Document and Entity Information
Document and Entity Information Document - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | May 03, 2019 | |
Entity Information [Line Items] | ||
Entity Registrant Name | Federal Home Loan Bank of Dallas | |
Entity Central Index Key | 0001331757 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2019 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 25,564,636 | |
Entity Public Float | $ 0 | |
Entity Emerging Growth Company | false | |
Entity Small Business | false |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
ASSETS | ||
Cash and due from banks | $ 47,497 | $ 35,157 |
Interest-bearing deposits | 1,256,255 | 2,500,317 |
Securities purchased under agreements to resell (Note 11) | 5,515,000 | 6,215,000 |
Federal funds sold | 2,125,000 | 1,731,000 |
Trading securities (Note 3) | 3,592,104 | 1,818,178 |
Available-for-sale securities (Notes 4,11 and 16) ($742,649 and $712,547 pledged at March 31, 2019 and December 31, 2018, respectively, which could be rehypothecated) | 16,135,812 | 15,825,155 |
Held-to-maturity securities (a) (Note 5) | 1,416,816 | 1,462,279 |
Advances (Notes 6 and 8) | 36,096,595 | 40,793,813 |
Mortgage loans held for portfolio, net of allowance for credit losses of $611 and $493 at March 31, 2019 and December 31, 2018, respectively (Note 7 and 8) | 2,594,412 | 2,185,503 |
Accrued interest receivable | 162,010 | 152,670 |
Premises and equipment, net | 15,908 | 16,419 |
Derivative assets (Notes 11 and 12) | 52,328 | 9,878 |
Other assets (including $12,341 and $12,376 of securities held at fair value at March 31, 2019 and December 31, 2018, respectively) | 27,755 | 27,921 |
TOTAL ASSETS | 69,037,492 | 72,773,290 |
Deposits | ||
Interest-bearing | 792,026 | 963,972 |
Non-interest bearing | 20 | 20 |
Total deposits | 792,046 | 963,992 |
Consolidated obligations (Note 9) | ||
Discount notes | 37,369,065 | 35,731,713 |
Bonds | 26,746,361 | 31,931,929 |
Total consolidated obligations | 64,115,426 | 67,663,642 |
Mandatorily redeemable capital stock | 7,753 | 6,979 |
Accrued interest payable | 134,076 | 122,938 |
Affordable Housing Program (Note 10) | 45,736 | 44,358 |
Derivative liabilities (Notes 11 and 12) | 20,090 | 45,991 |
Other liabilities (Note 4) | 210,971 | 161,134 |
Total liabilities | 65,326,098 | 69,009,034 |
Commitments and contingencies (Notes 8 and 16) | ||
Capital stock | ||
Total Class B Capital Stock | 2,431,577 | 2,554,888 |
Retained earnings | ||
Unrestricted | 960,243 | 932,675 |
Restricted | 160,372 | 148,692 |
Total retained earnings | 1,120,615 | 1,081,367 |
Accumulated other comprehensive income (Note19) | 159,202 | 128,001 |
Total capital | 3,711,394 | 3,764,256 |
TOTAL LIABILITIES AND CAPITAL | 69,037,492 | 72,773,290 |
Capital Stock - Class B-1 putable ($100 par value) issued and outstanding shares: 9,881,836 and 9,169,206 shares at March 31, 2019 and December 31, 2018, respectively | ||
Capital stock | ||
Total Class B Capital Stock | 988,183 | 916,921 |
Retained earnings | ||
Total capital | 988,183 | 916,921 |
Capital Stock - Class B-2 putable ($100 par value) issued and outstanding shares: 14,433,936 and 16,379,675 shares at March 31, 2019 and December 31, 2018, respectively | ||
Capital stock | ||
Total Class B Capital Stock | 1,443,394 | 1,637,967 |
Retained earnings | ||
Total capital | $ 1,443,394 | $ 1,637,967 |
Statements of Condition (Unau_2
Statements of Condition (Unaudited) Parenthetical - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
ASSETS | ||
Held-to-maturity securities, Fair Value | $ 1,431,789 | $ 1,478,691 |
Other Assets, Fair Value Disclosure | $ 12,341 | $ 12,376 |
Capital Stock - Class B-1 - Membership/Excess | ||
CAPITAL (Note 13) | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 |
Common Stock, Shares, Issued | 9,881,836 | 9,169,206 |
Common Stock, Shares, Outstanding | 9,881,836 | 9,169,206 |
Capital Stock Class B-2 - Activity | ||
CAPITAL (Note 13) | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 |
Common Stock, Shares, Issued | 14,433,936 | 16,379,675 |
Common Stock, Shares, Outstanding | 14,433,936 | 16,379,675 |
Available-for-sale Securities [Member] | ||
ASSETS | ||
Derivative, Collateral, Right to Reclaim Securities | $ 742,649 | $ 712,547 |
Conventional Mortgage Loan [Member] | ||
ASSETS | ||
Loans and Leases Receivable, Allowance | $ 611 | $ 493 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
INTEREST INCOME | |||
Advances | $ 237,864 | $ 155,345 | [1] |
Prepayment fees on advances, net | 124 | 1,981 | |
Interest-bearing deposits | 11,121 | 769 | |
