Cover
Cover - shares | 3 Months Ended | |
Mar. 31, 2020 | Apr. 30, 2020 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Entity File Number | 000-51404 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF INDIANAPOLIS | |
Entity Tax Identification Number | 35-6001443 | |
Entity Central Index Key | 0001331754 | |
Entity Incorporation, State or Country Code | X1 | |
Entity Address, Address Line One | 8250 Woodfield Crossing Blvd. | |
Entity Address, City or Town | Indianapolis | |
Entity Address, State or Province | IN | |
Entity Address, Postal Zip Code | 46240 | |
City Area Code | 317 | |
Local Phone Number | 465-0200 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Period End Date | Mar. 31, 2020 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Emerging Growth Company | false | |
Small Business | false | |
Entity Shell Company | false | |
Entity Common Stock, Outstanding (in shares) | 24,795,645 |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 3 Months Ended |
Mar. 31, 2020 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance Recently Adopted Accounting Guidance. Measurement of Credit Losses on Financial Instruments (ASU 2016-13). On June 16, 2016, the FASB issued guidance replacing the current incurred loss model. The guidance requires entities to measure expected credit losses based on consideration of a broad range of relevant information, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount of the financial instrument. This guidance was effective for the interim and annual periods beginning on January 1, 2020 and was applied using a modified-retrospective method. In spite of the requirement to measure expected credit losses over the estimated life of our financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances, and mortgage loans held for portfolio, the adoption of this guidance had no effect on our allowance for credit losses, and therefore no cumulative-effect adjustment was recorded to retained earnings as of January 1, 2020. Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13). On August 28, 2018, the FASB issued guidance to update the disclosure requirements for fair value measurement. This guidance was issued as part of the FASB's disclosure framework project and is intended to improve disclosure effectiveness. The guidance was effective for the interim and annual periods beginning on January 1, 2020. The adoption of this guidance will allow us to eliminate an annual disclosure related to the process for determining the estimated fair value of Level 3 impaired mortgage loans held for portfolio, but had no effect on our financial condition, results of operations or cash flows. Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement that is a Service Contract (ASU 2018-15) . On August 29, 2018, the FASB issued guidance on implementation costs incurred in a hosting arrangement that is a service contract. The guidance aligns the requirements for capitalizing such costs with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software and hosting arrangements that include an internal-use software license. This guidance was effective for the interim and annual periods beginning on January 1, 2020. The adoption of this guidance on a prospective basis had no effect on our financial condition, results of operations, or cash flows. Recently Issued Accounting Guidance. Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). On March 12, 2020, the FASB issued optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance provides optional expedients and exceptions for applying GAAP to transactions affected by reference rate reform, if certain criteria are met. These transactions include: (i) contract modifications, (ii) hedging relationships, and (iii) sales or transfers of debt securities classified as HTM. The guidance is effective from March 12, 2020 through December 31, 2022. We may elect to adopt the guidance for eligible contract modifications and hedging relationships existing as of January 1, 2020 and prospectively thereafter until the expiration date of the guidance. The one-time election to sell, transfer, or both sell and transfer debt securities classified as HTM may be made at any time after March 12, 2020, but no later than December 31, 2022. We expect that we will elect to apply certain of the expedients and exceptions provided in the guidance; however, we are still evaluating the guidance and have yet to apply any of its provisions. Therefore, the impact of the adoption of the guidance on our financial condition, results of operations, or cash flows has not yet been determined. |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||
Cash and due from banks | $ 4,685,426,000 | $ 220,294,000 | |
Interest-bearing deposits (Note 3) | 85,000 | 809,141,000 | |
Securities purchased under agreements to resell (Note 3) | 3,400,000,000 | 1,500,000,000 | |
Federal funds sold (Note 3) | 0 | 2,550,000,000 | |
Trading securities (Note 3) | 5,831,089,000 | 5,016,649,000 | |
Debt Securities, Available-for-sale | 9,861,353,000 | 8,484,478,000 | |
Held-to-maturity securities, net (estimated fair values of $4,780,664 and $5,216,206) (Note 3) | 4,794,773,000 | 5,216,401,000 | |
Advances (Note 4) | [1] | 38,926,612,000 | 32,480,108,000 |
Mortgage loans held for portfolio, net (Note 5) | [2] | 10,649,223,000 | 10,815,037,000 |
Accrued interest receivable | 130,259,000 | 131,822,000 | |
Premises, software, and equipment, net | 35,636,000 | 36,549,000 | |
Derivative assets, net (Note 6) | 306,882,000 | 208,008,000 | |
Other assets | 44,503,000 | 42,288,000 | |
Total assets | 78,665,841,000 | 67,510,775,000 | |
Liabilities: | |||
Deposits | 2,821,496,000 | 960,304,000 | |
Consolidated obligations (Note 7): | |||
Discount notes | 29,652,551,000 | 17,676,793,000 | |
Bonds | 42,079,465,000 | 44,715,224,000 | |
Total consolidated obligations, net | 71,732,016,000 | 62,392,017,000 | |
Accrued interest payable | 136,470,000 | 178,981,000 | |
Affordable Housing Program payable (Note 8) | 39,423,000 | 38,084,000 | |
Derivative liabilities, net (Note 6) | 14,277,000 | 3,206,000 | |
Mandatorily redeemable capital stock (Note 9) | 323,125,000 | 322,902,000 | |
Other liabilities | 457,656,000 | 458,521,000 | |
Total liabilities | 75,524,463,000 | 64,354,015,000 | |
Commitments and contingencies (Note 13) | |||
Capital stock (putable at par value of $100 per share): | |||
Capital stock | 2,098,222,000 | 1,974,076,000 | |
Retained earnings: | |||
Unrestricted | 867,141,000 | 864,454,000 | |
Restricted | 256,763,000 | 250,854,000 | |
Total retained earnings | 1,123,904,000 | 1,115,308,000 | |
Total accumulated other comprehensive income (loss) (Note 10) | (80,748,000) | 67,376,000 | |
Total capital | 3,141,378,000 | 3,156,760,000 | |
Total liabilities and capital | $ 78,665,841,000 | $ 67,510,775,000 | |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 | |
Class B-1 issued and outstanding shares: 20,979,193 and 19,737,727, respectively | |||
Capital stock (putable at par value of $100 per share): | |||
Capital stock | $ 2,097,919,000 | $ 1,973,773,000 | |
Retained earnings: | |||
Common stock outstanding (in shares) | 20,979,193 | 19,737,727 | |
Common stock issued (in shares) | 20,979,193 | 19,737,727 | |
Class B-2 issued and outstanding shares: 3,028 and 3,028, respectively | |||
Capital stock (putable at par value of $100 per share): | |||
Capital stock | $ 303,000 | $ 303,000 | |
Retained earnings: | |||
Common stock outstanding (in shares) | 3,028 | 3,028 | |
Common stock issued (in shares) | 3,028 | 3,028 | |
[1] | Carrying value equals amortized cost, which includes adjustments made to the cost basis for accretion, amortization and/or net charge-offs and excludes accrued interest receivable of $25,056 and $27,019 as of March 31, 2020 and December 31, 2019. | ||
[2] | Excludes accrued interest receivable of $46,836 and $47,722 at March 31, 2020 and December 31, 2019, respectively. |
Statements of Condition (Unau_2
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Estimated fair value | $ 4,780,664 | $ 5,216,206 | |
Amortized cost | [1] | $ 9,920,371 | $ 8,394,665 |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 | |
Class B-1 | |||
Common stock issued (in shares) | 20,979,193 | 19,737,727 | |
Common stock outstanding (in shares) | 20,979,193 | 19,737,727 | |
Class B-2 | |||
Common stock issued (in shares) | 3,028 | 3,028 | |
Common stock outstanding (in shares) | 3,028 | 3,028 | |
[1] | Includes adjustments made to the cost basis for accretion, amortization, net charge-offs, and, if applicable, fair-value hedging basis adjustments, and excludes accrued interest receivable of $30,420 and $32,963 at March 31, 2020 and December 31, 2019, respectively. Carrying value equals estimated fair value. |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Interest Income: | ||
Advances | $ 169,625 | $ 211,754 |
Interest-bearing deposits | 4,718 | 4,266 |
Securities purchased under agreements to resell | 9,833 | 19,814 |
Federal funds sold | 9,290 | 20,381 |
Trading securities | 23,796 | 2,801 |
Available-for-sale securities | 36,803 | 49,481 |
Held-to-maturity securities | 29,133 | 40,884 |
Mortgage loans held for portfolio | 82,021 | 96,253 |
Total interest income | 365,219 | 445,634 |
Interest Expense: | ||
Consolidated obligation discount notes | 72,514 | 119,374 |
Consolidated obligation bonds | 223,852 | 263,009 |
Deposits | 2,735 | 2,994 |
Mandatorily redeemable capital stock | 2,967 | 2,718 |
Total interest expense | 302,068 | 388,095 |
Net interest income | 63,151 | 57,539 |
Provision for (reversal of) credit losses | (3) | 54 |
Net interest income after provision for credit losses | 63,154 | 57,485 |
Other Income: | ||
Net gains on trading securities | 49,833 | 4,071 |
Net losses on derivatives and hedging activities | (50,950) | (3,422) |
Other, net | (3,578) | 2,015 |
Total other income (loss) | (4,379) | 3,016 |
Other Expenses: | ||
Compensation and benefits | 14,385 | 14,133 |
Other operating expenses | 7,309 | 5,974 |
Federal Housing Finance Agency | 1,168 | 996 |
Office of Finance | 1,274 | 1,136 |
Other | 1,480 | 1,088 |
Total other expenses | 25,616 | 23,327 |
Income before assessments | 33,159 | 37,174 |
Affordable Housing Program assessments | 3,613 | 3,989 |
Net income | 29,546 | 33,185 |
Service fees | ||
Other Income: | ||
Fees | 160 | 193 |
Standby letters of credit fees | ||
Other Income: | ||
Fees | $ 156 | $ 159 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 29,546 | $ 33,185 |
Other Comprehensive Income: | ||
Net change in unrealized gains (losses) on available-for-sale securities | (148,831) | 26,905 |
Pension benefits, net | 707 | 347 |
Total other comprehensive income (loss) | (148,124) | 27,252 |
Total comprehensive income (loss) | $ (118,578) | $ 60,437 |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | $ 3,156,760 | $ 3,050,449 |
Total comprehensive income (loss) | (118,578) | 60,437 |
Proceeds from issuance of capital stock | 124,378 | 56,487 |
Shares reclassified to mandatorily redeemable capital stock, net | (232) | (2,109) |
Cash dividends on capital stock | (20,950) | (26,545) |
Ending Balance | $ 3,141,378 | $ 3,138,719 |
Capital Stock | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance (in shares) | 19,741 | 19,310 |
Beginning Balance | $ 1,974,076 | $ 1,930,952 |
Proceeds from issuance of capital stock (in shares) | 1,243 | 564 |
Proceeds from issuance of capital stock | $ 124,378 | $ 56,487 |
Shares reclassified to mandatorily redeemable capital stock, net | (2) | (21) |
Shares reclassified to mandatorily redeemable capital stock, net | $ (232) | $ (2,109) |
Ending Balance | $ 2,098,222 | $ 1,985,330 |
Ending Balance (in shares) | 20,982 | 19,853 |
Retained Earnings Total | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | $ 1,115,308 | $ 1,077,810 |
Total comprehensive income (loss) | 29,546 | 33,185 |
Cash dividends on capital stock | (20,950) | (26,545) |
Ending Balance | 1,123,904 | 1,084,450 |
Retained Earnings, Unrestricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | 864,454 | 855,311 |
Total comprehensive income (loss) | 23,637 | 26,548 |
Cash dividends on capital stock | (20,950) | (26,545) |
Ending Balance | 867,141 | 855,314 |
Retained Earnings, Restricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | 250,854 | 222,499 |
Total comprehensive income (loss) | 5,909 | 6,637 |
Ending Balance | 256,763 | 229,136 |
Accumulated Other Comprehensive Income (Loss) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning Balance | 67,376 | 41,687 |
Total comprehensive income (loss) | (148,124) | 27,252 |
Ending Balance | $ (80,748) | $ 68,939 |
Statements of Capital (Unaudi_2
Statements of Capital (Unaudited) (Parenthetical) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Stockholders' Equity [Abstract] | ||
Annualized dividend rate on capital stock | 4.25% | 5.50% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | ||
Operating Activities: | |||
Net income | $ 29,546 | $ 33,185 | |
Adjustments to reconcile net income to net cash used in operating activities: | |||
Amortization and depreciation | 23,008 | 18,150 | |
Changes in net derivative and hedging activities | (516,375) | (114,276) | |
Provision for (reversal of) credit losses | (3) | 54 | |
Net gains on trading securities | (49,833) | (4,071) | |
Changes in: | |||
Accrued interest receivable | 1,528 | (11,354) | |
Other assets | (3,188) | (1,394) | |
Accrued interest payable | (42,511) | (568) | |
Other liabilities | 24,357 | (1,918) | |
Total adjustments, net | (563,017) | (115,377) | |
Net cash used in operating activities | (533,471) | (82,192) | |
Net change in: | |||
Interest-bearing deposits | 11,403 | 823,372 | |
Securities purchased under agreements to resell | (1,900,000) | (84,793) | |
Federal funds sold | 2,550,000 | (15,000) | |
Trading securities: | |||
Proceeds from maturities | 400,000 | 0 | |
Purchases | (1,164,607) | (1,117,818) | |
Available-for-sale securities: | |||
Proceeds from maturities | 22,000 | 0 | |
Purchases | (1,032,839) | (315,000) | |
Held-to-maturity securities: | |||
Proceeds from maturities | 420,864 | 216,391 | |
Advances: | |||
Principal repayments | 68,421,317 | 116,068,059 | |
Disbursements to members | (74,178,468) | (116,072,114) | |
Mortgage loans held for portfolio: | |||
Principal collections | 573,013 | 244,645 | |
Purchases from members | (360,105) | (257,582) | |
Purchases of premises, software, and equipment | (822) | (1,113) | |
Net cash used in investing activities | (6,238,244) | (510,953) | |
Financing Activities: | |||
Changes in deposits | 1,860,821 | 115,127 | |
Net payments on derivative contracts with financing elements | 2,368 | (975) | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 84,066,250 | 95,442,803 | |
Bonds | 14,093,533 | 5,429,231 | |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (72,093,154) | (95,087,066) | |
Bonds | (16,796,390) | (5,366,770) | |
Proceeds from issuance of capital stock | 124,378 | 56,487 | |
Proceeds from issuance of mandatorily redeemable capital stock | [1] | 0 | 3,704 |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (9) | (487) | |
Dividend payments on capital stock | (20,950) | (26,545) | |
Net cash provided by financing activities | 11,236,847 | 565,509 | |
Net increase (decrease) in cash and due from banks | 4,465,132 | (27,636) | |
Cash and due from banks at beginning of period | 220,294 | 100,735 | |
Cash and due from banks at end of period | 4,685,426 | 73,099 | |
Supplemental Disclosures: | |||
Interest payments | 335,473 | 379,523 | |
Affordable Housing Program payments | [2] | 2,274 | 1,895 |
Purchases of available-for-sale securities, traded but not yet settled | 0 | 225,222 | |
Capitalized interest on certain held-to-maturity securities | 506 | 1,160 | |
