26,723 Thereafter (2) 135,892 132,188 Total MRCS $ 174,202 $ 168,876 (1) Balances at March 31, 2019 and December 31, 2018 include $815 and $1,304 , 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 respective terminations of membership no later than February 19, 2021, in accordance with the Final Membership Rule. However, upon their respective terminations, we currently intend to repurchase their excess stock (if any) in accordance with our capital plan, the balances of which at March 31, 2019 and December 31, 2018 totaled $61,642 and $57,938 , respectively. The following table presents the distributions related to MRCS. Three Months Ended March 31, MRCS Distributions 2019 2018 Recorded as interest expense $ 2,718 $ 2,745 Recorded as distributions from retained earnings — — Total $ 2,718 $ 2,745 Capital Requirements. We are subject to three capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 13 - Capital in our 2018 Form 10-K. As presented in the following table, we were in compliance with those requirements at March 31, 2019 and December 31, 2018 . March 31, 2019 December 31, 2018 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 806,270 $ 3,243,982 $ 786,925 $ 3,177,638 Total regulatory capital $ 2,655,311 $ 3,243,982 $ 2,616,468 $ 3,177,638 Total regulatory capital-to-asset ratio 4.00 % 4.89 % 4.00 % 4.86 % Leverage capital $ 3,319,138 $ 4,865,973 $ 3,270,585 $ 4,766,457 Leverage ratio 5.00 % 7.33 % 5.00 % 7.29 % |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 3 Months Ended |
Mar. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive Income (Loss) | Note 11 - Accumulated Other Comprehensive Income 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, 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: 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 Balance, December 31, 2018 $ 52,986 $ — $ — $ (11,299 ) $ 41,687 OCI before reclassifications: Net change in unrealized gains (losses) 26,905 — — — 26,905 Reclassifications from OCI to net income: Pension benefits, net — — — 347 347 Total other comprehensive income (loss) 26,905 — — 347 27,252 Balance, March 31, 2019 $ 79,891 $ — $ — $ (10,952 ) $ 68,939 |
Segment Information
Segment Information | 3 Months Ended |
Mar. 31, 2019 | |
Segment Reporting [Abstract] | |
Segment Information | Note 12 - Segment Information The following table presents our financial performance by operating segment. Three Months Ended March 31, 2019 Three Months Ended March 31, 2018 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 39,227 $ 18,312 $ 57,539 $ 52,324 $ 17,807 $ 70,131 Provision for (reversal of) credit losses — 54 54 — (104 ) (104 ) Other income (loss) 3,185 (169 ) 3,016 6,342 (155 ) 6,187 Other expenses 19,976 3,351 23,327 18,816 3,581 22,397 Income before assessments 22,436 14,738 37,174 39,850 14,175 54,025 Affordable Housing Program assessments 2,515 1,474 3,989 4,259 1,418 5,677 Net income $ 19,921 $ 13,264 $ 33,185 $ 35,591 $ 12,757 $ 48,348 The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total March 31, 2019 $ 54,984,281 $ 11,398,486 $ 66,382,767 December 31, 2018 54,026,721 11,384,978 65,411,699 |
Estimated Fair Values
Estimated Fair Values | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Note 13 - 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, 2019 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 73,099 $ 73,099 $ 73,099 $ — $ — $ — Interest-bearing deposits 316,530 316,530 316,000 530 — — Securities purchased under agreements to resell 3,297,519 3,297,525 — 3,297,525 — — Federal funds sold 3,100,000 3,100,000 — 3,100,000 — — Trading securities 1,121,889 1,121,889 — 1,121,889 — — AFS securities 8,408,391 8,408,391 — 8,408,391 — — HTM securities 5,454,506 5,456,391 — 5,456,391 — — Advances 32,830,084 32,800,748 — 32,800,748 — — Mortgage loans held for portfolio, net 11,398,486 11,381,234 — 11,371,641 9,593 — Accrued interest receivable 132,955 132,955 — 132,955 — — Derivative assets, net 175,687 175,687 — 120,075 — 55,612 Grantor trust assets (2) 23,251 23,251 23,251 — — — Liabilities: Deposits 698,727 698,727 — 698,727 — — Consolidated obligations: Discount notes 21,254,090 21,254,396 — 21,254,396 — — Bonds 40,375,525 40,452,170 — 40,452,170 — — Accrued interest payable 179,334 179,334 — 179,334 — — Derivative liabilities, net 1,388 1,388 — 142,470 — (141,082 ) MRCS 174,202 174,202 174,202 — — — December 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 $ 100,735 $ 100,735 $ 100,735 $ — $ — $ — Interest-bearing deposits 1,210,705 1,210,705 1,210,039 666 — — Securities purchased under agreements to resell 3,212,726 3,212,728 — 3,212,728 — — Federal funds sold 3,085,000 3,085,000 — 3,085,000 — — AFS securities 7,703,596 7,703,596 — 7,703,596 — — HTM securities 5,673,720 5,676,145 — 5,676,145 — — Advances 32,727,668 32,669,145 — 32,669,145 — — Mortgage loans held for portfolio, net 11,384,978 11,212,978 — 11,202,984 9,994 — Accrued interest receivable 124,611 124,611 — 124,611 — — Derivative assets, net 116,764 116,764 — 176,802 — (60,038 ) Grantor trust assets (2) 21,122 21,122 21,122 — — — Liabilities: Deposits 500,440 500,440 — 500,440 — — Consolidated obligations: Discount notes 20,895,262 20,895,446 — 20,895,446 — — Bonds 40,265,465 40,137,791 — 40,137,791 — — Accrued interest payable 179,728 179,728 — 179,728 — — Derivative liabilities, net 21,067 21,067 — 123,662 — (102,595 ) MRCS 168,876 168,876 168,876 — — — (1) Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. (2) Included in other assets on the statement of condition. 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 17 - Estimated Fair Values in our 2018 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, 2019 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 1,121,889 $ — $ 1,121,889 $ — $ — Total trading securities 1,121,889 — 1,121,889 — — AFS securities: GSE and TVA debentures 4,337,714 — 4,337,714 — — GSE MBS 4,070,677 — 4,070,677 — — Total AFS securities 8,408,391 — 8,408,391 — — Derivative assets: Interest-rate related 175,516 — 119,904 — 55,612 Interest-rate forwards — — — — — MDCs 171 — 171 — — Total derivative assets, net 175,687 — 120,075 — 55,612 Grantor trust assets (2) 23,251 23,251 — — — Total assets at recurring estimated fair value $ 9,729,218 $ 23,251 $ 9,650,355 $ — $ 55,612 Derivative liabilities: Interest-rate related $ 852 $ — $ 141,934 $ — $ (141,082 ) Interest-rate forwards 521 — 521 — — MDCs 15 — 15 — — Total derivative liabilities, net 1,388 — 142,470 — (141,082 ) Total liabilities at recurring estimated fair value $ 1,388 $ — $ 142,470 $ — $ (141,082 ) Mortgage loans held for portfolio (3) $ 1,775 $ — $ — $ 1,775 $ — Total assets at non-recurring estimated fair value $ 1,775 $ — $ — $ 1,775 $ — December 31, 2018 AFS securities: GSE and TVA debentures $ 4,277,080 $ — $ 4,277,080 $ — $ — GSE MBS 3,426,516 — 3,426,516 — — Total AFS securities 7,703,596 — 7,703,596 — — Derivative assets: Interest-rate related 116,618 — 176,656 — (60,038 ) MDCs 146 — 146 — — Total derivative assets, net 116,764 — 176,802 — (60,038 ) Grantor trust assets (2) 21,122 21,122 — — — Total assets at recurring estimated fair value $ 7,841,482 $ 21,122 $ 7,880,398 $ — $ (60,038 ) Derivative liabilities: Interest-rate related $ 20,842 $ — $ 123,437 $ — $ (102,595 ) Interest-rate forwards 202 — 202 — — MDCs 23 — 23 — — Total derivative liabilities, net 21,067 — 123,662 — (102,595 ) Total liabilities at recurring estimated fair value $ 21,067 $ — $ 123,662 $ — $ (102,595 ) Mortgage loans held for portfolio (4) $ 1,734 $ — $ — $ 1,734 $ — Total assets at non-recurring estimated fair value $ 1,734 $ — $ — $ 1,734 $ — (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. (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, 2019 . (4) Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2018 . |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 14 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts. March 31, 2019 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 369,635 $ 95,055 $ 464,690 Unused lines of credit (1) 950,619 — 950,619 Commitments to fund additional advances (2) 92,460 — 92,460 Commitments to fund or purchase mortgage loans, net (3) 49,856 — 49,856 Unsettled CO bonds, at par 358,000 — 358,000 Unsettled discount notes, at par 27,115 — 27,115 (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, 2019 and December 31, 2018 , we had pledged cash collateral, at par, of $198,746 and $127,942 , respectively, to counterparties and clearing agents. At March 31, 2019 and December 31, 2018 , 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 4 - Advances ; Note 5 - Mortgage Loans Held for Portfolio ; Note 7 - Derivatives and Hedging Activities ; Note 8 - Consolidated Obligations ; Note 10 - Capital ; and Note 13 - Estimated Fair Values . |
Related Party and Other Transac
Related Party and Other Transactions | 3 Months Ended |
Mar. 31, 2019 | |
Related Party Transactions [Abstract] | |
Related Party and Other Transactions | Note 15 - 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, 2019 December 31, 2018 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 44,251 2 % $ 43,315 2 % Advances 602,732 2 % 600,869 2 % The par values at March 31, 2019 reflect changes in the composition of directors' financial institutions effective January 1, 2019, due to changes in board membership resulting from the 2018 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 2019 2018 Net capital stock issuances (redemptions and repurchases) $ 26 $ 846 Net advances (repayments) 38,239 (97,300 ) Mortgage loan purchases 4,594 6,355 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 2019 2018 Disbursements $ — $ (300,000 ) Principal repayments — 300,000 There were no borrowings from other FHLBanks during the three months ended March 31, 2019 or 2018 . There were no loans to or borrowings from other FHLBanks outstanding at March 31, 2019 or December 31, 2018 . |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
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 and provision for credit losses. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. |
Investment Securities Trading S
Investment Securities Trading Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Trading Securities Member [Member] | |
Debt and Equity Securities, FV-NI [Line Items] | |
Gain (Loss) on Securities [Table Text Block] | Net Gains (Losses) on Trading Securities. The following table presents net gains (losses) on trading securities. Three Months Ended March 31, 2019 2018 Net gains on trading securities held at period end $ 4,071 $ — Net gains (losses) on trading securities that sold/matured during the period — — Net gains on trading securities $ 4,071 $ — |
Investment Securities AFS Secur