Securities purchased under agreements to resell | 25,297 | 7,179 | |
Federal funds sold | 18,504 | 28,988 | |
Trading securities | 18,025 | 569 | |
Available-for-sale securities | 119,008 | 79,958 | [1] |
Held-to-maturity securities | 11,053 | 10,232 | |
Mortgage loans held for portfolio | 23,094 | 8,622 | |
Total interest income | 464,090 | 293,643 | |
Consolidated obligations | |||
Bonds | 190,768 | 128,145 | [1] |
Discount notes | 196,251 | 94,536 | [1] |
Deposits | 4,922 | 2,785 | |
Mandatorily redeemable capital stock | 52 | 25 | |
Other borrowings | 1 | 59 | |
Total interest expense | 391,994 | 225,550 | |
NET INTEREST INCOME | 72,096 | 68,093 | |
Provision for mortgage loan losses | 118 | 0 | |
NET INTEREST INCOME AFTER PROVISION FOR LOAN LOSSES | 71,978 | 68,093 | |
OTHER INCOME (LOSS) | |||
Net gains (losses) on trading securities | 3,227 | (2,348) | |
Net gains on derivatives and hedging activities | 8,766 | 1,823 | [1] |
Net gains on other assets carried at fair value | 913 | 13 | |
Realized gains on sales of held-to-maturity securities | |||
Realized gains on sales of available-for-sale securities | 440 | 0 | |
Letter of credit fees | 2,780 | 2,146 | |
Other, net | 851 | 640 | |
Total other income | 16,977 | 2,274 | |
OTHER EXPENSE | |||
Compensation and benefits | 13,566 | 12,552 | |
Other operating expenses | 8,034 | 7,849 | |
Finance Agency | 1,183 | 963 | |
Office of Finance | 948 | 930 | |
Discretionary grants and donations | 38 | 1,388 | |
Derivative clearing fees | 296 | 309 | |
Total other expense | 24,065 | 23,991 | |
INCOME BEFORE ASSESSMENTS | 64,890 | 46,376 | |
Affordable Housing Program assessment | 6,494 | 4,640 | |
NET INCOME | $ 58,396 | $ 41,736 | |
[1] | Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | ||
NET INCOME | $ 58,396 | $ 41,736 | |
OTHER COMPREHENSIVE INCOME (LOSS) | |||
Net unrealized gains on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | 52,263 | 40,399 | |
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | (440) | 0 | |
Unrealized gains (losses) on cash flow hedges | (20,390) | 13,840 | |
Reclassification adjustment for (gains) losses on cash flow hedges included in net income | (807) | 310 | |
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 593 | 773 | |
Postretirement benefit plan | |||
Amortization of prior service cost included in net periodic benefit credit | 5 | 5 | |
Amortization of net actuarial gain included in net periodic benefit credit | (23) | (26) | |
Total other comprehensive income | 31,201 | 55,301 | [1] |
TOTAL COMPREHENSIVE INCOME | $ 89,597 | $ 97,037 | |
[1] | Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |||||
Mar. 31, 2019 | Mar. 31, 2018 | Jan. 01, 2019 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | $ 3,764,256 | $ 3,480,026 | ||||
Proceeds from sale of capital stock | 338,610 | 481,005 | ||||
Repurchase/redemption of capital stock | (478,639) | (458,612) | ||||
Shares reclassified to mandatorily redeemable capital stock | (2,326) | (386) | ||||
Adjustment to initially apply new lease accounting guidance (Note 2) | $ (25) | |||||
Comprehensive income | ||||||
Net income | 58,396 | 41,736 | ||||
Other comprehensive income | 31,201 | 55,301 | [1] | |||
Dividends on capital stock | ||||||
Cash | (66) | [2] | (65) | [3] | ||
Mandatorily redeemable capital stock | [2] | (13) | ||||
Ending balance | $ 3,711,394 | $ 3,599,005 | ||||
Capital Stock Class B-2 - Activity | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance, shares | 16,380 | 14,645 | ||||
Beginning balance | $ 1,637,967 | $ 1,464,475 | ||||
Net transfers of shares between Class B-1 and Class B-2 Stock, Value | $ (532,841) | $ (524,463) | ||||
Proceeds from sale of capital stock, shares | 3,383 | 4,803 | ||||
Proceeds from sale of capital stock | $ 338,268 | $ 480,269 | ||||
Repurchase/redemption of capital stock, shares | 0 | 0 | ||||
Repurchase/redemption of capital stock | $ 0 | $ 0 | ||||
Shares reclassified to mandatorily redeemable capital stock, shares | 0 | 0 | ||||
Shares reclassified to mandatorily redeemable capital stock | $ 0 | $ 0 | ||||
Dividends on capital stock | ||||||
Stock, shares | 0 | 0 | ||||
Stock | $ 0 | $ 0 | ||||
Ending balance, shares | 14,434 | 14,203 | ||||
Ending balance | $ 1,443,394 | $ 1,420,281 | ||||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | (5,329) | (5,245) | ||||
Capital Stock - Class B-1 - Membership/Excess | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance, shares | 9,169 | 8,534 | ||||
Beginning balance | $ 916,921 | $ 853,462 | ||||