Par value of shares reclassified to mandatorily redeemable capital stock, net | $ 232 | $ 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, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 1 - Summary of Significant Accounting Policies Unless the context otherwise requires, the terms "we," "us," "our," and "Bank" refer to the Federal Home Loan Bank of Indianapolis or its management. We use acronyms and terms throughout these Notes to Financial Statements that are defined in the Defined Terms . 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 2019 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 2019 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. 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. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. The most significant estimates pertain to derivatives and hedging activities, and the fair value of financial instruments. Significant Accounting Policies. Our significant accounting policies and certain other disclosures are set forth in our 2019 Form 10-K in Note 1 - Summary of Significant Accounting Policies . The adoption of ASU 2016-13, Measurement of Expected Credit Losses on Financial Instruments, resulted in the following revisions to our significant accounting policies. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. These investments are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We use the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which we do not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the estimated fair value of the collateral and the investment’s amortized cost. For more information on the allowance methodology related to these investments, see Note 3 - Investments. Investment Securities. HTM Securities . HTM securities are evaluated quarterly for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. For more information on the allowance methodology related to these investments, see Note 3 - Investments. AFS Securities. We individually evaluate our AFS securities for impairment on a quarterly basis. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, we compare the present value of cash flows to be collected from the security with its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance is limited by the amount of the unrealized loss and excludes any uncollectible accrued interest receivable, which is measured separately. If we do not intend to sell an impaired AFS security and it is not more likely than not that we will be required to sell the security before recovery of its amortized cost basis, any remaining difference between the security’s estimated fair value and amortized cost is recorded to net unrealized gains (losses) on AFS securities within OCI. If we intend to sell an impaired AFS security, or more likely than not will be required to sell the security before recovery of its amortized cost basis, any allowance for credit losses is charged off and the amortized cost basis is written down to the security’s estimated fair value at the reporting date with any such impairment reported in earnings as net gains (losses) on investment securities. For more information on the allowance methodology related to these investments, see Note 3 - Investments. Advances. Our advances are evaluated on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. If any credit losses are expected, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. For more information on the allowance methodology related to advances, see Note 4 - Advances. Mortgage Loans Held for Portfolio. We perform a quarterly assessment of our mortgage loans held for portfolio to estimate expected credit losses over the remaining life of each loan. An allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We measure expected losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected losses on an individual basis. In addition, we individually evaluate all TDRs, any remaining exposure to delinquent conventional MPP loans paid in full by servicers, and collateral dependent loans. Loans are considered collateral dependent if repayment is expected to be provided solely by the sale of the underlying property, i.e., there is no other available and reliable source of repayment (including LRA and SMI). The Bank estimates expected losses on collateral dependent loans by applying a practical expedient that considers the expected loss of a collateral dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When developing the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and reduce the allowance accordingly. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as we charge off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. For more information on the allowance methodology related to mortgage loans, see Note 5 - Mortgage Loans Held for Portfolio. Off-Balance Sheet Credit Exposures. We evaluate our off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. For more information about our off-balance sheet credit exposures, see Note 13 - Commitments and Contingencies. |
Investments
Investments | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Note 3 - Investments Short-term Investments. We invest in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. Allowance for Credit Losses. These investments are generally transacted with counterparties that maintain a credit rating of triple-B or higher (investment grade) by a NRSRO. At March 31, 2020, none of these investments were with counterparties rated below single-A and none were with unrated counterparties. The NRSRO ratings may differ from our internal ratings of the investments, if applicable. Interest-Bearing Deposits. Interest-bearing deposits are considered overnight investments given our ability to withdraw funds from these accounts at any time. As such, no allowance for credit losses was recorded for these investments at March 31, 2020 or December 31, 2019. The carrying values of interest-bearing deposits at March 31, 2020 and December 31, 2019 exclude accrued interest receivable of $645 and $1,080, respectively. Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with our counterparties, no allowance for credit losses was recorded for securities purchased under agreements to resell at March 31, 2020 or December 31, 2019. The carrying values of securities purchased under agreements to resell as of March 31, 2020 and December 31, 2019 exclude accrued interest receivable of $3 and $65, respectively. Federal Funds Sold. Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit an individual FHLBank may extend to a counterparty. We held no federal funds sold at March 31, 2020. At December 31, 2019, all investments in federal funds sold were repaid according to the contractual terms and no allowance for credit losses was recorded. The carrying values of federal funds sold at December 31, 2019 exclude accrued interest receivable of $111. Investment Securities. Trading Securities. Major Security Types. The following table presents our trading securities by type of security. Security Type March 31, 2020 December 31, 2019 Non-mortgage-backed securities U.S. Treasury obligations $ 5,831,089 $ 5,016,649 Total trading securities at estimated fair value $ 5,831,089 $ 5,016,649 Net Gains (Losses) on Trading Securities. The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives. Three Months Ended March 31, 2020 2019 Net unrealized gains on trading securities held at period end $ 48,463 $ 4,071 Net realized gains on trading securities that matured/sold during the period 1,370 — Net gains on trading securities $ 49,833 $ 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, 2020 Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 4,061,918 $ 15,660 $ (5,819) $ 4,071,759 GSE MBS 5,858,453 12,054 (80,913) 5,789,594 Total AFS securities $ 9,920,371 $ 27,714 $ (86,732) $ 9,861,353 December 31, 2019 GSE and TVA debentures $ 3,885,012 $ 41,840 $ — $ 3,926,852 GSE MBS 4,509,653 51,200 (3,227) 4,557,626 Total AFS securities $ 8,394,665 $ 93,040 $ (3,227) $ 8,484,478 (1) Includes adjustments made to the cost basis for accretion, amortization, net charge-offs, and, if applicable, fair-value hedging basis adjustments, and excludes accrued interest receivable of $30,420 and $32,963 at March 31, 2020 and December 31, 2019, respectively. Carrying value equals estimated fair value. 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, 2020 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 1,220,802 $ (5,819) $ — $ — $ 1,220,802 $ (5,819) GSE MBS 3,971,861 (68,430) 457,823 (12,483) 4,429,684 (80,913) Total impaired AFS securities $ 5,192,663 $ (74,249) $ 457,823 $ (12,483) $ 5,650,486 $ (86,732) December 31, 2019 GSE MBS $ 339,981 $ (1,134) $ 519,446 $ (2,093) $ 859,427 $ (3,227) Total impaired AFS securities $ 339,981 $ (1,134) $ 519,446 $ (2,093) $ 859,427 $ (3,227) Contractual Maturity. The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. March 31, 2020 December 31, 2019 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 907,688 $ 909,338 $ 570,209 $ 571,588 Due after 1 year through 5 years 1,534,923 1,540,371 1,729,664 1,742,681 Due after 5 years through 10 years 1,559,189 1,561,579 1,489,144 1,514,978 Due after 10 years 60,118 60,471 95,995 97,605 Total non-MBS 4,061,918 4,071,759 3,885,012 3,926,852 Total MBS 5,858,453 5,789,594 4,509,653 4,557,626 Total AFS securities $ 9,920,371 $ 9,861,353 $ 8,394,665 $ 8,484,478 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, 2020 Cost (1) Gains (2) Losses (2) Fair Value MBS: Other U.S. obligations - guaranteed MBS $ 2,947,016 $ 1,535 $ (26,527) $ 2,922,024 GSE MBS 1,847,757 19,191 (8,308) 1,858,640 Total HTM securities $ 4,794,773 $ 20,726 $ (34,835) $ 4,780,664 December 31, 2019 MBS: Other U.S. obligations - guaranteed MBS $ 3,059,875 $ 6,948 $ (13,217) $ 3,053,606 GSE MBS 2,156,526 10,117 (4,043) 2,162,600 Total HTM securities $ 5,216,401 $ 17,065 $ (17,260) $ 5,216,206 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for accretion, amortization and/or net charge-offs and excludes accrued interest receivable of $5,868 and $7,156 as of March 31, 2020 and December 31, 2019, respectively. Contractual Maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. Allowance for Credit Losses on Investment Securities. At March 31, 2020, 100% of our AFS and HTM securities were rated single-A, or above, by a NRSRO, based on the lowest long-term credit rating for each security. These may differ for any internal ratings of the securities, if applicable. AFS Securities. At March 31, 2020, certain of our AFS securities were in an unrealized loss position; however, we did not record an allowance for credit losses because these losses are considered temporary and we expect to recover the entire amortized cost basis on these securities based upon the following factors: (i) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities before recovery of each security's remaining amortized cost basis, (ii) all securities were highly-rated, (iii) we have not experienced, nor do we expect, any payment defaults on the securities, and (iv) the U.S., GSE, and other agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero. HTM Securities. At March 31, 2020, we did not establish an allowance for credit losses on any HTM securities based on the following factors: (i) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities, (ii) all securities were highly-rated and/or had short remaining terms to maturity, (iii) we have not experienced, nor do we expect, any payment defaults on the securities, and (iv) the U.S., GSE, and other agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero. Under the previous security impairment methodology for AFS and HTM securities, the Bank did not recognize any OTTI during the three months ended March 31, 2019. |
Advances
Advances | 3 Months Ended |
Mar. 31, 2020 | |
Advances [Abstract] | |
Advances | Note 4 - Advances The following table presents advances outstanding by redemption term. March 31, 2020 December 31, 2019 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ — — $ 37 3.99 Due in 1 year or less 15,527,566 0.99 11,791,716 1.85 Due after 1 year through 2 years 1,748,992 1.94 2,106,315 2.12 Due after 2 years through 3 years 3,006,019 2.04 2,505,693 2.16 Due after 3 years through 4 years 3,159,068 2.24 2,625,446 2.44 Due after 4 years through 5 years 3,555,287 1.72 4,076,103 2.08 Thereafter 11,031,887 1.47 9,166,357 1.89 Total advances, par value 38,028,819 1.43 32,271,667 1.98 Fair-value hedging adjustments, net 896,665 207,111 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 1,128 1,330 Total advances (1) $ 38,926,612 $ 32,480,108 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for accretion, amortization and/or net charge-offs and excludes accrued interest receivable of $25,056 and $27,019 as of March 31, 2020 and December 31, 2019. 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 $ — $ 37 $ — $ 37 Due in 1 year or less 21,768,813 18,497,813 20,066,316 14,560,066 Due after 1 year through 2 years 1,604,292 1,514,015 2,894,992 3,329,315 Due after 2 years through 3 years 2,500,429 2,127,903 3,927,344 3,254,093 Due after 3 years through 4 years 2,689,468 2,117,546 2,934,348 3,025,551 Due after 4 years through 5 years 2,031,787 2,454,103 3,631,937 3,481,353 Thereafter 7,434,030 5,560,250 4,573,882 4,621,252 Total advances, par value $ 38,028,819 $ 32,271,667 $ 38,028,819 $ 32,271,667 At March 31, 2020 and December 31, 2019, our top five borrowers held 43% and 42%, respectively, of total advances outstanding at par. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Note 5 - Mortgage Loans Held for Portfolio Mortgage loans held for portfolio consist of residential loans acquired from our members through the MPP and participating interests purchased in 2012 - 2014 from the FHLBank of Topeka in residential loans that were originated by certain of its PFIs through their participation in the MPF Program offered by the FHLBank of Chicago. The balances also reflect the sale of a 90% participating interest in a $100 million MCC of certain newly acquired MPP loans to another FHLBank in 2016. The MPP and MPF Program loans are fixed rate and either credit enhanced by PFIs, if conventional, or guaranteed or insured by government agencies. The following tables present information on mortgage loans held for portfolio by term, type and product. Term March 31, 2020 December 31, 2019 Fixed-rate long-term mortgages $ 9,518,843 $ 9,677,008 Fixed-rate medium-term (1) mortgages 905,312 908,526 Total mortgage loans held for portfolio, UPB 10,424,155 10,585,534 Unamortized premiums 227,232 231,807 Unamortized discounts (2,112) (2,158) Fair-value hedging adjustments, net 248 154 Total mortgage loans held for portfolio 10,649,523 10,815,337 Allowance for credit losses (300) (300) Total mortgage loans held for portfolio, net (2) $ 10,649,223 $ 10,815,037 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable of $46,836 and $47,722 at March 31, 2020 and December 31, 2019, respectively. Type March 31, 2020 December 31, 2019 Conventional $ 10,113,148 $ 10,263,249 Government-guaranteed or -insured 311,007 322,285 Total mortgage loans held for portfolio, UPB $ 10,424,155 $ 10,585,534 Product March 31, 2020 December 31, 2019 MPP $ 10,212,615 $ 10,363,081 MPF Program 211,540 222,453 Total mortgage loans held for portfolio, UPB $ 10,424,155 $ 10,585,534 Conventional Mortgage Loans. We invest in conventional mortgage loans primarily through the MPP. Additionally, we hold participating interests in conventional mortgage loans that were originated by PFIs of the FHLBank of Topeka through the MPF Program. Conventional MPP. The following table presents the activity in the LRA, which is reported in other liabilities. Three Months Ended March 31, LRA Activity 2020 2019 Liability, beginning of period $ 186,585 $ 174,096 Additions 4,254 3,070 Claims paid (45) (87) Distributions to PFIs (514) (442) Liability, end of period $ 190,280 $ 176,637 Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics. Payment status is the key credit quality indicator for conventional mortgage loans and allows us to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure. The tables below present the key credit quality indicators for our mortgage loans held for portfolio. Origination Year Payment Status as of March 31, 2020 Prior to 2016 2016 to 2020 Total Past due: 30-59 days $ 20,986 $ 18,887 $ 39,873 60-89 days 6,059 4,485 10,544 90 days or more 10,470 2,376 12,846 Total past due 37,515 25,748 63,263 Total current 3,675,107 6,596,249 10,271,356 Total conventional mortgage loans, amortized cost (1) $ 3,712,622 $ 6,621,997 $ 10,334,619 Payment Status as of December 31, 2019 Conventional Past due: 30-59 days $ 44,479 60-89 days 9,868 90 days or more 10,668 Total past due 65,015 Total current 10,470,495 Total conventional mortgage loans, recorded investment (1)(2) $ 10,535,510 Other Delinquency Statistics as of March 31, 2020 Conventional Government Total In process of foreclosure (3) $ 2,440 $ — $ 2,440 Serious delinquency rate (1)(4) 0.12 % 0.87 % 0.15 % Past due 90 days or more still accruing interest (1)(5) $ 12,153 $ 2,752 $ 14,905 On non-accrual status $ 1,179 $ — $ 1,179 Other Delinquency Statistics as of December 31, 2019 In process of foreclosure (3) $ 2,071 $ — $ 2,071 Serious delinquency rate (1)(4) 0.10 % 0.94 % 0.13 % Past due 90 days or more still accruing interest (1)(5) $ 10,127 $ 3,069 $ 13,196 On non-accrual status $ 1,063 $ — $ 1,063 (1) Based on the amortized cost at March 31, 2020, which excludes accrued interest receivable. Based on the recorded investment at December 31, 2019, which includes accrued interest receivable. (2) The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any 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. (3) 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. (4) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total 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. (5) 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. Collectively Evaluated Mortgage Loans. Conventional loans current to 179 days past due are collectively evaluated at the pool level using a recognized third-party credit and prepayment model, which considers both current and historical information and events and reasonable and supportable forecasts that rely upon certain key inputs and assumptions, to estimate potential ranges of credit loss exposure. The model uses a 3-year forecast of housing prices before full reversion to historical inputs over 5 years. Specifically, the loss projection is based upon distinct underlying loan characteristics, including loan vintage (year of origination), geographic location, credit support features and other factors, and a projected migration of loans through the various stages of delinquency. Seriously delinquent conventional loans past due 180 days or more are also collectively evaluated at the pool level based on current and historical information and events and reasonable and supportable forecasts and are charged-off in accordance with our policy. Prior to January 1, 2020, our allowance was based on our best estimate of probable losses over a loss emergence period of 24 months. For information on the prior methodology for evaluating credit losses, see Notes to Financial Statements - Note 7 - Allowance for Credit Losses in the 2019 Form 10-K. Individually Evaluated Mortgage Loans. Certain conventional mortgage loans that are impaired, primarily TDRs, are specifically identified for purposes of calculating the allowance for loan losses. The measurement of our allowance for individually evaluated loans considers loan-specific attribution data similar to homogeneous pools of delinquent loans evaluated on a collective basis, including the use of loan-level property values from a third-party. We also individually evaluate any remaining exposure to delinquent MPP conventional loans paid in full by the servicers. An estimate of the loss, if any, is equal to the estimated cost associated with maintaining and disposing of the property (which includes the UPB, interest owed on the delinquent loan to date, and estimated costs associated with disposing of the collateral) less the estimated fair value of the collateral (net of estimated selling costs) and the amount of credit enhancements including the PMI, LRA and SMI. The estimated fair value of the collateral is obtained from HUD statements, sales listings or other evidence of current expected liquidation amounts. Interest income recognized on impaired MPP conventional loans was not material for the periods presented. Qualitative Factors. We also assess qualitative factors in the estimation of credit losses. These factors represent a subjective management judgement based on facts and circumstances that exist as of the reporting date that are not ascribed to any specific measurable economic or credit event and are intended to address other inherent losses that may not otherwise be captured in our methodology. Components and Rollforward of Allowance for Credit Losses. The following table presents the components of the allowance for credit losses, including the credit enhancement waterfall for MPP. Components of Allowance for Credit Losses March 31, 2020 December 31, 2019 MPP estimated losses remaining after borrower's equity, before credit enhancements $ 8,043 $ 4,410 Portion of estimated expected losses recoverable from credit enhancements: PMI (1,536) (667) LRA (1) (4,533) (2,581) SMI (1,746) (927) Total portion recoverable from credit enhancements (7,815) (4,175) Allowance for unrecoverable PMI/SMI 22 15 Allowance for MPP credit losses 250 250 Allowance for MPF Program credit losses 50 50 Allowance for credit losses $ 300 $ 300 (1) Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the total LRA balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs. The table below presents a rollforward of our allowance for credit losses. Three Months Ended March 31, Rollforward of Allowance for Credit Losses 2020 2019 Balance, beginning of period $ 300 $ 600 Charge-offs (13) (54) Recoveries 16 — Provision for (reversal of) credit losses (3) 54 Balance, end of period $ 300 $ 600 Government-Guaranteed or -Insured Mortgage Loans. Based on our assessment of our servicers and the collateral backing the loans, the risk of loss was immaterial, consequently, we did not establish an allowance for credit losses for government-guaranteed or -insured mortgage loans at March 31, 2020 or December 31, 2019. |