Investment Securities AFS Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 Unrealized Unrealized Estimated March 31, 2019 Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 4,294,155 $ 43,559 $ — $ 4,337,714 GSE MBS 4,034,345 43,958 (7,626 ) 4,070,677 Total AFS securities $ 8,328,500 $ 87,517 $ (7,626 ) $ 8,408,391 December 31, 2018 GSE and TVA debentures $ 4,239,622 $ 37,458 $ — $ 4,277,080 GSE MBS 3,410,988 27,797 (12,269 ) 3,426,516 Total AFS securities $ 7,650,610 $ 65,255 $ (12,269 ) $ 7,703,596 (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal and, if applicable, fair-value hedging 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, 2019 Fair Value Losses Fair Value Losses Fair Value Losses GSE MBS $ 1,059,501 $ (6,396 ) $ 138,418 $ (1,230 ) $ 1,197,919 $ (7,626 ) Total impaired AFS securities $ 1,059,501 $ (6,396 ) $ 138,418 $ (1,230 ) $ 1,197,919 $ (7,626 ) December 31, 2018 GSE MBS $ 1,256,816 $ (12,269 ) $ — $ — $ 1,256,816 $ (12,269 ) Total impaired AFS securities $ 1,256,816 $ (12,269 ) $ — $ — $ 1,256,816 $ (12,269 ) |
Investment Securities HTM Secur
Investment Securities HTM Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 Holding Holding Estimated March 31, 2019 Cost (1) Gains Losses Fair Value MBS: Other U.S. obligations - guaranteed MBS $ 3,389,459 $ 8,621 $ (8,385 ) $ 3,389,695 GSE MBS 2,065,047 10,967 (9,318 ) 2,066,696 Total HTM securities $ 5,454,506 $ 19,588 $ (17,703 ) $ 5,456,391 December 31, 2018 MBS: Other U.S. obligations - guaranteed MBS $ 3,468,882 $ 11,034 $ (1,552 ) $ 3,478,364 GSE MBS 2,204,838 7,673 (14,730 ) 2,197,781 Total HTM securities $ 5,673,720 $ 18,707 $ (16,282 ) $ 5,676,145 (1) |
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, 2019 Fair Value Losses Fair Value Losses Fair Value Losses MBS: Other U.S. obligations - guaranteed MBS $ 1,219,856 $ (6,365 ) $ 560,179 $ (2,020 ) $ 1,780,035 $ (8,385 ) GSE MBS 229,530 (209 ) 775,328 (9,109 ) 1,004,858 (9,318 ) Total impaired HTM securities $ 1,449,386 $ (6,574 ) $ 1,335,507 $ (11,129 ) $ 2,784,893 $ (17,703 ) December 31, 2018 MBS: Other U.S. obligations - guaranteed MBS $ 829,121 $ (873 ) $ 417,952 $ (679 ) $ 1,247,073 $ (1,552 ) GSE MBS 435,756 (890 ) 716,647 (13,840 ) 1,152,403 (14,730 ) Total impaired HTM securities $ 1,264,877 $ (1,763 ) $ 1,134,599 $ (14,519 ) $ 2,399,476 $ (16,282 ) |
Advances Advances (Tables)
Advances Advances (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | The following table presents advances outstanding by redemption term. March 31, 2019 December 31, 2018 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 3,683 2.50 $ — — Due in 1 year or less 14,861,003 2.52 15,595,985 2.47 Due after 1 year through 2 years 2,961,722 2.29 2,957,861 2.19 Due after 2 years through 3 years 2,063,334 2.45 2,444,486 2.46 Due after 3 years through 4 years 2,474,991 2.50 2,139,695 2.36 Due after 4 years through 5 years 2,478,616 2.57 1,977,925 2.76 Thereafter 7,990,067 2.48 7,713,409 2.41 Total advances, par value 32,833,416 2.49 32,829,361 2.44 Fair-value hedging adjustments (6,733 ) (106,499 ) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 3,401 4,806 Total advances $ 32,830,084 $ 32,727,668 The following table presents advances outstanding by the earlier of the redemption date or the next call date and next put date. Earlier of Redemption or Next Call Date Earlier of Redemption or Next Put Date March 31, December 31, March 31, December 31, Overdrawn demand and overnight deposit accounts $ 3,683 $ — $ 3,683 $ — Due in 1 year or less 21,481,614 22,574,897 15,603,103 15,595,985 Due after 1 year through 2 years 2,203,573 2,061,411 3,761,222 3,682,461 Due after 2 years through 3 years 1,320,034 1,356,186 3,044,234 3,660,486 Due after 3 years through 4 years 1,716,401 1,581,905 3,156,216 2,547,995 Due after 4 years through 5 years 1,981,516 1,425,525 2,359,396 2,633,030 Thereafter 4,126,595 3,829,437 4,905,562 4,709,404 Total advances, par value $ 32,833,416 $ 32,829,361 $ 32,833,416 $ 32,829,361 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio Mortgage Loans (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | The following tables present information on mortgage loans held for portfolio by term, type and product. Term March 31, 2019 December 31, 2018 Fixed-rate long-term mortgages $ 10,185,796 $ 10,145,476 Fixed-rate medium-term (1) mortgages 965,206 992,059 Total mortgage loans held for portfolio, UPB 11,151,002 11,137,535 Unamortized premiums 251,230 251,778 Unamortized discounts (2,382 ) (2,415 ) Fair-value hedging adjustments (764 ) (1,320 ) Allowance for loan losses (600 ) (600 ) Total mortgage loans held for portfolio, net $ 11,398,486 $ 11,384,978 (1) Defined as a term of 15 years or less at origination. Type March 31, 2019 December 31, 2018 Conventional $ 10,793,311 $ 10,769,980 Government-guaranteed or -insured 357,691 367,555 Total mortgage loans held for portfolio, UPB $ 11,151,002 $ 11,137,535 Product March 31, 2019 December 31, 2018 MPP $ 10,896,089 $ 10,875,079 MPF Program 254,913 262,456 Total mortgage loans held for portfolio, UPB $ 11,151,002 $ 11,137,535 |
Allowance for Credit Losses All
Allowance for Credit Losses Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 2019 2018 Liability, beginning of period $ 174,096 $ 148,715 Additions 3,070 5,146 Claims paid (87 ) (170 ) Distributions to PFIs (442 ) (417 ) Liability, end of period $ 176,637 $ 153,274 |
Recorded Investment in Delinquent Mortgage Loans | Delinquency Status as of March 31, 2019 Conventional Government Total Past due: 30-59 days $ 50,134 $ 8,993 $ 59,127 60-89 days 6,542 2,008 8,550 90 days or more 13,089 2,273 15,362 Total past due 69,765 13,274 83,039 Total current 11,017,338 350,359 11,367,697 Total mortgage loans, recorded investment (1) $ 11,087,103 $ 363,633 $ 11,450,736 Delinquency Status as of December 31, 2018 Past due: 30-59 days $ 36,594 $ 9,352 $ 45,946 60-89 days 7,904 2,870 10,774 90 days or more 13,764 1,697 15,461 Total past due 58,262 13,919 72,181 Total current 11,003,243 359,758 11,363,001 Total mortgage loans, recorded investment (1) $ 11,061,505 $ 373,677 $ 11,435,182 Other Delinquency Statistics as of March 31, 2019 Conventional Government Total In process of foreclosure (2) $ 5,833 $ — $ 5,833 Serious delinquency rate (3) 0.12 % 0.62 % 0.13 % Past due 90 days or more still accruing interest (4) $ 12,203 $ 2,273 $ 14,476 On non-accrual status $ 1,630 $ — $ 1,630 Other Delinquency Statistics as of December 31, 2018 In process of foreclosure (2) $ 6,836 $ — $ 6,836 Serious delinquency rate (3) 0.12 % 0.45 % 0.14 % Past due 90 days or more still accruing interest (4) $ 12,849 $ 1,697 $ 14,546 On non-accrual status $ 1,762 $ — $ 1,762 (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, 2019 December 31, 2018 MPP estimated incurred losses remaining after borrower's equity, before credit enhancements (1) $ 3,647 $ 3,505 Portion of estimated incurred losses recoverable from credit enhancements: PMI (671 ) (627 ) LRA (2) (1,230 ) (1,137 ) SMI (1,261 ) (1,256 ) Total portion recoverable from credit enhancements (3,162 ) (3,020 ) Allowance for unrecoverable PMI/SMI 15 15 Allowance for MPP loan losses 500 500 Allowance for MPF Program loan losses 100 100 Allowance for loan losses $ 600 $ 600 (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 2019 2018 Balance, beginning of period $ 600 $ 850 Charge-offs (54 ) (150 ) Recoveries — 254 Provision for (reversal of) loan losses 54 (104 ) Balance, end of period $ 600 $ 850 Allowance for Loan Losses by Impairment Methodology March 31, 2019 December 31, 2018 Conventional loans collectively evaluated for impairment $ 529 $ 563 Conventional loans individually evaluated for impairment (1) 71 37 Total allowance for loan losses $ 600 $ 600 Recorded Investment by Impairment Methodology March 31, 2019 December 31, 2018 Conventional loans collectively evaluated for impairment $ 11,073,598 $ 11,048,075 Conventional loans individually evaluated for impairment (1) 13,505 13,430 Total recorded investment in conventional loans $ 11,087,103 $ 11,061,505 (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, 2019 and December 31, 2018 of $1,687 and $1,552 , 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, 2019 and December 31, 2018 includes $17 and $16 , respectively, for these potential claims. |
Derivative and Hedging Activi_2
Derivative and Hedging Activities Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |
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. Estimated Fair Value Estimated Fair Value Notional of Derivative of Derivative March 31, 2019 Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 36,201,215 $ 118,458 $ 141,830 Total derivatives designated as hedging instruments 36,201,215 118,458 141,830 Derivatives not designated as hedging instruments: Interest-rate swaps 1,976,930 1,001 104 Swaptions 1,000,000 1 — Interest-rate caps/floors 679,500 444 — Interest-rate forwards 51,800 — 521 MDCs 49,856 171 15 Total derivatives not designated as hedging instruments 3,758,086 1,617 640 Total derivatives before adjustments $ 39,959,301 120,075 142,470 Netting adjustments and cash collateral (1) 55,612 (141,082 ) Total derivatives, net $ 175,687 $ 1,388 December 31, 2018 Derivatives designated as hedging instruments: Interest-rate swaps $ 35,135,617 $ 174,990 $ 123,331 Total derivatives designated as hedging instruments 35,135,617 174,990 123,331 Derivatives not designated as hedging instruments: Interest-rate swaps 965,930 562 106 Swaptions 950,000 105 — Interest-rate caps/floors 679,500 999 — Interest-rate forwards 44,100 — 202 MDCs 43,753 146 23 Total derivatives not designated as hedging instruments 2,683,283 1,812 331 Total derivatives before adjustments $ 37,818,900 176,802 123,662 Netting adjustments and cash collateral (1) (60,038 ) (102,595 ) Total derivatives, net $ 116,764 $ 21,067 (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2019 and December 31, 2018 , including accrued interest, totaled $198,754 and $127,952 , respectively. Cash collateral received from counterparties and held at March 31, 2019 and December 31, 2018 , including accrued interest, totaled $2,060 and $85,395 , 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 held or pledged. March 31, 2019 December 31, 2018 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 102,753 $ 140,000 $ 174,725 $ 106,333 Cleared 17,151 1,934 1,931 17,104 Total gross recognized amount 119,904 141,934 176,656 123,437 Gross amounts of netting adjustments and cash collateral Uncleared (81,380 ) (139,148 ) (168,426 ) (85,491 ) Cleared 136,992 (1,934 ) 108,388 (17,104 ) Total gross amounts of netting adjustments and cash collateral 55,612 (141,082 ) (60,038 ) (102,595 ) Net amounts after netting adjustments and cash collateral Uncleared 21,373 852 6,299 20,842 Cleared 154,143 — 110,319 — Total net amounts after netting adjustments and cash collateral 175,516 852 116,618 20,842 Derivative instruments not meeting netting requirements (1) 171 536 146 225 Total derivatives, at estimated fair value $ 175,687 $ 1,388 $ 116,764 $ 21,067 (1) Includes MDCs and certain interest-rate forwards. |
