Cover
Cover - shares | 6 Months Ended | |
Jun. 30, 2021 | Jul. 31, 2021 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2021 | |
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 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 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
Entity Shell Company | false | |
Entity Central Index Key | 0001331754 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Incorporation, State or Country Code | X1 | |
Class A | ||
Entity Information [Line Items] | ||
Entity Common Stock, Outstanding (in shares) | 0 | |
Class B | ||
Entity Information [Line Items] | ||
Entity Common Stock, Outstanding (in shares) | 24,759,308 |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Assets: | |||
Cash and due from banks | $ 1,363,012 | $ 1,811,544 | |
Interest-bearing deposits (Note 3) | 100,041 | 100,026 | |
Securities purchased under agreements to resell (Note 3) | 3,000,000 | 2,500,000 | |
Federal funds sold (Note 3) | 2,805,000 | 1,215,000 | |
Trading securities (Note 3) | 5,817,270 | 5,094,703 | |
Available-for-sale securities, amortized cost of $9,084,093 and $10,007,978 (Note 3) | 9,299,045 | 10,144,899 | |
Held-to-maturity securities (estimated fair values of $4,594,682 and $4,723,796) (Note 3) | 4,572,692 | 4,701,302 | |
Advances (Note 4) | [1] | 27,632,543 | 31,347,486 |
Mortgage loans held for portfolio, net (Note 5) | [2] | 7,736,875 | 8,515,645 |
Accrued interest receivable | 91,123 | 103,076 | |
Premises, software, and equipment, net | 32,635 | 33,993 | |
Derivative assets, net (Note 6) | 237,171 | 283,082 | |
Other assets | 83,651 | 74,000 | |
Total assets | 62,771,058 | 65,924,756 | |
Liabilities: | |||
Deposits | 1,597,781 | 1,375,206 | |
Consolidated obligations (Note 7): | |||
Discount notes | 14,444,886 | 16,617,079 | |
Bonds | 42,363,125 | 43,332,946 | |
Total consolidated obligations, net | 56,808,011 | 59,950,025 | |
Accrued interest payable | 71,930 | 63,581 | |
Affordable Housing Program payable (Note 8) | 30,765 | 34,402 | |
Derivative liabilities, net (Note 6) | 10,103 | 22,979 | |
Mandatorily redeemable capital stock (Note 9) | 232,893 | 250,768 | |
Other liabilities | 435,822 | 777,493 | |
Total liabilities | 59,187,305 | 62,474,454 | |
Commitments and contingencies (Note 13) | |||
Capital stock (putable at par value of $100 per share): | |||
Class B issued and outstanding shares: 22,339,163 and 22,075,696, respectively | 2,233,916 | 2,207,570 | |
Retained earnings: | |||
Unrestricted | 878,581 | 868,904 | |
Restricted | 277,832 | 268,426 | |
Total retained earnings | 1,156,413 | 1,137,330 | |
Total accumulated other comprehensive income (Note 10) | 193,424 | 105,402 | |
Total capital | 3,583,753 | 3,450,302 | |
Total liabilities and capital | $ 62,771,058 | $ 65,924,756 | |
[1] | Carrying value equals amortized cost, which excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $12,757 and $14,961, respectively. | ||
[2] | Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $29,342 and $34,151, respectively. |
Statements of Condition (Unau_2
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Statement of Financial Position [Abstract] | |||
Amortized cost | [1] | $ 9,084,093 | $ 10,007,978 |
Estimated fair value | $ 4,594,682 | $ 4,723,796 | |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 | |
Common stock issued (in shares) | 22,339,163 | 22,075,696 | |
Common stock outstanding (in shares) | 22,339,163 | 22,075,696 | |
[1] | Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at June 30, 2021 and December 31, 2020 totaled $15,263 and $16,300, respectively. The applicable fair value hedging basis adjustments at June 30, 2021 and December 31, 2020 totaled $348,271 and $627,619, respectively. Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $32,232 and $34,616, respectively. |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Interest Income: | ||||
Advances | $ 28,175 | $ 76,319 | $ 64,284 | $ 245,944 |
Interest-bearing deposits | 121 | 313 | 277 | 5,032 |
Securities purchased under agreements to resell | 215 | 226 | 652 | 10,059 |
Federal funds sold | 651 | 323 | 1,454 | 9,613 |
Trading securities | 14,421 | 25,520 | 30,591 | 49,316 |
Available-for-sale securities | 21,184 | 13,341 | 51,020 | 50,144 |
Held-to-maturity securities | 7,809 | 19,813 | 17,673 | 48,946 |
Mortgage loans held for portfolio | 40,119 | 59,208 | 80,401 | 141,228 |
Total interest income | 112,695 | 195,063 | 246,352 | 560,282 |
Interest Expense: | ||||
Consolidated obligation discount notes | 1,733 | 27,575 | 5,932 | 100,089 |
Consolidated obligation bonds | 52,674 | 97,199 | 106,470 | 321,051 |
Deposits | 43 | 55 | 80 | 2,790 |
Mandatorily redeemable capital stock | 929 | 2,772 | 2,033 | 5,739 |
Total interest expense | 55,379 | 127,601 | 114,515 | 429,669 |
Net interest income | 57,316 | 67,462 | 131,837 | 130,613 |
Provision for (reversal of) credit losses | (44) | 50 | 44 | 47 |
Net interest income after provision for credit losses | 57,360 | 67,412 | 131,793 | 130,566 |
Other Income: | ||||
Net gains (losses) on trading securities | (13,731) | (28,527) | (27,359) | 21,306 |
Net gains (losses) on derivatives | 186 | (878) | (652) | (51,827) |
Other, net | 3,390 | 3,558 | 4,582 | (20) |
Total other income (loss) | (9,770) | (25,546) | (22,746) | (29,926) |
Other Expenses: | ||||
Compensation and benefits | 14,092 | 15,252 | 29,850 | 29,637 |
Other operating expenses | 7,417 | 7,725 | 14,688 | 15,034 |
Federal Housing Finance Agency | 1,474 | 1,168 | 2,947 | 2,335 |
Office of Finance | 1,228 | 1,037 | 3,225 | 2,311 |
Other | 4,226 | 1,710 | 5,857 | 3,191 |
Total other expenses | 28,437 | 26,892 | 56,567 | 52,508 |
Income before assessments | 19,153 | 14,974 | 52,480 | 48,132 |
Affordable Housing Program assessments | 2,008 | 1,775 | 5,451 | 5,387 |
Net income | 17,145 | 13,199 | 47,029 | 42,745 |
Service fees | ||||
Other Income: | ||||
Fees | 131 | 138 | 258 | 297 |
Standby letters of credit fees | ||||
Other Income: | ||||
Fees | $ 254 | $ 163 | $ 425 | $ 318 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 17,145 | $ 13,199 | $ 47,029 | $ 42,745 |
Other Comprehensive Income: | ||||
Net change in unrealized gains (losses) on available-for-sale securities | 4,502 | 79,020 | 78,031 | (69,811) |
Pension benefits, net | 8,995 | (2,381) | 9,991 | (1,674) |
Total other comprehensive income (loss) | 13,497 | 76,639 | 88,022 | (71,485) |
Total comprehensive income (loss) | $ 30,642 | $ 89,838 | $ 135,051 | $ (28,740) |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | $ 3,547,376 | $ 3,141,378 | $ 3,450,302 | $ 3,156,760 |
Total comprehensive income (loss) | 30,642 | 89,838 | 135,051 | (28,740) |
Proceeds from issuance of capital stock | 20,005 | 109,212 | 26,627 | 233,590 |
Shares reclassified to mandatorily redeemable capital stock, net | (281) | (13,115) | (281) | (13,347) |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | 10,574 | ||
Cash dividends on capital stock | (13,989) | (19,946) | (27,946) | (40,896) |
Ending Balance | $ 3,583,753 | $ 3,317,941 | $ 3,583,753 | $ 3,317,941 |
Capital Stock | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance (in shares) | 22,142 | 20,982 | 22,076 | 19,741 |
Beginning Balance | $ 2,214,192 | $ 2,098,222 | $ 2,207,570 | $ 1,974,076 |
Proceeds from issuance of capital stock (in shares) | 200 | 1,092 | 266 | 2,335 |
Proceeds from issuance of capital stock | $ 20,005 | $ 109,212 | $ 26,627 | $ 233,590 |
Shares reclassified to mandatorily redeemable capital stock, net (in shares) | (3) | (131) | (3) | (133) |
Shares reclassified to mandatorily redeemable capital stock, net | $ (281) | $ (13,115) | $ (281) | $ (13,347) |
Ending Balance | $ 2,233,916 | $ 2,194,319 | $ 2,233,916 | $ 2,194,319 |
Ending Balance (in shares) | 22,339 | 21,943 | 22,339 | 21,943 |
Retained Earnings Total | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | $ 1,153,257 | $ 1,123,904 | $ 1,137,330 | $ 1,115,308 |
Total comprehensive income (loss) | 17,145 | 13,199 | 47,029 | 42,745 |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | 10,574 | ||
Cash dividends on capital stock | (13,989) | (19,946) | (27,946) | (40,896) |
Ending Balance | 1,156,413 | 1,127,731 | 1,156,413 | 1,127,731 |
Retained Earnings, Unrestricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 878,854 | 867,141 | 868,904 | 864,454 |
Total comprehensive income (loss) | 13,716 | 10,559 | 37,623 | 34,196 |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | 10,574 | ||
Cash dividends on capital stock | (13,989) | (19,946) | (27,946) | (40,896) |
Ending Balance | 878,581 | 868,328 | 878,581 | 868,328 |
Retained Earnings, Restricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 274,403 | 256,763 | 268,426 | 250,854 |
Total comprehensive income (loss) | 3,429 | 2,640 | 9,406 | 8,549 |
Ending Balance | 277,832 | 259,403 | 277,832 | 259,403 |
Accumulated Other Comprehensive Income (Loss) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 179,927 | (80,748) | 105,402 | 67,376 |
Total comprehensive income (loss) | 13,497 | 76,639 | 88,022 | (71,485) |
Ending Balance | $ 193,424 | $ (4,109) | $ 193,424 | $ (4,109) |
Statements of Capital (Unaudi_2
Statements of Capital (Unaudited) (Parenthetical) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Statement of Stockholders' Equity [Abstract] | ||||
Annualized dividend rate on capital stock | 2.57% | 4.00% | 2.53% | 4.13% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | ||
Operating Activities: | |||
Net income | $ 47,029 | $ 42,745 | |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Amortization and depreciation | 42,309 | 31,413 | |
Changes in net derivative and hedging activities | 28,776 | (521,675) | |
Provision for (reversal of) credit losses | 44 | 47 | |
Net losses (gains) on trading securities | 27,359 | (21,306) | |
Changes in: | |||
Accrued interest receivable | 11,601 | 9,122 | |
Other assets | (12,783) | (7,639) | |
Accrued interest payable | 8,349 | (76,331) | |
Other liabilities | 1,182 | 40,954 | |
Total adjustments, net | 106,837 | (545,415) | |
Net cash provided by (used in) operating activities | 153,866 | (502,670) | |
Net change in: | |||
Interest-bearing deposits | 452,160 | (390,531) | |
Securities purchased under agreements to resell | (500,000) | (1,500,000) | |
Federal funds sold | (1,590,000) | 158,000 | |
Trading securities: | |||
Proceeds from maturities | 850,000 | 1,850,000 | |
Proceeds from sales | 50,006 | 0 | |
Purchases | (1,649,933) | (1,778,124) | |
Available-for-sale securities: | |||
Proceeds from maturities | 643,500 | 22,000 | |
Purchases | (60,290) | (1,176,982) | |
Held-to-maturity securities: | |||
Proceeds from maturities | 538,805 | 868,888 | |
Purchases | (584,749) | 0 | |
Advances: | |||
Principal repayments | 139,543,669 | 138,354,889 | |
Disbursements to members | (136,081,315) | (140,017,580) | |
Mortgage loans held for portfolio: | |||
Principal collections | 1,776,690 | 1,895,751 | |
Purchases from members | (1,145,532) | (1,049,039) | |
Purchases of premises, software, and equipment | (2,520) | (2,849) | |
Loans to other Federal Home Loan Banks: | |||
Principal repayments | 20,000 | 20,000 | |
Disbursements | (20,000) | (20,000) | |
Net cash provided by (used in) investing activities | 2,240,491 | (2,765,577) | |
Financing Activities: | |||
Changes in deposits | 222,576 | 184,887 | |
Net payments on derivative contracts with financing elements | (7,551) | 1,998 | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 85,205,681 | 172,312,346 | |
Bonds | 22,129,860 | 21,703,579 | |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (87,373,330) | (161,738,014) | |
Bonds | (23,000,650) | (29,484,440) | |
Proceeds from issuance of capital stock | 26,627 | 233,590 | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (18,156) | (36,581) | |
Partial recovery of prior capital distribution to Financing Corporation | 0 | 10,574 | |
Dividend payments on capital stock | (27,946) | (40,896) | |
Net cash provided by (used in) financing activities | (2,842,889) | 3,147,043 | |
Net increase (decrease) in cash and due from banks | (448,532) | (121,204) | |
Cash and due from banks at beginning of period | 1,811,544 | 220,294 | |
Cash and due from banks at end of period | 1,363,012 | 99,090 | |
Supplemental Disclosures: | |||
Interest payments | 139,245 | 552,568 | |
Affordable Housing Program payments | [1] | 9,088 | 6,810 |
Purchases of investment securities, traded but not yet settled | 0 | 381,582 | |
Capitalized interest on certain held-to-maturity securities | 313 | 1,265 | |
Par value of shares reclassified to mandatorily redeemable capital stock, net | $ 281 | $ 13,347 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2021 | |
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 2020 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 2020 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 2020 Form 10-K in Note 1 - Summary of Significant Accounting Policies . There have been no significant changes to these policies through June 30, 2021. |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance We did not adopt any new accounting guidance or elect to apply certain optional expedients prescribed by existing accounting guidance that are applicable and remain available in 2021 . Further, the FASB has not issued any new and applicable accounting guidance since the filing of our 2020 Form 10-K. See Note 2 - Recently Adopted and Issued Accounting Guidance in our 2020 Form 10-K for additional detail. |
Investments
Investments | 6 Months Ended |
Jun. 30, 2021 | |
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. These investments are generally transa cted with counterparties that maintain a credit rating of triple-B or higher (investment grade) by an NRSRO. At June 30, 2021 and December 31, 2020, none of these investments were with counterparties rated below single-A and none were with unrated counterparties. Th e NRSRO ratings may differ from our internal ratings of the investments, if applicable. Investment Securities. Trading Securities. Major Security Types. The following table presents our trading securities by type of security. Security Type June 30, 2021 December 31, 2020 Non-mortgage-backed securities: U.S. Treasury obligations $ 5,817,270 $ 5,094,703 Total trading securities at estimated fair value $ 5,817,270 $ 5,094,703 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 June 30, Six Months Ended June 30, 2021 2020 2021 2020 Net unrealized gains (losses) on trading securities held at period end $ (12,583) $ (39,813) $ (28,906) $ 8,650 Net realized gains (losses) on trading securities that matured/sold during the period (1,148) 11,286 1,547 12,656 Net gains (losses) on trading securities $ (13,731) $ (28,527) $ (27,359) $ 21,306 Available-for-Sale Securities. Major Security Types. The following table presents our AFS securities by type of security. Gross Gross Amortized Unrealized Unrealized Estimated June 30, 2021 Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 2,769,779 $ 48,276 $ (3) $ 2,818,052 GSE MBS 6,314,314 167,844 (1,165) 6,480,993 Total AFS securities $ 9,084,093 $ 216,120 $ (1,168) $ 9,299,045 December 31, 2020 GSE and TVA debentures $ 3,462,885 $ 40,252 $ — $ 3,503,137 GSE MBS 6,545,093 98,263 (1,594) 6,641,762 Total AFS securities $ 10,007,978 $ 138,515 $ (1,594) $ 10,144,899 (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at June 30, 2021 and December 31, 2020 totaled $15,263 and $16,300, respectively. The applicable fair value hedging basis adjustments at June 30, 2021 and December 31, 2020 totaled $348,271 and $627,619, respectively. Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $32,232 and $34,616, respectively. 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 June 30, 2021 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 35,000 $ (3) $ — $ — $ 35,000 $ (3) GSE MBS 132,980 (1,165) — — 132,980 (1,165) Total impaired AFS securities $ 167,980 $ (1,168) $ — $ — $ 167,980 $ (1,168) December 31, 2020 GSE MBS $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594) Total impaired AFS securities $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594) 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. June 30, 2021 December 31, 2020 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 537,663 $ 538,655 $ 705,134 $ 705,442 Due after 1 year through 5 years 1,276,368 1,298,677 1,215,038 1,225,187 Due after 5 years through 10 years 955,748 980,720 1,542,713 1,572,508 Total non-MBS 2,769,779 2,818,052 3,462,885 3,503,137 Total MBS 6,314,314 6,480,993 6,545,093 6,641,762 Total AFS securities $ 9,084,093 $ 9,299,045 $ 10,007,978 $ 10,144,899 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 June 30, 2021 Cost (1) Gains (2) Losses (2) Fair Value MBS: Other U.S. obligations - guaranteed MBS $ 2,780,225 $ 9,906 $ (4,292) $ 2,785,839 GSE MBS 1,792,467 20,501 (4,125) 1,808,843 Total HTM securities $ 4,572,692 $ 30,407 $ (8,417) $ 4,594,682 December 31, 2020 MBS: Other U.S. obligations - guaranteed MBS $ 2,622,677 $ 6,920 $ (4,590) $ 2,625,007 GSE MBS 2,078,625 21,640 (1,476) 2,098,789 Total HTM securities $ 4,701,302 $ 28,560 $ (6,066) $ 4,723,796 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at June 30, 2021 and December 31, 2020 to tale d $24,716 and $7,101, respectively. Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $2,202 and $2,689, respectively. (2) Gross unrecognized holding gains (losses) represent the cumulative increases (decreases) in estimated fair value. Contractual Maturity. HTM securities are not presented by contractual maturity because they consisted entirely of MBS, whose 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 June 30, 2021 and December 31, 2020 , 100% of our AFS and HTM securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from our internal ratings of the securities, if applicable. AFS Securities. At June 30, 2021 and December 31, 2020, certain of our AFS securities were in an unrealized loss position; howev er, we did not record an allowance for credit losses because those losses were considered temporary and we expected to recover the entire amortized cost basis on these securities based upon the following factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) 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, and (iv) 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. HTM Securities. At June 30, 2021 and December 31, 2020, we did not record an allowance for credit losses on any of our HTM securities based on the following factors: (i) all securities were highly rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) 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, and (iv) 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. |