Derivative and Hedging Activiti
Derivative and Hedging Activities | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities | Note 6 - 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, 2020 was $6,008, for which we have posted collateral in cash, including accrued interest, of $894 in the normal course of business. If our credit rating had been lowered by an NRSRO (from an S&P equivalent of AA+ to A A), we would have been required to deliver additional collateral of $700 to our uncleared derivative counterparties at March 31, 2020. 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 cred it rating downgrades. At March 31, 2020, we were not required by our clearing agents to post any additional margin. Financial Statement Effect and Additional Financial Information. 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, 2020 Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 41,933,151 $ 52,193 $ 1,019,615 Total derivatives designated as hedging instruments 41,933,151 52,193 1,019,615 Derivatives not designated as hedging instruments: Interest-rate swaps 8,634,000 1,216 1,938 Swaptions 800,000 16 — Interest-rate caps/floors 625,500 707 — Interest-rate forwards 440,200 133 6,059 MDCs 440,772 5,256 285 Total derivatives not designated as hedging instruments 10,940,472 7,328 8,282 Total derivatives before adjustments $ 52,873,623 59,521 1,027,897 Netting adjustments and cash collateral (1) 247,361 (1,013,620) Total derivatives, net $ 306,882 $ 14,277 December 31, 2019 Derivatives designated as hedging instruments: Interest-rate swaps $ 41,108,749 $ 60,155 $ 318,815 Total derivatives designated as hedging instruments 41,108,749 60,155 318,815 Derivatives not designated as hedging instruments: Interest-rate swaps 7,634,000 450 27 Swaptions 850,000 16 — Interest-rate caps/floors 668,500 215 — Interest-rate forwards 70,200 — 216 MDCs 70,693 105 3 Total derivatives not designated as hedging instruments 9,293,393 786 246 Total derivatives before adjustments $ 50,402,142 60,941 319,061 Netting adjustments and cash collateral (1) 147,067 (315,855) Total derivatives, net $ 208,008 $ 3,206 (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, 2020 and December 31, 2019, including accrued interest, totaled $1,261,875 and $464,187, respectively. Cash collateral received from counterparties and held at March 31, 2020 and December 31, 2019, including accrued interest, totaled $895 and $1,265, respectively. At March 31, 2020 and December 31, 2019, no securities were pledged as collateral. 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. March 31, 2020 December 31, 2019 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 39,971 $ 1,012,837 $ 51,955 $ 318,023 Cleared 14,162 8,716 8,881 819 Total gross recognized amount 54,133 1,021,553 60,836 318,842 Gross amounts of netting adjustments and cash collateral Uncleared (25,706) (1,004,904) (36,954) (315,036) Cleared 273,067 (8,716) 184,021 (819) Total gross amounts of netting adjustments and cash collateral 247,361 (1,013,620) 147,067 (315,855) Net amounts after netting adjustments and cash collateral Uncleared 14,265 7,933 15,001 2,987 Cleared 287,229 — 192,902 — Total net amounts after netting adjustments and cash collateral 301,494 7,933 207,903 2,987 Derivative instruments not meeting netting requirements (1) 5,388 6,344 105 219 Total derivatives, at estimated fair value $ 306,882 $ 14,277 $ 208,008 $ 3,206 (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 2020 2019 Net gain (loss) on derivatives not designated as hedging instruments: Interest-rate swaps $ (40,419) $ 493 Swaptions (307) (172) Interest-rate caps/floors 492 (555) Interest-rate forwards (7,379) (639) Net interest settlements (8,385) (3,117) MDCs 5,048 568 Total net gains (losses) on derivatives not designated as hedging instruments $ (50,950) $ (3,422) 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, 2020 Advances Investments CO Bonds Total Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 628,294 $ 599,478 $ (64,789) $ 1,162,983 Derivatives (609,739) (610,488) 53,647 (1,166,580) Net changes in estimated fair value before price alignment interest 18,555 (11,010) (11,142) (3,597) Price alignment interest (1) 584 357 (144) 797 Net interest settlements on derivatives (2) (3) (30) (5,684) 9,997 4,283 Amortization/accretion of gains (losses) on active hedging relationships (7) 302 550 845 Net gains (losses) on qualifying fair-value hedging relationships 19,102 (16,035) (739) 2,328 Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships — — (36) (36) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 19,102 $ (16,035) $ (775) $ 2,292 Three Months Ended March 31, 2019 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 100,190 $ 137,793 $ (44,572) $ 193,411 Derivatives (104,842) (149,036) 46,591 (207,287) Net changes in estimated 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 gains (losses) on 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 gains (losses) on 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) (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 recorded in net interest income. The following table presents the amortized cost of, and the related cumulative basis adjustments on, hedged items in qualifying fair-value hedging relationships. March 31, 2020 Advances Investments CO Bonds Amortized cost of hedged items (1) $ 20,002,801 $ 9,920,372 $ 15,270,016 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships $ 896,250 $ 749,849 $ 72,144 For discontinued fair-value hedging relationships 415 — — Total cumulative fair-value hedging basis adjustments on hedged items (2) $ 896,665 $ 749,849 $ 72,144 December 31, 2019 Amortized cost of hedged items (1) $ 17,320,223 $ 8,394,665 $ 17,039,657 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships $ 207,111 $ 150,372 $ 7,855 For discontinued fair-value hedging relationships — — (36) Total cumulative fair-value hedging basis adjustments on hedged items (2) $ 207,111 $ 150,372 $ 7,819 (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 estimated fair value of the associated derivatives. |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 7 - 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 of the FHLBanks' consolidated obligations outstanding. The par values of the FHLBanks' consolidated obligations outstanding totaled $1.2 trillion and $1.0 trillion at March 31, 2020 and December 31, 2019, respectively. 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, 2020 December 31, 2019 Book value $ 29,652,551 $ 17,676,793 Par value $ 29,681,288 $ 17,713,204 Weighted average effective interest rate 0.71 % 1.59 % CO Bonds. The following table presents our CO bonds outstanding by contractual maturity. March 31, 2020 December 31, 2019 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 21,839,245 1.11 $ 23,404,785 1.88 Due after 1 year through 2 years 5,114,160 1.34 6,881,120 1.93 Due after 2 years through 3 years 5,319,150 1.87 4,020,790 2.10 Due after 3 years through 4 years 1,274,625 2.10 1,234,375 2.18 Due after 4 years through 5 years 3,544,750 2.02 3,471,250 2.11 Thereafter 4,868,100 3.07 5,650,600 3.11 Total CO bonds, par value 41,960,030 1.57 44,662,920 2.09 Unamortized premiums 69,266 67,708 Unamortized discounts (12,812) (13,321) Unamortized concessions (9,163) (9,902) Fair-value hedging adjustments, net 72,144 7,819 Total CO bonds $ 42,079,465 $ 44,715,224 The following tables present the par value of our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Redemption Feature March 31, 2020 December 31, 2019 Non-callable / non-putable $ 29,669,530 $ 28,829,420 Callable 12,290,500 15,833,500 Total CO bonds, par value $ 41,960,030 $ 44,662,920 Year of Contractual Maturity or Next Call Date March 31, 2020 December 31, 2019 Due in 1 year or less $ 33,481,245 $ 36,243,785 Due after 1 year through 2 years 4,507,660 4,484,620 Due after 2 years through 3 years 872,150 742,790 Due after 3 years through 4 years 465,625 516,375 Due after 4 years through 5 years 355,250 380,750 Thereafter 2,278,100 2,294,600 Total CO bonds, par value $ 41,960,030 $ 44,662,920 |
Affordable Housing Program
Affordable Housing Program | 3 Months Ended |
Mar. 31, 2020 | |
Affordable Housing Program (AHP) [Abstract] | |
Affordable Housing Program | Note 8 - Affordable Housing Program The following table summarizes the activity in our AHP funding obligation. Three Months Ended March 31, AHP Activity 2020 2019 Liability at beginning of period $ 38,084 $ 40,747 Assessment (expense) 3,613 3,989 Subsidy usage, net (1) (2,274) (1,895) Liability at end of period $ 39,423 $ 42,841 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital
Capital | 3 Months Ended |
Mar. 31, 2020 | |
Capital [Abstract] | |
Capital | Note 9 - Capital Mandatorily Redeemable Capital Stock. The following table presents the activity in our MRCS. Three Months Ended March 31, MRCS Activity 2020 2019 Liability at beginning of period $ 322,902 $ 168,876 Reclassification from capital stock 232 2,109 Proceeds from issuance (1) — 3,704 Redemptions/repurchases (9) (487) Liability at end of period $ 323,125 $ 174,202 (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 MRCS Contractual Year of Redemption March 31, 2020 December 31, 2019 Year 1 (1) $ 671 $ 680 Year 2 8,649 8,649 Year 3 — — Year 4 28,833 26,723 Year 5 149,080 150,958 Thereafter (2) 135,892 135,892 Total MRCS $ 323,125 $ 322,902 (1) Balances at March 31, 2020 and December 31, 2019 include $671 and $680, respectively, of Class B stock that had reached the end of the five (2) Represents the five The following table presents the distributions related to MRCS. Three Months Ended March 31, MRCS Distributions 2020 2019 Recorded as interest expense $ 2,967 $ 2,718 Recorded as distributions from retained earnings — — Total $ 2,967 $ 2,718 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 2019 Form 10-K. As presented in the following table, we were in compliance with those requirements at March 31, 2020 and December 31, 2019. March 31, 2020 December 31, 2019 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 532,868 $ 3,545,251 $ 639,495 $ 3,412,286 Total regulatory capital $ 3,146,634 $ 3,545,251 $ 2,700,431 $ 3,412,286 Total regulatory capital-to-asset ratio 4.00 % 4.51 % 4.00 % 5.05 % Leverage capital $ 3,933,292 $ 5,317,877 $ 3,375,539 $ 5,118,429 Leverage ratio 5.00 % 6.76 % 5.00 % 7.58 % |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 3 Months Ended |
Mar. 31, 2020 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Income | Note 10 - 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 Pension Benefits Total AOCI 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 26,905 347 27,252 Balance, March 31, 2019 $ 79,891 $ (10,952) $ 68,939 Balance, December 31, 2019 $ 89,813 $ (22,437) $ 67,376 OCI before reclassifications: Net change in unrealized gains (losses) (148,831) — (148,831) Reclassifications from OCI to net income: Pension benefits, net — 707 707 Total other comprehensive income (loss) (148,831) 707 (148,124) Balance, March 31, 2020 $ (59,018) $ (21,730) $ (80,748) |
Segment Information
Segment Information | 3 Months Ended |
Mar. 31, 2020 | |
Segment Reporting [Abstract] | |
Segment Information | Note 11 - Segment Information The following table presents our financial performance by operating segment. Three Months Ended March 31, 2020 Three Months Ended March 31, 2019 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 50,075 $ 13,076 $ 63,151 $ 39,227 $ 18,312 $ 57,539 Provision for (reversal of) credit losses — (3) (3) — 54 54 Other income (loss) (2,111) (2,268) (4,379) 3,185 (169) 3,016 Other expenses 21,764 3,852 25,616 19,976 3,351 23,327 Income before assessments 26,200 6,959 33,159 22,436 14,738 37,174 Affordable Housing Program assessments 2,917 696 3,613 2,515 1,474 3,989 Net income $ 23,283 $ 6,263 $ 29,546 $ 19,921 $ 13,264 $ 33,185 The following table presents our asset balances by operating segment. By Date Traditional Mortgage Loans Total March 31, 2020 $ 68,016,618 $ 10,649,223 $ 78,665,841 December 31, 2019 56,695,738 10,815,037 67,510,775 |
Estimated Fair Values
Estimated Fair Values | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Note 12 - 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, 2020 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 4,685,426 $ 4,685,426 $ 4,685,426 $ — $ — $ — Interest-bearing deposits 85 85 — 85 — — Securities purchased under agreements to resell 3,400,000 3,400,000 — 3,400,000 — — Federal funds sold — — — — — — Trading securities 5,831,089 5,831,089 — 5,831,089 — — AFS securities 9,861,353 9,861,353 — 9,861,353 — — HTM securities 4,794,773 4,780,664 — 4,780,664 — — Advances 38,926,612 38,873,502 — 38,873,502 — — Mortgage loans held for portfolio, net 10,649,223 11,049,189 — 11,039,419 9,770 — Accrued interest receivable 130,259 130,259 — 130,259 — — Derivative assets, net 306,882 306,882 — 59,521 — 247,361 Grantor trust assets (2) 22,489 22,489 22,489 — — — Liabilities: Deposits 2,821,496 2,821,496 — 2,821,496 — — Consolidated obligations: Discount notes 29,652,551 29,674,084 — 29,674,084 — — Bonds 42,079,465 42,688,580 — 42,688,580 — — Accrued interest payable 136,470 136,470 — 136,470 — — Derivative liabilities, net 14,277 14,277 — 1,027,897 — (1,013,620) MRCS 323,125 323,125 323,125 — — — December 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 $ 220,294 $ 220,294 $ 220,294 $ — $ — $ — Interest-bearing deposits 809,141 809,141 809,000 141 — — Securities purchased under agreements to resell 1,500,000 1,500,000 — 1,500,000 — — Federal funds sold 2,550,000 2,550,000 — 2,550,000 — — Trading securities 5,016,649 5,016,649 — 5,016,649 — — AFS securities 8,484,478 8,484,478 — 8,484,478 — — HTM securities 5,216,401 5,216,206 — 5,216,206 — — Advances 32,480,108 32,425,749 — 32,425,749 — — Mortgage loans held for portfolio, net 10,815,037 10,943,595 — 10,935,787 7,808 — Accrued interest receivable 131,822 131,822 — 131,822 — — Derivative assets, net 208,008 208,008 — 60,941 — 147,067 Grantor trust assets (2) 26,050 26,050 26,050 — — — Liabilities: Deposits 960,304 960,304 — 960,304 — — Consolidated obligations: Discount notes 17,676,793 17,679,210 — 17,679,210 — — Bonds 44,715,224 45,036,500 — 45,036,500 — — Accrued interest payable 178,981 178,981 — 178,981 — — Derivative liabilities, net 3,206 3,206 — 319,061 — (315,855) MRCS 322,902 322,902 322,902 — — — (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 2019 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, 2020 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,831,089 $ — $ 5,831,089 $ — $ — Total trading securities 5,831,089 — 5,831,089 — — AFS securities: GSE and TVA debentures 4,071,759 — 4,071,759 — — GSE MBS 5,789,594 — 5,789,594 — — Total AFS securities 9,861,353 — 9,861,353 — — Derivative assets: Interest-rate related 301,626 — 54,265 — 247,361 MDCs 5,256 — 5,256 — — Total derivative assets, net 306,882 — 59,521 — 247,361 Grantor trust assets (2) 22,489 22,489 — — — Total assets at recurring estimated fair value $ 16,021,813 $ 22,489 $ 15,751,963 $ — $ 247,361 Derivative liabilities: Interest-rate related $ 13,992 $ — $ 1,027,612 $ — $ (1,013,620) MDCs 285 — 285 — — Total derivative liabilities, net 14,277 — 1,027,897 — (1,013,620) Total liabilities at recurring estimated fair value $ 14,277 $ — $ 1,027,897 $ — $ (1,013,620) Mortgage loans held for portfolio (3) $ 1,431 $ — $ — $ 1,431 $ — Total assets at non-recurring estimated fair value $ 1,431 $ — $ — $ 1,431 $ — Netting December 31, 2019 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,016,649 $ — $ 5,016,649 $ — $ — Total trading securities 5,016,649 — 5,016,649 — — AFS securities: GSE and TVA debentures 3,926,852 — 3,926,852 — — GSE MBS 4,557,626 — 4,557,626 — — Total AFS securities 8,484,478 — 8,484,478 — — Derivative assets: Interest-rate related 207,903 — 60,836 — 147,067 MDCs 105 — 105 — — Total derivative assets, net 208,008 — 60,941 — 147,067 Grantor trust assets (2) 26,050 26,050 — — — Total assets at recurring estimated fair value $ 13,735,185 $ 26,050 $ 13,562,068 $ — $ 147,067 Derivative liabilities: Interest-rate related $ 3,203 $ — $ 319,058 $ — $ (315,855) MDCs 3 — 3 — — Total derivative liabilities, net 3,206 — 319,061 — (315,855) Total liabilities at recurring estimated fair value $ 3,206 $ — $ 319,061 $ — $ (315,855) Mortgage loans held for portfolio (4) $ 1,504 $ — $ — $ 1,504 $ — Total assets at non-recurring estimated fair value $ 1,504 $ — $ — $ 1,504 $ — (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, 2020. (4) Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2019. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 13 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts. March 31, 2020 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding $ 334,392 $ 130,870 $ 465,262 Unused lines of credit (1) 1,026,608 — 1,026,608 Commitments to fund additional advances (2) 50,000 — 50,000 Commitments to fund or purchase mortgage loans, net (3) 440,772 — 440,772 Unsettled CO bonds, at par 500,000 — 500,000 Unsettled discount notes, at par 429,000 — 429,000 (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. Liability for Credit Losses. We monitor the creditworthiness of our members that have standby letters of credit and lines of credit. As standby letters of credit and lines of credit are subject to the same collateralization and borrowing limits that apply to advances and are fully collateralized at the time of issuance, we have not recorded a liability for credit losses on these credit products. 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 6 - Derivatives and Hedging Activities; Note 7 - Consolidated Obligations; Note 9 - Capital; and Note 12 - Estimated Fair Values . |