Components of Net Gains (Losses) on Derivatives and Hedging Activities | The following table presents the components of net gains (losses) on derivatives and hedging activities reported in other income. Three Months Ended March 31, Type of Hedge 2019 2018 Net gain (loss) related to fair-value hedge ineffectiveness: Interest-rate swaps $ — $ 7,324 Total net gain (loss) related to fair-value hedge ineffectiveness — 7,324 Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 493 172 Swaptions (172 ) (58 ) Interest-rate caps/floors (555 ) 48 Interest-rate forwards (639 ) 1,248 Net interest settlements (3,117 ) (638 ) MDCs 568 (1,370 ) Total net gain (loss) on derivatives not designated as hedging instruments (3,422 ) (598 ) Price alignment interest (1) — (794 ) Net gains (losses) on derivatives and hedging activities in other income $ (3,422 ) $ 5,932 (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. For 2019, the portion related to derivatives not designated as hedging instruments is allocated to the applicable type of derivative. Beginning January 1, 2019, changes in the estimated fair value of the derivative hedging instrument and the associated hedged item attributable to the hedged risk for qualifying fair-value hedging relationships are prospectively included in the same line in the statement of income as the earnings effect of the hedged item. As a result, such changes in fair value are recorded in net interest income instead of other income for the three months ended March 31, 2019. Prior period amounts presented have not been reclassified. See Note 2 - Recently Adopted Accounting Guidance for more details. The following table presents, by type of hedged item, the net gains (losses) on derivatives and the related hedged items in qualifying fair-value hedging relationships and the impact on net interest income. Three Months Ended March 31, 2019 Advances Investments CO Bonds Total Changes in fair value: Hedged items $ 100,190 $ 137,793 $ (44,572 ) $ 193,411 Derivatives (104,842 ) (149,036 ) 46,591 (207,287 ) Net changes in fair value before price alignment interest (4,652 ) (11,243 ) 2,019 (13,876 ) Price alignment interest (1) (250 ) (920 ) 53 (1,117 ) Net interest settlements on derivatives (2) (3) 23,232 13,483 (18,952 ) 17,763 Amortization/accretion of active hedging relationships — 80 70 150 Net gains (losses) on qualifying fair-value hedging relationships 18,330 1,400 (16,810 ) 2,920 Amortization/accretion of discontinued fair-value hedging relationships (7 ) — (3,470 ) (3,477 ) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 18,323 $ 1,400 $ (20,280 ) $ (557 ) Three Months Ended March 31, 2018 Advances Investments CO Bonds Total Changes in fair value: Hedged items $ (100,748 ) $ (150,582 ) $ 85,234 $ (166,096 ) Derivatives 103,608 154,327 (84,515 ) 173,420 Net changes in fair value 2,860 3,745 719 7,324 Net interest settlements on derivatives (2) (3) 1,339 (3,310 ) 1,264 (707 ) Amortization/accretion of active hedging relationships — 86 89 175 Net gains (losses) on qualifying fair-value hedging relationships 4,199 521 2,072 6,792 Add: amortization/accretion of discontinued fair-value hedging relationships (12 ) — (701 ) (713 ) Less: net changes in fair value (4) (2,860 ) (3,745 ) (719 ) (7,324 ) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 1,327 $ (3,224 ) $ 652 $ (1,245 ) (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. (2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (3) Excludes the interest income/expense of the respective hedged items. (4) Included in other income. |
Effect of Fair Value Hedge-Related Derivative Instruments | The following table presents the amortized cost, and the related cumulative basis adjustments, on hedged items in qualifying fair-value hedging relationships. March 31, 2019 Advances Investments CO Bonds Total Amortized cost of hedged items (1) $ 14,825,791 $ 8,328,500 $ 13,429,451 $ 36,583,742 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships $ (6,733 ) $ (97,656 ) $ 54,616 $ (49,773 ) For discontinued fair-value hedging relationships — — 142 142 Total cumulative fair-value hedging basis adjustments on hedged items (2) $ (6,733 ) $ (97,656 ) $ 54,758 $ (49,631 ) (1) Includes only the portion of the amortized cost of the hedged items in qualifying fair-value hedging relationships. (2) Excludes any offsetting effect of the net fair value of the associated derivatives. |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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, 2019 December 31, 2018 Book value $ 21,254,090 $ 20,895,262 Par value $ 21,320,545 $ 20,952,650 Weighted average effective interest rate 2.43 % 2.34 % |
CO Bonds by Year of Contractual Maturity | Year of Contractual Maturity or Next Call Date March 31, 2019 December 31, 2018 Due in 1 year or less $ 32,609,490 $ 30,331,870 Due after 1 year through 2 years 4,080,745 6,069,285 Due after 2 years through 3 years 864,370 1,043,620 Due after 3 years through 4 years 641,650 626,000 Due after 4 years through 5 years 443,625 503,375 Thereafter 1,796,350 1,800,700 Total CO bonds, par value $ 40,436,230 $ 40,374,850 The following table presents our CO bonds outstanding by contractual maturity. March 31, 2019 December 31, 2018 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 19,752,490 2.27 $ 18,456,870 2.07 Due after 1 year through 2 years 7,716,745 2.28 8,823,285 2.30 Due after 2 years through 3 years 2,363,370 2.48 2,640,620 2.42 Due after 3 years through 4 years 3,078,650 2.35 3,024,000 2.33 Due after 4 years through 5 years 1,092,625 2.73 998,375 2.54 Thereafter 6,432,350 3.21 6,431,700 3.21 Total CO bonds, par value 40,436,230 2.45 40,374,850 2.36 Unamortized premiums 22,306 23,493 Unamortized discounts (14,818 ) (15,992 ) Unamortized concessions (13,435 ) (14,085 ) Fair-value hedging adjustments (54,758 ) (102,801 ) Total CO bonds $ 40,375,525 $ 40,265,465 |
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, 2019 December 31, 2018 Non-callable / non-putable $ 26,394,230 $ 27,462,850 Callable 14,042,000 12,912,000 Total CO bonds, par value $ 40,436,230 $ 40,374,850 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 2019 2018 Liability at beginning of period $ 40,747 $ 32,166 Assessment (expense) 3,989 5,677 Subsidy usage, net (1) (1,895 ) (2,757 ) Liability at end of period $ 42,841 $ 35,086 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Stockholders' Equity Note [Abstract] | |
Mandatorily Redeemable Capital Stock | The following table presents the activity in our MRCS. Three Months Ended March 31, MRCS Activity 2019 2018 Liability at beginning of period $ 168,876 $ 164,322 Reclassification from capital stock 2,109 — Proceeds from issuance (1) 3,704 — Redemptions/repurchases (487 ) (540 ) Liability at end of period $ 174,202 $ 163,782 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, 2019 December 31, 2018 Year 1 (1) $ 828 $ 1,316 Year 2 — — Year 3 8,649 8,649 Year 4 — — Year 5 28,833 26,723 Thereafter (2) 135,892 132,188 Total MRCS $ 174,202 $ 168,876 (1) Balances at March 31, 2019 and December 31, 2018 include $815 and $1,304 , 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 respective terminations of membership no later than February 19, 2021, in accordance with the Final Membership Rule. However, upon their respective terminations, we currently intend to repurchase their excess stock (if any) in accordance with our capital plan, the balances of which at March 31, 2019 and December 31, 2018 totaled $61,642 and $57,938 , respectively. |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | The following table presents the distributions related to MRCS. Three Months Ended March 31, MRCS Distributions 2019 2018 Recorded as interest expense $ 2,718 $ 2,745 Recorded as distributions from retained earnings — — Total $ 2,718 $ 2,745 |
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, 2019 and December 31, 2018 . March 31, 2019 December 31, 2018 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 806,270 $ 3,243,982 $ 786,925 $ 3,177,638 Total regulatory capital $ 2,655,311 $ 3,243,982 $ 2,616,468 $ 3,177,638 Total regulatory capital-to-asset ratio 4.00 % 4.89 % 4.00 % 4.86 % Leverage capital $ 3,319,138 $ 4,865,973 $ 3,270,585 $ 4,766,457 Leverage ratio 5.00 % 7.33 % 5.00 % 7.29 % |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) Accumulated Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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, 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: 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 Balance, December 31, 2018 $ 52,986 $ — $ — $ (11,299 ) $ 41,687 OCI before reclassifications: Net change in unrealized gains (losses) 26,905 — — — 26,905 Reclassifications from OCI to net income: Pension benefits, net — — — 347 347 Total other comprehensive income (loss) 26,905 — — 347 27,252 Balance, March 31, 2019 $ 79,891 $ — $ — $ (10,952 ) $ 68,939 |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Three Months Ended March 31, 2019 Three Months Ended March 31, 2018 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 39,227 $ 18,312 $ 57,539 $ 52,324 $ 17,807 $ 70,131 Provision for (reversal of) credit losses — 54 54 — (104 ) (104 ) Other income (loss) 3,185 (169 ) 3,016 6,342 (155 ) 6,187 Other expenses 19,976 3,351 23,327 18,816 3,581 22,397 Income before assessments 22,436 14,738 37,174 39,850 14,175 54,025 Affordable Housing Program assessments 2,515 1,474 3,989 4,259 1,418 5,677 Net income $ 19,921 $ 13,264 $ 33,185 $ 35,591 $ 12,757 $ 48,348 |
Schedule of Segment Assets by Segment | The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total March 31, 2019 $ 54,984,281 $ 11,398,486 $ 66,382,767 December 31, 2018 54,026,721 11,384,978 65,411,699 |
Estimated Fair Values Estimated
Estimated Fair Values Estimated Fair Values (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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, 2019 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 73,099 $ 73,099 $ 73,099 $ — $ — $ — Interest-bearing deposits 316,530 316,530 316,000 530 — — Securities purchased under agreements to resell 3,297,519 3,297,525 — 3,297,525 — — Federal funds sold 3,100,000 3,100,000 — 3,100,000 — — Trading securities 1,121,889 1,121,889 — 1,121,889 — — AFS securities 8,408,391 8,408,391 — 8,408,391 — — HTM securities 5,454,506 5,456,391 — 5,456,391 — — Advances 32,830,084 32,800,748 — 32,800,748 — — Mortgage loans held for portfolio, net 11,398,486 11,381,234 — 11,371,641 9,593 — Accrued interest receivable 132,955 132,955 — 132,955 — — Derivative assets, net 175,687 175,687 — 120,075 — 55,612 Grantor trust assets (2) 23,251 23,251 23,251 — — — Liabilities: Deposits 698,727 698,727 — 698,727 — — Consolidated obligations: Discount notes 21,254,090 21,254,396 — 21,254,396 — — Bonds 40,375,525 40,452,170 — 40,452,170 — — Accrued interest payable 179,334 179,334 — 179,334 — — Derivative liabilities, net 1,388 1,388 — 142,470 — (141,082 ) MRCS 174,202 174,202 174,202 — — — December 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 $ 100,735 $ 100,735 $ 100,735 $ — $ — $ — Interest-bearing deposits 1,210,705 1,210,705 1,210,039 666 — — Securities purchased under agreements to resell 3,212,726 3,212,728 — 3,212,728 — — Federal funds sold 3,085,000 3,085,000 — 3,085,000 — — AFS securities 7,703,596 7,703,596 — 7,703,596 — — HTM securities 5,673,720 5,676,145 — 5,676,145 — — Advances 32,727,668 32,669,145 — 32,669,145 — — Mortgage loans held for portfolio, net 11,384,978 11,212,978 — 11,202,984 9,994 — Accrued interest receivable 124,611 124,611 — 124,611 — — Derivative assets, net 116,764 116,764 — 176,802 — (60,038 ) Grantor trust assets (2) 21,122 21,122 21,122 — — — Liabilities: Deposits 500,440 500,440 — 500,440 — — Consolidated obligations: Discount notes 20,895,262 20,895,446 — 20,895,446 — — Bonds 40,265,465 40,137,791 — 40,137,791 — — Accrued interest payable 179,728 179,728 — 179,728 — — Derivative liabilities, net 21,067 21,067 — 123,662 — (102,595 ) MRCS 168,876 168,876 168,876 — — — (1) Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. (2) Included in other assets on the statement of condition. |