Net transfers of shares between Class B-1 and Class B-2 Stock, Value | $ 532,841 | $ 524,463 | ||||
Proceeds from sale of capital stock, shares | 3 | 7 | ||||
Proceeds from sale of capital stock | $ 342 | $ 736 | ||||
Repurchase/redemption of capital stock, shares | (4,786) | (4,586) | ||||
Repurchase/redemption of capital stock | $ (478,639) | $ (458,612) | ||||
Shares reclassified to mandatorily redeemable capital stock, shares | (23) | (3) | ||||
Shares reclassified to mandatorily redeemable capital stock | $ (2,326) | $ (386) | ||||
Dividends on capital stock | ||||||
Stock, shares | 190 | 110 | ||||
Stock | $ 19,044 | $ 10,999 | ||||
Ending balance, shares | 9,882 | 9,307 | ||||
Ending balance | $ 988,183 | $ 930,662 | ||||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | 5,329 | 5,245 | ||||
Retained Earnings | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | $ 1,081,367 | $ 941,763 | ||||
Adjustment to initially apply new lease accounting guidance (Note 2) | (25) | |||||
Comprehensive income | ||||||
Net income | 58,396 | 41,736 | ||||
Dividends on capital stock | ||||||
Cash | (66) | (65) | ||||
Mandatorily redeemable capital stock | (13) | |||||
Stock | (19,044) | (10,999) | ||||
Ending balance | 1,120,615 | 972,435 | ||||
Retained Earnings, Restricted | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 148,692 | 108,937 | ||||
Comprehensive income | ||||||
Net income | 11,680 | 8,348 | ||||
Dividends on capital stock | ||||||
Ending balance | 160,372 | 117,285 | ||||
Retained Earnings, Unrestricted | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 932,675 | 832,826 | ||||
Adjustment to initially apply new lease accounting guidance (Note 2) | $ (25) | |||||
Comprehensive income | ||||||
Net income | 46,716 | 33,388 | ||||
Dividends on capital stock | ||||||
Cash | (66) | (65) | ||||
Mandatorily redeemable capital stock | (13) | |||||
Stock | (19,044) | (10,999) | ||||
Ending balance | 960,243 | 855,150 | ||||
Accumulated Other Comprehensive Income | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance | 128,001 | 220,326 | ||||
Comprehensive income | ||||||
Other comprehensive income | 31,201 | 55,301 | ||||
Dividends on capital stock | ||||||
Ending balance | $ 159,202 | $ 275,627 | ||||
[1] | Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. | |||||
[2] | (a) Dividends were paid at annualized rates of 2.35 percent and 3.35 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2019. | |||||
[3] | (b) Dividends were paid at annualized rates of 1.33 percent and 2.33 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2018. |
Statements of Capital (Unaudi_2
Statements of Capital (Unaudited) Parenthetical | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Capital Stock - Class B-1 - Membership/Excess | ||
Capital Unit [Line Items] | ||
Dividends stock annualized percentage | 2.35% | 1.33% |
Capital Stock Class B-2 - Activity | ||
Capital Unit [Line Items] | ||
Dividends stock annualized percentage | 3.35% | 2.33% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
OPERATING ACTIVITIES | ||
Net income | $ 58,396 | $ 41,736 |
Depreciation and amortization | ||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | 26,926 | 17,524 |
Concessions on consolidated obligations | 1,669 | 1,113 |
Premises, equipment and computer software costs | 1,058 | 919 |
Non-cash interest on mandatorily redeemable capital stock | 50 | 22 |
Provision for mortgage loan losses | 118 | 0 |
Gains on sales of held-to-maturity securities | ||
Gains on sales of available-for-sale securities | (440) | 0 |
Net gains on other assets carried at fair value | (913) | (13) |
Net decrease (increase) in trading securities | (3,227) | 2,348 |
Loss (gain) due to changes in net fair value adjustment on derivative and hedging activities | (289,965) | 169,357 |
Increase in accrued interest receivable | (9,236) | (6,034) |
Decrease (increase) in other assets | 3,757 | (3,371) |
Increase in Affordable Housing Program (AHP) liability | 1,378 | 928 |
Increase in accrued interest payable | 11,160 | 7,790 |
Decrease in other liabilities | (5,924) | (9,754) |
Total adjustments | (263,589) | 180,829 |
Net cash provided by (used in) operating activities | (205,193) | 222,565 |
INVESTING ACTIVITIES | ||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | 1,281,703 | (60,218) |
Net decrease in securities purchased under agreements to resell | 700,000 | 1,750,000 |
Net decrerase (increase) in federal funds sold | (394,000) | 1,105,000 |
Purchases of trading securities | (10,804,787) | 0 |
Proceeds from sales of trading securities | 8,841,671 | 0 |