Related Party and Other Transac
Related Party and Other Transactions | 3 Months Ended |
Mar. 31, 2020 | |
Related Party Transactions [Abstract] | |
Related Party and Other Transactions | Note 14 - Related Party and Other Transactions Transactions with Related Parties. The following table presents the aggregate balances of capital stock and advances outstanding for directors' financial institutions and their balances as a percent of the total balances on our statement of condition. March 31, 2020 December 31, 2019 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 351,761 15 % $ 57,133 2 % Advances 7,071,865 19 % 698,699 2 % The par values at March 31, 2020 reflect changes in the composition of directors' financial institutions effective January 1, 2020, due to changes in board membership resulting from the 2019 director election. The following table presents our 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 2020 2019 Net capital stock issuances (redemptions and repurchases) $ 5,846 $ 26 Net advances (repayments) 2,037,731 38,239 Mortgage loan purchases 12,352 4,594 Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks. However, there were no loans to or borrowings from other FHLBanks during the three months ended March 31, 2020 or 2019 and no loans to or borrowing from other FHLBanks outstanding at March 31, 2020 or December 31, 2019. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
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. Certain disclosures that would have substantially duplicated the disclosures in the financial statements, and notes thereto, included in our 2019 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 2019 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. |
Use of Estimates | Use of Estimates . |
Measurement of Credit Losses on Financial Instruments | Significant Accounting Policies. Our significant accounting policies and certain other disclosures are set forth in our 2019 Form 10-K in Note 1 - Summary of Significant Accounting Policies . The adoption of ASU 2016-13, Measurement of Expected Credit Losses on Financial Instruments, resulted in the following revisions to our significant accounting policies. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. These investments are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We use the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which we do not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the estimated fair value of the collateral and the investment’s amortized cost. For more information on the allowance methodology related to these investments, see Note 3 - Investments. Investment Securities. HTM Securities . HTM securities are evaluated quarterly for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. For more information on the allowance methodology related to these investments, see Note 3 - Investments. AFS Securities. We individually evaluate our AFS securities for impairment on a quarterly basis. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, we compare the present value of cash flows to be collected from the security with its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance is limited by the amount of the unrealized loss and excludes any uncollectible accrued interest receivable, which is measured separately. If we do not intend to sell an impaired AFS security and it is not more likely than not that we will be required to sell the security before recovery of its amortized cost basis, any remaining difference between the security’s estimated fair value and amortized cost is recorded to net unrealized gains (losses) on AFS securities within OCI. If we intend to sell an impaired AFS security, or more likely than not will be required to sell the security before recovery of its amortized cost basis, any allowance for credit losses is charged off and the amortized cost basis is written down to the security’s estimated fair value at the reporting date with any such impairment reported in earnings as net gains (losses) on investment securities. For more information on the allowance methodology related to these investments, see Note 3 - Investments. Advances. Our advances are evaluated on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. If any credit losses are expected, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. For more information on the allowance methodology related to advances, see Note 4 - Advances. Mortgage Loans Held for Portfolio. We perform a quarterly assessment of our mortgage loans held for portfolio to estimate expected credit losses over the remaining life of each loan. An allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We measure expected losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected losses on an individual basis. In addition, we individually evaluate all TDRs, any remaining exposure to delinquent conventional MPP loans paid in full by servicers, and collateral dependent loans. Loans are considered collateral dependent if repayment is expected to be provided solely by the sale of the underlying property, i.e., there is no other available and reliable source of repayment (including LRA and SMI). The Bank estimates expected losses on collateral dependent loans by applying a practical expedient that considers the expected loss of a collateral dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When developing the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and reduce the allowance accordingly. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as we charge off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. For more information on the allowance methodology related to mortgage loans, see Note 5 - Mortgage Loans Held for Portfolio. Off-Balance Sheet Credit Exposures. We evaluate our off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. For more information about our off-balance sheet credit exposures, see Note 13 - Commitments and Contingencies. |
Investments (Tables)
Investments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Debt and Equity Securities, FV-NI [Line Items] | |
Trading Securities by Major Security Type | The following table presents our trading securities by type of security. Security Type March 31, 2020 December 31, 2019 Non-mortgage-backed securities U.S. Treasury obligations $ 5,831,089 $ 5,016,649 Total trading securities at estimated fair value $ 5,831,089 $ 5,016,649 |
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, 2020 Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 4,061,918 $ 15,660 $ (5,819) $ 4,071,759 GSE MBS 5,858,453 12,054 (80,913) 5,789,594 Total AFS securities $ 9,920,371 $ 27,714 $ (86,732) $ 9,861,353 December 31, 2019 GSE and TVA debentures $ 3,885,012 $ 41,840 $ — $ 3,926,852 GSE MBS 4,509,653 51,200 (3,227) 4,557,626 Total AFS securities $ 8,394,665 $ 93,040 $ (3,227) $ 8,484,478 (1) Includes adjustments made to the cost basis for accretion, amortization, net charge-offs, and, if applicable, fair-value hedging basis adjustments, and excludes accrued interest receivable of $30,420 and $32,963 at March 31, 2020 and December 31, 2019, respectively. Carrying value equals estimated fair value. |
Available-for-sale (AFS) Securities in an 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, 2020 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 1,220,802 $ (5,819) $ — $ — $ 1,220,802 $ (5,819) GSE MBS 3,971,861 (68,430) 457,823 (12,483) 4,429,684 (80,913) Total impaired AFS securities $ 5,192,663 $ (74,249) $ 457,823 $ (12,483) $ 5,650,486 $ (86,732) December 31, 2019 GSE MBS $ 339,981 $ (1,134) $ 519,446 $ (2,093) $ 859,427 $ (3,227) Total impaired AFS securities $ 339,981 $ (1,134) $ 519,446 $ (2,093) $ 859,427 $ (3,227) |
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, 2020 Cost (1) Gains (2) Losses (2) Fair Value MBS: Other U.S. obligations - guaranteed MBS $ 2,947,016 $ 1,535 $ (26,527) $ 2,922,024 GSE MBS 1,847,757 19,191 (8,308) 1,858,640 Total HTM securities $ 4,794,773 $ 20,726 $ (34,835) $ 4,780,664 December 31, 2019 MBS: Other U.S. obligations - guaranteed MBS $ 3,059,875 $ 6,948 $ (13,217) $ 3,053,606 GSE MBS 2,156,526 10,117 (4,043) 2,162,600 Total HTM securities $ 5,216,401 $ 17,065 $ (17,260) $ 5,216,206 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for accretion, amortization and/or net charge-offs and excludes accrued interest receivable of $5,868 and $7,156 as of March 31, 2020 and December 31, 2019, respectively. (2) Gross unrecognized holding gains (losses) represent the cumulative increases (decreases) in estimated fair value. |
AFS securities | |
Debt and Equity Securities, FV-NI [Line Items] | |
AFS Securities by Contractual Maturity | The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. March 31, 2020 December 31, 2019 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 907,688 $ 909,338 $ 570,209 $ 571,588 Due after 1 year through 5 years 1,534,923 1,540,371 1,729,664 1,742,681 Due after 5 years through 10 years 1,559,189 1,561,579 1,489,144 1,514,978 Due after 10 years 60,118 60,471 95,995 97,605 Total non-MBS 4,061,918 4,071,759 3,885,012 3,926,852 Total MBS 5,858,453 5,789,594 4,509,653 4,557,626 Total AFS securities $ 9,920,371 $ 9,861,353 $ 8,394,665 $ 8,484,478 |
Trading Securities | |
Debt and Equity Securities, FV-NI [Line Items] | |
Gain (Loss) on Securities | The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives. Three Months Ended March 31, 2020 2019 Net unrealized gains on trading securities held at period end $ 48,463 $ 4,071 Net realized gains on trading securities that matured/sold during the period 1,370 — Net gains on trading securities $ 49,833 $ 4,071 |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | The following table presents advances outstanding by redemption term. March 31, 2020 December 31, 2019 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ — — $ 37 3.99 Due in 1 year or less 15,527,566 0.99 11,791,716 1.85 Due after 1 year through 2 years 1,748,992 1.94 2,106,315 2.12 Due after 2 years through 3 years 3,006,019 2.04 2,505,693 2.16 Due after 3 years through 4 years 3,159,068 2.24 2,625,446 2.44 Due after 4 years through 5 years 3,555,287 1.72 4,076,103 2.08 Thereafter 11,031,887 1.47 9,166,357 1.89 Total advances, par value 38,028,819 1.43 32,271,667 1.98 Fair-value hedging adjustments, net 896,665 207,111 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 1,128 1,330 Total advances (1) $ 38,926,612 $ 32,480,108 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for accretion, amortization and/or net charge-offs and excludes accrued interest receivable of $25,056 and $27,019 as of March 31, 2020 and December 31, 2019. 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 $ — $ 37 $ — $ 37 Due in 1 year or less 21,768,813 18,497,813 20,066,316 14,560,066 Due after 1 year through 2 years 1,604,292 1,514,015 2,894,992 3,329,315 Due after 2 years through 3 years 2,500,429 2,127,903 3,927,344 3,254,093 Due after 3 years through 4 years 2,689,468 2,117,546 2,934,348 3,025,551 Due after 4 years through 5 years 2,031,787 2,454,103 3,631,937 3,481,353 Thereafter 7,434,030 5,560,250 4,573,882 4,621,252 Total advances, par value $ 38,028,819 $ 32,271,667 $ 38,028,819 $ 32,271,667 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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, 2020 December 31, 2019 Fixed-rate long-term mortgages $ 9,518,843 $ 9,677,008 Fixed-rate medium-term (1) mortgages 905,312 908,526 Total mortgage loans held for portfolio, UPB 10,424,155 10,585,534 Unamortized premiums 227,232 231,807 Unamortized discounts (2,112) (2,158) Fair-value hedging adjustments, net 248 154 Total mortgage loans held for portfolio 10,649,523 10,815,337 Allowance for credit losses (300) (300) Total mortgage loans held for portfolio, net (2) $ 10,649,223 $ 10,815,037 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable of $46,836 and $47,722 at March 31, 2020 and December 31, 2019, respectively. Type March 31, 2020 December 31, 2019 Conventional $ 10,113,148 $ 10,263,249 Government-guaranteed or -insured 311,007 322,285 Total mortgage loans held for portfolio, UPB $ 10,424,155 $ 10,585,534 Product March 31, 2020 December 31, 2019 MPP $ 10,212,615 $ 10,363,081 MPF Program 211,540 222,453 Total mortgage loans held for portfolio, UPB $ 10,424,155 $ 10,585,534 |
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 2020 2019 Liability, beginning of period $ 186,585 $ 174,096 Additions 4,254 3,070 Claims paid (45) (87) Distributions to PFIs (514) (442) Liability, end of period $ 190,280 $ 176,637 |
Recorded Investment in Delinquent Mortgage Loans | The tables below present the key credit quality indicators for our mortgage loans held for portfolio. Origination Year Payment Status as of March 31, 2020 Prior to 2016 2016 to 2020 Total Past due: 30-59 days $ 20,986 $ 18,887 $ 39,873 60-89 days 6,059 4,485 10,544 90 days or more 10,470 2,376 12,846 Total past due 37,515 25,748 63,263 Total current 3,675,107 6,596,249 10,271,356 Total conventional mortgage loans, amortized cost (1) $ 3,712,622 $ 6,621,997 $ 10,334,619 Payment Status as of December 31, 2019 Conventional Past due: 30-59 days $ 44,479 60-89 days 9,868 90 days or more 10,668 Total past due 65,015 Total current 10,470,495 Total conventional mortgage loans, recorded investment (1)(2) $ 10,535,510 Other Delinquency Statistics as of March 31, 2020 Conventional Government Total In process of foreclosure (3) $ 2,440 $ — $ 2,440 Serious delinquency rate (1)(4) 0.12 % 0.87 % 0.15 % Past due 90 days or more still accruing interest (1)(5) $ 12,153 $ 2,752 $ 14,905 On non-accrual status $ 1,179 $ — $ 1,179 Other Delinquency Statistics as of December 31, 2019 In process of foreclosure (3) $ 2,071 $ — $ 2,071 Serious delinquency rate (1)(4) 0.10 % 0.94 % 0.13 % Past due 90 days or more still accruing interest (1)(5) $ 10,127 $ 3,069 $ 13,196 On non-accrual status $ 1,063 $ — $ 1,063 (1) Based on the amortized cost at March 31, 2020, which excludes accrued interest receivable. Based on the recorded investment at December 31, 2019, which includes accrued interest receivable. (2) The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any 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. (3) 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. (4) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total 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. |