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, 2019 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 1,121,889 $ — $ 1,121,889 $ — $ — Total trading securities 1,121,889 — 1,121,889 — — AFS securities: GSE and TVA debentures 4,337,714 — 4,337,714 — — GSE MBS 4,070,677 — 4,070,677 — — Total AFS securities 8,408,391 — 8,408,391 — — Derivative assets: Interest-rate related 175,516 — 119,904 — 55,612 Interest-rate forwards — — — — — MDCs 171 — 171 — — Total derivative assets, net 175,687 — 120,075 — 55,612 Grantor trust assets (2) 23,251 23,251 — — — Total assets at recurring estimated fair value $ 9,729,218 $ 23,251 $ 9,650,355 $ — $ 55,612 Derivative liabilities: Interest-rate related $ 852 $ — $ 141,934 $ — $ (141,082 ) Interest-rate forwards 521 — 521 — — MDCs 15 — 15 — — Total derivative liabilities, net 1,388 — 142,470 — (141,082 ) Total liabilities at recurring estimated fair value $ 1,388 $ — $ 142,470 $ — $ (141,082 ) Mortgage loans held for portfolio (3) $ 1,775 $ — $ — $ 1,775 $ — Total assets at non-recurring estimated fair value $ 1,775 $ — $ — $ 1,775 $ — December 31, 2018 AFS securities: GSE and TVA debentures $ 4,277,080 $ — $ 4,277,080 $ — $ — GSE MBS 3,426,516 — 3,426,516 — — Total AFS securities 7,703,596 — 7,703,596 — — Derivative assets: Interest-rate related 116,618 — 176,656 — (60,038 ) MDCs 146 — 146 — — Total derivative assets, net 116,764 — 176,802 — (60,038 ) Grantor trust assets (2) 21,122 21,122 — — — Total assets at recurring estimated fair value $ 7,841,482 $ 21,122 $ 7,880,398 $ — $ (60,038 ) Derivative liabilities: Interest-rate related $ 20,842 $ — $ 123,437 $ — $ (102,595 ) Interest-rate forwards 202 — 202 — — MDCs 23 — 23 — — Total derivative liabilities, net 21,067 — 123,662 — (102,595 ) Total liabilities at recurring estimated fair value $ 21,067 $ — $ 123,662 $ — $ (102,595 ) Mortgage loans held for portfolio (4) $ 1,734 $ — $ — $ 1,734 $ — Total assets at non-recurring estimated fair value $ 1,734 $ — $ — $ 1,734 $ — (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. (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, 2019 . (4) Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2018 . |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. March 31, 2019 Type of Commitment Expire within one year Expire after one year Total Letters of credit outstanding $ 369,635 $ 95,055 $ 464,690 Unused lines of credit (1) 950,619 — 950,619 Commitments to fund additional advances (2) 92,460 — 92,460 Commitments to fund or purchase mortgage loans, net (3) 49,856 — 49,856 Unsettled CO bonds, at par 358,000 — 358,000 Unsettled discount notes, at par 27,115 — 27,115 (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 Trans_2
Related Party and Other Transactions (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
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 2019 2018 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, 2019 December 31, 2018 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 44,251 2 % $ 43,315 2 % Advances 602,732 2 % 600,869 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 2019 2018 Net capital stock issuances (redemptions and repurchases) $ 26 $ 846 Net advances (repayments) 38,239 (97,300 ) Mortgage loan purchases 4,594 6,355 |
Recently Adopted and Issued A_2
Recently Adopted and Issued Accounting Guidance Targeted Improvements to Accounting for Hedging Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Total net gain (loss) related to fair-value hedge ineffectiveness | $ 0 | $ 7,324 |
Accounting Standards Update 2017-12 [Member] | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Total net gain (loss) related to fair-value hedge ineffectiveness | $ (13,876) |
Investment Securities Trading_2
Investment Securities Trading Securities (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading, Unrealized Gain (Loss) | $ 4,071,000 | $ 0 |
Debt Securities, Trading, Realized Gain (Loss) | 0 | 0 |
Debt Securities, Trading, Gain (Loss) | $ 4,071,000 | $ 0 |
Investment Securities AFS Sec_2
Investment Securities AFS Securities - Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 8,328,500 | $ 7,650,610 |
Gross Unrealized Gains | 87,517 | 65,255 | |
Gross Unrealized Losses | (7,626) | (12,269) | |
Estimated Fair Value | 8,408,391 | 7,703,596 | |
GSE and TVA debentures | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 4,294,155 | 4,239,622 |
Gross Unrealized Gains | 43,559 | 37,458 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | 4,337,714 | 4,277,080 | |
GSE MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 4,034,345 | 3,410,988 |
Gross Unrealized Gains | 43,958 | 27,797 | |
Gross Unrealized Losses | (7,626) | (12,269) | |
Estimated Fair Value | $ 4,070,677 | $ 3,426,516 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal and, if applicable, fair-value hedging adjustments. |
Investment Securities AFS Sec_3
Investment Securities AFS Securities - Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Available-for-sale Securities [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 1,059,501 | $ 1,256,816 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (6,396) | (12,269) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 138,418 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (1,230) | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 1,197,919 | 1,256,816 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (7,626) | (12,269) |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 1,059,501 | 1,256,816 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (6,396) | (12,269) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 138,418 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (1,230) | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 1,197,919 | 1,256,816 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ (7,626) | $ (12,269) |
Investment Securities HTM Sec_2
Investment Securities HTM Securities - Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 5,454,506 | $ 5,673,720 |
Gross Unrecognized Holding Gains | 19,588 | 18,707 | |
Gross Unrecognized Holding Losses | (17,703) | (16,282) | |
Estimated fair value | 5,456,391 | 5,676,145 | |
Other U.S. obligations - guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 3,389,459 | 3,468,882 |
Gross Unrecognized Holding Gains | 8,621 | 11,034 | |
Gross Unrecognized Holding Losses | (8,385) | (1,552) | |
Estimated fair value | 3,389,695 | 3,478,364 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 2,065,047 | 2,204,838 |
Gross Unrecognized Holding Gains | 10,967 | 7,673 | |
Gross Unrecognized Holding Losses | (9,318) | (14,730) | |
Estimated fair value | $ 2,066,696 | $ 2,197,781 | |
[1] | (1) Carrying value equals amortized cost. Includes adjustments made to the cost basis of an investment for accretion, amortization and collection of principal. |
Investment Securities HTM Sec_3
Investment Securities HTM Securities - Unrealized Loss Position (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 1,449,386 | $ 1,264,877 |
Less than 12 Months, Unrealized Losses | (6,574) | (1,763) |
12 Months or More, Estimated Fair Value | 1,335,507 | 1,134,599 |
12 Months or More, Unrealized Losses | (11,129) | (14,519) |
Total Estimated Fair Value | 2,784,893 | 2,399,476 |
Unrealized Loss Position | (17,703) | (16,282) |
Other U.S. obligations - guaranteed MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 1,219,856 | 829,121 |
Less than 12 Months, Unrealized Losses | (6,365) | (873) |
12 Months or More, Estimated Fair Value | 560,179 | 417,952 |
12 Months or More, Unrealized Losses | (2,020) | (679) |
Total Estimated Fair Value | 1,780,035 | 1,247,073 |
Unrealized Loss Position | (8,385) | (1,552) |
GSE MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 229,530 | 435,756 |
Less than 12 Months, Unrealized Losses | (209) | (890) |
12 Months or More, Estimated Fair Value | 775,328 | 716,647 |
12 Months or More, Unrealized Losses | (9,109) | (13,840) |
Total Estimated Fair Value | 1,004,858 | 1,152,403 |
Unrealized Loss Position | $ (9,318) | $ (14,730) |
Advances - Advances by Year of
Advances - Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Year of Contractual Maturity, Amount | ||
Overdrawn demand and overnight deposit accounts | $ 3,683 | $ 0 |
Due in 1 year or less | 14,861,003 | 15,595,985 |
Due after 1 year through 2 years | 2,961,722 | 2,957,861 |
Due after 2 years through 3 years | 2,063,334 | 2,444,486 |
Due after 3 years through 4 years | 2,474,991 | 2,139,695 |
Due after 4 years through 5 years | 2,478,616 | 1,977,925 |
Thereafter | 7,990,067 | 7,713,409 |
Total advances, par value | $ 32,833,416 | $ 32,829,361 |
Year of Contractual Maturity, WAIR % | ||
Overdrawn demand and overnight deposit accounts | 2.50% | 0.00% |
Due in 1 year or less | 2.52% | 2.47% |
Due after 1 year through 2 years | 2.29% | 2.19% |
Due after 2 years through 3 years | 2.45% | 2.46% |
Due after 3 years through 4 years | 2.50% | 2.36% |
Due after 4 years through 5 years | 2.57% | 2.76% |
Thereafter | 2.48% | 2.41% |
Total advances, par value | 2.49% | 2.44% |
Fair-value hedging adjustments | $ (6,733) | $ (106,499) |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 3,401 | 4,806 |
Total Advances | $ 32,830,084 | $ 32,727,668 |
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, 2019 | Dec. 31, 2018 |
Advances [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 3,683 | $ 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 | 21,481,614 | 22,574,897 |
Due after 1 year through 2 years | 2,203,573 | 2,061,411 |
Due after 2 years through 3 years | 1,320,034 | 1,356,186 |
Due after 3 years through 4 years | 1,716,401 | 1,581,905 |
Due after 4 years through 5 years | 1,981,516 | 1,425,525 |
Thereafter | 4,126,595 | 3,829,437 |
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 | 15,603,103 | 15,595,985 |
Due after 1 year through 2 years | 3,761,222 | 3,682,461 |
Due after 2 years through 3 years | 3,044,234 | 3,660,486 |
Due after 3 years through 4 years | 3,156,216 | 2,547,995 |
Due after 4 years through 5 years | 2,359,396 | 2,633,030 |
Thereafter | 4,905,562 | 4,709,404 |
Total advances, par value | $ 32,833,416 | $ 32,829,361 |
Advances - Narrative (Details)
Advances - Narrative (Details) | Mar. 31, 2019 |
Advances [Abstract] | |
Percent of advances par value held by top five borrowers | 40.00% |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio Mortgage Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans And Leases Receivable, Unpaid Principal Balance | $ 11,151,002 | $ 11,137,535 | |||