Advances
Advances | 6 Months Ended |
Jun. 30, 2021 | |
Advances [Abstract] | |
Advances | Note 4 - Advances The following table presents advances outstanding by redemption term. June 30, 2021 December 31, 2020 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 611 2.43 $ — — Due in 1 year or less 7,924,412 0.49 10,115,576 0.51 Due after 1 year through 2 years 2,599,641 1.78 2,149,839 1.57 Due after 2 years through 3 years 3,545,734 1.60 2,760,624 2.02 Due after 3 years through 4 years 2,348,662 1.45 3,725,103 1.36 Due after 4 years through 5 years 2,542,066 1.26 3,020,039 1.29 Thereafter 8,267,380 1.01 8,919,678 1.05 Total advances, par value 27,228,506 1.07 30,690,859 1.06 Fair-value hedging basis adjustments, net 394,134 645,946 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 9,903 10,681 Total advances (1) $ 27,632,543 $ 31,347,486 (1) Carrying value equals amortized cost, which excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $12,757 and $14,961, respectively. 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 Earlier of Redemption June 30, December 31, June 30, December 31, Overdrawn demand and overnight deposit accounts $ 611 $ — $ 611 $ — Due in 1 year or less 12,951,619 15,296,034 12,453,912 14,645,076 Due after 1 year through 2 years 2,238,251 1,797,049 3,425,246 3,107,339 Due after 2 years through 3 years 2,224,234 2,440,024 3,859,734 3,160,729 Due after 3 years through 4 years 1,961,112 2,246,102 2,405,062 3,824,603 Due after 4 years through 5 years 1,548,716 2,076,839 2,029,066 2,585,439 Thereafter 6,303,963 6,834,811 3,054,875 3,367,673 Total advances, par value $ 27,228,506 $ 30,690,859 $ 27,228,506 $ 30,690,859 Advance Concentrations. At June 30, 2021 and December 31, 2020, our top five borrowers held 42% and 44%, respectively, of total advances outstanding at par. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Note 5 - Mortgage Loans Held for Portfolio The following tables present information on mortgage loans held for portfolio by term, type and product. Term June 30, 2021 December 31, 2020 Fixed-rate long-term mortgages $ 6,465,565 $ 7,257,237 Fixed-rate medium-term (1) mortgages 1,090,837 1,065,329 Total mortgage loans held for portfolio, UPB 7,556,402 8,322,566 Unamortized premiums 178,501 187,425 Unamortized discounts (2,224) (1,638) Hedging basis adjustments, net 4,521 7,642 Total mortgage loans held for portfolio 7,737,200 8,515,995 Allowance for credit losses (325) (350) Total mortgage loans held for portfolio, net (2) $ 7,736,875 $ 8,515,645 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $29,342 and $34,151, respectively. Type June 30, 2021 December 31, 2020 Conventional $ 7,346,360 $ 8,069,274 Government-guaranteed or -insured 210,042 253,292 Total mortgage loans held for portfolio, UPB $ 7,556,402 $ 8,322,566 Product June 30, 2021 December 31, 2020 MPP $ 7,431,687 $ 8,163,902 MPF Program 124,715 158,664 Total mortgage loans held for portfolio, UPB $ 7,556,402 $ 8,322,566 Conventional MPP. The following table presents the activity in the LRA, which is reported in other liabilities. Three Months Ended June 30, Six Months Ended June 30, LRA Activity 2021 2020 2021 2020 Liability, beginning of period $ 214,264 $ 190,280 $ 207,305 $ 186,585 Additions 6,247 8,060 13,364 12,314 Claims paid (31) (196) (65) (241) Distributions to PFIs (419) (1,491) (543) (2,005) Liability, end of period $ 220,061 $ 196,653 $ 220,061 $ 196,653 Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics. All qualifying COVID-related loan modifications considered to be formal, i.e. the legal terms of the loan were changed, are excluded from TDR classification and existing accounting policies and the loans are returned to current status upon modification. As of June 30, 2021 and December 31, 2020, we had $29,509, or 0.4%, and $12,309, or 0.2%, respectively, of our total conventional loans outstanding with formal modifications. We hav e continued to apply our existing accounting policies for past due, non-accrual, and charge-offs resulting from COVID-related loan modifications considered to be informal, i.e. the legal terms of the loan were not changed. Based on information from our mortgage servicers, as of June 30, 2021 and December 31, 2020, the UPB of conventional loans in an informal forbearance arrangement, including current loans, totaled $55,607 and $111,516, respectively, or 0.8% and 1.4%, respectively, of our total conventional loans outstanding. As of June 30, 2021, no informal COVID-19-related loan modifications were classified as TDRs. 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 and other delinquency statistics for our mortgage loans held for portfolio aggregated by (i) the most recent five origination years and (ii) all prior origination years. Amounts are based on amortized cost, which excludes accrued interest receivable. Origination Year Payment Status as of June 30, 2021 Prior to 2017 2017 to 2021 Total Past due: 30-59 days $ 16,483 $ 9,892 $ 26,375 60-89 days 4,638 2,234 6,872 90 days or more 28,469 27,302 55,771 Total past due 49,590 39,428 89,018 Total current 2,967,539 4,468,097 7,435,636 Total conventional mortgage loans, amortized cost $ 3,017,129 $ 4,507,525 $ 7,524,654 As of June 30, 2021, the UPB of conventional loans in an informal forbearance arrangement included amounts 30-59 days past due of $4,962, 60-89 days past due of $3,863, and 90 days or more past due of $41,285, for total past due of $50,110. Origination Year Payment Status as of December 31, 2020 Prior to 2016 2016 to 2020 Total Past due: 30-59 days $ 19,893 $ 22,130 $ 42,023 60-89 days 6,980 12,078 19,058 90 days or more 27,467 67,075 94,542 Total past due 54,340 101,283 155,623 Total current 2,468,908 5,635,070 8,103,978 Total conventional mortgage loans, amortized cost $ 2,523,248 $ 5,736,353 $ 8,259,601 As of December 31, 2020, the UPB of conventional loans in an informal forbearance arrangement included amounts 30-59 days past due of $10,214, 60-89 days past due of $12,661, and 90 days or more past due of $79,011, for total past due of $101,886. Other Delinquency Statistics as of June 30, 2021 Conventional Government Total In process of foreclosure (1) $ 1,631 $ — $ 1,631 Serious delinquency rate (2) 0.74 % 1.31 % 0.76 % Past due 90 days or more still accruing interest (3) $ 24,526 $ 2,273 $ 26,799 On non-accrual status (4) $ 51,186 $ — $ 51,186 Other Delinquency Statistics as of December 31, 2020 In process of foreclosure (1) $ 2,689 $ — $ 2,689 Serious delinquency rate (2) 1.14 % 3.36 % 1.21 % Past due 90 days or more still accruing interest (3) $ 36,585 $ 7,933 $ 44,518 On non-accrual status (4) $ 87,763 $ — $ 87,763 (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) 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 as they are well-secured and in the process of collection. (4) As of June 30, 2021 and December 31, 2020, $51,131 and $87,708, respectively, of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and $29,726 and $59,306, respectively, of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic. Allowance for Credit Losses. 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 June 30, 2021 December 31, 2020 MPP expected losses remaining after borrower's equity, before credit enhancements $ 3,649 $ 10,305 Portion of expected losses recoverable from credit enhancements: PMI (976) (2,277) LRA (1) (1,767) (6,847) SMI (688) (963) Total portion recoverable from credit enhancements (3,431) (10,087) Allowance for unrecoverable PMI/SMI 32 32 Allowance for MPP credit losses 250 250 Allowance for MPF Program credit losses 75 100 Allowance for credit losses $ 325 $ 350 (1) Amounts recoverable are limited to (i) the expected 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 expected and to distribute any excess funds to the PFIs. The table below presents a rollforward of our allowance for credit losses. Three Months Ended June 30, Six Months Ended June 30, Rollforward of Allowance 2021 2020 2021 2020 Balance, beginning of period $ 350 $ 300 $ 350 $ 300 Charge-offs — (29) (92) (42) Recoveries 19 4 23 20 Provision for (reversal of) credit losses (44) 50 44 47 Balance, end of period $ 325 $ 325 $ 325 $ 325 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives 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 June 30, 2021 was $749, 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 AA), we would not have been required to deliver additional collateral to our uncleared derivative counterparties at June 30, 2021. Cleared Derivatives. The clearinghouse determines margin requirements which are generally not based on credit ratings. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At June 30, 2021, 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 Notional Derivative Derivative June 30, 2021 Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 42,631,202 $ 64,771 $ 391,938 Total derivatives designated as hedging instruments 42,631,202 64,771 391,938 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 9,977,000 3,120 16 Interest-rate caps/floors 625,500 716 — Interest-rate forwards 141,800 101 46 MDCs 139,713 118 92 Total derivatives not designated as hedging instruments 10,884,013 4,055 154 Total derivatives before adjustments $ 53,515,215 68,826 392,092 Netting adjustments and cash collateral (1) 168,345 (381,989) Total derivatives, net $ 237,171 $ 10,103 December 31, 2020 Derivatives designated as hedging instruments: Interest-rate swaps $ 40,227,966 $ 13,018 $ 761,330 Total derivatives designated as hedging instruments 40,227,966 13,018 761,330 Derivatives not designated as hedging instruments: Economic hedges; Interest-rate swaps 9,177,000 5,404 181 Interest-rate caps/floors 625,500 1,113 — Interest-rate forwards 180,900 — 1,486 MDCs 180,152 1,022 — Total derivatives not designated as hedging instruments 10,163,552 7,539 1,667 Total derivatives before adjustments $ 50,391,518 20,557 762,997 Netting adjustments and cash collateral (1) 262,525 (740,018) Total derivatives, net $ 283,082 $ 22,979 (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 June 30, 2021 and December 31, 2020, including accrued interest, totaled $551,227 and $1,003,437, respectively. Cash collateral received from counterparties and held at both June 30, 2021 and December 31, 2020, including accrued interest, totaled $894. At June 30, 2021 and December 31, 2020, 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. June 30, 2021 December 31, 2020 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 65,444 $ 381,587 $ 13,793 $ 755,118 Cleared 3,163 10,367 5,742 6,393 Total gross recognized amount 68,607 391,954 19,535 761,511 Gross amounts of netting adjustments and cash collateral Uncleared (65,194) (371,622) (13,793) (733,625) Cleared 233,539 (10,367) 276,318 (6,393) Total gross amounts of netting adjustments and cash collateral 168,345 (381,989) 262,525 (740,018) Net amounts after netting adjustments and cash collateral Uncleared 250 9,965 — 21,493 Cleared 236,702 — 282,060 — Total net amounts after netting adjustments and cash collateral 236,952 9,965 282,060 21,493 Derivative instruments not meeting netting requirements (1) 219 138 1,022 1,486 Total derivatives, at estimated fair value $ 237,171 $ 10,103 $ 283,082 $ 22,979 (1) Includes MDCs and certain interest-rate forwards. 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 June 30, 2021 Advances Investments CO Bonds Total Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 10,550 $ 85,804 $ (39,212) $ 57,142 Derivatives (12,105) (87,733) 37,083 (62,755) Net changes in estimated fair value before price alignment interest (1,555) (1,929) (2,129) (5,613) Price alignment interest (1) 7 2 (1) 8 Net interest settlements on derivatives (2) (46,173) (28,327) 22,011 (52,489) Amortization/accretion of gains (losses) on active hedging relationships — 3,482 18 3,500 Net gains (losses) on qualifying fair-value hedging relationships (47,721) (26,772) 19,899 (54,594) Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (56) (7,403) — (7,459) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ (47,777) $ (34,175) $ 19,899 $ (62,053) Three Months Ended June 30, 2020 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 6,442 $ 40,745 $ 25,337 $ 72,524 Derivatives (23,345) (57,079) (10,892) (91,316) Net changes in estimated fair value before price alignment interest (16,903) (16,334) 14,445 (18,792) Price alignment interest (1) 56 44 (5) 95 Net interest settlements on derivatives (2) (28,409) (27,997) 18,778 (37,628) Amortization/accretion of gains (losses) on active hedging relationships (7) 337 783 1,113 Net gains (losses) on qualifying fair-value hedging relationships (45,263) (43,950) 34,001 (55,212) Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships — — — — Net gains (losses) on derivatives and hedging activities in net interest income (3) $ (45,263) $ (43,950) $ 34,001 $ (55,212) Six Months Ended June 30, 2021 Advances Investments CO Bonds Total Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ (232,919) $ (225,999) $ 84,060 $ (374,858) Derivatives 234,748 234,193 (81,107) 387,834 Net changes in estimated fair value before price alignment interest 1,829 8,194 2,953 12,976 Price alignment interest (1) 36 17 (4) 49 Net interest settlements on derivatives (2) (91,892) (60,780) 34,237 (118,435) Amortization/accretion of gains (losses) on active hedging relationships — 4,160 161 4,321 Net gains (losses) on qualifying fair-value hedging relationships (90,027) (48,409) 37,347 (101,089) Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (112) (12,792) — (12,904) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ (90,139) $ (61,201) $ 37,347 $ (113,993) Six Months Ended June 30, 2020 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 634,736 $ 640,223 $ (39,452) $ 1,235,507 Derivatives (633,084) (667,567) 42,755 (1,257,896) Net changes in estimated fair value before price alignment interest 1,652 (27,344) 3,303 (22,389) Price alignment interest (1) 640 401 (149) 892 Net interest settlements on derivatives (2) (28,439) (33,681) 28,775 (33,345) Amortization/accretion of gains (losses) on active hedging relationships (14) 639 1,333 1,958 Net gains (losses) on qualifying fair-value hedging relationships (26,161) (59,985) 33,262 (52,884) 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) $ (26,161) $ (59,985) $ 33,226 $ (52,920) (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 components of net gains (losses) on derivatives reported in other income. Three Months Ended June 30, Six Months Ended June 30, Type of Hedge 2021 2020 2021 2020 Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ 4,083 $ 20,138 $ 8,194 $ (20,281) Swaptions — (16) — (323) Interest-rate caps/floors (528) (28) (396) 464 Interest-rate forwards (1,344) (3,544) 2,812 (10,923) Net interest settlements (3,285) (20,527) (8,238) (28,912) MDCs 1,260 3,099 (3,024) 8,148 Net gains (losses) on derivatives in other income $ 186 $ (878) $ (652) $ (51,827) The following table presents the amortized cost of, and the related cumulative basis adjustments on, hedged items in qualifying fair-value hedging relationships. June 30, 2021 Advances Investments CO Bonds Amortized cost of hedged items (1) $ 15,724,635 $ 9,084,093 $ 20,685,126 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 393,447 $ 49,065 $ (62,473) For discontinued fair-value hedging relationships 687 299,206 — Total cumulative fair-value hedging basis adjustments on hedged items $ 394,134 $ 348,271 $ (62,473) December 31, 2020 Amortized cost of hedged items (1) $ 17,219,312 $ 9,882,225 $ 17,406,679 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 645,146 $ 501,865 $ 21,605 For discontinued fair-value hedging relationships 799 125,754 — Total cumulative fair-value hedging basis adjustments on hedged items $ 645,945 $ 627,619 $ 21,605 (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 | 6 Months Ended |
Jun. 30, 2021 | |