Impact of MPP Risk Sharing Structure on Allowance for Credit Losses | The following table presents the components of the allowance for credit losses, including the credit enhancement waterfall for MPP. Components of Allowance for Credit Losses March 31, 2020 December 31, 2019 MPP estimated losses remaining after borrower's equity, before credit enhancements $ 8,043 $ 4,410 Portion of estimated expected losses recoverable from credit enhancements: PMI (1,536) (667) LRA (1) (4,533) (2,581) SMI (1,746) (927) Total portion recoverable from credit enhancements (7,815) (4,175) Allowance for unrecoverable PMI/SMI 22 15 Allowance for MPP credit losses 250 250 Allowance for MPF Program credit losses 50 50 Allowance for credit losses $ 300 $ 300 (1) Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the 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 table below presents a rollforward of our allowance for credit losses. Three Months Ended March 31, Rollforward of Allowance for Credit Losses 2020 2019 Balance, beginning of period $ 300 $ 600 Charge-offs (13) (54) Recoveries 16 — Provision for (reversal of) credit losses (3) 54 Balance, end of period $ 300 $ 600 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Notional Amount and Estimated Fair Value of Derivative Instruments | The following table presents the notional amount and estimated fair value of derivative assets and liabilities. Estimated Fair Value Estimated Fair Value Notional of Derivative of Derivative March 31, 2020 Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 41,933,151 $ 52,193 $ 1,019,615 Total derivatives designated as hedging instruments 41,933,151 52,193 1,019,615 Derivatives not designated as hedging instruments: Interest-rate swaps 8,634,000 1,216 1,938 Swaptions 800,000 16 — Interest-rate caps/floors 625,500 707 — Interest-rate forwards 440,200 133 6,059 MDCs 440,772 5,256 285 Total derivatives not designated as hedging instruments 10,940,472 7,328 8,282 Total derivatives before adjustments $ 52,873,623 59,521 1,027,897 Netting adjustments and cash collateral (1) 247,361 (1,013,620) Total derivatives, net $ 306,882 $ 14,277 December 31, 2019 Derivatives designated as hedging instruments: Interest-rate swaps $ 41,108,749 $ 60,155 $ 318,815 Total derivatives designated as hedging instruments 41,108,749 60,155 318,815 Derivatives not designated as hedging instruments: Interest-rate swaps 7,634,000 450 27 Swaptions 850,000 16 — Interest-rate caps/floors 668,500 215 — Interest-rate forwards 70,200 — 216 MDCs 70,693 105 3 Total derivatives not designated as hedging instruments 9,293,393 786 246 Total derivatives before adjustments $ 50,402,142 60,941 319,061 Netting adjustments and cash collateral (1) 147,067 (315,855) Total derivatives, net $ 208,008 $ 3,206 (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, 2020 and December 31, 2019, including accrued interest, totaled $1,261,875 and $464,187, respectively. Cash collateral received from counterparties and held at March 31, 2020 and December 31, 2019, including accrued interest, totaled $895 and $1,265, respectively. At March 31, 2020 and December 31, 2019, no securities were pledged as collateral. |
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. March 31, 2020 December 31, 2019 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 39,971 $ 1,012,837 $ 51,955 $ 318,023 Cleared 14,162 8,716 8,881 819 Total gross recognized amount 54,133 1,021,553 60,836 318,842 Gross amounts of netting adjustments and cash collateral Uncleared (25,706) (1,004,904) (36,954) (315,036) Cleared 273,067 (8,716) 184,021 (819) Total gross amounts of netting adjustments and cash collateral 247,361 (1,013,620) 147,067 (315,855) Net amounts after netting adjustments and cash collateral Uncleared 14,265 7,933 15,001 2,987 Cleared 287,229 — 192,902 — Total net amounts after netting adjustments and cash collateral 301,494 7,933 207,903 2,987 Derivative instruments not meeting netting requirements (1) 5,388 6,344 105 219 Total derivatives, at estimated fair value $ 306,882 $ 14,277 $ 208,008 $ 3,206 (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 2020 2019 Net gain (loss) on derivatives not designated as hedging instruments: Interest-rate swaps $ (40,419) $ 493 Swaptions (307) (172) Interest-rate caps/floors 492 (555) Interest-rate forwards (7,379) (639) Net interest settlements (8,385) (3,117) MDCs 5,048 568 Total net gains (losses) on derivatives not designated as hedging instruments $ (50,950) $ (3,422) 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, 2020 Advances Investments CO Bonds Total Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 628,294 $ 599,478 $ (64,789) $ 1,162,983 Derivatives (609,739) (610,488) 53,647 (1,166,580) Net changes in estimated fair value before price alignment interest 18,555 (11,010) (11,142) (3,597) Price alignment interest (1) 584 357 (144) 797 Net interest settlements on derivatives (2) (3) (30) (5,684) 9,997 4,283 Amortization/accretion of gains (losses) on active hedging relationships (7) 302 550 845 Net gains (losses) on qualifying fair-value hedging relationships 19,102 (16,035) (739) 2,328 Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships — — (36) (36) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 19,102 $ (16,035) $ (775) $ 2,292 Three Months Ended March 31, 2019 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 100,190 $ 137,793 $ (44,572) $ 193,411 Derivatives (104,842) (149,036) 46,591 (207,287) Net changes in estimated 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 gains (losses) on 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 gains (losses) on 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) (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 recorded in net interest income. |
Effect of Fair Value Hedge-Related Derivative Instruments | The following table presents the amortized cost of, and the related cumulative basis adjustments on, hedged items in qualifying fair-value hedging relationships. March 31, 2020 Advances Investments CO Bonds Amortized cost of hedged items (1) $ 20,002,801 $ 9,920,372 $ 15,270,016 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships $ 896,250 $ 749,849 $ 72,144 For discontinued fair-value hedging relationships 415 — — Total cumulative fair-value hedging basis adjustments on hedged items (2) $ 896,665 $ 749,849 $ 72,144 December 31, 2019 Amortized cost of hedged items (1) $ 17,320,223 $ 8,394,665 $ 17,039,657 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships $ 207,111 $ 150,372 $ 7,855 For discontinued fair-value hedging relationships — — (36) Total cumulative fair-value hedging basis adjustments on hedged items (2) $ 207,111 $ 150,372 $ 7,819 (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 estimated fair value of the associated derivatives. |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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, 2020 December 31, 2019 Book value $ 29,652,551 $ 17,676,793 Par value $ 29,681,288 $ 17,713,204 Weighted average effective interest rate 0.71 % 1.59 % |
CO Bonds by Year of Contractual Maturity | The following table presents our CO bonds outstanding by contractual maturity. March 31, 2020 December 31, 2019 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 21,839,245 1.11 $ 23,404,785 1.88 Due after 1 year through 2 years 5,114,160 1.34 6,881,120 1.93 Due after 2 years through 3 years 5,319,150 1.87 4,020,790 2.10 Due after 3 years through 4 years 1,274,625 2.10 1,234,375 2.18 Due after 4 years through 5 years 3,544,750 2.02 3,471,250 2.11 Thereafter 4,868,100 3.07 5,650,600 3.11 Total CO bonds, par value 41,960,030 1.57 44,662,920 2.09 Unamortized premiums 69,266 67,708 Unamortized discounts (12,812) (13,321) Unamortized concessions (9,163) (9,902) Fair-value hedging adjustments, net 72,144 7,819 Total CO bonds $ 42,079,465 $ 44,715,224 Year of Contractual Maturity or Next Call Date March 31, 2020 December 31, 2019 Due in 1 year or less $ 33,481,245 $ 36,243,785 Due after 1 year through 2 years 4,507,660 4,484,620 Due after 2 years through 3 years 872,150 742,790 Due after 3 years through 4 years 465,625 516,375 Due after 4 years through 5 years 355,250 380,750 Thereafter 2,278,100 2,294,600 Total CO bonds, par value $ 41,960,030 $ 44,662,920 |
CO Bonds by Redemption Feature | The following tables present the par value of our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Redemption Feature March 31, 2020 December 31, 2019 Non-callable / non-putable $ 29,669,530 $ 28,829,420 Callable 12,290,500 15,833,500 Total CO bonds, par value $ 41,960,030 $ 44,662,920 |
CO Bonds Outstanding by Interest Payment Type | The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type March 31, 2020 December 31, 2019 Fixed-rate $ 23,685,030 $ 27,565,920 Step-up 30,000 30,000 Simple variable-rate 18,245,000 17,067,000 Total CO bonds, par value $ 41,960,030 $ 44,662,920 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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 2020 2019 Liability at beginning of period $ 38,084 $ 40,747 Assessment (expense) 3,613 3,989 Subsidy usage, net (1) (2,274) (1,895) Liability at end of period $ 39,423 $ 42,841 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Capital [Abstract] | |
Mandatorily Redeemable Capital Stock | The following table presents the activity in our MRCS. Three Months Ended March 31, MRCS Activity 2020 2019 Liability at beginning of period $ 322,902 $ 168,876 Reclassification from capital stock 232 2,109 Proceeds from issuance (1) — 3,704 Redemptions/repurchases (9) (487) Liability at end of period $ 323,125 $ 174,202 (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 MRCS Contractual Year of Redemption March 31, 2020 December 31, 2019 Year 1 (1) $ 671 $ 680 Year 2 8,649 8,649 Year 3 — — Year 4 28,833 26,723 Year 5 149,080 150,958 Thereafter (2) 135,892 135,892 Total MRCS $ 323,125 $ 322,902 (1) Balances at March 31, 2020 and December 31, 2019 include $671 and $680, respectively, of Class B stock that had reached the end of the five five |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | The following table presents the distributions related to MRCS. Three Months Ended March 31, MRCS Distributions 2020 2019 Recorded as interest expense $ 2,967 $ 2,718 Recorded as distributions from retained earnings — — Total $ 2,967 $ 2,718 |
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, 2020 and December 31, 2019. March 31, 2020 December 31, 2019 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 532,868 $ 3,545,251 $ 639,495 $ 3,412,286 Total regulatory capital $ 3,146,634 $ 3,545,251 $ 2,700,431 $ 3,412,286 Total regulatory capital-to-asset ratio 4.00 % 4.51 % 4.00 % 5.05 % Leverage capital $ 3,933,292 $ 5,317,877 $ 3,375,539 $ 5,118,429 Leverage ratio 5.00 % 6.76 % 5.00 % 7.58 % |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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 Pension Benefits Total AOCI 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 26,905 347 27,252 Balance, March 31, 2019 $ 79,891 $ (10,952) $ 68,939 Balance, December 31, 2019 $ 89,813 $ (22,437) $ 67,376 OCI before reclassifications: Net change in unrealized gains (losses) (148,831) — (148,831) Reclassifications from OCI to net income: Pension benefits, net — 707 707 Total other comprehensive income (loss) (148,831) 707 (148,124) Balance, March 31, 2020 $ (59,018) $ (21,730) $ (80,748) |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Three Months Ended March 31, 2020 Three Months Ended March 31, 2019 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 50,075 $ 13,076 $ 63,151 $ 39,227 $ 18,312 $ 57,539 Provision for (reversal of) credit losses — (3) (3) — 54 54 Other income (loss) (2,111) (2,268) (4,379) 3,185 (169) 3,016 Other expenses 21,764 3,852 25,616 19,976 3,351 23,327 Income before assessments 26,200 6,959 33,159 22,436 14,738 37,174 Affordable Housing Program assessments 2,917 696 3,613 2,515 1,474 3,989 Net income $ 23,283 $ 6,263 $ 29,546 $ 19,921 $ 13,264 $ 33,185 |
Schedule of Segment Assets by Segment | The following table presents our asset balances by operating segment. By Date Traditional Mortgage Loans Total March 31, 2020 $ 68,016,618 $ 10,649,223 $ 78,665,841 December 31, 2019 56,695,738 10,815,037 67,510,775 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
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, 2020 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 4,685,426 $ 4,685,426 $ 4,685,426 $ — $ — $ — Interest-bearing deposits 85 85 — 85 — — Securities purchased under agreements to resell 3,400,000 3,400,000 — 3,400,000 — — Federal funds sold — — — — — — Trading securities 5,831,089 5,831,089 — 5,831,089 — — AFS securities 9,861,353 9,861,353 — 9,861,353 — — HTM securities 4,794,773 4,780,664 — 4,780,664 — — Advances 38,926,612 38,873,502 — 38,873,502 — — Mortgage loans held for portfolio, net 10,649,223 11,049,189 — 11,039,419 9,770 — Accrued interest receivable 130,259 130,259 — 130,259 — — Derivative assets, net 306,882 306,882 — 59,521 — 247,361 Grantor trust assets (2) 22,489 22,489 22,489 — — — Liabilities: Deposits 2,821,496 2,821,496 — 2,821,496 — — Consolidated obligations: Discount notes 29,652,551 29,674,084 — 29,674,084 — — Bonds 42,079,465 42,688,580 — 42,688,580 — — Accrued interest payable 136,470 136,470 — 136,470 — — Derivative liabilities, net 14,277 14,277 — 1,027,897 — (1,013,620) MRCS 323,125 323,125 323,125 — — — December 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 $ 220,294 $ 220,294 $ 220,294 $ — $ — $ — Interest-bearing deposits 809,141 809,141 809,000 141 — — Securities purchased under agreements to resell 1,500,000 1,500,000 — 1,500,000 — — Federal funds sold 2,550,000 2,550,000 — 2,550,000 — — Trading securities 5,016,649 5,016,649 — 5,016,649 — — AFS securities 8,484,478 8,484,478 — 8,484,478 — — HTM securities 5,216,401 5,216,206 — 5,216,206 — — Advances 32,480,108 32,425,749 — 32,425,749 — — Mortgage loans held for portfolio, net 10,815,037 10,943,595 — 10,935,787 7,808 — Accrued interest receivable 131,822 131,822 — 131,822 — — Derivative assets, net 208,008 208,008 — 60,941 — 147,067 Grantor trust assets (2) 26,050 26,050 26,050 — — — Liabilities: Deposits 960,304 960,304 — 960,304 — — Consolidated obligations: Discount notes 17,676,793 17,679,210 — 17,679,210 — — Bonds 44,715,224 45,036,500 — 45,036,500 — — Accrued interest payable 178,981 178,981 — 178,981 — — Derivative liabilities, net 3,206 3,206 — 319,061 — (315,855) MRCS 322,902 322,902 322,902 — — — (1) Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis | The following tables present, by level within the fair value hierarchy, the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. Netting March 31, 2020 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,831,089 $ — $ 5,831,089 $ — $ — Total trading securities 5,831,089 — 5,831,089 — — AFS securities: GSE and TVA debentures 4,071,759 — 4,071,759 — — GSE MBS 5,789,594 — 5,789,594 — — Total AFS securities 9,861,353 — 9,861,353 — — Derivative assets: Interest-rate related 301,626 — 54,265 — 247,361 MDCs 5,256 — 5,256 — — Total derivative assets, net 306,882 — 59,521 — 247,361 Grantor trust assets (2) 22,489 22,489 — — — Total assets at recurring estimated fair value $ 16,021,813 $ 22,489 $ 15,751,963 $ — $ 247,361 Derivative liabilities: Interest-rate related $ 13,992 $ — $ 1,027,612 $ — $ (1,013,620) MDCs 285 — 285 — — Total derivative liabilities, net 14,277 — 1,027,897 — (1,013,620) Total liabilities at recurring estimated fair value $ 14,277 $ — $ 1,027,897 $ — $ (1,013,620) Mortgage loans held for portfolio (3) $ 1,431 $ — $ — $ 1,431 $ — Total assets at non-recurring estimated fair value $ 1,431 $ — $ — $ 1,431 $ — Netting December 31, 2019 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,016,649 $ — $ 5,016,649 $ — $ — Total trading securities 5,016,649 — 5,016,649 — — AFS securities: GSE and TVA debentures 3,926,852 — 3,926,852 — — GSE MBS 4,557,626 — 4,557,626 — — Total AFS securities 8,484,478 — 8,484,478 — — Derivative assets: Interest-rate related 207,903 — 60,836 — 147,067 MDCs 105 — 105 — — Total derivative assets, net 208,008 — 60,941 — 147,067 Grantor trust assets (2) 26,050 26,050 — — — Total assets at recurring estimated fair value $ 13,735,185 $ 26,050 $ 13,562,068 $ — $ 147,067 Derivative liabilities: Interest-rate related $ 3,203 $ — $ 319,058 $ — $ (315,855) MDCs 3 — 3 — — Total derivative liabilities, net 3,206 — 319,061 — (315,855) Total liabilities at recurring estimated fair value $ 3,206 $ — $ 319,061 $ — $ (315,855) Mortgage loans held for portfolio (4) $ 1,504 $ — $ — $ 1,504 $ — Total assets at non-recurring estimated fair value $ 1,504 $ — $ — $ 1,504 $ — (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, 2020. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. March 31, 2020 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding $ 334,392 $ 130,870 $ 465,262 Unused lines of credit (1) 1,026,608 — 1,026,608 Commitments to fund additional advances (2) 50,000 — 50,000 Commitments to fund or purchase mortgage loans, net (3) 440,772 — 440,772 Unsettled CO bonds, at par 500,000 — 500,000 Unsettled discount notes, at par 429,000 — 429,000 (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_2
Related Party and Other Transactions (Tables) - Directors' Financial Institutions | 3 Months Ended |
Mar. 31, 2020 | |
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 balances of capital stock and advances outstanding for directors' financial institutions and their balances as a percent of the total balances on our statement of condition. March 31, 2020 December 31, 2019 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 351,761 15 % $ 57,133 2 % Advances 7,071,865 19 % 698,699 2 % |
Directors' Financial institutions Activity | The following table presents our 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 2020 2019 Net capital stock issuances (redemptions and repurchases) $ 5,846 $ 26 Net advances (repayments) 2,037,731 38,239 Mortgage loan purchases 12,352 4,594 |
Recently Adopted and Issued A_2
Recently Adopted and Issued Accounting Guidance Targeted Improvements to Accounting for Hedging Activities (Details) | Jan. 01, 2020USD ($) |
Accounting Standards Update 2016-13 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative effect on retained earnings | $ 0 |
Investments - Short-term Invest
Investments - Short-term Investments (Details) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Cash and Cash Equivalents [Line Items] | ||
Investments with counter parties rated below triple-B (percent) | 0.00% | |
Investments with unrated counterparties (percent) | 0.00% | |
Securities purchased under agreements to resell, allowance for credit loss | $ 0 | $ 0 |