Loans and Leases Receivable, Unamortized Premiums | 251,230 | 251,778 | |||
Loans and Leases Receivable, Unamortized Discounts | (2,382) | (2,415) | |||
Loans and Leases Receivable, Hedging Basis Adjustment | (764) | (1,320) | |||
Loans and Leases Receivable, Allowance | (600) | (600) | |||
Loans and Leases Receivable, Net Amount | 11,398,486 | 11,384,978 | |||
Government-guaranteed or -insured | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans And Leases Receivable, Unpaid Principal Balance | 357,691 | 367,555 | |||
Fixed-rate long-term mortgages | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans And Leases Receivable, Unpaid Principal Balance | 10,185,796 | 10,145,476 | |||
Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans And Leases Receivable, Unpaid Principal Balance | [1] | $ 965,206 | 992,059 | ||
Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | Maximum | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years | ||||
Conventional | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans And Leases Receivable, Unpaid Principal Balance | $ 10,793,311 | 10,769,980 | |||
Loans and Leases Receivable, Allowance | (600) | (600) | $ (850) | $ (850) | |
Mortgage Purchase Program [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans And Leases Receivable, Unpaid Principal Balance | 10,896,089 | 10,875,079 | |||
Mortgage Purchase Program [Member] | Conventional | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans and Leases Receivable, Allowance | (500) | (500) | |||
Mortgage Partnership Finance Program [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans And Leases Receivable, Unpaid Principal Balance | 254,913 | 262,456 | |||
Mortgage Partnership Finance Program [Member] | Conventional | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans and Leases Receivable, Allowance | $ (100) | $ (100) | |||
[1] | Defined as a term of 15 years or less at origination. |
Allowance for Credit Losses A_2
Allowance for Credit Losses Allowance for Credit Losses - Credit Enhancements (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Change in Lender Risk Account Balance [Roll Forward] | ||
Balance of LRA, beginning of period | $ 174,096 | $ 148,715 |
Additions | 3,070 | 5,146 |
Claims paid | (87) | (170) |
Distributions to PFIs | (442) | (417) |
Balance of LRA, end of period | $ 176,637 | $ 153,274 |
Allowance for Credit Losses A_3
Allowance for Credit Losses Allowance for Credit Losses - Credit Quality Indicators (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Dec. 31, 2018 | ||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 83,039 | $ 72,181 | |
Total current | 11,367,697 | 11,363,001 | |
Total mortgage loans, recorded investment | [1] | 11,450,736 | 11,435,182 |
In process of foreclosure | [2] | $ 5,833 | $ 6,836 |
Serious delinquency rate | [3] | 0.13% | 0.14% |
Past due 90 days or more still accruing interest | [4] | $ 14,476 | $ 14,546 |
On non-accrual status | $ 1,630 | 1,762 | |
Delinquent loan receivable | 90 days | ||
30-59 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 59,127 | 45,946 | |
60-89 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 8,550 | 10,774 | |
90 days or more | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 15,362 | 15,461 | |
Government | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 13,274 | 13,919 | |
Total current | 350,359 | 359,758 | |
Total mortgage loans, recorded investment | [1] | 363,633 | 373,677 |
In process of foreclosure | [2] | $ 0 | $ 0 |
Serious delinquency rate | [3] | 0.62% | 0.45% |
Past due 90 days or more still accruing interest | [4] | $ 2,273 | $ 1,697 |
On non-accrual status | 0 | 0 | |
Government | 30-59 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 8,993 | 9,352 | |
Government | 60-89 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 2,008 | 2,870 | |
Government | 90 days or more | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 2,273 | 1,697 | |
Conventional | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 69,765 | 58,262 | |
Total current | 11,017,338 | 11,003,243 | |
Total mortgage loans, recorded investment | [1] | 11,087,103 | 11,061,505 |
In process of foreclosure | [2] | $ 5,833 | $ 6,836 |
Serious delinquency rate | [3] | 0.12% | 0.12% |
Past due 90 days or more still accruing interest | [4] | $ 12,203 | $ 12,849 |
On non-accrual status | 1,630 | 1,762 | |
Conventional | 30-59 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 50,134 | 36,594 | |
Conventional | 60-89 days | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | 6,542 | 7,904 | |
Conventional | 90 days or more | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Total past due | $ 13,089 | $ 13,764 | |
[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 A_4
Allowance for Credit Losses Allowance for Credit Losses - Credit Waterfall (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | $ 600 | $ 600 | |||
Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | 600 | 600 | $ 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] | 3,647 | 3,505 | ||
Portion of estimated losses recoverable from | (3,162) | (3,020) | |||
Allowance for unrecoverable PMI/SMI | 15 | 15 | |||
Allowance for loan losses | 500 | 500 | |||
Mortgage Purchase Program | Conventional | PMI | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Portion of estimated losses recoverable from | (671) | (627) | |||
Mortgage Purchase Program | Conventional | LRA | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Portion of estimated losses recoverable from | [2] | (1,230) | (1,137) | ||
Mortgage Purchase Program | Conventional | SMI | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Portion of estimated losses recoverable from | (1,261) | (1,256) | |||
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_5
Allowance for Credit Losses Allowance for Credit Losses - Rollforward (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2019 | Mar. 31, 2018 | Mar. 31, 2019 | Dec. 31, 2018 | ||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Allowance for loan losses on mortgage loans, beginning of period | $ 600 | ||||
Provision for (reversal of) loan losses | 54 | $ (104) | |||
Allowance for loan losses on mortgage loans, end of period | 600 | ||||
Total allowance for loan losses | 600 | $ 600 | $ 600 | ||
Total recorded investment in conventional loans | [1] | 11,450,736 | 11,435,182 | ||
Conventional | |||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Allowance for loan losses on mortgage loans, beginning of period | 600 | 850 | |||
Charge-offs | (54) | (150) | |||
Recoveries | 0 | 254 | |||
Provision for (reversal of) loan losses | 54 | (104) | |||
Allowance for loan losses on mortgage loans, end of period | 600 | 850 | |||
Allowance for loan losses by impairment, conventional loans collectively evaluated for impairment | 529 | 563 | |||
Allowance for loan losses by impairment, conventional loans individually evaluated for impairment | [2] | 71 | 37 | ||
Total allowance for loan losses | $ 600 | $ 850 | 600 | 600 | |
Recorded investment, loans collectively evaluated for impairment | 11,073,598 | 11,048,075 | |||
Recorded investment, loans individually evaluated for impairment | [2] | 13,505 | 13,430 | ||
Total recorded investment in conventional loans | [1] | 11,087,103 | 11,061,505 | ||
Principal paid in full by servicers | 1,687 | 1,552 | |||
Potential claims included in allowance | $ 17 | $ 16 | |||
[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, 2019 and December 31, 2018 of $1,687 and $1,552, 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, 2019 and December 31, 2018 includes $17 and $16, respectively, for these potential claims. |
Derivative and Hedging Activi_3
Derivative and Hedging Activities Derivatives and Hedging Activities - Narrative (Details) $ in Thousands | Mar. 31, 2019USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Net liability position, aggregate fair value | $ 93 |
Derivative and Hedging Activi_4
Derivative and Hedging Activities Derivative Notional Amounts (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | $ 39,959,301 | $ 37,818,900 | |
Estimated fair value of derivative assets | 120,075 | 176,802 | |
Estimated fair value of derivative liabilities | 142,470 | 123,662 | |
Netting adjustments and cash collateral, derivative asset | [1],[2] | 55,612 | (60,038) |
Netting adjustments and cash collateral, derivative liability | [1],[2] | (141,082) | (102,595) |
Total derivatives, at estimated fair value | 175,687 | 116,764 | |
Total derivatives, at estimated fair value | 1,388 | 21,067 | |
Cash collateral pledged to counterparties | 198,754 | 127,952 | |
Cash collateral received from counterparties | 2,060 | 85,395 | |
Derivatives designated as hedging instruments | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 36,201,215 | 35,135,617 | |
Estimated fair value of derivative assets | 118,458 | 174,990 | |
Estimated fair value of derivative liabilities | 141,830 | 123,331 | |
Derivatives designated as hedging instruments | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 36,201,215 | 35,135,617 | |
Estimated fair value of derivative assets | 118,458 | 174,990 | |
Estimated fair value of derivative liabilities | 141,830 | 123,331 | |
Derivatives not designated as hedging instruments | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 3,758,086 | 2,683,283 | |
Estimated fair value of derivative assets | 1,617 | 1,812 | |
Estimated fair value of derivative liabilities | 640 | 331 | |
Derivatives not designated as hedging instruments | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 1,976,930 | 965,930 | |
Estimated fair value of derivative assets | 1,001 | 562 | |
Estimated fair value of derivative liabilities | 104 | 106 | |
Derivatives not designated as hedging instruments | Swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 1,000,000 | 950,000 | |
Estimated fair value of derivative assets | 1 | 105 | |
Estimated fair value of derivative liabilities | 0 | 0 | |
Derivatives not designated as hedging instruments | Interest-rate caps/floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 679,500 | 679,500 | |
Estimated fair value of derivative assets | 444 | 999 | |
Estimated fair value of derivative liabilities | 0 | 0 | |
Derivatives not designated as hedging instruments | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 51,800 | 44,100 | |
Estimated fair value of derivative assets | 0 | 0 | |
Estimated fair value of derivative liabilities | 521 | 202 | |
Mortgage Receivable [Member] | Derivatives not designated as hedging instruments | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 49,856 | 43,753 | |
Estimated fair value of derivative assets | 171 | 146 | |
Estimated fair value of derivative liabilities | $ 15 | $ 23 | |
[1] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2019 and December 31, 2018, including accrued interest, totaled $198,754 and $127,952, respectively. Cash collateral received from counterparties and held at March 31, 2019 and December 31, 2018, including accrued interest, totaled $2,060 and $85,395, respectively. |
Derivative and Hedging Activi_5