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 at June 30, 2021 and December 31, 2020 totaled $666.7 billion and $746.8 billion, 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 June 30, 2021 December 31, 2020 Book value $ 14,444,886 $ 16,617,079 Par value $ 14,446,349 $ 16,620,486 Weighted average effective interest rate 0.04 % 0.12 % CO Bonds. The following table presents our CO bonds outstanding by contractual maturity. June 30, 2021 December 31, 2020 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 21,345,360 0.25 $ 31,126,310 0.29 Due after 1 year through 2 years 4,856,385 0.96 4,109,700 0.70 Due after 2 years through 3 years 1,615,625 0.85 1,753,010 1.34 Due after 3 years through 4 years 2,914,150 0.80 767,250 1.93 Due after 4 years through 5 years 4,697,500 1.08 837,300 1.13 Thereafter 6,917,000 2.18 4,652,000 2.91 Total CO bonds, par value 42,346,020 0.80 43,245,570 0.70 Unamortized premiums 98,853 87,133 Unamortized discounts (12,063) (12,703) Unamortized concessions (7,212) (8,659) Fair-value hedging basis adjustments, net (62,473) 21,605 Total CO bonds $ 42,363,125 $ 43,332,946 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 June 30, 2021 December 31, 2020 Non-callable / non-putable $ 27,105,520 $ 36,809,070 Callable 15,240,500 6,436,500 Total CO bonds, par value $ 42,346,020 $ 43,245,570 Year of Contractual Maturity or Next Call Date June 30, 2021 December 31, 2020 Due in 1 year or less $ 33,340,860 $ 34,272,810 Due after 1 year through 2 years 5,226,385 4,159,700 Due after 2 years through 3 years 694,625 1,608,010 Due after 3 years through 4 years 681,650 443,750 Due after 4 years through 5 years 470,500 563,300 Thereafter 1,932,000 2,198,000 Total CO bonds, par value $ 42,346,020 $ 43,245,570 The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type June 30, 2021 December 31, 2020 Fixed-rate $ 30,948,020 $ 24,750,570 Step-up 315,000 15,000 Simple variable-rate 11,083,000 18,480,000 Total CO bonds, par value $ 42,346,020 $ 43,245,570 |
Affordable Housing Program
Affordable Housing Program | 6 Months Ended |
Jun. 30, 2021 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program | Note 8 - Affordable Housing Program The following table summarizes the activity in our AHP funding obligation. Three Months Ended June 30, Six Months Ended June 30, AHP Activity 2021 2020 2021 2020 Liability at beginning of period $ 35,690 $ 39,423 $ 34,402 $ 38,084 Assessment (expense) 2,008 1,775 5,451 5,387 Subsidy usage, net (1) (6,933) (4,537) (9,088) (6,810) Liability at end of period $ 30,765 $ 36,661 $ 30,765 $ 36,661 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital
Capital | 6 Months Ended |
Jun. 30, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Note 9 - Capital Classes of Capital Stock . The following table presents the capital stock outstanding by sub-series. Capital stock outstanding June 30, 2021 December 31, 2020 Class B-1 $ 952,690 $ 797,196 Class B-2 1,281,226 1,410,374 Total Class B $ 2,233,916 $ 2,207,570 Mandatorily Redeemable Capital Stock. The following table presents the activity in our MRCS. Three Months Ended June 30, Six Months Ended June 30, MRCS Activity 2021 2020 2021 2020 Liability at beginning of period $ 232,695 $ 323,125 $ 250,768 $ 322,902 Reclassification from capital stock 281 13,115 281 13,347 Redemptions/repurchases (83) (36,572) (18,156) (36,581) Accrued distributions — 36 — 36 Liability at end of period $ 232,893 $ 299,704 $ 232,893 $ 299,704 The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the five-year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement. MRCS Contractual Year of Redemption June 30, 2021 December 31, 2020 Year 1 (1)(2) $ 22,140 $ 9,274 Year 2 23,163 — Year 3 5,670 26,723 Year 4 162,194 150,957 Year 5 19,726 32,791 Thereafter (3) — 31,023 Total MRCS $ 232,893 $ 250,768 (1) Balances at June 30, 2021 and December 31, 2020 include $915 and $624, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. (2) Balance at June 30, 2021 includes $12,960 of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021 but will not be redeemed until the associated credit products and other obligations are no longer outstanding. Such amount was properly classified as "thereafter" as of December 31, 2020. (3) Represents the five-year redemption period of Class B stock held by certain captive insurance companies which began immediately upon their respective terminations of membership on February 19, 2021. Upon their respective terminations, we repurchased their excess stock totaling $18,063. The following table presents the distributions related to MRCS. Three Months Ended June 30, Six Months Ended June 30, MRCS Distributions 2021 2020 2021 2020 Recorded as interest expense $ 929 $ 2,772 $ 2,033 $ 5,739 Recorded as distributions from retained earnings 1 36 84 36 Total $ 930 $ 2,808 $ 2,117 $ 5,775 Capital Requirements. We are subject to three capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 12 - Capital in our 2020 Form 10-K. As presented in the following table, we were in compliance with these requirements at June 30, 2021 and December 31, 2020. June 30, 2021 December 31, 2020 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 697,611 $ 3,623,222 $ 630,661 $ 3,595,668 Total regulatory capital $ 2,510,842 $ 3,623,222 $ 2,636,990 $ 3,595,668 Total regulatory capital-to-assets ratio 4.00% 5.77% 4.00% 5.45% Leverage capital $ 3,138,553 $ 5,434,833 $ 3,296,238 $ 5,393,502 Leverage ratio 5.00% 8.66% 5.00% 8.18% |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 6 Months Ended |
Jun. 30, 2021 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [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, March 31, 2021 $ 210,450 $ (30,523) $ 179,927 OCI before reclassifications: Net change in unrealized gains (losses) 4,502 — 4,502 Reclassifications from OCI to net income: Pension benefits, net — 8,995 8,995 Total other comprehensive income 4,502 8,995 13,497 Balance, June 30, 2021 $ 214,952 $ (21,528) $ 193,424 Balance, March 31, 2020 $ (59,018) $ (21,730) $ (80,748) OCI before reclassifications: Net change in unrealized gains (losses) 79,020 — 79,020 Reclassifications from OCI to net income: Pension benefits, net — (2,381) (2,381) Total other comprehensive income (loss) 79,020 (2,381) 76,639 Balance, June 30, 2020 $ 20,002 $ (24,111) $ (4,109) AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI Balance, December 31, 2020 $ 136,921 $ (31,519) $ 105,402 OCI before reclassifications: Net change in unrealized gains (losses) 78,031 — 78,031 Reclassifications from OCI to net income: Pension benefits, net — 9,991 9,991 Total other comprehensive income (loss) 78,031 9,991 88,022 Balance, June 30, 2021 $ 214,952 $ (21,528) $ 193,424 Balance, December 31, 2019 $ 89,813 $ (22,437) $ 67,376 OCI before reclassifications: Net change in unrealized gains (losses) (69,811) — (69,811) Reclassifications from OCI to net income: Pension benefits, net — (1,674) (1,674) Total other comprehensive income (loss) (69,811) (1,674) (71,485) Balance, June 30, 2020 $ 20,002 $ (24,111) $ (4,109) |
Segment Information
Segment Information | 6 Months Ended |
Jun. 30, 2021 | |
Segment Reporting [Abstract] | |
Segment Information | Note 11 - Segment Information The following table presents our financial performance by operating segment. Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 53,952 $ 3,364 $ 57,316 $ 62,177 $ 5,285 $ 67,462 Provision for (reversal of) credit losses — (44) (44) — 50 50 Other income (loss) (9,734) (36) (9,770) (25,179) (367) (25,546) Other expenses 24,221 4,216 28,437 22,845 4,047 26,892 Income (loss) before assessments 19,997 (844) 19,153 14,153 821 14,974 Affordable Housing Program assessments (credits) 2,093 (85) 2,008 1,693 82 1,775 Net income (loss) $ 17,904 $ (759) $ 17,145 $ 12,460 $ 739 $ 13,199 Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 128,137 $ 3,700 $ 131,837 $ 112,252 $ 18,361 $ 130,613 Provision for (reversal of) credit losses — 44 44 — 47 47 Other income (loss) (22,611) (135) (22,746) (27,291) (2,635) (29,926) Other expenses 48,339 8,228 56,567 44,609 7,899 52,508 Income (loss) before assessments 57,187 (4,707) 52,480 40,352 7,780 48,132 Affordable Housing Program assessments (credits) 5,922 (471) 5,451 4,609 778 5,387 Net income (loss) $ 51,265 $ (4,236) $ 47,029 $ 35,743 $ 7,002 $ 42,745 The following table presents our asset balances by operating segment. By Date Traditional Mortgage Loans Total June 30, 2021 $ 55,034,183 $ 7,736,875 $ 62,771,058 December 31, 2020 57,409,111 8,515,645 65,924,756 |
Estimated Fair Values
Estimated Fair Values | 6 Months Ended |
Jun. 30, 2021 | |
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. June 30, 2021 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 1,363,012 $ 1,363,012 $ 1,363,012 $ — $ — $ — Interest-bearing deposits 100,041 100,041 100,000 41 — — Securities purchased under agreements to resell 3,000,000 3,000,000 — 3,000,000 — — Federal funds sold 2,805,000 2,805,000 — 2,805,000 — — Trading securities 5,817,270 5,817,270 — 5,817,270 — — AFS securities 9,299,045 9,299,045 — 9,299,045 — — HTM securities 4,572,692 4,594,682 — 4,594,682 — — Advances 27,632,543 27,602,974 — 27,602,974 — — Mortgage loans held for portfolio, net 7,736,875 8,021,392 — 7,980,633 40,759 — Accrued interest receivable 91,123 91,123 — 91,123 — — Derivative assets, net 237,171 237,171 — 68,826 — 168,345 Grantor trust assets (2) 59,973 59,973 59,973 — — — Liabilities: Deposits 1,597,781 1,597,781 — 1,597,781 — — Consolidated obligations: Discount notes 14,444,886 14,444,674 — 14,444,674 — — Bonds 42,363,125 42,790,064 — 42,790,064 — — Accrued interest payable 71,930 71,930 — 71,930 — — Derivative liabilities, net 10,103 10,103 — 392,092 — (381,989) MRCS 232,893 232,893 232,893 — — — December 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 $ 1,811,544 $ 1,811,544 $ 1,811,544 $ — $ — $ — Interest-bearing deposits 100,026 100,026 100,000 26 — — Securities purchased under agreements to resell 2,500,000 2,500,000 — 2,500,000 — — Federal funds sold 1,215,000 1,215,000 — 1,215,000 — — Trading securities 5,094,703 5,094,703 — 5,094,703 — — AFS securities 10,144,899 10,144,899 — 10,144,899 — — HTM securities 4,701,302 4,723,796 — 4,723,796 — — Advances 31,347,486 31,290,664 — 31,290,664 — — Mortgage loans held for portfolio, net 8,515,645 8,922,185 — 8,860,853 61,332 — Accrued interest receivable 103,076 103,076 — 103,076 — — Derivative assets, net 283,082 283,082 — 20,557 — 262,525 Grantor trust assets (2) 51,032 51,032 51,032 — — — Liabilities: Deposits 1,375,206 1,375,206 — 1,375,206 — — Consolidated obligations: Discount notes 16,617,079 16,617,976 — 16,617,976 — — Bonds 43,332,946 43,952,206 — 43,952,206 — — Accrued interest payable 63,581 63,581 — 63,581 — — Derivative liabilities, net 22,979 22,979 — 762,997 — (740,018) MRCS 250,768 250,768 250,768 — — — (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 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 16 - Estimated Fair Values in our 2020 Form 10-K. No significant 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 June 30, 2021 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,817,270 $ — $ 5,817,270 $ — $ — Total trading securities 5,817,270 — 5,817,270 — — AFS securities: GSE and TVA debentures 2,818,052 — 2,818,052 — — GSE MBS 6,480,993 — 6,480,993 — — Total AFS securities 9,299,045 — 9,299,045 — — Derivative assets: Interest-rate related 237,053 — 68,708 — 168,345 MDCs 118 — 118 — — Total derivative assets, net 237,171 — 68,826 — 168,345 Other assets: Grantor trust assets 59,973 59,973 — — — Total assets at recurring estimated fair value $ 15,413,459 $ 59,973 $ 15,185,141 $ — $ 168,345 Derivative liabilities: Interest-rate related $ 10,011 $ — $ 392,000 $ — $ (381,989) MDCs 92 — 92 — — Total derivative liabilities, net 10,103 — 392,092 — (381,989) Total liabilities at recurring estimated fair value $ 10,103 $ — $ 392,092 $ — $ (381,989) Mortgage loans held for portfolio (2) $ 1,141 $ — $ — $ 1,141 $ — Total assets at non-recurring estimated fair value $ 1,141 $ — $ — $ 1,141 $ — Netting December 31, 2020 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,094,703 $ — $ 5,094,703 $ — $ — Total trading securities 5,094,703 — 5,094,703 — — AFS securities: GSE and TVA debentures 3,503,137 — 3,503,137 — — GSE MBS 6,641,762 — 6,641,762 — — Total AFS securities 10,144,899 — 10,144,899 — — Derivative assets: Interest-rate related 282,060 — 19,535 — 262,525 MDCs 1,022 — 1,022 — — Total derivative assets, net 283,082 — 20,557 — 262,525 Other assets: Grantor trust assets 51,032 51,032 — — — Total assets at recurring estimated fair value $ 15,573,716 $ 51,032 $ 15,260,159 $ — $ 262,525 Derivative liabilities: Interest-rate related $ 22,979 $ — $ 762,997 $ — $ (740,018) MDCs — — — — — Total derivative liabilities, net 22,979 — 762,997 — (740,018) Total liabilities at recurring estimated fair value $ 22,979 $ — $ 762,997 $ — $ (740,018) Mortgage loans held for portfolio (3) $ 1,460 $ — $ — $ 1,460 $ — Total assets at non-recurring estimated fair value $ 1,460 $ — $ — $ 1,460 $ — (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) Amounts are as of the date the fair-value adjustment was recorded during the six months ended June 30, 2021. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2021 | |
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. June 30, 2021 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding $ 60,405 $ 304,577 $ 364,982 Unused lines of credit (1) 813,721 — 813,721 Commitments to fund additional advances (2) 4,000 — 4,000 Commitments to fund or purchase mortgage loans, net (3) 139,713 — 139,713 Unsettled CO bonds, at par 453,000 — 453,000 (1) Maximum line of credit amount per member is $100,000. (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 | 6 Months Ended |
Jun. 30, 2021 | |
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. June 30, 2021 December 31, 2020 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 433,736 18 % $ 426,003 17 % Advances 3,387,988 12 % 5,397,433 18 % The par values at June 30, 2021 reflect changes in the composition of directors' financial institutions effective January 1, 2021, due to changes in board membership resulting from the 2020 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. Transactions with Directors' Financial Institutions Three Months Ended June 30, Six Months Ended June 30, 2021 2020 2021 2020 Net capital stock issuances (redemptions and repurchases) $ — $ 71,775 $ — $ 77,621 Net advances (repayments) (993,987) (2,757,963) (2,043,264) (720,232) Mortgage loan purchases 16,745 14,512 29,622 26,864 Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks. The following table presents the loans to/borrowings from other FHLBanks. Three Months Ended June 30, Six Months Ended June 30, Loans to other FHLBanks 2021 2020 2021 2020 Principal repayments $ 10,000 $ 10,000 $ 20,000 $ 20,000 Disbursements (10,000) (10,000) (20,000) (20,000) There were no loans to or borrowings from other FHLBanks outstanding at June 30, 2021 or December 31, 2020. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2021 | |
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 2020 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 2020 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 . |
Significant Accounting Policies | Significant Accounting Policies. Our significant accounting policies and certain other disclosures are set forth in our 2020 Form 10-K in Note 1 - Summary of Significant Accounting Policies . There have been no significant changes to these policies through June 30, 2021. |
Investments (Tables)
Investments (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 December 31, 2020 Non-mortgage-backed securities: U.S. Treasury obligations $ 5,817,270 $ 5,094,703 Total trading securities at estimated fair value $ 5,817,270 $ 5,094,703 |
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 June 30, 2021 Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 2,769,779 $ 48,276 $ (3) $ 2,818,052 GSE MBS 6,314,314 167,844 (1,165) 6,480,993 Total AFS securities $ 9,084,093 $ 216,120 $ (1,168) $ 9,299,045 December 31, 2020 GSE and TVA debentures $ 3,462,885 $ 40,252 $ — $ 3,503,137 GSE MBS 6,545,093 98,263 (1,594) 6,641,762 Total AFS securities $ 10,007,978 $ 138,515 $ (1,594) $ 10,144,899 (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at June 30, 2021 and December 31, 2020 totaled $15,263 and $16,300, respectively. The applicable fair value hedging basis adjustments at June 30, 2021 and December 31, 2020 totaled $348,271 and $627,619, respectively. Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $32,232 and $34,616, respectively. |
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 June 30, 2021 Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 35,000 $ (3) $ — $ — $ 35,000 $ (3) GSE MBS 132,980 (1,165) — — 132,980 (1,165) Total impaired AFS securities $ 167,980 $ (1,168) $ — $ — $ 167,980 $ (1,168) December 31, 2020 GSE MBS $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594) Total impaired AFS securities $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594) |