Federal funds sold | 0 | 2,550,000,000 |
Interest-bearing Deposits | ||
Cash and Cash Equivalents [Line Items] | ||
Allowance for credit losses | 0 | 0 |
Accrued interest receivable excluded | 645,000 | 1,080,000 |
Securities Purchased under Agreements to Resell | ||
Cash and Cash Equivalents [Line Items] | ||
Accrued interest receivable excluded | $ 3,000 | 65,000 |
Federal Funds Sold | ||
Cash and Cash Equivalents [Line Items] | ||
Allowance for credit losses | 0 | |
Accrued interest receivable excluded | $ 111,000 |
Investments Trading Securities
Investments Trading Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Total trading securities at estimated fair value | $ 5,831,089 | $ 5,016,649 | |
Net Gains (Losses) on Trading Securities [Abstract] | |||
Net unrealized gains on trading securities held at period end | 48,463 | $ 4,071 | |
Net realized gains on trading securities that matured/sold during the period | 1,370 | 0 | |
Net gains on trading securities | 49,833 | $ 4,071 | |
U.S. Treasury securities | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Total trading securities at estimated fair value | $ 5,831,089 | $ 5,016,649 |
Investments AFS Securities - Ma
Investments AFS Securities - Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 9,920,371 | $ 8,394,665 |
Gross Unrealized Gains | 27,714 | 93,040 | |
Gross Unrealized Losses | (86,732) | (3,227) | |
Estimated Fair Value | 9,861,353 | 8,484,478 | |
Accrued interest receivable excluded | 30,420 | 32,963 | |
GSE and TVA debentures | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 4,061,918 | 3,885,012 |
Gross Unrealized Gains | 15,660 | 41,840 | |
Gross Unrealized Losses | (5,819) | 0 | |
Estimated Fair Value | 4,071,759 | 3,926,852 | |
GSE MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 5,858,453 | 4,509,653 |
Gross Unrealized Gains | 12,054 | 51,200 | |
Gross Unrealized Losses | (80,913) | (3,227) | |
Estimated Fair Value | $ 5,789,594 | $ 4,557,626 | |
[1] | Includes adjustments made to the cost basis for accretion, amortization, net charge-offs, and, if applicable, fair-value hedging basis adjustments, and excludes accrued interest receivable of $30,420 and $32,963 at March 31, 2020 and December 31, 2019, respectively. Carrying value equals estimated fair value. |
Investments AFS Securities - Un
Investments AFS Securities - Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 5,192,663 | $ 339,981 |
Less than 12 Months, Unrealized Losses | (74,249) | (1,134) |
12 Months or More, Estimated Fair Value | 457,823 | 519,446 |
12 Months or More, Unrealized Losses | (12,483) | (2,093) |
Total Estimated Fair Value | 5,650,486 | 859,427 |
Total Unrealized Losses | (86,732) | (3,227) |
GSE and TVA debentures | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 1,220,802 | |
Less than 12 Months, Unrealized Losses | (5,819) | |
12 Months or More, Estimated Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Estimated Fair Value | 1,220,802 | |
Total Unrealized Losses | (5,819) | |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 3,971,861 | 339,981 |
Less than 12 Months, Unrealized Losses | (68,430) | (1,134) |
12 Months or More, Estimated Fair Value | 457,823 | 519,446 |
12 Months or More, Unrealized Losses | (12,483) | (2,093) |
Total Estimated Fair Value | 4,429,684 | 859,427 |
Total Unrealized Losses | $ (80,913) | $ (3,227) |
Investments AFS Securities - Re
Investments AFS Securities - Redemption Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 9,920,371 | $ 8,394,665 |
Fair value | 9,861,353 | 8,484,478 | |
Available for Sale Securities Other Than MBS and ABS [Member] | |||
Available-for-sale Securities [Line Items] | |||
Due in 1 year or less, Amortized cost | 907,688 | 570,209 | |
Due after 1 year through 5 years, Amortized cost | 1,534,923 | 1,729,664 | |
Due after 5 years through 10 years, Amortized cost | 1,559,189 | 1,489,144 | |
Due after 10 years, Amortized cost | 60,118 | 95,995 | |
Amortized Cost | 4,061,918 | 3,885,012 | |
Due in 1 year or less, Fair value | 909,338 | 571,588 | |
Due in 1 year through 5 years, Fair value | 1,540,371 | 1,742,681 | |
Due in 5 years through 10 years, Fair value | 1,561,579 | 1,514,978 | |
Due after 10 years, Fair value | 60,471 | 97,605 | |
Fair value | 4,071,759 | 3,926,852 | |
Mortgage Backed Securities [Member] | |||
Available-for-sale Securities [Line Items] | |||
Total MBS, Amortized cost | 5,858,453 | 4,509,653 | |
Total MBS, Fair value | $ 5,789,594 | $ 4,557,626 | |
[1] | Includes adjustments made to the cost basis for accretion, amortization, net charge-offs, and, if applicable, fair-value hedging basis adjustments, and excludes accrued interest receivable of $30,420 and $32,963 at March 31, 2020 and December 31, 2019, respectively. Carrying value equals estimated fair value. |
Investments HTM Securities - Ma
Investments HTM Securities - Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 4,794,773 | $ 5,216,401 |
Gross Unrecognized Holding Gains | 20,726 | 17,065 | |
Gross Unrecognized Holding Losses | [2] | (34,835) | (17,260) |
Estimated fair value | 4,780,664 | 5,216,206 | |
Accrued interest receivable excluded | 5,868 | 7,156 | |
Other U.S. obligations - guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 2,947,016 | 3,059,875 |
Gross Unrecognized Holding Gains | 1,535 | 6,948 | |
Gross Unrecognized Holding Losses | [2] | (26,527) | (13,217) |
Estimated fair value | 2,922,024 | 3,053,606 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 1,847,757 | 2,156,526 |
Gross Unrecognized Holding Gains | 19,191 | 10,117 | |
Gross Unrecognized Holding Losses | [2] | (8,308) | (4,043) |
Estimated fair value | $ 1,858,640 | $ 2,162,600 | |
[1] | Carrying value equals amortized cost, which includes adjustments made to the cost basis for accretion, amortization and/or net charge-offs and excludes accrued interest receivable of $5,868 and $7,156 as of March 31, 2020 and December 31, 2019, respectively. | ||
[2] | Gross unrecognized holding gains (losses) represent the cumulative increases (decreases) in estimated fair value. |
Investments - Narrative (Detail
Investments - Narrative (Details) | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |
AFS and HTM securities, based on amortized cost, rated single-A or above (percent) | 100.00% |
AFS securities allowance for credit loss | $ 0 |
HTM securities allowance for credit loss | 0 |
OTTI recognized | $ 0 |
Advances - Advances by Year of
Advances - Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Year of Contractual Maturity, Amount | |||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 37 | |
Due in 1 year or less | 15,527,566 | 11,791,716 | |
Due after 1 year through 2 years | 1,748,992 | 2,106,315 | |
Due after 2 years through 3 years | 3,006,019 | 2,505,693 | |
Due after 3 years through 4 years | 3,159,068 | 2,625,446 | |
Due after 4 years through 5 years | 3,555,287 | 4,076,103 | |
Thereafter | 11,031,887 | 9,166,357 | |
Total advances, par value | $ 38,028,819 | $ 32,271,667 | |
Year of Contractual Maturity, WAIR % | |||
Overdrawn demand and overnight deposit accounts | 0.00% | 3.99% | |
Due in 1 year or less | 0.99% | 1.85% | |
Due after 1 year through 2 years | 1.94% | 2.12% | |
Due after 2 years through 3 years | 2.04% | 2.16% | |
Due after 3 years through 4 years | 2.24% | 2.44% | |
Due after 4 years through 5 years | 1.72% | 2.08% | |
Thereafter | 1.47% | 1.89% | |
Total advances, par value | 1.43% | 1.98% | |
Fair-value hedging adjustments, net | $ 896,665 | $ 207,111 | |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 1,128 | 1,330 | |
Total Advances | [1] | 38,926,612 | 32,480,108 |
Excluded accrued interest receivable | $ 25,056 | $ 27,019 | |
[1] | Carrying value equals amortized cost, which includes adjustments made to the cost basis for accretion, amortization and/or net charge-offs and excludes accrued interest receivable of $25,056 and $27,019 as of March 31, 2020 and December 31, 2019. |
Advances - Advances Outstanding
Advances - Advances Outstanding Earlier of Contractual Maturity or Next Call Date and Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Advances [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 37 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 21,768,813 | 18,497,813 |
Due after 1 year through 2 years | 1,604,292 | 1,514,015 |
Due after 2 years through 3 years | 2,500,429 | 2,127,903 |
Due after 3 years through 4 years | 2,689,468 | 2,117,546 |
Due after 4 years through 5 years | 2,031,787 | 2,454,103 |
Thereafter | 7,434,030 | 5,560,250 |
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 | 20,066,316 | 14,560,066 |
Due after 1 year through 2 years | 2,894,992 | 3,329,315 |
Due after 2 years through 3 years | 3,927,344 | 3,254,093 |
Due after 3 years through 4 years | 2,934,348 | 3,025,551 |
Due after 4 years through 5 years | 3,631,937 | 3,481,353 |
Thereafter | 4,573,882 | 4,621,252 |
Total advances, par value | $ 38,028,819 | $ 32,271,667 |
Advances - Narrative (Details)
Advances - Narrative (Details) | Mar. 31, 2020 | Dec. 31, 2019 |
Advances [Abstract] | ||
Percent of advances par value held by top five borrowers | 43.00% | 42.00% |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio Mortgage Loans (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2020 | Dec. 31, 2016 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Participating interest in mortgages sold (percent) | 90.00% | |||||
Principal amount of mortgage loans sold | $ 100,000,000 | |||||
Mortgage loans held for portfolio | $ 10,424,155,000 | $ 10,585,534,000 | ||||
Unamortized premiums | 227,232,000 | 231,807,000 | ||||
Unamortized discounts | (2,112,000) | (2,158,000) | ||||
Fair-value hedging adjustments, net | 248,000 | 154,000 | ||||
Total | 10,649,523,000 | 10,815,337,000 | ||||
Allowance for credit losses | (300,000) | (300,000) | ||||
Loans and Leases Receivable, Net Amount, Total | [1] | 10,649,223,000 | 10,815,037,000 | |||
Excluded accrued interest receivable | 25,056,000 | 27,019,000 | ||||
Government-guaranteed or -insured | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Mortgage loans held for portfolio | 311,007,000 | 322,285,000 | ||||
Allowance for credit losses | 0 | 0 | ||||
Fixed-rate long-term mortgages | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Mortgage loans held for portfolio | 9,518,843,000 | 9,677,008,000 | ||||
Loans Receivable With Fixed Rates Of Interest Medium Term | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Mortgage loans held for portfolio | [2] | $ 905,312,000 | 908,526,000 | |||
Loans Receivable With Fixed Rates Of Interest Medium Term | Maximum | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Origination term | 15 years | |||||
Real Estate Loan | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Excluded accrued interest receivable | $ 46,836,000 | 47,722,000 | ||||
Conventional | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Mortgage loans held for portfolio | 10,113,148,000 | 10,263,249,000 | ||||
Total | [3] | 10,334,619,000 | ||||
Allowance for credit losses | (300,000) | (300,000) | $ (600,000) | $ (600,000) | ||
MPP | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Mortgage loans held for portfolio | 10,212,615,000 | 10,363,081,000 | ||||
MPP | Conventional | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Allowance for credit losses | (250,000) | (250,000) | ||||
MPF Program | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Mortgage loans held for portfolio | 211,540,000 | 222,453,000 | ||||
MPF Program | Conventional | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Allowance for credit losses | $ (50,000) | $ (50,000) | ||||
[1] | Excludes accrued interest receivable of $46,836 and $47,722 at March 31, 2020 and December 31, 2019, respectively. | |||||
[2] | Defined as a term of 15 years or less at origination. | |||||
[3] | Based on the amortized cost at March 31, 2020, which excludes accrued interest receivable. Based on the recorded investment at December 31, 2019, which includes accrued interest receivable. |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio - Credit Enhancements (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Change in Lender Risk Account Balance [Roll Forward] | ||
Balance of LRA, beginning of period | $ 186,585 | $ 174,096 |
Additions | 4,254 | 3,070 |
Claims paid | (45) | (87) |
Distributions to PFIs | (514) | (442) |
Balance of LRA, end of period | $ 190,280 | $ 176,637 |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio - Credit Quality Indicators (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2020 | Dec. 31, 2019 | |||
Credit Quality Indicators | ||||
Total | $ 10,649,523,000 | $ 10,815,337,000 | ||
In process of foreclosure | [1] | $ 2,440,000 | $ 2,071,000 | |
Serious delinquency rate | [2] | 0.15% | 0.13% | [3] |
Delinquent loan receivable | 90 days | |||
MDCs | ||||
Credit Quality Indicators | ||||
On non-accrual status | $ 1,063,000 | |||
Government | ||||
Credit Quality Indicators | ||||
In process of foreclosure | [1] | $ 0 | $ 0 | |
Serious delinquency rate | [2],[3] | 0.87% | 0.94% | |
Past due 90 days or more still accruing interest | [3],[4] | $ 2,752,000 | $ 3,069,000 | |
On non-accrual status | 0 | |||
Government | MDCs | ||||
Credit Quality Indicators | ||||
On non-accrual status | 0 | |||
Conventional | ||||
Credit Quality Indicators | ||||
Total past due | 65,015,000 | |||
Total current | 10,470,495,000 | |||
Total conventional mortgage loans, recorded investment | [3],[5] | 10,535,510,000 | ||
Mortgages originated prior to 2016 | [3] | 3,712,622,000 | ||
Mortgages originated 2016 to 2020 | [3] | 6,621,997,000 | ||
Total | [3] | 10,334,619,000 | ||
In process of foreclosure | [1] | $ 2,440,000 | $ 2,071,000 | |
Serious delinquency rate | [2],[3] | 0.12% | 0.10% | |
Past due 90 days or more still accruing interest | [3],[4] | $ 12,153,000 | $ 10,127,000 | |
On non-accrual status | 1,179,000 | |||
Conventional | Past Due | ||||
Credit Quality Indicators | ||||
Mortgages originated prior to 2016 | 37,515,000 | |||
Mortgages originated 2016 to 2020 | 25,748,000 | |||
Total | 63,263,000 | |||
Conventional | Current | ||||
Credit Quality Indicators | ||||
Mortgages originated prior to 2016 | 6,596,249,000 | |||
Mortgages originated 2016 to 2020 | 3,675,107,000 | |||
Total | 10,271,356,000 | |||
Conventional | 30-59 days | ||||
Credit Quality Indicators | ||||
Total past due | 44,479,000 | |||
Mortgages originated prior to 2016 | 18,887,000 | |||
Mortgages originated 2016 to 2020 | 20,986,000 | |||
Total | 39,873,000 | |||
Conventional | 60-89 days | ||||
Credit Quality Indicators | ||||
Total past due | 9,868,000 | |||
Mortgages originated prior to 2016 | 4,485,000 | |||
Mortgages originated 2016 to 2020 | 6,059,000 | |||
Total | 10,544,000 | |||
Conventional | 90 days or more | ||||
Credit Quality Indicators | ||||
Total past due | 10,668,000 | |||
Mortgages originated prior to 2016 | 2,376,000 | |||
Mortgages originated 2016 to 2020 | 10,470,000 | |||
Total | 12,846,000 | |||
Conventional | MDCs | ||||
Credit Quality Indicators | ||||
On non-accrual status | 1,063,000 | |||
Real Estate Loan | ||||
Credit Quality Indicators | ||||
Past due 90 days or more still accruing interest | [3],[4] | 14,905,000 | $ 13,196,000 | |
On non-accrual status | $ 1,179,000 | |||
[1] | Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status. | |||
[2] | Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total 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. | |||
[3] | Based on the amortized cost at March 31, 2020, which excludes accrued interest receivable. Based on the recorded investment at December 31, 2019, which includes accrued interest receivable. | |||
[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. | |||
[5] | The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any 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. |
Mortgage Loans Held for Portf_6
Mortgage Loans Held for Portfolio - Credit Waterfall (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | $ 300 | $ 300 | |||
Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | 300 | 300 | $ 600 | $ 600 | |
Mortgage Purchase Program | Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
MPP estimated losses remaining after borrower's equity, before credit enhancements | 8,043 | 4,410 | |||
Total portion recoverable from credit enhancements | (7,815) | (4,175) | |||
Allowance for unrecoverable PMI/SMI | 22 | 15 | |||
Allowance for loan losses | 250 | 250 | |||
Mortgage Purchase Program | Conventional | PMI | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Total portion recoverable from credit enhancements | (1,536) | (667) | |||
Mortgage Purchase Program | Conventional | LRA | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Total portion recoverable from credit enhancements | [1] | (4,533) | (2,581) | ||
Mortgage Purchase Program | Conventional | SMI | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Total portion recoverable from credit enhancements | (1,746) | (927) | |||
Mortgage Partnership Finance Program | Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | $ 50 | $ 50 | |||
Minimum | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Period for collective evaluation at the pool level based on current and historical information and events | 180 days | ||||
Maximum | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Period for collective evaluation for impairment at the pool level using a recognized third-party credit model | 179 days | ||||
[1] | Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the total LRA balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs |
Mortgage Loans Held for Portf_7
Mortgage Loans Held for Portfolio - Rollforward (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Mar. 31, 2020 | |
Rollforward of Allowance for Credit Losses | |||
Balance, beginning of period | $ 300,000 | ||