Derivative and Hedging Activities Offsetting of Derivative Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Derivative Assets | |||
Gross recognized amount | $ 119,904 | $ 176,656 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | 55,612 | (60,038) |
Net amounts after netting adjustments and cash collateral | 175,516 | 116,618 | |
Derivative instruments not meeting netting requirements | [3] | 171 | 146 |
Total derivatives, at estimated fair value | 175,687 | 116,764 | |
Derivative Liabilities | |||
Gross recognized amount | 141,934 | 123,437 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (141,082) | (102,595) |
Net amounts after netting adjustments and cash collateral | 852 | 20,842 | |
Derivative instruments not meeting netting requirements | [3] | 536 | 225 |
Total derivatives, at estimated fair value | 1,388 | 21,067 | |
Uncleared | |||
Derivative Assets | |||
Gross recognized amount | 102,753 | 174,725 | |
Gross amounts of netting adjustments and cash collateral | (81,380) | (168,426) | |
Net amounts after netting adjustments and cash collateral | 21,373 | 6,299 | |
Derivative Liabilities | |||
Gross recognized amount | 140,000 | 106,333 | |
Gross amounts of netting adjustments and cash collateral | (139,148) | (85,491) | |
Net amounts after netting adjustments and cash collateral | 852 | 20,842 | |
Cleared | |||
Derivative Assets | |||
Gross recognized amount | 17,151 | 1,931 | |
Gross amounts of netting adjustments and cash collateral | 136,992 | 108,388 | |
Net amounts after netting adjustments and cash collateral | 154,143 | 110,319 | |
Derivative Liabilities | |||
Gross recognized amount | 1,934 | 17,104 | |
Gross amounts of netting adjustments and cash collateral | (1,934) | (17,104) | |
Net amounts after netting adjustments and cash collateral | $ 0 | $ 0 | |
[1] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2019 and December 31, 2018, including accrued interest, totaled $198,754 and $127,952, respectively. Cash collateral received from counterparties and held at March 31, 2019 and December 31, 2018, including accrued interest, totaled $2,060 and $85,395, respectively. | ||
[3] | Includes MDCs and certain interest-rate forwards. |
Derivative and Hedging Activi_6
Derivative and Hedging Activities Derivatives Reported in Other Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) related to fair-value hedge ineffectiveness | $ 0 | $ 7,324 | |
Total net gain (loss) on derivatives not designated as hedging instruments | (3,422) | (598) | |
Price Alignment Interest | [1] | 0 | (794) |
Net gains (losses) on derivatives and hedging activities | (3,422) | 5,932 | |
Interest-rate swaps | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) related to fair-value hedge ineffectiveness | 0 | 7,324 | |
Economic Hedge | Interest-rate swaps | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | 493 | 172 | |
Economic Hedge | Swaptions | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | (172) | (58) | |
Economic Hedge | Interest-rate caps/floors | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | (555) | 48 | |
Economic Hedge | Interest-rate forwards | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | (639) | 1,248 | |
Economic Hedge | Net interest settlements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | (3,117) | (638) | |
Mortgage Receivable [Member] | Interest-rate forwards | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) on derivatives not designated as hedging instruments | $ 568 | $ (1,370) | |
[1] | Relates to derivatives for which variation margin payments are characterized as daily settled contracts. For 2019, the portion related to derivatives not designated as hedging instruments is allocated to the applicable type of derivative. |
Derivative and Hedging Activi_7
Derivative and Hedging Activities Net Gains (Losses) on Fair Value Hedging Relationships (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | $ 193,411 | $ (166,096) | |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (207,287) | 173,420 | |
Gain Loss on Fair Value Hedges Recognized in Net Interest Income Before Price Alignment Interest | (13,876) | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 0 | 7,324 | |
Variation Margin Interest on FV Hedges | [1] | (1,117) | |
Net Interest Settlements | [2],[3] | 17,763 | |
Net Interest Settlements | [2],[3] | (707) | |
Amortization Accretion of Active Hedging Relationships | 150 | 175 | |
Net gains losses on qualifying active fair-value hedging relationships | 2,920 | 6,792 | |
Amortization Accretion of Discontinued Fair Value Hedging Relationships | (3,477) | (713) | |
Net Change in Fair Value of Qualifying Fair Value Hedges | [4] | (7,324) | |
Net gains (losses) on derivatives and hedging activities in net interest income | [2] | (557) | (1,245) |
Interest-rate swaps | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 0 | 7,324 | |
Advances [Member] | Interest Income [Member] | Interest-rate swaps | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 100,190 | (100,748) | |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (104,842) | 103,608 | |
Gain Loss on Fair Value Hedges Recognized in Net Interest Income Before Price Alignment Interest | (4,652) | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 2,860 | ||
Variation Margin Interest on FV Hedges | [1] | (250) | |
Net Interest Settlements | [2],[3] | 23,232 | |
Net Interest Settlements | [2],[3] | 1,339 | |
Amortization Accretion of Active Hedging Relationships | 0 | 0 | |
Net gains losses on qualifying active fair-value hedging relationships | 18,330 | 4,199 | |
Amortization Accretion of Discontinued Fair Value Hedging Relationships | (7) | (12) | |
Net Change in Fair Value of Qualifying Fair Value Hedges | [4] | (2,860) | |
Net gains (losses) on derivatives and hedging activities in net interest income | [2] | 18,323 | 1,327 |
Available-for-sale Securities [Member] | Interest Income [Member] | Interest-rate swaps | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 137,793 | (150,582) | |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (149,036) | 154,327 | |
Gain Loss on Fair Value Hedges Recognized in Net Interest Income Before Price Alignment Interest | (11,243) | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 3,745 | ||
Variation Margin Interest on FV Hedges | [1] | (920) | |
Net Interest Settlements | [2],[3] | 13,483 | |
Net Interest Settlements | [2],[3] | (3,310) | |
Amortization Accretion of Active Hedging Relationships | 80 | 86 | |
Net gains losses on qualifying active fair-value hedging relationships | 1,400 | 521 | |
Amortization Accretion of Discontinued Fair Value Hedging Relationships | 0 | 0 | |
Net Change in Fair Value of Qualifying Fair Value Hedges | [4] | (3,745) | |
Net gains (losses) on derivatives and hedging activities in net interest income | [2] | 1,400 | (3,224) |
Consolidated Obligation Bonds Member | Interest Expense [Member] | Interest-rate swaps | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (44,572) | 85,234 | |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 46,591 | (84,515) | |
Gain Loss on Fair Value Hedges Recognized in Net Interest Income Before Price Alignment Interest | 2,019 | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 719 | ||
Variation Margin Interest on FV Hedges | [1] | 53 | |
Net Interest Settlements | [2],[3] | (18,952) | |
Net Interest Settlements | [2],[3] | 1,264 | |
Amortization Accretion of Active Hedging Relationships | 70 | 89 | |
Net gains losses on qualifying active fair-value hedging relationships | (16,810) | 2,072 | |
Amortization Accretion of Discontinued Fair Value Hedging Relationships | (3,470) | (701) | |
Net Change in Fair Value of Qualifying Fair Value Hedges | [4] | (719) | |
Net gains (losses) on derivatives and hedging activities in net interest income | [2] | $ (20,280) | $ 652 |
[1] | Relates to derivatives for which variation margin payments are characterized as daily settled contracts. | ||
[2] | Excludes the interest income/expense of the respective hedged items. | ||
[3] | Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. | ||
[4] | Included in other income. |
Derivative and Hedging Activi_8
Derivative and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) $ in Thousands | Mar. 31, 2019USD ($) | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Total Amortized Cost of Hedged Items | $ 36,583,742 | [1] |
Total Cumulative Basis Adjustments Included in Amortized Cost for Active Fair Value Hedging Relationships | (49,773) | |
Cumulative Basis Adjustments Included in Amortized Cost for Discontinued Fair Value Hedging Relationships | 142 | |
Total Cumulative Fair Value Hedging Basis Adjustments on Hedged Items | (49,631) | [2] |
Advances [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Hedged Asset, Fair Value Hedge | 14,825,791 | [1] |
Hedged Asset Active Fair Value Hedge Cumulative Increase (Decrease) | (6,733) | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 0 | |
Total Cumulative Fair Value Hedging Basis Adjustments on Hedged Items | (6,733) | [2] |
AFS securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Hedged Asset, Fair Value Hedge | 8,328,500 | [1] |
Hedged Asset Active Fair Value Hedge Cumulative Increase (Decrease) | (97,656) | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 0 | |
Total Cumulative Fair Value Hedging Basis Adjustments on Hedged Items | (97,656) | [2] |
Consolidated Obligation Bonds Member | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Hedged Liability, Fair Value Hedge | 13,429,451 | [1] |
Hedged Liability, Active Fair Value Hedge, Cumulative Increase (Decrease) | 54,616 | |
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 142 | |
Total Cumulative Fair Value Hedging Basis Adjustments on Hedged Items | $ 54,758 | [2] |
[1] | Includes only the portion of the amortized cost of the hedged items in qualifying fair-value hedging relationships. | |
[2] | Excludes any offsetting effect of the net fair value of the associated derivatives. |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | |
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 | $ 21,254,090 | 20,895,262 |
Par value | $ 21,320,545 | $ 20,952,650 |
Weighted average effective interest rate | 2.43% | 2.34% |
CO Bonds [Abstract] | ||
Due in 1 year or less, amount | $ 19,752,490 | $ 18,456,870 |
Due after 1 year through 2 years, amount | 7,716,745 | 8,823,285 |
Due after 2 years through 3 years, amount | 2,363,370 | 2,640,620 |
Due after 3 years through 4 years, amount | 3,078,650 | 3,024,000 |
Due after 4 years through 5 years, amount | 1,092,625 | 998,375 |
Thereafter, amount | 6,432,350 | 6,431,700 |
Unamortized premiums | 22,306 | 23,493 |
Unamortized discounts | (14,818) | (15,992) |
Unamortized concessions | (13,435) | (14,085) |
Fair-value hedging adjustments | (54,758) | (102,801) |
Bonds | $ 40,375,525 | $ 40,265,465 |
Due in 1 year or less, WAIR % | 2.27% | 2.07% |
Due after 1 year through 2 years, WAIR % | 2.28% | 2.30% |
Due after 2 years through 3 years, WAIR % | 2.48% | 2.42% |
Due after 3 years through 4 years, WAIR % | 2.35% | 2.33% |
Due after 4 years through 5 years, WAIR % | 2.73% | 2.54% |