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 June 30, 2021 Cost (1) Gains (2) Losses (2) Fair Value MBS: Other U.S. obligations - guaranteed MBS $ 2,780,225 $ 9,906 $ (4,292) $ 2,785,839 GSE MBS 1,792,467 20,501 (4,125) 1,808,843 Total HTM securities $ 4,572,692 $ 30,407 $ (8,417) $ 4,594,682 December 31, 2020 MBS: Other U.S. obligations - guaranteed MBS $ 2,622,677 $ 6,920 $ (4,590) $ 2,625,007 GSE MBS 2,078,625 21,640 (1,476) 2,098,789 Total HTM securities $ 4,701,302 $ 28,560 $ (6,066) $ 4,723,796 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at June 30, 2021 and December 31, 2020 to tale d $24,716 and $7,101, respectively. Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $2,202 and $2,689, 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. June 30, 2021 December 31, 2020 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 537,663 $ 538,655 $ 705,134 $ 705,442 Due after 1 year through 5 years 1,276,368 1,298,677 1,215,038 1,225,187 Due after 5 years through 10 years 955,748 980,720 1,542,713 1,572,508 Total non-MBS 2,769,779 2,818,052 3,462,885 3,503,137 Total MBS 6,314,314 6,480,993 6,545,093 6,641,762 Total AFS securities $ 9,084,093 $ 9,299,045 $ 10,007,978 $ 10,144,899 |
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 June 30, Six Months Ended June 30, 2021 2020 2021 2020 Net unrealized gains (losses) on trading securities held at period end $ (12,583) $ (39,813) $ (28,906) $ 8,650 Net realized gains (losses) on trading securities that matured/sold during the period (1,148) 11,286 1,547 12,656 Net gains (losses) on trading securities $ (13,731) $ (28,527) $ (27,359) $ 21,306 |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | The following table presents advances outstanding by redemption term. June 30, 2021 December 31, 2020 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 611 2.43 $ — — Due in 1 year or less 7,924,412 0.49 10,115,576 0.51 Due after 1 year through 2 years 2,599,641 1.78 2,149,839 1.57 Due after 2 years through 3 years 3,545,734 1.60 2,760,624 2.02 Due after 3 years through 4 years 2,348,662 1.45 3,725,103 1.36 Due after 4 years through 5 years 2,542,066 1.26 3,020,039 1.29 Thereafter 8,267,380 1.01 8,919,678 1.05 Total advances, par value 27,228,506 1.07 30,690,859 1.06 Fair-value hedging basis adjustments, net 394,134 645,946 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 9,903 10,681 Total advances (1) $ 27,632,543 $ 31,347,486 (1) Carrying value equals amortized cost, which excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $12,757 and $14,961, respectively. 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 Earlier of Redemption June 30, December 31, June 30, December 31, Overdrawn demand and overnight deposit accounts $ 611 $ — $ 611 $ — Due in 1 year or less 12,951,619 15,296,034 12,453,912 14,645,076 Due after 1 year through 2 years 2,238,251 1,797,049 3,425,246 3,107,339 Due after 2 years through 3 years 2,224,234 2,440,024 3,859,734 3,160,729 Due after 3 years through 4 years 1,961,112 2,246,102 2,405,062 3,824,603 Due after 4 years through 5 years 1,548,716 2,076,839 2,029,066 2,585,439 Thereafter 6,303,963 6,834,811 3,054,875 3,367,673 Total advances, par value $ 27,228,506 $ 30,690,859 $ 27,228,506 $ 30,690,859 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | The following tables present information on mortgage loans held for portfolio by term, type and product. Term June 30, 2021 December 31, 2020 Fixed-rate long-term mortgages $ 6,465,565 $ 7,257,237 Fixed-rate medium-term (1) mortgages 1,090,837 1,065,329 Total mortgage loans held for portfolio, UPB 7,556,402 8,322,566 Unamortized premiums 178,501 187,425 Unamortized discounts (2,224) (1,638) Hedging basis adjustments, net 4,521 7,642 Total mortgage loans held for portfolio 7,737,200 8,515,995 Allowance for credit losses (325) (350) Total mortgage loans held for portfolio, net (2) $ 7,736,875 $ 8,515,645 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $29,342 and $34,151, respectively. Type June 30, 2021 December 31, 2020 Conventional $ 7,346,360 $ 8,069,274 Government-guaranteed or -insured 210,042 253,292 Total mortgage loans held for portfolio, UPB $ 7,556,402 $ 8,322,566 Product June 30, 2021 December 31, 2020 MPP $ 7,431,687 $ 8,163,902 MPF Program 124,715 158,664 Total mortgage loans held for portfolio, UPB $ 7,556,402 $ 8,322,566 |
Changes in Lender Risk Account | The following table presents the activity in the LRA, which is reported in other liabilities. Three Months Ended June 30, Six Months Ended June 30, LRA Activity 2021 2020 2021 2020 Liability, beginning of period $ 214,264 $ 190,280 $ 207,305 $ 186,585 Additions 6,247 8,060 13,364 12,314 Claims paid (31) (196) (65) (241) Distributions to PFIs (419) (1,491) (543) (2,005) Liability, end of period $ 220,061 $ 196,653 $ 220,061 $ 196,653 |
Recorded Investment in Delinquent Mortgage Loans | The tables below present the key credit quality indicators and other delinquency statistics for our mortgage loans held for portfolio aggregated by (i) the most recent five origination years and (ii) all prior origination years. Amounts are based on amortized cost, which excludes accrued interest receivable. Origination Year Payment Status as of June 30, 2021 Prior to 2017 2017 to 2021 Total Past due: 30-59 days $ 16,483 $ 9,892 $ 26,375 60-89 days 4,638 2,234 6,872 90 days or more 28,469 27,302 55,771 Total past due 49,590 39,428 89,018 Total current 2,967,539 4,468,097 7,435,636 Total conventional mortgage loans, amortized cost $ 3,017,129 $ 4,507,525 $ 7,524,654 As of June 30, 2021, the UPB of conventional loans in an informal forbearance arrangement included amounts 30-59 days past due of $4,962, 60-89 days past due of $3,863, and 90 days or more past due of $41,285, for total past due of $50,110. Origination Year Payment Status as of December 31, 2020 Prior to 2016 2016 to 2020 Total Past due: 30-59 days $ 19,893 $ 22,130 $ 42,023 60-89 days 6,980 12,078 19,058 90 days or more 27,467 67,075 94,542 Total past due 54,340 101,283 155,623 Total current 2,468,908 5,635,070 8,103,978 Total conventional mortgage loans, amortized cost $ 2,523,248 $ 5,736,353 $ 8,259,601 As of December 31, 2020, the UPB of conventional loans in an informal forbearance arrangement included amounts 30-59 days past due of $10,214, 60-89 days past due of $12,661, and 90 days or more past due of $79,011, for total past due of $101,886. Other Delinquency Statistics as of June 30, 2021 Conventional Government Total In process of foreclosure (1) $ 1,631 $ — $ 1,631 Serious delinquency rate (2) 0.74 % 1.31 % 0.76 % Past due 90 days or more still accruing interest (3) $ 24,526 $ 2,273 $ 26,799 On non-accrual status (4) $ 51,186 $ — $ 51,186 Other Delinquency Statistics as of December 31, 2020 In process of foreclosure (1) $ 2,689 $ — $ 2,689 Serious delinquency rate (2) 1.14 % 3.36 % 1.21 % Past due 90 days or more still accruing interest (3) $ 36,585 $ 7,933 $ 44,518 On non-accrual status (4) $ 87,763 $ — $ 87,763 (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) 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 as they are well-secured and in the process of collection. (4) As of June 30, 2021 and December 31, 2020, $51,131 and $87,708, respectively, of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and $29,726 and $59,306, respectively, of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic. |
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 June 30, 2021 December 31, 2020 MPP expected losses remaining after borrower's equity, before credit enhancements $ 3,649 $ 10,305 Portion of expected losses recoverable from credit enhancements: PMI (976) (2,277) LRA (1) (1,767) (6,847) SMI (688) (963) Total portion recoverable from credit enhancements (3,431) (10,087) Allowance for unrecoverable PMI/SMI 32 32 Allowance for MPP credit losses 250 250 Allowance for MPF Program credit losses 75 100 Allowance for credit losses $ 325 $ 350 (1) Amounts recoverable are limited to (i) the expected 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 expected 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 June 30, Six Months Ended June 30, Rollforward of Allowance 2021 2020 2021 2020 Balance, beginning of period $ 350 $ 300 $ 350 $ 300 Charge-offs — (29) (92) (42) Recoveries 19 4 23 20 Provision for (reversal of) credit losses (44) 50 44 47 Balance, end of period $ 325 $ 325 $ 325 $ 325 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 Notional Derivative Derivative June 30, 2021 Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 42,631,202 $ 64,771 $ 391,938 Total derivatives designated as hedging instruments 42,631,202 64,771 391,938 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 9,977,000 3,120 16 Interest-rate caps/floors 625,500 716 — Interest-rate forwards 141,800 101 46 MDCs 139,713 118 92 Total derivatives not designated as hedging instruments 10,884,013 4,055 154 Total derivatives before adjustments $ 53,515,215 68,826 392,092 Netting adjustments and cash collateral (1) 168,345 (381,989) Total derivatives, net $ 237,171 $ 10,103 December 31, 2020 Derivatives designated as hedging instruments: Interest-rate swaps $ 40,227,966 $ 13,018 $ 761,330 Total derivatives designated as hedging instruments 40,227,966 13,018 761,330 Derivatives not designated as hedging instruments: Economic hedges; Interest-rate swaps 9,177,000 5,404 181 Interest-rate caps/floors 625,500 1,113 — Interest-rate forwards 180,900 — 1,486 MDCs 180,152 1,022 — Total derivatives not designated as hedging instruments 10,163,552 7,539 1,667 Total derivatives before adjustments $ 50,391,518 20,557 762,997 Netting adjustments and cash collateral (1) 262,525 (740,018) Total derivatives, net $ 283,082 $ 22,979 (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 June 30, 2021 and December 31, 2020, including accrued interest, totaled $551,227 and $1,003,437, respectively. Cash collateral received from counterparties and held at both June 30, 2021 and December 31, 2020, including accrued interest, totaled $894. At June 30, 2021 and December 31, 2020, 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. June 30, 2021 December 31, 2020 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 65,444 $ 381,587 $ 13,793 $ 755,118 Cleared 3,163 10,367 5,742 6,393 Total gross recognized amount 68,607 391,954 19,535 761,511 Gross amounts of netting adjustments and cash collateral Uncleared (65,194) (371,622) (13,793) (733,625) Cleared 233,539 (10,367) 276,318 (6,393) Total gross amounts of netting adjustments and cash collateral 168,345 (381,989) 262,525 (740,018) Net amounts after netting adjustments and cash collateral Uncleared 250 9,965 — 21,493 Cleared 236,702 — 282,060 — Total net amounts after netting adjustments and cash collateral 236,952 9,965 282,060 21,493 Derivative instruments not meeting netting requirements (1) 219 138 1,022 1,486 Total derivatives, at estimated fair value $ 237,171 $ 10,103 $ 283,082 $ 22,979 (1) Includes MDCs and certain interest-rate forwards. |
Components of Net Gains (Losses) on Derivatives and Hedging Activities in Net Interest Income | Three Months Ended June 30, 2021 Advances Investments CO Bonds Total Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 10,550 $ 85,804 $ (39,212) $ 57,142 Derivatives (12,105) (87,733) 37,083 (62,755) Net changes in estimated fair value before price alignment interest (1,555) (1,929) (2,129) (5,613) Price alignment interest (1) 7 2 (1) 8 Net interest settlements on derivatives (2) (46,173) (28,327) 22,011 (52,489) Amortization/accretion of gains (losses) on active hedging relationships — 3,482 18 3,500 Net gains (losses) on qualifying fair-value hedging relationships (47,721) (26,772) 19,899 (54,594) Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (56) (7,403) — (7,459) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ (47,777) $ (34,175) $ 19,899 $ (62,053) Three Months Ended June 30, 2020 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 6,442 $ 40,745 $ 25,337 $ 72,524 Derivatives (23,345) (57,079) (10,892) (91,316) Net changes in estimated fair value before price alignment interest (16,903) (16,334) 14,445 (18,792) Price alignment interest (1) 56 44 (5) 95 Net interest settlements on derivatives (2) (28,409) (27,997) 18,778 (37,628) Amortization/accretion of gains (losses) on active hedging relationships (7) 337 783 1,113 Net gains (losses) on qualifying fair-value hedging relationships (45,263) (43,950) 34,001 (55,212) Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships — — — — Net gains (losses) on derivatives and hedging activities in net interest income (3) $ (45,263) $ (43,950) $ 34,001 $ (55,212) Six Months Ended June 30, 2021 Advances Investments CO Bonds Total Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ (232,919) $ (225,999) $ 84,060 $ (374,858) Derivatives 234,748 234,193 (81,107) 387,834 Net changes in estimated fair value before price alignment interest 1,829 8,194 2,953 12,976 Price alignment interest (1) 36 17 (4) 49 Net interest settlements on derivatives (2) (91,892) (60,780) 34,237 (118,435) Amortization/accretion of gains (losses) on active hedging relationships — 4,160 161 4,321 Net gains (losses) on qualifying fair-value hedging relationships (90,027) (48,409) 37,347 (101,089) Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (112) (12,792) — (12,904) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ (90,139) $ (61,201) $ 37,347 $ (113,993) Six Months Ended June 30, 2020 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 634,736 $ 640,223 $ (39,452) $ 1,235,507 Derivatives (633,084) (667,567) 42,755 (1,257,896) Net changes in estimated fair value before price alignment interest 1,652 (27,344) 3,303 (22,389) Price alignment interest (1) 640 401 (149) 892 Net interest settlements on derivatives (2) (28,439) (33,681) 28,775 (33,345) Amortization/accretion of gains (losses) on active hedging relationships (14) 639 1,333 1,958 Net gains (losses) on qualifying fair-value hedging relationships (26,161) (59,985) 33,262 (52,884) 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) $ (26,161) $ (59,985) $ 33,226 $ (52,920) (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. |
Components of Net Gains (Losses) on Derivatives and Hedging Activites Reported in Other Income | The following table presents the components of net gains (losses) on derivatives reported in other income. Three Months Ended June 30, Six Months Ended June 30, Type of Hedge 2021 2020 2021 2020 Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ 4,083 $ 20,138 $ 8,194 $ (20,281) Swaptions — (16) — (323) Interest-rate caps/floors (528) (28) (396) 464 Interest-rate forwards (1,344) (3,544) 2,812 (10,923) Net interest settlements (3,285) (20,527) (8,238) (28,912) MDCs 1,260 3,099 (3,024) 8,148 Net gains (losses) on derivatives in other income $ 186 $ (878) $ (652) $ (51,827) |
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. June 30, 2021 Advances Investments CO Bonds Amortized cost of hedged items (1) $ 15,724,635 $ 9,084,093 $ 20,685,126 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 393,447 $ 49,065 $ (62,473) For discontinued fair-value hedging relationships 687 299,206 — Total cumulative fair-value hedging basis adjustments on hedged items $ 394,134 $ 348,271 $ (62,473) December 31, 2020 Amortized cost of hedged items (1) $ 17,219,312 $ 9,882,225 $ 17,406,679 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 645,146 $ 501,865 $ 21,605 For discontinued fair-value hedging relationships 799 125,754 — Total cumulative fair-value hedging basis adjustments on hedged items $ 645,945 $ 627,619 $ 21,605 (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) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 December 31, 2020 Book value $ 14,444,886 $ 16,617,079 Par value $ 14,446,349 $ 16,620,486 Weighted average effective interest rate 0.04 % 0.12 % |
CO Bonds by Year of Contractual Maturity | The following table presents our CO bonds outstanding by contractual maturity. June 30, 2021 December 31, 2020 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 21,345,360 0.25 $ 31,126,310 0.29 Due after 1 year through 2 years 4,856,385 0.96 4,109,700 0.70 Due after 2 years through 3 years 1,615,625 0.85 1,753,010 1.34 Due after 3 years through 4 years 2,914,150 0.80 767,250 1.93 Due after 4 years through 5 years 4,697,500 1.08 837,300 1.13 Thereafter 6,917,000 2.18 4,652,000 2.91 Total CO bonds, par value 42,346,020 0.80 43,245,570 0.70 Unamortized premiums 98,853 87,133 Unamortized discounts (12,063) (12,703) Unamortized concessions (7,212) (8,659) Fair-value hedging basis adjustments, net (62,473) 21,605 Total CO bonds $ 42,363,125 $ 43,332,946 Year of Contractual Maturity or Next Call Date June 30, 2021 December 31, 2020 Due in 1 year or less $ 33,340,860 $ 34,272,810 Due after 1 year through 2 years 5,226,385 4,159,700 Due after 2 years through 3 years 694,625 1,608,010 Due after 3 years through 4 years 681,650 443,750 Due after 4 years through 5 years 470,500 563,300 Thereafter 1,932,000 2,198,000 Total CO bonds, par value $ 42,346,020 $ 43,245,570 |
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 June 30, 2021 December 31, 2020 Non-callable / non-putable $ 27,105,520 $ 36,809,070 Callable 15,240,500 6,436,500 Total CO bonds, par value $ 42,346,020 $ 43,245,570 |
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 June 30, 2021 December 31, 2020 Fixed-rate $ 30,948,020 $ 24,750,570 Step-up 315,000 15,000 Simple variable-rate 11,083,000 18,480,000 Total CO bonds, par value $ 42,346,020 $ 43,245,570 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Affordable Housing Program [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation | The following table summarizes the activity in our AHP funding obligation. Three Months Ended June 30, Six Months Ended June 30, AHP Activity 2021 2020 2021 2020 Liability at beginning of period $ 35,690 $ 39,423 $ 34,402 $ 38,084 Assessment (expense) 2,008 1,775 5,451 5,387 Subsidy usage, net (1) (6,933) (4,537) (9,088) (6,810) Liability at end of period $ 30,765 $ 36,661 $ 30,765 $ 36,661 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Capital Stock Outstanding by Sub-series | The following table presents the capital stock outstanding by sub-series. Capital stock outstanding June 30, 2021 December 31, 2020 Class B-1 $ 952,690 $ 797,196 Class B-2 1,281,226 1,410,374 Total Class B $ 2,233,916 $ 2,207,570 |