Proceeds from maturities of trading securities | 200,000 | 0 |
Purchases of available-for-sale securities | (507,626) | (766,072) |
Proceeds from maturities of available-for-sale securities | 180,799 | 33,102 |
Proceeds from sales of available-for-sale securities | 411,145 | 0 |
Proceeds from sales of held-to-maturity securities | ||
Proceeds from maturities of held-to-maturity securities | 46,317 | 80,732 |
Principal collected on advances | 149,506,560 | 189,611,459 |
Advances made | (144,760,729) | (188,490,335) |
Principal collected on mortgage loans held for portfolio | 35,395 | 16,703 |
Purchases of mortgage loans held for portfolio | (443,923) | (158,773) |
Purchases of premises, equipment and computer software | (663) | (1,002) |
Net cash provided by investing activities | 4,291,862 | 3,120,596 |
FINANCING ACTIVITIES | ||
Net increase (decrease) in deposits, including swap collateral held | (171,768) | 153,533 |
Net receipts (payments) on derivative contracts with financing elements | (73,692) | 50,608 |
Net proceeds from issuance of consolidated obligations | ||
Discount notes | 65,649,636 | 80,172,581 |
Bonds | 4,442,865 | 7,069,552 |
Debt issuance costs | (1,935) | (1,334) |
Payments for maturing and retiring consolidated obligations | ||
Discount notes | (64,037,381) | (86,049,099) |
Bonds | (9,740,345) | (4,804,290) |
Proceeds from issuance of capital stock | 338,610 | 481,005 |
Payments for redemption of mandatorily redeemable capital stock | (1,614) | (5,517) |
Payments for repurchase/redemption of capital stock | (478,639) | (458,612) |
Cash dividends paid | (66) | (65) |
Net cash used in financing activities | (4,074,329) | (3,391,638) |
Net increase (decrease) in cash and cash equivalents | 12,340 | (48,477) |
Cash and cash equivalents at beginning of the period | 35,157 | 87,965 |
Cash and cash equivalents at end of the period | 47,497 | 39,488 |
Supplemental Disclosures: | ||
Interest paid | 353,761 | 211,069 |
AHP payments, net | 5,116 | 3,712 |
Stock dividends issued | 19,044 | 10,999 |
Dividends paid through issuance of mandatorily redeemable capital stock | 13 | 0 |
Variation margin recharacterized as settlement payments on derivative contracts (Note 11) | 0 | 250,468 |
Net capital stock reclassified to mandatorily redeemable capital stock | 2,326 | 386 |
Right-of-use assets acquired by lease | $ 2,539 | $ 0 |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2019 | |
Basis of Presentation [Abstract] | |
Basis of Accounting [Text Block] | Basis of Presentation The accompanying interim financial statements of the Federal Home Loan Bank of Dallas (the “Bank”) are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (“SEC”). Accordingly, they do not include all of the information and disclosures required by generally accepted accounting principles for complete financial statements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank’s 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 fiscal year or any other interim period. The Bank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2018 . The interim financial statements presented herein should be read in conjunction with the Bank’s audited financial statements and notes thereto, which are included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2018 filed with the SEC on March 25, 2019 (the “ 2018 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2018 10-K. The Bank is one of 11 district Federal Home Loan Banks, each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System.” The Office of Finance manages the sale and servicing of the FHLBanks’ consolidated obligations. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the housing government-sponsored enterprises ("GSEs"), including the FHLBanks and the Office of Finance. Use of Estimates and Assumptions. The preparation of financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates. |
Recently Adopted Accounting Gui
Recently Adopted Accounting Guidance | 3 Months Ended |
Mar. 31, 2019 | |