Thereafter, WAIR % | 3.21% | 3.21% |
Total CO bonds, par value, WAIR % | 2.45% | 2.36% |
Due in 1 year or less | $ 32,609,490 | $ 30,331,870 |
Due after 1 year through 2 years | 4,080,745 | 6,069,285 |
Due after 2 years through 3 years | 864,370 | 1,043,620 |
Due after 3 years through 4 years | 641,650 | 626,000 |
Due after 4 years through 5 years | 443,625 | 503,375 |
Thereafter | 1,796,350 | 1,800,700 |
Total CO bonds, par value | 40,436,230 | 40,374,850 |
Non-callable / non-putable | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | 26,394,230 | 27,462,850 |
Callable | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | $ 14,042,000 | $ 12,912,000 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||
Balance at beginning of period | $ 40,747 | $ 32,166 | |
Assessment (expense) | 3,989 | 5,677 | |
Subsidy usage, net | [1] | (1,895) | (2,757) |
Balance at end of period | $ 42,841 | $ 35,086 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Details)
Capital (Details) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019USD ($)capital_requirement | Mar. 31, 2018USD ($) | Dec. 31, 2018USD ($) | ||
Stockholders' Equity Note [Abstract] | ||||
Redemption period | 5 years | |||
Mandatorily Redeemable Capital Stock Activity [Roll Forward] | ||||
Liability at beginning of period | $ 168,876 | $ 164,322 | ||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | 2,109 | 0 | ||
Proceeds from Issuance of MRCS | [1] | 3,704 | 0 | |
Redemptions/repurchases | (487) | (540) | ||
Liability at end of period | 174,202 | 163,782 | ||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||
Year 1 | [2] | 828 | $ 1,316 | |
Year 2 | 0 | 0 | ||
Year 3 | 8,649 | 8,649 | ||
Year 4 | 0 | 0 | ||
Year 5 | 28,833 | 26,723 | ||
Thereafter | [3] | 135,892 | 132,188 | |
Stock not redeemed after redemption period due to outstanding items | 815 | 1,304 | ||
Recorded as interest expense | 2,718 | 2,745 | ||
Recorded as distributions from retained earnings | 0 | 0 | ||
Total | $ 2,718 | $ 2,745 | ||
Regulatory Capital Requirements | ||||
Number of regulatory capital requirements | capital_requirement | 3 | |||
Risk-based capital, required | $ 806,270 | 786,925 | ||
Risk-based capital, actual | $ 3,243,982 | $ 3,177,638 | ||
Regulatory permanent capital-to-asset ratio, required | 4.00% | 4.00% | ||
Regulatory permanent capital-to-asset ratio, actual | 4.89% | 4.86% | ||
Regulatory capital, required | $ 2,655,311 | $ 2,616,468 | ||
Regulatory capital, actual | $ 3,243,982 | $ 3,177,638 | ||
Leverage ratio, required | 5.00% | 5.00% | ||
Leverage ratio, actual | 7.33% | 7.29% | ||
Leverage capital, required | $ 3,319,138 | $ 3,270,585 | ||
Leverage capital, actual | 4,865,973 | 4,766,457 | ||
Financial Instruments Subject to Mandatory Redemption Held by Captive Insurance Companies to be Redeemed Prior to Year 5 | $ 61,642 | $ 57,938 | ||
[1] | Represents a purchase of capital stock by a captive insurance company member, which is considered mandatorily redeemable as a result of the Final Membership Rule. | |||
[2] | Balances at March 31, 2019 and December 31, 2018 include $815 and $1,304, 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. | |||
[3] | Represents the five-year redemption period of Class B stock held by certain captive insurance companies which begins immediately upon their respective terminations of membership no later than February 19, 2021, in accordance with the Final Membership Rule. However, upon their respective terminations, we currently intend to repurchase their excess stock (if any) in accordance with our capital plan, the balances of which at March 31, 2019 and December 31, 2018 totaled $61,642 and $57,938, respectively. |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | $ 3,050,449 | $ 2,945,506 |
Total other comprehensive income (loss) | 27,252 | 22,905 |
Ending balance | 3,138,719 | 3,008,924 |
Unrealized Gains (Losses) on AFS Securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 52,986 | 92,519 |
Net change in unrealized gains (losses) | 26,905 | 22,553 |
Total other comprehensive income (loss) | 26,905 | 22,553 |
Ending balance | 79,891 | 115,072 |
Non-Credit OTTI | AFS securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 0 | 29,322 |
Net change in unrealized gains (losses) | 0 | 3 |
Net change in fair value | 28 | |
Total other comprehensive income (loss) | 0 | 31 |
Ending balance | 0 | 29,353 |
Non-Credit OTTI | HTM Securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 0 | (51) |
Accretion of non-credit losses | (2) | |
Total other comprehensive income (loss) | 0 | (2) |
Ending balance | 0 | (53) |
Pension Benefits | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | (11,299) | (10,384) |
Pension benefits, net | 347 | 323 |
Total other comprehensive income (loss) | 347 | 323 |
Ending balance | (10,952) | (10,061) |
Accumulated Other Comprehensive Income | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning balance | 41,687 | 111,406 |
Net change in unrealized gains (losses) | 26,905 | 22,556 |
Net change in fair value | 28 | |
Accretion of non-credit losses | (2) | |
Pension benefits, net | 347 | 323 |
Total other comprehensive income (loss) | 27,252 | 22,905 |
Ending balance | $ 68,939 | $ 134,311 |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Segment Reporting Information [Line Items] | |||
Net interest income | $ 57,539 | $ 70,131 | |
Provision for (reversal of) credit losses | 54 | (104) | |
Other income (loss) | 3,016 | 6,187 | |
Other expenses | 23,327 | 22,397 | |
Income before assessments | 37,174 | 54,025 | |
Affordable Housing Program assessments | 3,989 | 5,677 | |
Net income | 33,185 | 48,348 | |
Assets | 66,382,767 | $ 65,411,699 | |
Traditional | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 39,227 | 52,324 | |
Provision for (reversal of) credit losses | 0 | 0 | |
Other income (loss) | 3,185 | 6,342 | |
Other expenses | 19,976 | 18,816 | |
Income before assessments | 22,436 | 39,850 | |
Affordable Housing Program assessments | 2,515 | 4,259 | |
Net income | 19,921 | 35,591 | |
Assets | 54,984,281 | 54,026,721 | |
Mortgage Loans | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 18,312 | 17,807 | |
Provision for (reversal of) credit losses | 54 | (104) | |
Other income (loss) | (169) | (155) | |
Other expenses | 3,351 | 3,581 | |
Income before assessments | 14,738 | 14,175 | |
Affordable Housing Program assessments | 1,474 | 1,418 | |
Net income | 13,264 | $ 12,757 | |
Assets | $ 11,398,486 | $ 11,384,978 |
Estimated Fair Values Estimat_2
Estimated Fair Values Estimated Fair Values - Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | |
Assets: | |||||
Cash and due from banks | $ 73,099 | $ 100,735 | |||
Trading Securities | 1,121,889 | 0 | |||
AFS securities | 8,408,391 | 7,703,596 | |||
HTM securities | 5,454,506 | 5,673,720 | |||
HTM securities | 5,456,391 | 5,676,145 | |||
Accrued interest receivable | 132,955 | 124,611 | |||
Derivative assets, net | 175,687 | 116,764 | |||
Netting adjustments and cash collateral, derivative asset | [1],[2] | 55,612 | (60,038) | ||
Consolidated Obligations: | |||||
Accrued interest payable | 179,334 | 179,728 | |||
Derivative liabilities, net | 1,388 | 21,067 | |||
Netting adjustments and cash collateral, derivative liability | [1],[2] | (141,082) | (102,595) | ||
MRCS | 174,202 | 168,876 | $ 163,782 | $ 164,322 | |
Level 1 | |||||
Assets: | |||||
Cash and due from banks | 73,099 | 100,735 | |||
Interest-bearing deposits | 316,000 | 1,210,039 | |||
Securities purchased under agreements to resell | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading Securities | 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 | [3] | 23,251 | 21,122 | ||
Liabilities: | |||||
Deposits | 0 | 0 | |||
Consolidated Obligations: | |||||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities, net | 0 | 0 | |||
MRCS | 174,202 | 168,876 | |||
Level 2 | |||||
Assets: | |||||
Cash and due from banks | 0 | 0 | |||
Interest-bearing deposits | 530 | 666 | |||
Securities purchased under agreements to resell | 3,297,525 | 3,212,728 | |||
Federal funds sold | 3,100,000 | 3,085,000 | |||
Trading Securities | 1,121,889 | ||||
AFS securities | 8,408,391 | 7,703,596 | |||
HTM securities | 5,456,391 | 5,676,145 | |||
Advances | 32,800,748 | 32,669,145 | |||
Mortgage loans held for portfolio, net | 11,371,641 | 11,202,984 | |||
Accrued interest receivable | 132,955 | 124,611 | |||
Derivative assets, net | 120,075 | 176,802 | |||
Grantor trust assets | [3] | 0 | 0 | ||
Liabilities: | |||||
Deposits | 698,727 | 500,440 | |||
Consolidated Obligations: | |||||
Accrued interest payable | 179,334 | 179,728 | |||
Derivative liabilities, net | 142,470 | 123,662 | |||
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 | |||
Trading Securities | 0 | ||||
AFS securities | 0 | 0 | |||
HTM securities | 0 | 0 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 9,593 | 9,994 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [3] | 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 | 73,099 | 100,735 | |||
Interest-bearing deposits | 316,530 | 1,210,705 | |||
Securities purchased under agreements to resell | 3,297,525 | 3,212,728 | |||
Federal funds sold | 3,100,000 | 3,085,000 | |||
Trading Securities | 1,121,889 | ||||
AFS securities | 8,408,391 | 7,703,596 | |||
HTM securities | 5,456,391 | 5,676,145 | |||
Advances | 32,800,748 | 32,669,145 | |||
Mortgage loans held for portfolio, net | 11,381,234 | 11,212,978 | |||
Accrued interest receivable | 132,955 | 124,611 | |||
Derivative assets, net | 175,687 | 116,764 | |||
Grantor trust assets | [3] | 23,251 | 21,122 | ||
Liabilities: | |||||
Deposits | 698,727 | 500,440 | |||
Consolidated Obligations: | |||||
Accrued interest payable | 179,334 | 179,728 | |||
Derivative liabilities, net | 1,388 | 21,067 | |||
MRCS | 174,202 | 168,876 | |||
Carrying value | |||||
Assets: | |||||
Cash and due from banks | 73,099 | 100,735 | |||
Interest-bearing deposits | 316,530 | 1,210,705 | |||
Securities purchased under agreements to resell | 3,297,519 | 3,212,726 | |||
Federal funds sold | 3,100,000 | 3,085,000 | |||
Trading Securities | 1,121,889 | ||||
AFS securities | 8,408,391 | 7,703,596 | |||
HTM securities | 5,454,506 | 5,673,720 | |||
Advances | 32,830,084 | 32,727,668 | |||
Mortgage loans held for portfolio, net | 11,398,486 | 11,384,978 | |||
Accrued interest receivable | 132,955 | 124,611 | |||
Derivative assets, net | 175,687 | 116,764 | |||
Grantor trust assets | [3] | 23,251 | 21,122 | ||
Liabilities: | |||||
Deposits | 698,727 | 500,440 | |||
Consolidated Obligations: | |||||
Accrued interest payable | 179,334 | 179,728 | |||
Derivative liabilities, net | 1,388 | 21,067 | |||
MRCS | 174,202 | 168,876 | |||
Discount notes | Level 1 | |||||
Consolidated Obligations: | |||||
Discount notes | 0 | 0 | |||
Discount notes | Level 2 | |||||
Consolidated Obligations: | |||||
Discount notes | 21,254,396 | 20,895,446 | |||
Discount notes | Level 3 | |||||
Consolidated Obligations: | |||||
Discount notes | 0 | 0 | |||
Discount notes | Fair Value | |||||
Consolidated Obligations: | |||||
Discount notes | 21,254,396 | 20,895,446 | |||
Discount notes | Carrying value | |||||