Mandatorily Redeemable Capital Stock | The following table presents the activity in our MRCS. Three Months Ended June 30, Six Months Ended June 30, MRCS Activity 2021 2020 2021 2020 Liability at beginning of period $ 232,695 $ 323,125 $ 250,768 $ 322,902 Reclassification from capital stock 281 13,115 281 13,347 Redemptions/repurchases (83) (36,572) (18,156) (36,581) Accrued distributions — 36 — 36 Liability at end of period $ 232,893 $ 299,704 $ 232,893 $ 299,704 The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the five-year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement. MRCS Contractual Year of Redemption June 30, 2021 December 31, 2020 Year 1 (1)(2) $ 22,140 $ 9,274 Year 2 23,163 — Year 3 5,670 26,723 Year 4 162,194 150,957 Year 5 19,726 32,791 Thereafter (3) — 31,023 Total MRCS $ 232,893 $ 250,768 (1) Balances at June 30, 2021 and December 31, 2020 include $915 and $624, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. (2) Balance at June 30, 2021 includes $12,960 of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021 but will not be redeemed until the associated credit products and other obligations are no longer outstanding. Such amount was properly classified as "thereafter" as of December 31, 2020. (3) Represents the five-year redemption period of Class B stock held by certain captive insurance companies which began immediately upon their respective terminations of membership on February 19, 2021. Upon their respective terminations, we repurchased their excess stock totaling $18,063. |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | The following table presents the distributions related to MRCS. Three Months Ended June 30, Six Months Ended June 30, MRCS Distributions 2021 2020 2021 2020 Recorded as interest expense $ 929 $ 2,772 $ 2,033 $ 5,739 Recorded as distributions from retained earnings 1 36 84 36 Total $ 930 $ 2,808 $ 2,117 $ 5,775 |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As presented in the following table, we were in compliance with these requirements at June 30, 2021 and December 31, 2020. June 30, 2021 December 31, 2020 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 697,611 $ 3,623,222 $ 630,661 $ 3,595,668 Total regulatory capital $ 2,510,842 $ 3,623,222 $ 2,636,990 $ 3,595,668 Total regulatory capital-to-assets ratio 4.00% 5.77% 4.00% 5.45% Leverage capital $ 3,138,553 $ 5,434,833 $ 3,296,238 $ 5,393,502 Leverage ratio 5.00% 8.66% 5.00% 8.18% |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [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, March 31, 2021 $ 210,450 $ (30,523) $ 179,927 OCI before reclassifications: Net change in unrealized gains (losses) 4,502 — 4,502 Reclassifications from OCI to net income: Pension benefits, net — 8,995 8,995 Total other comprehensive income 4,502 8,995 13,497 Balance, June 30, 2021 $ 214,952 $ (21,528) $ 193,424 Balance, March 31, 2020 $ (59,018) $ (21,730) $ (80,748) OCI before reclassifications: Net change in unrealized gains (losses) 79,020 — 79,020 Reclassifications from OCI to net income: Pension benefits, net — (2,381) (2,381) Total other comprehensive income (loss) 79,020 (2,381) 76,639 Balance, June 30, 2020 $ 20,002 $ (24,111) $ (4,109) AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI Balance, December 31, 2020 $ 136,921 $ (31,519) $ 105,402 OCI before reclassifications: Net change in unrealized gains (losses) 78,031 — 78,031 Reclassifications from OCI to net income: Pension benefits, net — 9,991 9,991 Total other comprehensive income (loss) 78,031 9,991 88,022 Balance, June 30, 2021 $ 214,952 $ (21,528) $ 193,424 Balance, December 31, 2019 $ 89,813 $ (22,437) $ 67,376 OCI before reclassifications: Net change in unrealized gains (losses) (69,811) — (69,811) Reclassifications from OCI to net income: Pension benefits, net — (1,674) (1,674) Total other comprehensive income (loss) (69,811) (1,674) (71,485) Balance, June 30, 2020 $ 20,002 $ (24,111) $ (4,109) |
Segment Information (Tables)
Segment Information (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 53,952 $ 3,364 $ 57,316 $ 62,177 $ 5,285 $ 67,462 Provision for (reversal of) credit losses — (44) (44) — 50 50 Other income (loss) (9,734) (36) (9,770) (25,179) (367) (25,546) Other expenses 24,221 4,216 28,437 22,845 4,047 26,892 Income (loss) before assessments 19,997 (844) 19,153 14,153 821 14,974 Affordable Housing Program assessments (credits) 2,093 (85) 2,008 1,693 82 1,775 Net income (loss) $ 17,904 $ (759) $ 17,145 $ 12,460 $ 739 $ 13,199 Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 128,137 $ 3,700 $ 131,837 $ 112,252 $ 18,361 $ 130,613 Provision for (reversal of) credit losses — 44 44 — 47 47 Other income (loss) (22,611) (135) (22,746) (27,291) (2,635) (29,926) Other expenses 48,339 8,228 56,567 44,609 7,899 52,508 Income (loss) before assessments 57,187 (4,707) 52,480 40,352 7,780 48,132 Affordable Housing Program assessments (credits) 5,922 (471) 5,451 4,609 778 5,387 Net income (loss) $ 51,265 $ (4,236) $ 47,029 $ 35,743 $ 7,002 $ 42,745 |
Schedule of Segment Assets by Segment | The following table presents our asset balances by operating segment. By Date Traditional Mortgage Loans Total June 30, 2021 $ 55,034,183 $ 7,736,875 $ 62,771,058 December 31, 2020 57,409,111 8,515,645 65,924,756 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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. June 30, 2021 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 1,363,012 $ 1,363,012 $ 1,363,012 $ — $ — $ — Interest-bearing deposits 100,041 100,041 100,000 41 — — Securities purchased under agreements to resell 3,000,000 3,000,000 — 3,000,000 — — Federal funds sold 2,805,000 2,805,000 — 2,805,000 — — Trading securities 5,817,270 5,817,270 — 5,817,270 — — AFS securities 9,299,045 9,299,045 — 9,299,045 — — HTM securities 4,572,692 4,594,682 — 4,594,682 — — Advances 27,632,543 27,602,974 — 27,602,974 — — Mortgage loans held for portfolio, net 7,736,875 8,021,392 — 7,980,633 40,759 — Accrued interest receivable 91,123 91,123 — 91,123 — — Derivative assets, net 237,171 237,171 — 68,826 — 168,345 Grantor trust assets (2) 59,973 59,973 59,973 — — — Liabilities: Deposits 1,597,781 1,597,781 — 1,597,781 — — Consolidated obligations: Discount notes 14,444,886 14,444,674 — 14,444,674 — — Bonds 42,363,125 42,790,064 — 42,790,064 — — Accrued interest payable 71,930 71,930 — 71,930 — — Derivative liabilities, net 10,103 10,103 — 392,092 — (381,989) MRCS 232,893 232,893 232,893 — — — December 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 $ 1,811,544 $ 1,811,544 $ 1,811,544 $ — $ — $ — Interest-bearing deposits 100,026 100,026 100,000 26 — — Securities purchased under agreements to resell 2,500,000 2,500,000 — 2,500,000 — — Federal funds sold 1,215,000 1,215,000 — 1,215,000 — — Trading securities 5,094,703 5,094,703 — 5,094,703 — — AFS securities 10,144,899 10,144,899 — 10,144,899 — — HTM securities 4,701,302 4,723,796 — 4,723,796 — — Advances 31,347,486 31,290,664 — 31,290,664 — — Mortgage loans held for portfolio, net 8,515,645 8,922,185 — 8,860,853 61,332 — Accrued interest receivable 103,076 103,076 — 103,076 — — Derivative assets, net 283,082 283,082 — 20,557 — 262,525 Grantor trust assets (2) 51,032 51,032 51,032 — — — Liabilities: Deposits 1,375,206 1,375,206 — 1,375,206 — — Consolidated obligations: Discount notes 16,617,079 16,617,976 — 16,617,976 — — Bonds 43,332,946 43,952,206 — 43,952,206 — — Accrued interest payable 63,581 63,581 — 63,581 — — Derivative liabilities, net 22,979 22,979 — 762,997 — (740,018) MRCS 250,768 250,768 250,768 — — — (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. |
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 June 30, 2021 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,817,270 $ — $ 5,817,270 $ — $ — Total trading securities 5,817,270 — 5,817,270 — — AFS securities: GSE and TVA debentures 2,818,052 — 2,818,052 — — GSE MBS 6,480,993 — 6,480,993 — — Total AFS securities 9,299,045 — 9,299,045 — — Derivative assets: Interest-rate related 237,053 — 68,708 — 168,345 MDCs 118 — 118 — — Total derivative assets, net 237,171 — 68,826 — 168,345 Other assets: Grantor trust assets 59,973 59,973 — — — Total assets at recurring estimated fair value $ 15,413,459 $ 59,973 $ 15,185,141 $ — $ 168,345 Derivative liabilities: Interest-rate related $ 10,011 $ — $ 392,000 $ — $ (381,989) MDCs 92 — 92 — — Total derivative liabilities, net 10,103 — 392,092 — (381,989) Total liabilities at recurring estimated fair value $ 10,103 $ — $ 392,092 $ — $ (381,989) Mortgage loans held for portfolio (2) $ 1,141 $ — $ — $ 1,141 $ — Total assets at non-recurring estimated fair value $ 1,141 $ — $ — $ 1,141 $ — Netting December 31, 2020 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,094,703 $ — $ 5,094,703 $ — $ — Total trading securities 5,094,703 — 5,094,703 — — AFS securities: GSE and TVA debentures 3,503,137 — 3,503,137 — — GSE MBS 6,641,762 — 6,641,762 — — Total AFS securities 10,144,899 — 10,144,899 — — Derivative assets: Interest-rate related 282,060 — 19,535 — 262,525 MDCs 1,022 — 1,022 — — Total derivative assets, net 283,082 — 20,557 — 262,525 Other assets: Grantor trust assets 51,032 51,032 — — — Total assets at recurring estimated fair value $ 15,573,716 $ 51,032 $ 15,260,159 $ — $ 262,525 Derivative liabilities: Interest-rate related $ 22,979 $ — $ 762,997 $ — $ (740,018) MDCs — — — — — Total derivative liabilities, net 22,979 — 762,997 — (740,018) Total liabilities at recurring estimated fair value $ 22,979 $ — $ 762,997 $ — $ (740,018) Mortgage loans held for portfolio (3) $ 1,460 $ — $ — $ 1,460 $ — Total assets at non-recurring estimated fair value $ 1,460 $ — $ — $ 1,460 $ — (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) Amounts are as of the date the fair-value adjustment was recorded during the six months ended June 30, 2021. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. June 30, 2021 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding $ 60,405 $ 304,577 $ 364,982 Unused lines of credit (1) 813,721 — 813,721 Commitments to fund additional advances (2) 4,000 — 4,000 Commitments to fund or purchase mortgage loans, net (3) 139,713 — 139,713 Unsettled CO bonds, at par 453,000 — 453,000 (1) Maximum line of credit amount per member is $100,000. (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) | 6 Months Ended |
Jun. 30, 2021 | |
Related Party Transaction [Line Items] | |
Transactions with Other FHLBanks | The following table presents the loans to/borrowings from other FHLBanks. Three Months Ended June 30, Six Months Ended June 30, Loans to other FHLBanks 2021 2020 2021 2020 Principal repayments $ 10,000 $ 10,000 $ 20,000 $ 20,000 Disbursements (10,000) (10,000) (20,000) (20,000) |
Directors' Financial Institutions | |
Related Party Transaction [Line Items] | |
Outstanding Balances and Balance as a Percent of Total Balance with Respect to Transactions with Related Parties | The following table presents the aggregate 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. June 30, 2021 December 31, 2020 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 433,736 18 % $ 426,003 17 % Advances 3,387,988 12 % 5,397,433 18 % |
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. Transactions with Directors' Financial Institutions Three Months Ended June 30, Six Months Ended June 30, 2021 2020 2021 2020 Net capital stock issuances (redemptions and repurchases) $ — $ 71,775 $ — $ 77,621 Net advances (repayments) (993,987) (2,757,963) (2,043,264) (720,232) Mortgage loan purchases 16,745 14,512 29,622 26,864 |
Investments - Short-term Invest
Investments - Short-term Investments (Details) | Jun. 30, 2021 | Dec. 31, 2020 |
Investments, Debt and Equity Securities [Abstract] | ||
Investments with counter parties rated below single-A (percent) | 0.00% | 0.00% |
Investments with unrated counterparties (percent) | 0.00% | 0.00% |
Investments Trading Securities
Investments Trading Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Debt and Equity Securities, FV-NI [Line Items] | |||||
Total trading securities at estimated fair value | $ 5,817,270 | $ 5,817,270 | $ 5,094,703 | ||
Debt Securities, Trading, Gain (Loss) [Abstract] | |||||
Net unrealized gains (losses) on trading securities held at period end | (12,583) | $ (39,813) | (28,906) | $ 8,650 | |
Net realized gains (losses) on trading securities that matured/sold during the period | (1,148) | 11,286 | 1,547 | 12,656 | |
Net gains (losses) on trading securities | (13,731) | $ (28,527) | (27,359) | $ 21,306 | |
U.S. Treasury securities | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Total trading securities at estimated fair value | $ 5,817,270 | $ 5,817,270 | $ 5,094,703 |
Investments AFS Securities - Ma
Investments AFS Securities - Major Security Types (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | ||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 9,084,093 | $ 10,007,978 |
Gross Unrealized Gains | 216,120 | 138,515 | |
Gross Unrealized Losses | (1,168) | (1,594) | |
Estimated Fair Value | 9,299,045 | 10,144,899 | |
Unamortized premium, net | 15,263 | 16,300 | |
Applicable fair value hedging-basis adjustment | 348,271 | 627,619 | |
Accrued interest receivable | 32,232 | 34,616 | |
GSE and TVA debentures | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 2,769,779 | 3,462,885 | |
Gross Unrealized Gains | 48,276 | 40,252 | |
Gross Unrealized Losses | (3) | 0 | |
Estimated Fair Value | 2,818,052 | 3,503,137 | |
GSE MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 6,314,314 | 6,545,093 | |
Gross Unrealized Gains | 167,844 | 98,263 | |
Gross Unrealized Losses | (1,165) | (1,594) | |
Estimated Fair Value | $ 6,480,993 | $ 6,641,762 | |
[1] | Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at June 30, 2021 and December 31, 2020 totaled $15,263 and $16,300, respectively. The applicable fair value hedging basis adjustments at June 30, 2021 and December 31, 2020 totaled $348,271 and $627,619, respectively. Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $32,232 and $34,616, respectively. |
Investments AFS Securities - Un
Investments AFS Securities - Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 167,980 | $ 132,054 |
Less than 12 Months, Unrealized Losses | (1,168) | (179) |
12 Months or More, Estimated Fair Value | 0 | 179,387 |
12 Months or More, Unrealized Losses | 0 | (1,415) |
Total Estimated Fair Value | 167,980 | 311,441 |
Total Unrealized Losses | (1,168) | (1,594) |
GSE and TVA debentures | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 35,000 | |
Less than 12 Months, Unrealized Losses | (3) | |
12 Months or More, Estimated Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Estimated Fair Value | 35,000 | |
Total Unrealized Losses | (3) | |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 132,980 | 132,054 |
Less than 12 Months, Unrealized Losses | (1,165) | (179) |
12 Months or More, Estimated Fair Value | 0 | 179,387 |
12 Months or More, Unrealized Losses | 0 | (1,415) |
Total Estimated Fair Value | 132,980 | 311,441 |
Total Unrealized Losses | $ (1,165) | $ (1,594) |
Investments AFS Securities - Re
Investments AFS Securities - Redemption Terms (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 9,084,093 | $ 10,007,978 |
Fair value | 9,299,045 | 10,144,899 | |
Available for Sale Securities Other Than MBS and ABS [Member] | |||
Available-for-sale Securities [Line Items] | |||
Due in 1 year or less, Amortized cost | 537,663 | 705,134 | |
Due after 1 year through 5 years, Amortized cost | 1,276,368 | 1,215,038 | |
Due after 5 years through 10 years, Amortized cost | 955,748 | 1,542,713 | |
Amortized Cost | 2,769,779 | 3,462,885 | |
Due in 1 year or less, Fair value | 538,655 | 705,442 | |
Due in 1 year through 5 years, Fair value | 1,298,677 | 1,225,187 | |
Due in 5 years through 10 years, Fair value | 980,720 | 1,572,508 | |
Fair value | 2,818,052 | 3,503,137 | |
Mortgage Backed Securities [Member] | |||
Available-for-sale Securities [Line Items] | |||
Total MBS, Amortized cost | 6,314,314 | 6,545,093 | |
Total MBS, Fair value | $ 6,480,993 | $ 6,641,762 | |
[1] | Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at June 30, 2021 and December 31, 2020 totaled $15,263 and $16,300, respectively. The applicable fair value hedging basis adjustments at June 30, 2021 and December 31, 2020 totaled $348,271 and $627,619, respectively. Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $32,232 and $34,616, respectively. |
Investments HTM Securities - Ma
Investments HTM Securities - Major Security Types (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 4,572,692 | $ 4,701,302 |
Gross Unrecognized Holding Gains | [2] | 30,407 | 28,560 |
Gross Unrecognized Holding Losses | [2] | (8,417) | (6,066) |
Estimated fair value | 4,594,682 | 4,723,796 | |
Unamortized premium, net | 24,716 | 7,101 | |
Accrued interest receivable | 2,202 | 2,689 | |
Other U.S. obligations - guaranteed MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 2,780,225 | 2,622,677 | |