Recently Adopted Accounting Guidance [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles [Text Block] | Recently Adopted Accounting Guidance Leases . On February 25, 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-02, "Leases" (“ASU 2016-02”), which requires entities that lease assets (lessees) to recognize in the balance sheet assets and liabilities for the rights and obligations created by those leases. Specifically, ASU 2016-02 requires a lessee of operating or finance leases to recognize a right-of-use asset and a liability to make lease payments for leases with terms of more than 12 months. Lessor accounting will remain largely unchanged from current U.S. GAAP. The guidance is to be applied using a retrospective transition method to each period presented or, alternatively, by recognizing a cumulative effect adjustment to the opening balance of retained earnings in the period of adoption. The transition method allowing for a cumulative effect adjustment to the opening balance of retained earnings is provided by ASU 2018-11, "Leases: Targeted Improvements" ("ASU 2018-11"). ASU 2018-11 was issued by the FASB on July 30, 2018. ASU 2016-02 also requires extensive quantitative and qualitative disclosures to help financial statement users understand the amount, timing and uncertainty of cash flows arising from leases. For public business entities, the guidance in ASU 2016-02 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018 (January 1, 2019 for the Bank). Early adoption was permitted. The Bank adopted ASU 2016-02 effective January 1, 2019. In conjunction with the adoption of ASU 2016-02 (as amended by ASU 2018-11), the Bank recorded (on January 1, 2019) a cumulative effect adjustment to retained earnings of $25,000 and right-of-use assets and lease liabilities approximating $2,500,000 . These assets and liabilities are included in other assets and other liabilities, respectively. Because these amounts are insignificant, the Bank has not provided any quantitative or qualitative disclosures regarding its right-of-use assets and lease liabilities in these financial statements. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued ASU 2017-08, "Premium Amortization on Purchased Callable Debt Securities" ("ASU 2017-08"), which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. For public business entities, the guidance in ASU 2017-08 is effective for fiscal years beginning after December 15, 2018 (January 1, 2019 for the Bank), and interim periods within those fiscal years. Early adoption, including adoption in an interim period, was permitted. If an entity early adopted ASU 2017-08 in an interim period, any adjustments were to be reflected as of the beginning of the fiscal year that included that interim period. The guidance was to be applied using a modified retrospective transition approach, with the cumulative-effect adjustment recognized in retained earnings as of the beginning of the period of adoption. The Bank adopted ASU 2017-08 on January 1, 2019. The adoption of this guidance did not have any impact on the Bank's results of operations or financial condition. Derivatives and Hedging. On August 28, 2017, the FASB issued ASU 2017-12, "Targeted Improvements to Accounting for Hedging Activities" ("ASU 2017-12"), which is intended to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. This guidance requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item. For cash flow hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness must be recorded in other comprehensive income. In addition, the guidance provides for, but does not require, the use of a qualitative method of assessing hedge ineffectiveness. Among other things, the guidance also permits, but does not require, the following: • For fair value hedges, measurement of the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception. • Partial-term fair value hedges of interest-rate risk, in which it can be assumed that the hedged item has a term that reflects only the designated cash flows being hedged. • For prepayable financial instruments, consideration only of how changes in the benchmark interest rate affect a decision to settle a debt instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest rate risk. • For a cash flow hedge of interest-rate risk of a variable-rate financial instrument, designation of the variability in cash flows attributable to the contractually specified interest rate as the hedged risk (when the contractually specified variable rate is not a benchmark rate). • For a closed portfolio of prepayable financial assets or one or more beneficial interests secured by a portfolio of prepayable financial instruments, designation of an amount that is not expected to be affected by prepayments, defaults and other events affecting the timing and amount of cash flows as a hedged item (commonly referred to as the "last-of-layer" method). For public business entities, the guidance in ASU 2017-12 is effective for fiscal years beginning after December 15, 2018 (January 1, 2019 for the Bank), and interim periods within those fiscal