Provision for (reversal of) credit losses | (3,000) | $ 54,000 | |
Allowance for loan losses on mortgage loans, end of period | 300,000 | ||
Allowance for loan losses | 300,000 | $ 300,000 | |
Government-guaranteed or -insured | |||
Rollforward of Allowance for Credit Losses | |||
Balance, beginning of period | 0 | ||
Allowance for loan losses on mortgage loans, end of period | 0 | ||
Allowance for loan losses | 0 | 0 | |
On non-accrual status | 0 | ||
Conventional | |||
Rollforward of Allowance for Credit Losses | |||
Balance, beginning of period | 300,000 | 600,000 | |
Charge-offs | (13,000) | (54,000) | |
Recoveries | 16,000 | 0 | |
Provision for (reversal of) credit losses | (3,000) | 54,000 | |
Allowance for loan losses on mortgage loans, end of period | 300,000 | 600,000 | |
Allowance for loan losses | $ 300,000 | $ 600,000 | 300,000 |
On non-accrual status | $ 1,179,000 |
Derivative and Hedging Activi_2
Derivative and Hedging Activities Derivatives and Hedging Activities - Narrative (Details) $ in Thousands | Mar. 31, 2020USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Net liability position, aggregate fair value | $ 6,008 |
Collateral posted, fair value | 894 |
Additional collateral, fair value | $ 700 |
Derivative and Hedging Activi_3
Derivative and Hedging Activities Derivative Notional Amounts (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | $ 52,873,623 | $ 50,402,142 | |
Estimated fair value of derivative assets | 59,521 | 60,941 | |
Estimated fair value of derivative liabilities | 1,027,897 | 319,061 | |
Netting adjustments and cash collateral, derivative asset | [1],[2] | 247,361 | 147,067 |
Netting adjustments and cash collateral, derivative liability | [1],[2] | (1,013,620) | (315,855) |
Total derivatives, at estimated fair value | 306,882 | 208,008 | |
Total derivatives, at estimated fair value | 14,277 | 3,206 | |
Cash collateral pledged to counterparties | 1,261,875 | 464,187 | |
Cash collateral received from counterparties | 895 | 1,265 | |
Securities pledged as collateral | 0 | ||
Derivatives designated as hedging instruments | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 41,933,151 | 41,108,749 | |
Estimated fair value of derivative assets | 52,193 | 60,155 | |
Estimated fair value of derivative liabilities | 1,019,615 | 318,815 | |
Derivatives designated as hedging instruments | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 41,933,151 | 41,108,749 | |
Estimated fair value of derivative assets | 52,193 | 60,155 | |
Estimated fair value of derivative liabilities | 1,019,615 | 318,815 | |
Derivatives not designated as hedging instruments | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 10,940,472 | 9,293,393 | |
Estimated fair value of derivative assets | 7,328 | 786 | |
Estimated fair value of derivative liabilities | 8,282 | 246 | |
Derivatives not designated as hedging instruments | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 8,634,000 | 7,634,000 | |
Estimated fair value of derivative assets | 1,216 | 450 | |
Estimated fair value of derivative liabilities | 1,938 | 27 | |
Derivatives not designated as hedging instruments | Swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 800,000 | 850,000 | |
Estimated fair value of derivative assets | 16 | 16 | |
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 | 625,500 | 668,500 | |
Estimated fair value of derivative assets | 707 | 215 | |
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 | 440,200 | 70,200 | |
Estimated fair value of derivative assets | 133 | 0 | |
Estimated fair value of derivative liabilities | 6,059 | 216 | |
MDCs | Derivatives not designated as hedging instruments | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 440,772 | 70,693 | |
Estimated fair value of derivative assets | 5,256 | 105 | |
Estimated fair value of derivative liabilities | $ 285 | $ 3 | |
[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, 2020 and December 31, 2019, including accrued interest, totaled $1,261,875 and $464,187, respectively. Cash collateral received from counterparties and held at March 31, 2020 and December 31, 2019, including accrued interest, totaled $895 and $1,265, respectively. At March 31, 2020 and December 31, 2019, no securities were pledged as collateral. | ||
[2] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. |
Derivative and Hedging Activi_4
Derivative and Hedging Activities Offsetting of Derivative Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Derivative Assets | |||
Gross recognized amount | $ 54,133 | $ 60,836 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | 247,361 | 147,067 |
Net amounts after netting adjustments and cash collateral | 301,494 | 207,903 | |
Derivative instruments not meeting netting requirements | [3] | 5,388 | 105 |
Total derivatives, at estimated fair value | 306,882 | 208,008 | |
Derivative Liabilities | |||
Gross recognized amount | 1,021,553 | 318,842 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (1,013,620) | (315,855) |
Net amounts after netting adjustments and cash collateral | 7,933 | 2,987 | |
Derivative instruments not meeting netting requirements | [3] | 6,344 | 219 |
Total derivatives, at estimated fair value | 14,277 | 3,206 | |
Uncleared | |||
Derivative Assets | |||
Gross recognized amount | 39,971 | 51,955 | |
Gross amounts of netting adjustments and cash collateral | (25,706) | (36,954) | |
Net amounts after netting adjustments and cash collateral | 14,265 | 15,001 | |
Derivative Liabilities | |||
Gross recognized amount | 1,012,837 | 318,023 | |
Gross amounts of netting adjustments and cash collateral | (1,004,904) | (315,036) | |
Net amounts after netting adjustments and cash collateral | 7,933 | 2,987 | |
Cleared | |||
Derivative Assets | |||
Gross recognized amount | 14,162 | 8,881 | |
Gross amounts of netting adjustments and cash collateral | 273,067 | 184,021 | |
Net amounts after netting adjustments and cash collateral | 287,229 | 192,902 | |
Derivative Liabilities | |||
Gross recognized amount | 8,716 | 819 | |
Gross amounts of netting adjustments and cash collateral | (8,716) | (819) | |
Net amounts after netting adjustments and cash collateral | $ 0 | $ 0 | |
[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, 2020 and December 31, 2019, including accrued interest, totaled $1,261,875 and $464,187, respectively. Cash collateral received from counterparties and held at March 31, 2020 and December 31, 2019, including accrued interest, totaled $895 and $1,265, respectively. At March 31, 2020 and December 31, 2019, no securities were pledged as collateral. | ||
[2] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||
[3] | Includes MDCs and certain interest-rate forwards. |
Derivative and Hedging Activi_5
Derivative and Hedging Activities Derivatives Reported in Other Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gains (losses) on derivatives not designated as hedging instruments | $ (50,950) | $ (3,422) |
Economic Hedge | Interest-rate swaps | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gains (losses) on derivatives not designated as hedging instruments | (40,419) | 493 |
Economic Hedge | Swaptions | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gains (losses) on derivatives not designated as hedging instruments | (307) | (172) |
Economic Hedge | Interest-rate caps/floors | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gains (losses) on derivatives not designated as hedging instruments | 492 | (555) |
Economic Hedge | Interest-rate forwards | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gains (losses) on derivatives not designated as hedging instruments | (7,379) | (639) |
Economic Hedge | Net interest settlements | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gains (losses) on derivatives not designated as hedging instruments | (8,385) | (3,117) |
MDCs | Interest-rate forwards | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Total net gains (losses) on derivatives not designated as hedging instruments | $ 5,048 | $ 568 |
Derivative and Hedging Activi_6
Derivative and Hedging Activities Net Gains (Losses) on Fair Value Hedging Relationships (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Change in unrealized gain (loss) on hedged item in fair value hedge | $ 1,162,983 | $ 193,411 | ||
Change in unrealized gain (loss) on fair value hedging instruments | (1,166,580) | (207,287) | ||
Net changes in fair value before price alignment interest | (3,597) | |||
Net changes in fair value | (13,876) | |||
Price alignment interest | 797 | (1,117) | [1] | |
Net interest settlements on derivatives | [2],[3] | 4,283 | ||
Net Interest Settlements | [2],[3] | 17,763 | ||
Amortization/accretion of gains (losses) on active hedging relationships | 845 | 150 | ||
Net gains (losses) on qualifying fair-value hedging relationships | 2,328 | 2,920 | ||
Add: amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (36) | (3,477) | ||
Net gains (losses) on derivatives and hedging activities in net interest income | [2] | 2,292 | (557) | |
Advances | Interest Income | Interest-rate swaps | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Change in unrealized gain (loss) on hedged item in fair value hedge | 628,294 | 100,190 | ||
Change in unrealized gain (loss) on fair value hedging instruments | (609,739) | (104,842) | ||
Net changes in fair value before price alignment interest | 18,555 | |||
Net changes in fair value | (4,652) | |||
Price alignment interest | [1] | 584 | (250) | |
Net interest settlements on derivatives | [2],[3] | (30) | ||
Net Interest Settlements | [2],[3] | 23,232 | ||
Amortization/accretion of gains (losses) on active hedging relationships | (7) | 0 | ||
Net gains (losses) on qualifying fair-value hedging relationships | 19,102 | 18,330 | ||
Add: amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | 0 | (7) | ||
Net gains (losses) on derivatives and hedging activities in net interest income | [2] | 19,102 | 18,323 | |
Investments | Interest Income | Interest-rate swaps | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Change in unrealized gain (loss) on hedged item in fair value hedge | 599,478 | 137,793 | ||
Change in unrealized gain (loss) on fair value hedging instruments | (610,488) | (149,036) | ||
Net changes in fair value before price alignment interest | (11,010) | |||
Net changes in fair value | (11,243) | |||
Price alignment interest | [1] | 357 | (920) | |
Net interest settlements on derivatives | [2],[3] | (5,684) | ||
Net Interest Settlements | [2],[3] | 13,483 | ||
Amortization/accretion of gains (losses) on active hedging relationships | 302 | 80 | ||
Net gains (losses) on qualifying fair-value hedging relationships | (16,035) | 1,400 | ||
Add: amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | 0 | 0 | ||
Net gains (losses) on derivatives and hedging activities in net interest income | [2] | (16,035) | 1,400 | |
CO bonds | Interest Expense | Interest-rate swaps | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Change in unrealized gain (loss) on hedged item in fair value hedge | (64,789) | (44,572) | ||
Change in unrealized gain (loss) on fair value hedging instruments | 53,647 | 46,591 | ||
Net changes in fair value before price alignment interest | (11,142) | |||
Net changes in fair value | 2,019 | |||
Price alignment interest | [1] | (144) | 53 | |
Net interest settlements on derivatives | [2],[3] | 9,997 | ||
Net Interest Settlements | [2],[3] | (18,952) | ||
Amortization/accretion of gains (losses) on active hedging relationships | 550 | 70 | ||
Net gains (losses) on qualifying fair-value hedging relationships | (739) | (16,810) | ||
Add: amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (36) | (3,470) | ||
Net gains (losses) on derivatives and hedging activities in net interest income | [2] | $ (775) | $ (20,280) | |
[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 recorded in net interest income. | |||
[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. |
Derivative and Hedging Activi_7
Derivative and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Advances | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items (1) | [1] | $ 20,002,801 | $ 17,320,223 |
For active fair-value hedging relationships | 896,250 | 207,111 | |
For discontinued fair-value hedging relationships | 415 | 0 | |
Total cumulative fair-value hedging basis adjustments on hedged items (2) | [2] | 896,665 | 207,111 |
Investments | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items (1) | [1] | 9,920,372 | 8,394,665 |
For active fair-value hedging relationships | 749,849 | 150,372 | |
For discontinued fair-value hedging relationships | 0 | 0 | |
Total cumulative fair-value hedging basis adjustments on hedged items (2) | [2] | 749,849 | 150,372 |
CO bonds | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items (1) | [1] | 15,270,016 | 17,039,657 |
For active fair-value hedging relationships | 72,144 | 7,855 | |
For discontinued fair-value hedging relationships | 0 | (36) | |
Total cumulative fair-value hedging basis adjustments on hedged items (2) | [2] | $ 72,144 | $ 7,819 |
[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 estimated fair value of the associated derivatives. |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Schedule of Short-term and Long-term Debt [Line Items] | ||
FHLB system outstanding consolidated obligations | $ 1,200,000,000 | $ 1,000,000,000 |
Discount notes maturity period | 1 year | |
Discount Notes | ||
Book value | $ 29,652,551 | 17,676,793 |
CO Bonds [Abstract] | ||
Total CO bonds, par value | 41,960,030 | 44,662,920 |
Bonds | 42,079,465 | 44,715,224 |
Year of Contractual Maturity or Next Call Date | ||
CO Bonds [Abstract] | ||
Due in 1 year or less, amount | 33,481,245 | 36,243,785 |
Due after 1 year through 2 years, amount | 4,507,660 | 4,484,620 |
Due after 2 years through 3 years, amount | 872,150 | 742,790 |
Due after 3 years through 4 years, amount | 465,625 | 516,375 |
Due after 4 years through 5 years, amount | 355,250 | 380,750 |
Thereafter, amount | 2,278,100 | 2,294,600 |
Total CO bonds, par value | 41,960,030 | 44,662,920 |
CO bonds | ||
CO Bonds [Abstract] | ||
Due in 1 year or less, amount | 21,839,245 | 23,404,785 |
Due after 1 year through 2 years, amount | 5,114,160 | 6,881,120 |
Due after 2 years through 3 years, amount | 5,319,150 | 4,020,790 |
Due after 3 years through 4 years, amount | 1,274,625 | 1,234,375 |
Due after 4 years through 5 years, amount | 3,544,750 | 3,471,250 |
Thereafter, amount | 4,868,100 | 5,650,600 |
Total CO bonds, par value | 41,960,030 | 44,662,920 |
Unamortized premiums | 69,266 | 67,708 |
Unamortized discounts | (12,812) | (13,321) |
Unamortized concessions | (9,163) | (9,902) |
Fair-value hedging adjustments, net | $ 72,144 | $ 7,819 |
Due in 1 year or less, WAIR % | 1.11% | 1.88% |
Due after 1 year through 2 years, WAIR % | 1.34% | 1.93% |
Due after 2 years through 3 years, WAIR % | 1.87% | 2.10% |
Due after 3 years through 4 years, WAIR % | 2.10% | 2.18% |
Due after 4 years through 5 years, WAIR % | 2.02% | 2.11% |
Thereafter, WAIR % | 3.07% | 3.11% |
Total CO bonds, par value, WAIR % | 1.57% | 2.09% |
Short-term Debt | ||
Discount Notes | ||
Book value | $ 29,652,551 | $ 17,676,793 |
Weighted average effective interest rate | 0.71% | 1.59% |
CO Bonds [Abstract] | ||
Total CO bonds, par value | $ 29,681,288 | $ 17,713,204 |
Non-callable / non-putable | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | 29,669,530 | 28,829,420 |
Callable | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | $ 12,290,500 | $ 15,833,500 |
Consolidated Obligations Intere
Consolidated Obligations Interest-rate Payment Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | $ 41,960,030 | $ 44,662,920 |
Consolidated Obligations Bond [Member] | ||
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | 41,960,030 | 44,662,920 |
Consolidated Obligations Bond [Member] | Fixed Interest Rate [Member] | ||
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | 23,685,030 | 27,565,920 |
Consolidated Obligations Bond [Member] | Step-up Rate [Member] | ||
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | 30,000 | 30,000 |
Consolidated Obligations Bond [Member] | Variable Interest Rate [Member] | ||
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | $ 18,245,000 | $ 17,067,000 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||
Balance at beginning of period | $ 38,084 | $ 40,747 | |
Assessment (expense) | 3,613 | 3,989 | |
Subsidy usage, net | [1] | (2,274) | (1,895) |
Balance at end of period | $ 39,423 | $ 42,841 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Details)
Capital (Details) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2020USD ($)capital_requirement | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($) | ||
Capital [Abstract] | ||||
Redemption period | 5 years | |||
Mandatorily Redeemable Capital Stock Activity [Roll Forward] | ||||
Liability at beginning of period | $ 322,902 | $ 168,876 | ||
Reclassification from capital stock | 232 | 2,109 | ||
Proceeds from issuance of mandatorily redeemable capital stock | [1] | 0 | 3,704 | |
Redemptions/repurchases | (9) | (487) | ||
Liability at end of period | 323,125 | 174,202 | ||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||
Year 1 | [2] | 671 | $ 680 | |
Year 2 | 8,649 | 8,649 | ||
Year 3 | 0 | 0 | ||
Year 4 | 28,833 | 26,723 | ||
Year 5 | 149,080 | 150,958 | ||
Thereafter | [3] | 135,892 | 135,892 | |
Stock not redeemed after redemption period | 671 | 680 | ||
Financial instruments mandatory redemption capital plan | 61,642 | |||
Recorded as interest expense | 2,967 | 2,718 | ||
Recorded as distributions from retained earnings | 0 | 0 | ||
Total | $ 2,967 | $ 2,718 | ||
Regulatory Capital Requirements | ||||
Number of regulatory capital requirements | capital_requirement | 3 | |||