Gross Unrecognized Holding Gains | 9,906 | 6,920 | |
Gross Unrecognized Holding Losses | (4,292) | (4,590) | |
Estimated fair value | 2,785,839 | 2,625,007 | |
GSE MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 1,792,467 | 2,078,625 | |
Gross Unrecognized Holding Gains | 20,501 | 21,640 | |
Gross Unrecognized Holding Losses | (4,125) | (1,476) | |
Estimated fair value | $ 1,808,843 | $ 2,098,789 | |
[1] | Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at June 30, 2021 and December 31, 2020 to tale d $24,716 and $7,101, respectively. Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $2,202 and $2,689, respectively. | ||
[2] | Gross unrecognized holding gains (losses) represent the cumulative increases (decreases) in estimated fair value. |
Investments - Narrative (Detail
Investments - Narrative (Details) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
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% | 100.00% |
AFS securities allowance for credit loss | $ 0 | $ 0 |
HTM securities allowance for credit loss | $ 0 | $ 0 |
Advances - Advances by Year of
Advances - Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Year of Contractual Maturity, Amount | |||
Overdrawn demand and overnight deposit accounts | $ 611 | $ 0 | |
Due in 1 year or less | 7,924,412 | 10,115,576 | |
Due after 1 year through 2 years | 2,599,641 | 2,149,839 | |
Due after 2 years through 3 years | 3,545,734 | 2,760,624 | |
Due after 3 years through 4 years | 2,348,662 | 3,725,103 | |
Due after 4 years through 5 years | 2,542,066 | 3,020,039 | |
Thereafter | 8,267,380 | 8,919,678 | |
Total advances, par value | $ 27,228,506 | $ 30,690,859 | |
Year of Contractual Maturity, WAIR % | |||
Overdrawn demand and overnight deposit accounts | 2.43% | 0.00% | |
Due in 1 year or less | 0.49% | 0.51% | |
Due after 1 year through 2 years | 1.78% | 1.57% | |
Due after 2 years through 3 years | 1.60% | 2.02% | |
Due after 3 years through 4 years | 1.45% | 1.36% | |
Due after 4 years through 5 years | 1.26% | 1.29% | |
Thereafter | 1.01% | 1.05% | |
Total advances, par value | 1.07% | 1.06% | |
Fair-value hedging basis adjustments, net | $ 394,134 | $ 645,946 | |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 9,903 | 10,681 | |
Total Advances | [1] | 27,632,543 | 31,347,486 |
Accrued interest | $ 12,757 | $ 14,961 | |
[1] | Carrying value equals amortized cost, which excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $12,757 and $14,961, respectively. |
Advances - Advances Outstanding
Advances - Advances Outstanding Earlier of Contractual Maturity or Next Call Date and Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 611 | $ 0 |
Due in 1 year or less | 12,951,619 | 15,296,034 |
Due after 1 year through 2 years | 2,238,251 | 1,797,049 |
Due after 2 years through 3 years | 2,224,234 | 2,440,024 |
Due after 3 years through 4 years | 1,961,112 | 2,246,102 |
Due after 4 years through 5 years | 1,548,716 | 2,076,839 |
Thereafter | 6,303,963 | 6,834,811 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand and overnight deposit accounts | 611 | 0 |
Due in 1 year or less | 12,453,912 | 14,645,076 |
Due after 1 year through 2 years | 3,425,246 | 3,107,339 |
Due after 2 years through 3 years | 3,859,734 | 3,160,729 |
Due after 3 years through 4 years | 2,405,062 | 3,824,603 |
Due after 4 years through 5 years | 2,029,066 | 2,585,439 |
Thereafter | 3,054,875 | 3,367,673 |
Total advances, par value | $ 27,228,506 | $ 30,690,859 |
Advances - Narrative (Details)
Advances - Narrative (Details) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Advances [Abstract] | ||
Percent of advances par value held by top five borrowers | 42.00% | 44.00% |
Advances, allowance for credit loss | $ 0 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio Mortgage Loans (Details) - USD ($) | 6 Months Ended | ||||||
Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | ||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held for portfolio | $ 7,556,402,000 | $ 8,322,566,000 | |||||
Unamortized premiums | 178,501,000 | 187,425,000 | |||||
Unamortized discounts | (2,224,000) | (1,638,000) | |||||
Hedging basis adjustments, net | 4,521,000 | 7,642,000 | |||||
Total | 7,737,200,000 | 8,515,995,000 | |||||
Allowance for credit losses | (325,000) | (350,000) | |||||
Loans and Leases Receivable, Net Amount, Total | [1] | 7,736,875,000 | 8,515,645,000 | ||||
Accrued interest | 12,757,000 | 14,961,000 | |||||
Government-guaranteed or -insured | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held for portfolio | 210,042,000 | 253,292,000 | |||||
Allowance for credit losses | 0 | 0 | |||||
Real Estate Loan | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Accrued interest | 29,342,000 | 34,151,000 | |||||
Fixed-rate long-term mortgages | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held for portfolio | 6,465,565,000 | 7,257,237,000 | |||||
Loans Receivable With Fixed Rates Of Interest Medium Term | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held for portfolio | [2] | $ 1,090,837,000 | 1,065,329,000 | ||||
Loans Receivable With Fixed Rates Of Interest Medium Term | Maximum | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Origination term | 15 years | ||||||
Conventional | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held for portfolio | $ 7,346,360,000 | 8,069,274,000 | |||||
Total | 7,524,654,000 | 8,259,601,000 | |||||
Allowance for credit losses | (325,000) | $ (350,000) | (350,000) | $ (325,000) | $ (300,000) | $ (300,000) | |
MPP | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held for portfolio | 7,431,687,000 | 8,163,902,000 | |||||
MPP | Conventional | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Allowance for credit losses | (250,000) | (250,000) | |||||
MPF Program | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held for portfolio | 124,715,000 | 158,664,000 | |||||
MPF Program | Conventional | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Allowance for credit losses | $ (75,000) | $ (100,000) | |||||
[1] | Excludes accrued interest receivable at June 30, 2021 and December 31, 2020 of $29,342 and $34,151, respectively. | ||||||
[2] | Defined as a term of 15 years or less at origination. |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio - Credit Enhancements (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Change in Lender Risk Account Balance [Roll Forward] | ||||
Balance of LRA, beginning of period | $ 214,264 | $ 190,280 | $ 207,305 | $ 186,585 |
Additions | 6,247 | 8,060 | 13,364 | 12,314 |
Claims paid | (31) | (196) | (65) | (241) |
Distributions to PFIs | (419) | (1,491) | (543) | (2,005) |
Balance of LRA, end of period | $ 220,061 | $ 196,653 | $ 220,061 | $ 196,653 |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio - Credit Quality Indicators (Details) - USD ($) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | ||
Financing Receivable, Past Due [Line Items] | |||
Total | $ 7,737,200,000 | $ 8,515,995,000 | |
In process of foreclosure | [1] | $ 1,631,000 | $ 2,689,000 |
Serious delinquency rate | [2] | 0.76% | 1.21% |
Delinquent loan receivable | 90 days | ||
Loan Modifications Excluded from TDR Classification | |||
Financing Receivable, Past Due [Line Items] | |||
Loans with formal COVID-related modifications under the CARES Act | $ 29,509,000 | $ 12,309,000 | |
Loans with formal COVID-related modifications under the CARES Act, as percent of conventional loans outstanding (percent) | 0.40% | 0.20% | |
Loan Modifications Included in TDR Classification | |||
Financing Receivable, Past Due [Line Items] | |||
Loans with informal COVID-related modifications under the CARES Act | $ 0 | ||
Government | |||
Financing Receivable, Past Due [Line Items] | |||
In process of foreclosure | [1] | $ 0 | $ 0 |
Serious delinquency rate | [2] | 1.31% | 3.36% |
Past due 90 days or more still accruing interest | [3] | $ 2,273,000 | $ 7,933,000 |
Other non-accrual status | [4] | 0 | 0 |
Conventional | |||
Financing Receivable, Past Due [Line Items] | |||
Mortgages originated more than 5 years prior to current fiscal year | 3,017,129,000 | 2,523,248,000 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 4,507,525,000 | 5,736,353,000 | |
Total | 7,524,654,000 | 8,259,601,000 | |
In process of foreclosure | [1] | $ 1,631,000 | $ 2,689,000 |
Serious delinquency rate | [2] | 0.74% | 1.14% |
Past due 90 days or more still accruing interest | [3] | $ 24,526,000 | $ 36,585,000 |
Other non-accrual status | [4] | 51,186,000 | 87,763,000 |
On non-accrual status with no associated allowance for credit losses | 51,131,000 | 87,708,000 | |
Conventional | COVID-19 Pandemic | |||
Financing Receivable, Past Due [Line Items] | |||
On non-accrual status, in forbearance | 29,726,000 | 59,306,000 | |
Conventional | Past Due | |||
Financing Receivable, Past Due [Line Items] | |||
Mortgages originated more than 5 years prior to current fiscal year | 49,590,000 | 54,340,000 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 39,428,000 | 101,283,000 | |
Total | 89,018,000 | 155,623,000 | |
Conventional | Current | |||
Financing Receivable, Past Due [Line Items] | |||
Mortgages originated more than 5 years prior to current fiscal year | 2,967,539,000 | 2,468,908,000 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 4,468,097,000 | 5,635,070,000 | |
Total | 7,435,636,000 | 8,103,978,000 | |
Conventional | 30-59 days | |||
Financing Receivable, Past Due [Line Items] | |||
Mortgages originated more than 5 years prior to current fiscal year | 16,483,000 | 19,893,000 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 9,892,000 | 22,130,000 | |
Total | 26,375,000 | 42,023,000 | |
Conventional | 60-89 days | |||
Financing Receivable, Past Due [Line Items] | |||
Mortgages originated more than 5 years prior to current fiscal year | 4,638,000 | 6,980,000 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 2,234,000 | 12,078,000 | |
Total | 6,872,000 | 19,058,000 | |
Conventional | 90 days or more | |||
Financing Receivable, Past Due [Line Items] | |||
Mortgages originated more than 5 years prior to current fiscal year | 28,469,000 | 27,467,000 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 27,302,000 | 67,075,000 | |
Total | 55,771,000 | 94,542,000 | |
Conventional Loans in an Informal Forbearance | |||
Financing Receivable, Past Due [Line Items] | |||
Total | $ 55,607,000 | $ 111,516,000 | |
Informal loan modifications as percent of conventional loans outstanding (percent) | 0.80% | 1.40% | |
Conventional Loans in an Informal Forbearance | Past Due | |||
Financing Receivable, Past Due [Line Items] | |||
Total | $ 50,110,000 | $ 101,886,000 | |
Conventional Loans in an Informal Forbearance | 30-59 days | |||
Financing Receivable, Past Due [Line Items] | |||
Total | 4,962,000 | 10,214,000 | |
Conventional Loans in an Informal Forbearance | 60-89 days | |||
Financing Receivable, Past Due [Line Items] | |||
Total | 3,863,000 | 12,661,000 | |
Conventional Loans in an Informal Forbearance | 90 days or more | |||
Financing Receivable, Past Due [Line Items] | |||
Total | 41,285,000 | 79,011,000 | |
Real Estate Loan | |||
Financing Receivable, Past Due [Line Items] | |||
Past due 90 days or more still accruing interest | [3] | 26,799,000 | 44,518,000 |
Other non-accrual status | [4] | $ 51,186,000 | $ 87,763,000 |
[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] | 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 as they are well-secured and in the process of collection. | ||
[4] | As of June 30, 2021 and December 31, 2020, $51,131 and $87,708, respectively, of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and $29,726 and $59,306, respectively, of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic |
Mortgage Loans Held for Portf_6
Mortgage Loans Held for Portfolio - Credit Waterfall (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Allowance for loan losses | $ 325 | $ 350 | |||||
Conventional | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Allowance for loan losses | 325 | $ 350 | 350 | $ 325 | $ 300 | $ 300 | |
Mortgage Purchase Program | Conventional | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
MPP expected losses remaining after borrower's equity, before credit enhancements | 3,649 | 10,305 | |||||
Total portion recoverable from credit enhancements | (3,431) | (10,087) | |||||
Allowance for unrecoverable PMI/SMI | 32 | 32 | |||||
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 | (976) | (2,277) | |||||
Mortgage Purchase Program | Conventional | LRA | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Total portion recoverable from credit enhancements | [1] | (1,767) | (6,847) | ||||
Mortgage Purchase Program | Conventional | SMI | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Total portion recoverable from credit enhancements | (688) | (963) | |||||
Mortgage Partnership Finance Program | Conventional | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Allowance for loan losses | $ 75 | $ 100 | |||||
[1] | Amounts recoverable are limited to (i) the expected 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 expected 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 | 6 Months Ended | ||||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | ||
Rollforward of Allowance | ||||||
Balance, beginning of period | $ 350,000 | |||||
Provision for (reversal of) credit losses | $ (44,000) | $ 50,000 | 44,000 | $ 47,000 | ||
Balance, end of period | 325,000 | 325,000 | ||||
Government-guaranteed or -insured | ||||||
Rollforward of Allowance | ||||||
Balance, beginning of period | 0 | |||||
Balance, end of period | 0 | 0 | ||||
Other non-accrual status | [1] | 0 | 0 | $ 0 | ||
Conventional | ||||||
Rollforward of Allowance | ||||||
Balance, beginning of period | 350,000 | 300,000 | 350,000 | 300,000 | ||
Charge-offs | 0 | (29,000) | (92,000) | (42,000) | ||
Recoveries | 19,000 | 4,000 | 23,000 | 20,000 | ||
Provision for (reversal of) credit losses | (44,000) | 50,000 | 44,000 | 47,000 | ||
Balance, end of period | 325,000 | $ 325,000 | 325,000 | $ 325,000 | ||
Other non-accrual status | [1] | $ 51,186,000 | $ 51,186,000 | $ 87,763,000 | ||
[1] | As of June 30, 2021 and December 31, 2020, $51,131 and $87,708, respectively, of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and $29,726 and $59,306, respectively, of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Narrative (Details) $ in Thousands | Jun. 30, 2021USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Net liability position, aggregate fair value | $ 749 |
Collateral posted, fair value | $ 894 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivative Notional Amounts (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | $ 53,515,215 | $ 50,391,518 | |
Estimated fair value of derivative assets | 68,826 | 20,557 | |
Estimated fair value of derivative liabilities | 392,092 | 762,997 | |
Netting adjustments and cash collateral, derivative asset | [1],[2] | 168,345 | 262,525 |
Netting adjustments and cash collateral, derivative liability | [1],[2] | (381,989) | (740,018) |
Total derivatives, at estimated fair value | 237,171 | 283,082 | |
Total derivatives, at estimated fair value | 10,103 | 22,979 | |
Cash collateral pledged to counterparties | 551,227 | 1,003,437 | |
Cash collateral received from counterparties | 894 | ||
Securities pledged as collateral | 0 | 0 | |
Derivatives designated as hedging instruments | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 42,631,202 | 40,227,966 | |
Estimated fair value of derivative assets | 64,771 | 13,018 | |
Estimated fair value of derivative liabilities | 391,938 | 761,330 | |
Derivatives designated as hedging instruments | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 42,631,202 | 40,227,966 | |
Estimated fair value of derivative assets | 64,771 | 13,018 | |
Estimated fair value of derivative liabilities | 391,938 | 761,330 | |
Derivatives not designated as hedging instruments | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 10,884,013 | 10,163,552 | |
Estimated fair value of derivative assets | 4,055 | 7,539 | |
Estimated fair value of derivative liabilities | 154 | 1,667 | |
Derivatives not designated as hedging instruments | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 9,977,000 | 9,177,000 | |
Estimated fair value of derivative assets | 3,120 | 5,404 | |
Estimated fair value of derivative liabilities | 16 | 181 | |
Derivatives not designated as hedging instruments | Interest-rate caps/floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 625,500 | 625,500 | |
Estimated fair value of derivative assets | 716 | 1,113 | |
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 | 141,800 | 180,900 | |
Estimated fair value of derivative assets | 101 | 0 | |
Estimated fair value of derivative liabilities | 46 | 1,486 | |
MDCs | Derivatives not designated as hedging instruments | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 139,713 | 180,152 | |
Estimated fair value of derivative assets | 118 | 1,022 | |
Estimated fair value of derivative liabilities | $ 92 | $ 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. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at June 30, 2021 and December 31, 2020, including accrued interest, totaled $551,227 and $1,003,437, respectively. Cash collateral received from counterparties and held at both June 30, 2021 and December 31, 2020, including accrued interest, totaled $894. At June 30, 2021 and December 31, 2020, no securities were pledged as collateral. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Offsetting of Derivative Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Derivative Assets | |||