Consolidated Obligations: | |||||
Discount notes | 21,254,090 | 20,895,262 | |||
CO bonds | Level 1 | |||||
Consolidated Obligations: | |||||
Bonds | 0 | 0 | |||
CO bonds | Level 2 | |||||
Consolidated Obligations: | |||||
Bonds | 40,452,170 | 40,137,791 | |||
CO bonds | Level 3 | |||||
Consolidated Obligations: | |||||
Bonds | 0 | 0 | |||
CO bonds | Fair Value | |||||
Consolidated Obligations: | |||||
Bonds | 40,452,170 | 40,137,791 | |||
CO bonds | Carrying value | |||||
Consolidated Obligations: | |||||
Bonds | $ 40,375,525 | $ 40,265,465 | |||
[1] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2019 and December 31, 2018, including accrued interest, totaled $198,754 and $127,952, respectively. Cash collateral received from counterparties and held at March 31, 2019 and December 31, 2018, including accrued interest, totaled $2,060 and $85,395, respectively. | ||||
[3] | Included in other assets on the statement of condition. |
Estimated Fair Values Estimat_3
Estimated Fair Values Estimated Fair Values - Recurring and Non-Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | $ 1,121,889 | $ 0 | |||
AFS securities | 8,408,391 | 7,703,596 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 175,687 | 116,764 | |||
Netting adjustments and cash collateral, derivative asset | [1],[2] | 55,612 | (60,038) | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 1,388 | 21,067 | |||
Netting adjustments and cash collateral, derivative liability | [1],[2] | (141,082) | (102,595) | ||
Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 8,408,391 | 7,703,596 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 175,687 | 116,764 | |||
Netting adjustments and cash collateral, derivative asset | [1] | 55,612 | (60,038) | ||
Grantor trust assets | [3] | 23,251 | 21,122 | ||
Total assets at estimated fair value | 9,729,218 | 7,841,482 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 1,388 | 21,067 | |||
Netting adjustments and cash collateral, derivative liability | [1] | (141,082) | (102,595) | ||
Total liabilities at recurring estimated fair value | 1,388 | 21,067 | |||
Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 175,516 | 116,618 | |||
Netting adjustments and cash collateral, derivative asset | [1] | 55,612 | (60,038) | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 852 | 20,842 | |||
Netting adjustments and cash collateral, derivative liability | [1] | (141,082) | (102,595) | ||
Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | ||||
Netting adjustments and cash collateral, derivative asset | [1] | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 521 | 202 | |||
Netting adjustments and cash collateral, derivative liability | [1] | 0 | 0 | ||
Fair Value, Measurements, Recurring | Interest-rate forwards | Mortgages | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 171 | 146 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 15 | 23 | |||
Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 1,775 | 1,734 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 1,775 | [4] | 1,734 | [5] | |
Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 0 | ||||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [6] | 23,251 | 21,122 | ||
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] | |||||
Trading Securities | 0 | ||||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [3] | 23,251 | 21,122 | ||
Total assets at estimated fair value | 23,251 | 21,122 | |||
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, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 0 | [4] | 0 | [5] | |
Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 1,121,889 | ||||
AFS securities | 8,408,391 | 7,703,596 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 120,075 | 176,802 | |||
Grantor trust assets | [6] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 142,470 | 123,662 | |||
Mortgage loans held for portfolio | 11,371,641 | 11,202,984 | |||
Level 2 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 1,121,889 | ||||
AFS securities | 8,408,391 | 7,703,596 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 120,075 | 176,802 | |||
Grantor trust assets | [3] | 0 | |||
Total assets at estimated fair value | 9,650,355 | 7,880,398 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 142,470 | 123,662 | |||
Total liabilities at recurring estimated fair value | 142,470 | 123,662 | |||
Level 2 | Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 119,904 | 176,656 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 141,934 | 123,437 | |||
Level 2 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | ||||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 521 | 202 | |||
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 | [4] | 0 | [5] | |
Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 0 | ||||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [6] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Mortgage loans held for portfolio | 9,593 | 9,994 | |||
Level 3 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 0 | ||||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [3] | 0 | 0 | ||
Total assets at estimated fair value | 0 | 0 | |||
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, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 1,775 | 1,734 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 1,775 | [4] | 1,734 | [5] | |
US Treasury Securities [Member] | Level 1 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 0 | ||||
US Treasury Securities [Member] | Level 2 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 1,121,889 | ||||
US Treasury Securities [Member] | Level 3 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 0 | ||||
GSE and TVA debentures | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,337,714 | 4,277,080 | |||
GSE and TVA debentures | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,337,714 | 4,277,080 | |||
GSE and TVA debentures | Level 1 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
GSE and TVA debentures | Level 2 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,337,714 | 4,277,080 | |||
GSE and TVA debentures | Level 3 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
GSE MBS | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,070,677 | 3,426,516 | |||
GSE MBS | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,070,677 | 3,426,516 | |||
GSE MBS | Level 1 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
GSE MBS | Level 2 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,070,677 | 3,426,516 | |||
GSE MBS | Level 3 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 0 | 0 | |||
Mortgage Receivable [Member] | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Netting adjustments and cash collateral, derivative asset | [1] | 0 | |||
Derivative Liability [Abstract] | |||||
Netting adjustments and cash collateral, derivative liability | [1] | 0 | 0 | ||
Mortgage Receivable [Member] | Level 1 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Mortgage Receivable [Member] | Level 2 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 171 | 146 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 15 | 23 | |||
Mortgage Receivable [Member] | Level 3 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Estimate of Fair Value Measurement [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 1,121,889 | ||||
AFS securities | 8,408,391 | 7,703,596 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 175,687 | 116,764 | |||
Grantor trust assets | [6] | 23,251 | 21,122 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 1,388 | 21,067 | |||
Mortgage loans held for portfolio | 11,381,234 | $ 11,212,978 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | 1,121,889 | ||||
Estimate of Fair Value Measurement [Member] | US Treasury Securities [Member] | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading Securities | $ 1,121,889 | ||||
[1] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2019 and December 31, 2018, including accrued interest, totaled $198,754 and $127,952, respectively. Cash collateral received from counterparties and held at March 31, 2019 and December 31, 2018, including accrued interest, totaled $2,060 and $85,395, respectively. | ||||
[3] | Included in other assets. | ||||
[4] | Amounts are as of the date the fair value adjustment was recorded during the three months ended March 31, 2019. | ||||
[5] | Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2018. | ||||
[6] | Included in other assets on the statement of condition. |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2019 | Dec. 31, 2018 | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Cash collateral pledged | $ 198,746,000 | $ 127,942,000 | |
Standby Letters of Credit [Member] | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | 369,635,000 | ||
Off-balance-sheet commitments expire after one year | 95,055,000 | ||
Off-balance-sheet commitments, Total | 464,690,000 | ||
Commitments to Extend Credit [Member] | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | [1] | 950,619,000 | |
Off-balance-sheet commitments expire after one year | [1] | 0 | |
Off-balance-sheet commitments, Total | [1] | $ 950,619,000 | |
Period for Mortgage Loan Commitments | 91 days | ||
Unused lines of credit | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
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] | 92,460,000 | |
Off-balance-sheet commitments expire after one year | [2] | 0 | |
Off-balance-sheet commitments, Total | [2] | $ 92,460,000 | |
Commitments to fund additional Advances are generally for periods up | 6 months | ||
CO bonds | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | $ 358,000,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | 358,000,000 | ||
Unsettled discount notes, at par | |||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | |||
Off-balance-sheet commitments expire within one year | 27,115,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | 27,115,000 | ||
Mortgage Receivable [Member] | 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] | 49,856,000 | |
Off-balance-sheet commitments expire after one year | [3] | 0 | |
Off-balance-sheet commitments, Total | [3] | $ 49,856,000 | |
[1] | Maximum line of credit amount per member is $50,000. | ||
[2] | Generally for periods up to six months. | ||
[3] | Generally for periods up to 91 days. |
Related Party and Other Trans_3
Related Party and Other Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Advances, par value | $ 32,833,416 | $ 32,829,361 | |
Payments to Acquire Loans Held-for-investment | 257,582 | $ 429,338 | |
Disbursements | 0 | (300,000) | |
Principal repayments | 0 | 300,000 | |
Directors' Financial Institutions | |||
Related Party Transaction [Line Items] | |||
Capital stock, par value | $ 44,251 | $ 43,315 | |
Capital stock, % of total | 2.00% | 2.00% | |
Advances, par value | $ 602,732 | $ 600,869 | |
Advances, % of total | 2.00% | 2.00% | |
Net capital stock issuances (redemptions and repurchases) | $ 26 | 846 | |
Net advances (repayments) | 38,239 | (97,300) | |
Payments to Acquire Loans Held-for-investment | $ 4,594 | $ 6,355 |