Risk-based capital, required | $ 532,868 | 639,495 | ||
Risk-based capital, actual | 3,545,251 | 3,412,286 | ||
Regulatory capital, required | 3,146,634 | 2,700,431 | ||
Regulatory capital, actual | $ 3,545,251 | $ 3,412,286 | ||
Regulatory permanent capital-to-asset ratio, required | 4.00% | 4.00% | ||
Regulatory permanent capital-to-asset ratio, actual | 4.51% | 5.05% | ||
Leverage capital, required | $ 3,933,292 | $ 3,375,539 | ||
Leverage capital, actual | $ 5,317,877 | $ 5,118,429 | ||
Leverage ratio, required | 5.00% | 5.00% | ||
Leverage ratio, actual | 6.76% | 7.58% | ||
[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, 2020 and December 31, 2019 include $671 and $680, respectively, of Class B stock that had reached the end of the five | |||
[3] | Represents the five |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | $ 3,156,760 | $ 3,050,449 |
Total other comprehensive income (loss) | (148,124) | 27,252 |
Ending Balance | 3,141,378 | 3,138,719 |
Unrealized Gains (Losses) on AFS Securities | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | 89,813 | 52,986 |
Net change in unrealized gains (losses) | (148,831) | 26,905 |
Total other comprehensive income (loss) | (148,831) | 26,905 |
Ending Balance | (59,018) | 79,891 |
Pension Benefits | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | (22,437) | (11,299) |
Pension benefits, net | 707 | 347 |
Total other comprehensive income (loss) | 707 | 347 |
Ending Balance | (21,730) | (10,952) |
Accumulated Other Comprehensive Income (Loss) | ||
Accumulated Other Comprehensive Income [Roll Forward] | ||
Beginning Balance | 67,376 | 41,687 |
Net change in unrealized gains (losses) | (148,831) | 26,905 |
Pension benefits, net | 707 | 347 |
Total other comprehensive income (loss) | (148,124) | 27,252 |
Ending Balance | $ (80,748) | $ 68,939 |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |||
Net interest income | $ 63,151 | $ 57,539 | |
Provision for (reversal of) credit losses | (3) | 54 | |
Other income (loss) | (4,379) | 3,016 | |
Other expenses | 25,616 | 23,327 | |
Income before assessments | 33,159 | 37,174 | |
Affordable Housing Program assessments | 3,613 | 3,989 | |
Net income | 29,546 | 33,185 | |
Assets | 78,665,841 | $ 67,510,775 | |
Traditional | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 50,075 | 39,227 | |
Provision for (reversal of) credit losses | 0 | 0 | |
Other income (loss) | (2,111) | 3,185 | |
Other expenses | 21,764 | 19,976 | |
Income before assessments | 26,200 | 22,436 | |
Affordable Housing Program assessments | 2,917 | 2,515 | |
Net income | 23,283 | 19,921 | |
Assets | 68,016,618 | 56,695,738 | |
Mortgage Loans | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 13,076 | 18,312 | |
Provision for (reversal of) credit losses | (3) | 54 | |
Other income (loss) | (2,268) | (169) | |
Other expenses | 3,852 | 3,351 | |
Income before assessments | 6,959 | 14,738 | |
Affordable Housing Program assessments | 696 | 1,474 | |
Net income | 6,263 | $ 13,264 | |
Assets | $ 10,649,223 | $ 10,815,037 |
Estimated Fair Values - Carryin
Estimated Fair Values - Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
Assets: | |||||
Cash and due from banks | $ 4,685,426 | $ 220,294 | |||
Trading securities | 5,831,089 | 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
HTM securities | 4,794,773 | 5,216,401 | |||
HTM securities | 4,780,664 | 5,216,206 | |||
Accrued interest receivable | 130,259 | 131,822 | |||
Derivative assets, net | 306,882 | 208,008 | |||
Netting adjustments and cash collateral, derivative asset | [1],[2] | 247,361 | 147,067 | ||
Consolidated Obligations: | |||||
Accrued interest payable | 136,470 | 178,981 | |||
Derivative liabilities, net | 14,277 | 3,206 | |||
Netting adjustments and cash collateral, derivative liability | [1],[2] | (1,013,620) | (315,855) | ||
MRCS | 323,125 | 322,902 | $ 174,202 | $ 168,876 | |
Level 1 | |||||
Assets: | |||||
Cash and due from banks | 4,685,426 | 220,294 | |||
Interest-bearing deposits | 0 | 809,000 | |||
Securities purchased under agreements to resell | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
HTM securities | 0 | 0 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [3] | 22,489 | 26,050 | ||
Liabilities: | |||||
Deposits | 0 | 0 | |||
Consolidated Obligations: | |||||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities, net | 0 | 0 | |||
MRCS | 323,125 | 322,902 | |||
Level 2 | |||||
Assets: | |||||
Cash and due from banks | 0 | 0 | |||
Interest-bearing deposits | 85 | 141 | |||
Securities purchased under agreements to resell | 3,400,000 | 1,500,000 | |||
Federal funds sold | 0 | 2,550,000 | |||
Trading securities | 5,831,089 | 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
HTM securities | 4,780,664 | 5,216,206 | |||
Advances | 38,873,502 | 32,425,749 | |||
Mortgage loans held for portfolio, net | 11,039,419 | 10,935,787 | |||
Accrued interest receivable | 130,259 | 131,822 | |||
Derivative assets, net | 59,521 | 60,941 | |||
Grantor trust assets | [3] | 0 | 0 | ||
Liabilities: | |||||
Deposits | 2,821,496 | 960,304 | |||
Consolidated Obligations: | |||||
Accrued interest payable | 136,470 | 178,981 | |||
Derivative liabilities, net | 1,027,897 | 319,061 | |||
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 | 0 | |||
AFS securities | 0 | 0 | |||
HTM securities | 0 | 0 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 9,770 | 7,808 | |||
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 | 4,685,426 | 220,294 | |||
Interest-bearing deposits | 85 | 809,141 | |||
Securities purchased under agreements to resell | 3,400,000 | 1,500,000 | |||
Federal funds sold | 0 | 2,550,000 | |||
Trading securities | 5,831,089 | 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
HTM securities | 4,780,664 | 5,216,206 | |||
Advances | 38,873,502 | 32,425,749 | |||
Mortgage loans held for portfolio, net | 11,049,189 | 10,943,595 | |||
Accrued interest receivable | 130,259 | 131,822 | |||
Derivative assets, net | 306,882 | 208,008 | |||
Grantor trust assets | [3] | 22,489 | 26,050 | ||
Liabilities: | |||||
Deposits | 2,821,496 | 960,304 | |||
Consolidated Obligations: | |||||
Accrued interest payable | 136,470 | 178,981 | |||
Derivative liabilities, net | 14,277 | 3,206 | |||
MRCS | 323,125 | 322,902 | |||
Carrying value | |||||
Assets: | |||||
Cash and due from banks | 4,685,426 | 220,294 | |||
Interest-bearing deposits | 85 | 809,141 | |||
Securities purchased under agreements to resell | 3,400,000 | 1,500,000 | |||
Federal funds sold | 0 | 2,550,000 | |||
Trading securities | 5,831,089 | 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
HTM securities | 4,794,773 | 5,216,401 | |||
Advances | 38,926,612 | 32,480,108 | |||
Mortgage loans held for portfolio, net | 10,649,223 | 10,815,037 | |||
Accrued interest receivable | 130,259 | 131,822 | |||
Derivative assets, net | 306,882 | 208,008 | |||
Grantor trust assets | [3] | 22,489 | 26,050 | ||
Liabilities: | |||||
Deposits | 2,821,496 | 960,304 | |||
Consolidated Obligations: | |||||
Accrued interest payable | 136,470 | 178,981 | |||
Derivative liabilities, net | 14,277 | 3,206 | |||
MRCS | 323,125 | 322,902 | |||
Discount notes | Level 1 | |||||
Consolidated Obligations: | |||||
Discount notes | 0 | 0 | |||
Discount notes | Level 2 | |||||
Consolidated Obligations: | |||||
Discount notes | 29,674,084 | 17,679,210 | |||
Discount notes | Level 3 | |||||
Consolidated Obligations: | |||||
Discount notes | 0 | 0 | |||
Discount notes | Fair Value | |||||
Consolidated Obligations: | |||||
Discount notes | 29,674,084 | 17,679,210 | |||
Discount notes | Carrying value | |||||
Consolidated Obligations: | |||||
Discount notes | 29,652,551 | 17,676,793 | |||
CO bonds | Level 1 | |||||
Consolidated Obligations: | |||||
Bonds | 0 | 0 | |||
CO bonds | Level 2 | |||||
Consolidated Obligations: | |||||
Bonds | 42,688,580 | 45,036,500 | |||
CO bonds | Level 3 | |||||
Consolidated Obligations: | |||||
Bonds | 0 | 0 | |||
CO bonds | Fair Value | |||||
Consolidated Obligations: | |||||
Bonds | 42,688,580 | 45,036,500 | |||
CO bonds | Carrying value | |||||
Consolidated Obligations: | |||||
Bonds | $ 42,079,465 | $ 44,715,224 | |||
[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, 2020 and December 31, 2019, including accrued interest, totaled $1,261,875 and $464,187, respectively. Cash collateral received from counterparties and held at March 31, 2020 and December 31, 2019, including accrued interest, totaled $895 and $1,265, respectively. At March 31, 2020 and December 31, 2019, no securities were pledged as collateral. | ||||
[2] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||||
[3] | Included in other assets on the statement of condition. |
Estimated Fair Values - Recurri
Estimated Fair Values - Recurring and Non-Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | $ 5,831,089 | $ 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 306,882 | 208,008 | |||
Netting adjustments and cash collateral, derivative asset | [1],[2] | 247,361 | 147,067 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 14,277 | 3,206 | |||
Netting adjustments and cash collateral, derivative liability | [1],[2] | (1,013,620) | (315,855) | ||
Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,831,089 | 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 306,882 | 208,008 | |||
Netting adjustments and cash collateral, derivative asset | 247,361 | [2] | 147,067 | [3] | |
Grantor trust assets | 22,489 | [4] | 26,050 | ||
Total assets at estimated fair value | 16,021,813 | 13,735,185 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 14,277 | 3,206 | |||
Netting adjustments and cash collateral, derivative liability | (1,013,620) | [2] | (315,855) | [3] | |
Total liabilities at recurring estimated fair value | 14,277 | 3,206 | |||
Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Netting adjustments and cash collateral, derivative asset | 247,361 | 147,067 | [3] | ||
Derivative Liability [Abstract] | |||||
Netting adjustments and cash collateral, derivative liability | (1,013,620) | (315,855) | [3] | ||
Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 1,431 | 1,504 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 1,431 | [5] | 1,504 | ||
Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [6] | 22,489 | 26,050 | ||
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 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [4] | 22,489 | 26,050 | ||
Total assets at estimated fair value | 22,489 | 26,050 | |||
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, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 0 | [5] | 0 | ||
Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,831,089 | 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 59,521 | 60,941 | |||
Grantor trust assets | [6] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 1,027,897 | 319,061 | |||
Mortgage loans held for portfolio | 11,039,419 | 10,935,787 | |||
Level 2 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,831,089 | 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 59,521 | 60,941 | |||
Grantor trust assets | [4] | 0 | |||
Total assets at estimated fair value | 15,751,963 | 13,562,068 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 1,027,897 | 319,061 | |||
Total liabilities at recurring estimated fair value | 1,027,897 | 319,061 | |||
Level 2 | Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 54,265 | 60,836 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 1,027,612 | 319,058 | |||
Level 2 | Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 0 | [5] | 0 | [7] | |
Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 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 | 9,770 | 7,808 | |||
Level 3 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [4] | 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, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 1,431 | 1,504 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 1,431 | [5] | 1,504 | [7] | |
U.S. Treasury securities | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,831,089 | 5,016,649 | |||
U.S. Treasury securities | Level 1 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
U.S. Treasury securities | Level 2 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,831,089 | 5,016,649 | |||
U.S. Treasury securities | Level 3 | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
GSE and TVA debentures | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,071,759 | 3,926,852 | |||
GSE and TVA debentures | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 4,071,759 | 3,926,852 | |||
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 | 4,071,759 | 3,926,852 | |||
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 | 5,789,594 | 4,557,626 | |||
GSE MBS | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
AFS securities | 5,789,594 | 4,557,626 | |||
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 | 5,789,594 | 4,557,626 | |||
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 | |||
MDCs | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Netting adjustments and cash collateral, derivative asset | [2] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Netting adjustments and cash collateral, derivative liability | [2] | 0 | 0 | ||
MDCs | Fair Value, Measurements, Recurring | Interest-rate forwards | Mortgages | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 5,256 | 105 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 285 | 3 | |||
MDCs | 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 | |||
MDCs | Level 2 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 5,256 | 105 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 285 | 3 | |||
MDCs | 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 | |||
Total | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,831,089 | 5,016,649 | |||
AFS securities | 9,861,353 | 8,484,478 | |||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 306,882 | 208,008 | |||
Grantor trust assets | [6] | 22,489 | 26,050 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 14,277 | 3,206 | |||
Mortgage loans held for portfolio | 11,049,189 | 10,943,595 | |||
Total | Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 301,626 | 207,903 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 13,992 | 3,203 | |||
Total | U.S. Treasury securities | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | $ 5,831,089 | $ 5,016,649 | |||
[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, 2020 and December 31, 2019, including accrued interest, totaled $1,261,875 and $464,187, respectively. Cash collateral received from counterparties and held at March 31, 2020 and December 31, 2019, including accrued interest, totaled $895 and $1,265, respectively. At March 31, 2020 and December 31, 2019, no securities were pledged as collateral. | ||||
[2] | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. | ||||
[3] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty | ||||
[4] | Included in other assets. | ||||
[5] | Amounts are as of the date the fair-value adjustment was recorded during the three months ended March 31, 2020. | ||||
[6] | Included in other assets on the statement of condition. | ||||
[7] | Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2019. |
Commitments and Contingencies_2
Commitments and Contingencies (Details) | 3 Months Ended | |
Mar. 31, 2020USD ($) | ||
Standby letters of credit outstanding | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Off-balance-sheet commitments expire within one year | $ 334,392,000 | |
Off-balance-sheet commitments expire after one year | 130,870,000 | |
Off-balance-sheet commitments, Total | 465,262,000 | |
Unused lines of credit | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Off-balance-sheet commitments expire within one year | 1,026,608,000 | [1] |
Off-balance-sheet commitments expire after one year | 0 | [1] |
Off-balance-sheet commitments, Total | 1,026,608,000 | [1] |
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 | 50,000,000 | [2] |
Off-balance-sheet commitments expire after one year | 0 | [2] |
Off-balance-sheet commitments, Total | $ 50,000,000 | [2] |
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 | $ 500,000,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | 500,000,000 | |
Discount notes | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Off-balance-sheet commitments expire within one year | 429,000,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | $ 429,000,000 | |
Commitments to Extend Credit | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Period for mortgage loan commitments | 91 days | |
Mortgage Receivable | 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 | $ 440,772,000 | [3] |
Off-balance-sheet commitments expire after one year | 0 | [3] |
Off-balance-sheet commitments, Total | $ 440,772,000 | [3] |
[1] | Maximum line of credit amount per member is $50,000. | |
[2] | Generally for periods up to six months. | |
[3] | Generally for periods up to 91 days. |
Related Party and Other Trans_3
Related Party and Other Transactions (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | |||
Advances, par value | $ 38,028,819,000 | $ 32,271,667,000 | |
Proceeds from borrowings | 0 | $ 0 | |
Principal repayments | 0 | 0 | |
Loans to other FHLBanks | 0 | 0 | |
Loans from other FHLBanks | 0 | 0 | |
Directors' Financial Institutions | |||
Related Party Transaction [Line Items] | |||
Capital stock, par value | $ 351,761,000 | $ 57,133,000 | |
Capital stock, % of total | 15.00% | 2.00% | |
Advances, par value | $ 7,071,865,000 | $ 698,699,000 | |
Advances, % of total | 19.00% | 2.00% | |
Net capital stock issuances (redemptions and repurchases) | $ 5,846,000 | 26,000 | |
Net advances (repayments) | 2,037,731,000 | 38,239,000 | |
Mortgage loan purchases | $ 12,352,000 | $ 4,594,000 |