Gross recognized amount | $ 68,607 | $ 19,535 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | 168,345 | 262,525 |
Net amounts after netting adjustments and cash collateral | 236,952 | 282,060 | |
Derivative instruments not meeting netting requirements | [3] | 219 | 1,022 |
Derivative assets, net | 237,171 | 283,082 | |
Derivative Liabilities | |||
Gross recognized amount | 391,954 | 761,511 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (381,989) | (740,018) |
Net amounts after netting adjustments and cash collateral | 9,965 | 21,493 | |
Derivative instruments not meeting netting requirements | [3] | 138 | 1,486 |
Derivative liabilities, net (Note 6) | 10,103 | 22,979 | |
Uncleared | |||
Derivative Assets | |||
Gross recognized amount | 65,444 | 13,793 | |
Gross amounts of netting adjustments and cash collateral | (65,194) | (13,793) | |
Net amounts after netting adjustments and cash collateral | 250 | 0 | |
Derivative Liabilities | |||
Gross recognized amount | 381,587 | 755,118 | |
Gross amounts of netting adjustments and cash collateral | (371,622) | (733,625) | |
Net amounts after netting adjustments and cash collateral | 9,965 | 21,493 | |
Cleared | |||
Derivative Assets | |||
Gross recognized amount | 3,163 | 5,742 | |
Gross amounts of netting adjustments and cash collateral | 233,539 | 276,318 | |
Net amounts after netting adjustments and cash collateral | 236,702 | 282,060 | |
Derivative Liabilities | |||
Gross recognized amount | 10,367 | 6,393 | |
Gross amounts of netting adjustments and cash collateral | (10,367) | (6,393) | |
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. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at June 30, 2021 and December 31, 2020, including accrued interest, totaled $551,227 and $1,003,437, respectively. Cash collateral received from counterparties and held at both June 30, 2021 and December 31, 2020, including accrued interest, totaled $894. At June 30, 2021 and December 31, 2020, no securities were pledged as collateral. | ||
[3] | Includes MDCs and certain interest-rate forwards. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Net Gains (Losses) on Fair Value Hedging Relationships (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Change in estimated fair value of hedged items (attributable to risk being hedged) | $ 57,142 | $ 72,524 | $ (374,858) | $ 1,235,507 | |
Change in estimated fair value of derivatives | (62,755) | (91,316) | 387,834 | (1,257,896) | |
Net changes in fair value before price alignment interest | (5,613) | (18,792) | 12,976 | (22,389) | |
Price alignment interest | [1] | 8 | 95 | 49 | 892 |
Net interest settlements on derivatives | [2] | (52,489) | (37,628) | (118,435) | (33,345) |
Amortization/accretion of gains (losses) on active hedging relationships | 3,500 | 1,113 | 4,321 | 1,958 | |
Net gains (losses) on qualifying fair-value hedging relationships | (54,594) | (55,212) | (101,089) | (52,884) | |
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (7,459) | 0 | (12,904) | (36) | |
Net gains (losses) on derivatives and hedging activities in net interest income | [3] | (62,053) | (55,212) | (113,993) | (52,920) |
Advances | Interest Income | Interest-rate swaps | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Change in estimated fair value of hedged items (attributable to risk being hedged) | 10,550 | 6,442 | (232,919) | 634,736 | |
Change in estimated fair value of derivatives | (12,105) | (23,345) | 234,748 | (633,084) | |
Net changes in fair value before price alignment interest | (1,555) | (16,903) | 1,829 | 1,652 | |
Price alignment interest | [1] | 7 | 56 | 36 | 640 |
Net interest settlements on derivatives | [2] | (46,173) | (28,409) | (91,892) | (28,439) |
Amortization/accretion of gains (losses) on active hedging relationships | 0 | (7) | 0 | (14) | |
Net gains (losses) on qualifying fair-value hedging relationships | (47,721) | (45,263) | (90,027) | (26,161) | |
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (56) | 0 | (112) | 0 | |
Net gains (losses) on derivatives and hedging activities in net interest income | [3] | (47,777) | (45,263) | (90,139) | (26,161) |
Investments | Interest Income | Interest-rate swaps | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Change in estimated fair value of hedged items (attributable to risk being hedged) | 85,804 | 40,745 | (225,999) | 640,223 | |
Change in estimated fair value of derivatives | (87,733) | (57,079) | 234,193 | (667,567) | |
Net changes in fair value before price alignment interest | (1,929) | (16,334) | 8,194 | (27,344) | |
Price alignment interest | [1] | 2 | 44 | 17 | 401 |
Net interest settlements on derivatives | [2] | (28,327) | (27,997) | (60,780) | (33,681) |
Amortization/accretion of gains (losses) on active hedging relationships | 3,482 | 337 | 4,160 | 639 | |
Net gains (losses) on qualifying fair-value hedging relationships | (26,772) | (43,950) | (48,409) | (59,985) | |
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (7,403) | 0 | (12,792) | 0 | |
Net gains (losses) on derivatives and hedging activities in net interest income | [3] | (34,175) | (43,950) | (61,201) | (59,985) |
Unsettled CO bonds, at par | Interest Expense | Interest-rate swaps | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Change in estimated fair value of hedged items (attributable to risk being hedged) | (39,212) | 25,337 | 84,060 | (39,452) | |
Change in estimated fair value of derivatives | 37,083 | (10,892) | (81,107) | 42,755 | |
Net changes in fair value before price alignment interest | (2,129) | 14,445 | 2,953 | 3,303 | |
Price alignment interest | [1] | (1) | (5) | (4) | (149) |
Net interest settlements on derivatives | [2] | 22,011 | 18,778 | 34,237 | 28,775 |
Amortization/accretion of gains (losses) on active hedging relationships | 18 | 783 | 161 | 1,333 | |
Net gains (losses) on qualifying fair-value hedging relationships | 19,899 | 34,001 | 37,347 | 33,262 | |
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | 0 | 0 | 0 | (36) | |
Net gains (losses) on derivatives and hedging activities in net interest income | [3] | $ 19,899 | $ 34,001 | $ 37,347 | $ 33,226 |
[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. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Derivatives Reported in Other Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Economic Hedge | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives in other income | $ 186 | $ (878) | $ (652) | $ (51,827) |
Economic Hedge | Interest-rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives in other income | 4,083 | 20,138 | 8,194 | (20,281) |
Economic Hedge | Swaptions | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives in other income | 0 | (16) | 0 | (323) |
Economic Hedge | Interest-rate caps/floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives in other income | (528) | (28) | (396) | 464 |
Economic Hedge | Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives in other income | (1,344) | (3,544) | 2,812 | (10,923) |
Economic Hedge | Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives in other income | (3,285) | (20,527) | (8,238) | (28,912) |
MDCs | Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives in other income | $ 1,260 | $ 3,099 | $ (3,024) | $ 8,148 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | ||
Advances | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Amortized cost of hedged items | [1] | $ 15,724,635 | $ 17,219,312 | |
For active fair-value hedging relationships | [2] | 393,447 | 645,146 | |
For discontinued fair-value hedging relationships | 687 | 799 | ||
Total cumulative fair-value hedging basis adjustments on hedged items | [2] | 394,134 | 645,945 | |
Investments | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Amortized cost of hedged items | [1] | 9,084,093 | 9,882,225 | |
For active fair-value hedging relationships | [2] | 49,065 | 501,865 | |
For discontinued fair-value hedging relationships | 299,206 | 125,754 | ||
Total cumulative fair-value hedging basis adjustments on hedged items | [2] | 348,271 | 627,619 | |
Unsettled CO bonds, at par | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Amortized cost of hedged items | [1] | 20,685,126 | 17,406,679 | |
For active fair-value hedging relationships | [2] | (62,473) | 21,605 | |
For discontinued fair-value hedging relationships | 0 | 0 | ||
Total cumulative fair-value hedging basis adjustments on hedged items | $ (62,473) | $ 21,605 | [2] | |
[1] | Includes only the portion of the amortized cost of the hedged items in qualifying fair-value hedging relationships. | |||
[2] | Excludes any offsetting effect of the net estimated fair value of the associated derivatives. |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
Schedule of Short-term and Long-term Debt [Line Items] | ||
FHLB system outstanding consolidated obligations | $ 666,700,000 | $ 746,800,000 |
Discount notes maturity period | 1 year | |
Discount Notes | ||
Book value | $ 14,444,886 | 16,617,079 |
CO Bonds [Abstract] | ||
Total CO bonds, par value | 42,346,020 | 43,245,570 |
Total CO bonds | 42,363,125 | 43,332,946 |
Year of Contractual Maturity or Next Call Date | ||
CO Bonds [Abstract] | ||
Due in 1 year or less, amount | 33,340,860 | 34,272,810 |
Due after 1 year through 2 years, amount | 5,226,385 | 4,159,700 |
Due after 2 years through 3 years, amount | 694,625 | 1,608,010 |
Due after 3 years through 4 years, amount | 681,650 | 443,750 |
Due after 4 years through 5 years, amount | 470,500 | 563,300 |
Thereafter, amount | 1,932,000 | 2,198,000 |
Total CO bonds, par value | 42,346,020 | 43,245,570 |
Unsettled CO bonds, at par | ||
CO Bonds [Abstract] | ||
Due in 1 year or less, amount | 21,345,360 | 31,126,310 |
Due after 1 year through 2 years, amount | 4,856,385 | 4,109,700 |
Due after 2 years through 3 years, amount | 1,615,625 | 1,753,010 |
Due after 3 years through 4 years, amount | 2,914,150 | 767,250 |
Due after 4 years through 5 years, amount | 4,697,500 | 837,300 |
Thereafter, amount | 6,917,000 | 4,652,000 |
Total CO bonds, par value | 42,346,020 | 43,245,570 |
Unamortized premiums | 98,853 | 87,133 |
Unamortized discounts | (12,063) | (12,703) |
Unamortized concessions | (7,212) | (8,659) |
Fair-value hedging basis adjustments, net | $ (62,473) | $ 21,605 |
Due in 1 year or less, WAIR % | 0.25% | 0.29% |
Due after 1 year through 2 years, WAIR % | 0.96% | 0.70% |
Due after 2 years through 3 years, WAIR % | 0.85% | 1.34% |
Due after 3 years through 4 years, WAIR % | 0.80% | 1.93% |
Due after 4 years through 5 years, WAIR % | 1.08% | 1.13% |
Thereafter, WAIR % | 2.18% | 2.91% |
Total CO bonds, par value, WAIR % | 0.80% | 0.70% |
Short-term Debt | ||
Discount Notes | ||
Book value | $ 14,444,886 | $ 16,617,079 |
Weighted average effective interest rate | 0.04% | 0.12% |
CO Bonds [Abstract] | ||
Total CO bonds, par value | $ 14,446,349 | $ 16,620,486 |
Non-callable / non-putable | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | 27,105,520 | 36,809,070 |
Callable | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | $ 15,240,500 | $ 6,436,500 |
Consolidated Obligations Intere
Consolidated Obligations Interest-rate Payment Terms (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Total CO bonds, par value | $ 42,346,020 | $ 43,245,570 |
Fixed-rate | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | 30,948,020 | 24,750,570 |
Step-up | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | 315,000 | 15,000 |
Simple variable-rate | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | $ 11,083,000 | $ 18,480,000 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||||
Balance at beginning of period | $ 35,690 | $ 39,423 | $ 34,402 | $ 38,084 | |
Assessment (expense) | 2,008 | 1,775 | 5,451 | 5,387 | |
Subsidy usage, net | [1] | (6,933) | (4,537) | (9,088) | (6,810) |
Balance at end of period | $ 30,765 | $ 36,661 | $ 30,765 | $ 36,661 | |
[1] | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital - Class B Shares (Detai
Capital - Class B Shares (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Class of Stock [Line Items] | ||
Class B issued and outstanding | $ 2,233,916 | $ 2,207,570 |
Class B | ||
Class of Stock [Line Items] | ||
Class B issued and outstanding | 2,233,916 | 2,207,570 |
Class B-1 | ||
Class of Stock [Line Items] | ||
Class B issued and outstanding | 952,690 | 797,196 |
Class B-2 | ||
Class of Stock [Line Items] | ||
Class B issued and outstanding | $ 1,281,226 | $ 1,410,374 |
Capital (Details)
Capital (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2021USD ($)capital_requirement | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)capital_requirement | Jun. 30, 2020USD ($) | Dec. 31, 2020USD ($) | ||
Banking Regulation, Total Capital [Abstract] | ||||||
Redemption period | 5 years | 5 years | ||||
Mandatorily Redeemable Capital Stock Activity [Roll Forward] | ||||||
Liability at beginning of period | $ 232,695 | $ 323,125 | $ 250,768 | $ 322,902 | $ 322,902 | |
Reclassification from capital stock | 281 | 13,115 | 281 | 13,347 | ||
Redemptions/repurchases | (83) | (36,572) | (18,156) | (36,581) | ||
Accrued distributions | 0 | 36 | 0 | 36 | ||
Liability at end of period | 232,893 | 299,704 | 232,893 | 299,704 | 250,768 | |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||||
Year 1 | [1],[2] | 22,140 | 22,140 | 9,274 | ||
Year 2 | 23,163 | 23,163 | 0 | |||
Year 3 | 5,670 | 5,670 | 26,723 | |||
Year 4 | 162,194 | 162,194 | 150,957 | |||
Year 5 | 19,726 | 19,726 | 32,791 | |||
Thereafter | [3] | 0 | 0 | 31,023 | ||
Stock not redeemed after redemption period | 915 | 915 | 624 | |||
Outstanding Class B stock held by captive insurer | 12,960 | 12,960 | ||||
Financial instruments mandatory redemption capital plan | 18,063 | 18,063 | ||||
Recorded as interest expense | 929 | 2,772 | 2,033 | 5,739 | ||
Recorded as distributions from retained earnings | 1 | 36 | 84 | 36 | ||
Total | $ 930 | $ 2,808 | $ 2,117 | $ 5,775 | ||
Regulatory Capital Requirements | ||||||
Number of regulatory capital requirements | capital_requirement | 3 | 3 | ||||
Risk-based capital, required | $ 697,611 | $ 697,611 | 630,661 | |||
Risk-based capital, actual | 3,623,222 | 3,623,222 | 3,595,668 | |||
Regulatory capital, required | 2,510,842 | 2,510,842 | 2,636,990 | |||
Regulatory capital, actual | $ 3,623,222 | $ 3,623,222 | $ 3,595,668 | |||
Regulatory permanent capital-to-asset ratio, required | 4.00% | 4.00% | 4.00% | |||
Regulatory permanent capital-to-asset ratio, actual | 5.77% | 5.77% | 5.45% | |||
Leverage capital, required | $ 3,138,553 | $ 3,138,553 | $ 3,296,238 | |||
Leverage capital, actual | $ 5,434,833 | $ 5,434,833 | $ 5,393,502 | |||
Leverage ratio, required | 5.00% | 5.00% | 5.00% | |||
Leverage ratio, actual | 8.66% | 8.66% | 8.18% | |||
[1] | Balance at June 30, 2021 includes $12,960 of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021 but will not be redeemed until the associated credit products and other obligations are no longer outstanding. Such amount was properly classified as "thereafter" as of December 31, 2020. | |||||
[2] | Balances at June 30, 2021 and December 31, 2020 include $915 and $624, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. | |||||
[3] | Represents the five-year redemption period of Class B stock held by certain captive insurance companies which began immediately upon their respective terminations of membership on February 19, 2021. Upon their respective terminations, we repurchased their excess stock totaling $18,063. |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Accumulated Other Comprehensive Income (Loss) before Tax [Roll Forward] | ||||
Beginning Balance | $ 3,547,376 | $ 3,141,378 | $ 3,450,302 | $ 3,156,760 |
Net change in unrealized gains (losses) | 4,502 | 79,020 | 78,031 | (69,811) |
Pension benefits, net | 8,995 | (2,381) | 9,991 | (1,674) |
Total other comprehensive income (loss) | 13,497 | 76,639 | 88,022 | (71,485) |
Ending Balance | 3,583,753 | 3,317,941 | 3,583,753 | 3,317,941 |
Unrealized Gains (Losses) on AFS Securities | ||||
Accumulated Other Comprehensive Income (Loss) before Tax [Roll Forward] | ||||
Beginning Balance | 210,450 | (59,018) | 136,921 | 89,813 |
Net change in unrealized gains (losses) | 4,502 | 79,020 | 78,031 | (69,811) |
Pension benefits, net | 0 | 0 | 0 | 0 |
Total other comprehensive income (loss) | 4,502 | 79,020 | 78,031 | (69,811) |
Ending Balance | 214,952 | 20,002 | 214,952 | 20,002 |
Pension Benefits | ||||
Accumulated Other Comprehensive Income (Loss) before Tax [Roll Forward] | ||||
Beginning Balance | (30,523) | (21,730) | (31,519) | (22,437) |
Net change in unrealized gains (losses) | 0 | 0 | 0 | 0 |
Pension benefits, net | 8,995 | (2,381) | 9,991 | (1,674) |
Total other comprehensive income (loss) | 8,995 | (2,381) | 9,991 | (1,674) |
Ending Balance | (21,528) | (24,111) | (21,528) | (24,111) |
Accumulated Other Comprehensive Income (Loss) | ||||
Accumulated Other Comprehensive Income (Loss) before Tax [Roll Forward] | ||||
Beginning Balance | 179,927 | (80,748) | 105,402 | 67,376 |
Ending Balance | $ 193,424 | $ (4,109) | $ 193,424 | $ (4,109) |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Segment Reporting Information [Line Items] | |||||
Net interest income | $ 57,316 | $ 67,462 | $ 131,837 | $ 130,613 | |
Provision for (reversal of) credit losses | (44) | 50 | 44 | 47 | |
Other income (loss) | (9,770) | (25,546) | (22,746) | (29,926) | |
Other expenses | 28,437 | 26,892 | 56,567 | 52,508 | |
Income (loss) before assessments | 19,153 | 14,974 | 52,480 | 48,132 | |
Affordable Housing Program assessments (credits) | 2,008 | 1,775 | 5,451 | 5,387 | |
Net income | 17,145 | 13,199 | 47,029 | 42,745 | |
Assets | 62,771,058 | 62,771,058 | $ 65,924,756 | ||
Traditional | |||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 53,952 | 62,177 | 128,137 | 112,252 | |
Provision for (reversal of) credit losses | 0 | 0 | 0 | 0 | |
Other income (loss) | (9,734) | (25,179) | (22,611) | (27,291) | |
Other expenses | 24,221 | 22,845 | 48,339 | 44,609 | |
Income (loss) before assessments | 19,997 | 14,153 | 57,187 | 40,352 | |
Affordable Housing Program assessments (credits) | 2,093 | 1,693 | 5,922 | 4,609 | |
Net income | 17,904 | 12,460 | 51,265 | 35,743 | |
Assets | 55,034,183 | 55,034,183 | 57,409,111 | ||
Mortgage Loans | |||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 3,364 | 5,285 | 3,700 | 18,361 | |
Provision for (reversal of) credit losses | (44) | 50 | 44 | 47 | |
Other income (loss) | (36) | (367) | (135) | (2,635) | |
Other expenses | 4,216 | 4,047 | 8,228 | 7,899 | |
Income (loss) before assessments | (844) | 821 | (4,707) | 7,780 | |
Affordable Housing Program assessments (credits) | (85) | 82 | (471) | 778 | |
Net income | (759) | $ 739 | (4,236) | $ 7,002 | |
Assets | $ 7,736,875 | $ 7,736,875 | $ 8,515,645 |
Estimated Fair Values - Carryin
Estimated Fair Values - Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||||||
Cash and due from banks | $ 1,363,012 | $ 1,811,544 | |||||
Trading securities | 5,817,270 | 5,094,703 | |||||
AFS securities | 9,299,045 | 10,144,899 | |||||
HTM securities | 4,572,692 | 4,701,302 | |||||
HTM securities | 4,594,682 | 4,723,796 | |||||
Accrued interest receivable | 91,123 | 103,076 | |||||
Derivative assets, net | 237,171 | 283,082 | |||||
Netting adjustments and cash collateral, derivative asset | [1],[2] | 168,345 | 262,525 | ||||
Consolidated Obligations: | |||||||
Accrued interest payable | 71,930 | 63,581 | |||||
Derivative liabilities, net | 10,103 | 22,979 | |||||
Netting adjustments and cash collateral, derivative liability | [1],[2] | (381,989) | (740,018) | ||||
MRCS | 232,893 | $ 232,695 | 250,768 | $ 299,704 | $ 323,125 | $ 322,902 | |
Level 1 | |||||||
Assets: | |||||||
Cash and due from banks | 1,363,012 | 1,811,544 | |||||
Interest-bearing deposits | 100,000 | 100,000 | |||||
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] | 59,973 | 51,032 | ||||
Liabilities: | |||||||
Deposits | 0 | 0 | |||||
Consolidated Obligations: | |||||||
Accrued interest payable | 0 | 0 | |||||
Derivative liabilities, net | 0 | 0 | |||||
MRCS | 232,893 | 250,768 | |||||
Level 2 | |||||||
Assets: | |||||||
Cash and due from banks | 0 | 0 | |||||
Interest-bearing deposits | 41 | 26 | |||||
Securities purchased under agreements to resell | 3,000,000 | 2,500,000 | |||||
Federal funds sold | 2,805,000 | 1,215,000 | |||||
Trading securities | 5,817,270 | 5,094,703 | |||||
AFS securities | 9,299,045 | 10,144,899 | |||||
HTM securities | 4,594,682 | 4,723,796 | |||||
Advances | 27,602,974 | 31,290,664 | |||||
Mortgage loans held for portfolio, net | 7,980,633 | 8,860,853 | |||||
Accrued interest receivable | 91,123 | 103,076 | |||||
Derivative assets, net | 68,826 | 20,557 | |||||
Grantor trust assets | [3] | 0 | 0 | ||||
Liabilities: | |||||||
Deposits | 1,597,781 | 1,375,206 | |||||
Consolidated Obligations: | |||||||
Accrued interest payable | 71,930 | 63,581 | |||||
Derivative liabilities, net | 392,092 | 762,997 | |||||
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 | 40,759 | 61,332 | |||||
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 | |||||
Carrying value | |||||||
Assets: | |||||||
Cash and due from banks | 1,363,012 | 1,811,544 | |||||
Interest-bearing deposits | 100,041 | 100,026 | |||||
Securities purchased under agreements to resell | 3,000,000 | 2,500,000 | |||||
Federal funds sold | 2,805,000 | 1,215,000 | |||||
Trading securities | 5,817,270 | 5,094,703 | |||||
AFS securities | 9,299,045 | 10,144,899 | |||||
HTM securities | 4,572,692 | 4,701,302 | |||||
Advances | 27,632,543 | 31,347,486 | |||||
Mortgage loans held for portfolio, net | 7,736,875 | 8,515,645 | |||||
Accrued interest receivable | 91,123 | 103,076 | |||||
Derivative assets, net | 237,171 | 283,082 | |||||
Grantor trust assets | [3] | 59,973 | 51,032 | ||||
Liabilities: | |||||||
Deposits | 1,597,781 | 1,375,206 | |||||
Consolidated Obligations: | |||||||
Accrued interest payable | 71,930 | 63,581 | |||||
Derivative liabilities, net | 10,103 | 22,979 | |||||
MRCS | 232,893 | 250,768 | |||||
Fair Value | |||||||
Assets: | |||||||
Cash and due from banks | 1,363,012 | 1,811,544 | |||||
Interest-bearing deposits | 100,041 | 100,026 | |||||
Securities purchased under agreements to resell | 3,000,000 | 2,500,000 | |||||
Federal funds sold | 2,805,000 | 1,215,000 | |||||
Trading securities | 5,817,270 | 5,094,703 | |||||
AFS securities | 9,299,045 | 10,144,899 | |||||
HTM securities | 4,594,682 | 4,723,796 | |||||
Advances | 27,602,974 | 31,290,664 | |||||
Mortgage loans held for portfolio, net | 8,021,392 | 8,922,185 | |||||
Accrued interest receivable | 91,123 | 103,076 | |||||
Derivative assets, net | 237,171 | 283,082 | |||||
Grantor trust assets | [3] | 59,973 | 51,032 | ||||
Liabilities: | |||||||
Deposits | 1,597,781 | 1,375,206 | |||||
Consolidated Obligations: | |||||||
Accrued interest payable | 71,930 | 63,581 | |||||
Derivative liabilities, net | 10,103 | 22,979 | |||||
MRCS | 232,893 | 250,768 | |||||
Unsettled discount notes, at par | Level 1 | |||||||
Consolidated Obligations: | |||||||
Discount notes | 0 | 0 | |||||
Unsettled discount notes, at par | Level 2 | |||||||
Consolidated Obligations: | |||||||
Discount notes | 14,444,674 | 16,617,976 | |||||
Unsettled discount notes, at par | Level 3 | |||||||
Consolidated Obligations: | |||||||
Discount notes | 0 | 0 | |||||
Unsettled discount notes, at par | Carrying value | |||||||
Consolidated Obligations: | |||||||
Discount notes | 14,444,886 | 16,617,079 | |||||
Unsettled discount notes, at par | Fair Value | |||||||
Consolidated Obligations: | |||||||
Discount notes | 14,444,674 | 16,617,976 | |||||
Unsettled CO bonds, at par | Level 1 | |||||||
Consolidated Obligations: | |||||||
Bonds | 0 | 0 | |||||
Unsettled CO bonds, at par | Level 2 | |||||||
Consolidated Obligations: | |||||||
Bonds | 42,790,064 | 43,952,206 | |||||
Unsettled CO bonds, at par | Level 3 | |||||||
Consolidated Obligations: | |||||||
Bonds | 0 | 0 | |||||
Unsettled CO bonds, at par | Carrying value | |||||||
Consolidated Obligations: | |||||||
Bonds | 42,363,125 | 43,332,946 | |||||
Unsettled CO bonds, at par | Fair Value | |||||||
Consolidated Obligations: | |||||||
Bonds | $ 42,790,064 | $ 43,952,206 | |||||
[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. | ||||||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at June 30, 2021 and December 31, 2020, including accrued interest, totaled $551,227 and $1,003,437, respectively. Cash collateral received from counterparties and held at both June 30, 2021 and December 31, 2020, including accrued interest, totaled $894. At June 30, 2021 and December 31, 2020, no securities were pledged as collateral. | ||||||
[3] | Included in other assets on the statement of condition. |
Estimated Fair Values - Recurri
Estimated Fair Values - Recurring and Non-Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |||
Derivative Asset [Abstract] | |||||
Trading securities | $ 5,817,270 | $ 5,094,703 | |||
AFS securities | 9,299,045 | 10,144,899 | |||
Derivative assets, net | 237,171 | 283,082 | |||
Netting adjustments and cash collateral, derivative asset | [1],[2] | 168,345 | 262,525 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 10,103 | 22,979 | |||
Netting adjustments and cash collateral, derivative liability | [1],[2] | (381,989) | (740,018) | ||
Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 5,817,270 | 5,094,703 | |||
AFS securities | 9,299,045 | 10,144,899 | |||
Derivative assets, net | 237,171 | 283,082 | |||
Netting adjustments and cash collateral, derivative asset | 168,345 | [1] | 262,525 | [3] | |
Grantor trust assets | 59,973 | 51,032 | |||
Total assets at estimated fair value | 15,413,459 | 15,573,716 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 10,103 | 22,979 | |||
Netting adjustments and cash collateral, derivative liability | (381,989) | [1] | (740,018) | [3] | |
Total liabilities at recurring estimated fair value | 10,103 | 22,979 | |||
Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Netting adjustments and cash collateral, derivative asset | 168,345 | [1] | 262,525 | [3] | |
Derivative Liability [Abstract] | |||||
Netting adjustments and cash collateral, derivative liability | (381,989) | [1] | (740,018) | [3] | |
Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 1,141 | 1,460 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 1,141 | [4] | 1,460 | [5] | |
Level 1 | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [6] | 59,973 | 51,032 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Mortgage loans held for portfolio | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | 59,973 | 51,032 | |||
Total assets at estimated fair value | 59,973 | 51,032 | |||
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 | [4] | 0 | [5] | |
Level 2 | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 5,817,270 | 5,094,703 | |||
AFS securities | 9,299,045 | 10,144,899 | |||
Derivative assets, net | 68,826 | 20,557 | |||
Grantor trust assets | [6] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 392,092 | 762,997 | |||
Mortgage loans held for portfolio | 7,980,633 | 8,860,853 | |||
Level 2 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 5,817,270 | 5,094,703 | |||
AFS securities | 9,299,045 | 10,144,899 | |||
Derivative assets, net | 68,826 | 20,557 | |||
Grantor trust assets | 0 | 0 | |||
Total assets at estimated fair value | 15,185,141 | 15,260,159 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 392,092 | 762,997 | |||
Total liabilities at recurring estimated fair value | 392,092 | 762,997 | |||
Level 2 | Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 68,708 | 19,535 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 392,000 | 762,997 | |||
Level 2 | Fair Value, Measurements, Nonrecurring | |||||
Derivative Asset [Abstract] | |||||
Total assets at estimated fair value | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 0 | [4] | 0 | [5] | |
Level 3 | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [6] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Mortgage loans held for portfolio | 40,759 | 61,332 | |||
Level 3 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | 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 | 1,141 | 1,460 | |||
Derivative Liability [Abstract] | |||||
Mortgage loans held for portfolio | 1,141 | [4] | 1,460 | [5] | |
U.S. Treasury securities | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 5,817,270 | 5,094,703 | |||
U.S. Treasury securities | Level 1 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
U.S. Treasury securities | Level 2 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 5,817,270 | 5,094,703 | |||
U.S. Treasury securities | Level 3 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
GSE and TVA debentures | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 2,818,052 | 3,503,137 | |||
GSE and TVA debentures | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 2,818,052 | 3,503,137 | |||
GSE and TVA debentures | Level 1 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 0 | 0 | |||
GSE and TVA debentures | Level 2 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 2,818,052 | 3,503,137 | |||
GSE and TVA debentures | Level 3 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 0 | 0 | |||
GSE MBS | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 6,480,993 | 6,641,762 | |||
GSE MBS | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 6,480,993 | 6,641,762 | |||
GSE MBS | Level 1 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 0 | 0 | |||
GSE MBS | Level 2 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 6,480,993 | 6,641,762 | |||
GSE MBS | Level 3 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
AFS securities | 0 | 0 | |||
MDCs | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Netting adjustments and cash collateral, derivative asset | 0 | ||||
Derivative Liability [Abstract] | |||||
Netting adjustments and cash collateral, derivative liability | 0 | 0 | |||
MDCs | Fair Value, Measurements, Recurring | Interest-rate forwards | Mortgages | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 118 | 1,022 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 92 | 0 | |||
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 | 118 | 1,022 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 92 | 0 | |||
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 | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 5,817,270 | 5,094,703 | |||
AFS securities | 9,299,045 | 10,144,899 | |||
Derivative assets, net | 237,171 | 283,082 | |||
Grantor trust assets | [6] | 59,973 | 51,032 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 10,103 | 22,979 | |||
Mortgage loans held for portfolio | 8,021,392 | 8,922,185 | |||
Total | Fair Value, Measurements, Recurring | Interest-rate related | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 237,053 | 282,060 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 10,011 | 22,979 | |||
Total | U.S. Treasury securities | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | $ 5,817,270 | $ 5,094,703 | |||
[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] | 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 June 30, 2021 and December 31, 2020, including accrued interest, totaled $551,227 and $1,003,437, respectively. Cash collateral received from counterparties and held at both June 30, 2021 and December 31, 2020, including accrued interest, totaled $894. At June 30, 2021 and December 31, 2020, no securities were pledged as collateral. | ||||
[3] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty | ||||
[4] | Amounts are as of the date the fair-value adjustment was recorded during the six months ended June 30, 2021. | ||||
[5] | Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2020. | ||||
[6] | Included in other assets on the statement of condition. |
Commitments and Contingencies_2
Commitments and Contingencies (Details) | 6 Months Ended | |
Jun. 30, 2021USD ($) | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Standby letters of credit and lines of credit, liability for credit losses | $ 0 | |
Standby letters of credit outstanding | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Off-balance-sheet commitments expire within one year | 60,405,000 | |
Off-balance-sheet commitments expire after one year | 304,577,000 | |
Off-balance-sheet commitments, Total | 364,982,000 | |
Unused lines of credit | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Off-balance-sheet commitments expire within one year | 813,721,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | 813,721,000 | [1] |
Maximum line of credit | 100,000,000 | |
Commitments to fund additional advances | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Off-balance-sheet commitments expire within one year | 4,000,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | $ 4,000,000 | [2] |
Commitments to fund additional Advances are generally for periods up | 6 months | |
Unsettled CO bonds, at par | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||
Off-balance-sheet commitments expire within one year | $ 453,000,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | $ 453,000,000 | |
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 | $ 139,713,000 | |
Off-balance-sheet commitments expire after one year | 0 | |
Off-balance-sheet commitments, Total | $ 139,713,000 | [3] |
[1] | Maximum line of credit amount per member is $100,000. | |
[2] | Generally for periods up to six months. | |
[3] | Generally for periods up to 91 days. |
Related Party and Other Trans_3
Related Party and Other Transactions (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||||
Advances, par value | $ 27,228,506,000 | $ 27,228,506,000 | $ 30,690,859,000 | ||
Principal repayments | 10,000,000 | $ 10,000,000 | 20,000,000 | $ 20,000,000 | |
Disbursements | (10,000,000) | (10,000,000) | (20,000,000) | (20,000,000) | |
Loans to other FHLBanks | 0 | 0 | 0 | ||
Loans from other FHLBanks | 0 | 0 | 0 | ||
Directors' Financial Institutions | |||||
Related Party Transaction [Line Items] | |||||
Capital stock, par value | $ 433,736,000 | $ 433,736,000 | $ 426,003,000 | ||
Capital stock, % of total | 18.00% | 18.00% | 17.00% | ||
Advances, par value | $ 3,387,988,000 | $ 3,387,988,000 | $ 5,397,433,000 | ||
Advances, % of total | 12.00% | 12.00% | 18.00% | ||
Net capital stock issuances (redemptions and repurchases) | $ 0 | 71,775,000 | $ 0 | 77,621,000 | |
Net advances (repayments) | (993,987,000) | (2,757,963,000) | (2,043,264,000) | (720,232,000) | |
Mortgage loan purchases | $ 16,745,000 | $ 14,512,000 | $ 29,622,000 | $ 26,864,000 |