years. Early adoption, including adoption in an interim period, was permitted. If an entity early adopted ASU 2017-12 in an interim period, any adjustments were to be reflected as of the beginning of the fiscal year that included that interim period. For cash flow hedges existing on the date of adoption, an entity was required to eliminate the separate measurement of ineffectiveness in earnings by means of a cumulative-effect adjustment to accumulated other comprehensive income with a corresponding adjustment to the opening balance of retained earnings. Among other things, an entity could elect at transition to modify the measurement methodology for hedged items in existing fair value hedges to the benchmark rate component of the contractual coupon cash flows. The cumulative effect of applying this election was to be recognized as an adjustment to the basis adjustment of the hedged item recognized on the balance sheet with a corresponding adjustment to the opening balance of retained earnings. The amended presentation and disclosure guidance is required only prospectively. The Bank adopted ASU 2017-12 effective January 1, 2019. At adoption, the Bank did not modify any of its then existing fair value or cash flow hedging relationships. Because the Bank had not had any ineffectiveness associated with its cash flow hedges, a cumulative effect adjustment relating to such hedges was not required. The impact of recording fair value hedge ineffectiveness in the same line where the earnings effect of the hedged item is presented reduced net interest income by $9,340,000 and increased net gains on derivatives and hedging activities by an equal and offsetting amount for the three months ended March 31, 2019. The amended presentation and disclosure guidance was applied prospectively; prior period comparative financial information has not been reclassified to conform to the current period presentation. Upon adoption, the Bank did not elect to change the way in which it assesses the effectiveness of its hedging relationships. The Bank is continuing to assess other opportunities that are available under the new guidance including, but not limited to, the use of the benchmark rate component to measure the hedged item in some of its fair value hedging relationships entered into after March 31, 2019 and the use of the last-of-layer method for its mortgage loans held for portfolio. Inclusion of the Secured Overnight Financing Rate Overnight Index Swap Rate as a Benchmark Interest Rate . On October 25, 2018, the FASB issued ASU 2018-16, "Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes" ("ASU 2018-16"). ASU 2018-16 adds the OIS rate based on SOFR (a swap rate based on the underlying overnight SOFR rate) as an eligible benchmark interest rate for purposes of applying hedge accounting. SOFR is a volume-weighted median interest rate that is calculated daily based on overnight transactions from the prior day's trading activity in specified segments of the U.S. Treasury repo market. SOFR was selected by the Alternative Reference Rates Committee as its preferred alternative reference rate to LIBOR. For entities that had not already adopted ASU 2017-12, the guidance in ASU 2018-16 was required to be adopted concurrently with the adoption of ASU 2017-12. The guidance is to be applied prospectively to qualifying new or redesignated hedging relationships entered into on and after the date of adoption. The Bank adopted ASU 2018-16 effective January 1, 2019. The adoption of this guidance did not have any impact on the Bank's results of operations or financial condition. |
Trading Securities
Trading Securities | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Trading and Available-for-sale [Abstract] | |
Trading Securities Disclosure [Text Block] | Trading Securities Trading securities as of March 31, 2019 and December 31, 2018 were as follows (in thousands): March 31, 2019 December 31, 2018 U.S. Treasury Notes $ 1,770,509 $ 1,818,178 U.S. Treasury Bills 1,821,595 — Total $ 3,592,104 $ 1,818,178 |
Available-for-Sale Securities
Available-for-Sale Securities | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Abstract] | |
Available-for-Sale Securities Disclosure [Text Block] | Available-for-Sale Securities Major Security Types. Available-for-sale securities as of March 31, 2019 were as follows (in thousands): Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Debentures U.S. government-guaranteed obligations $ 451,916 $ 7,386 $ — $ 459,302 GSE obligations 5,552,561 86,879 2,181 5,637,259 Other 44,668 406 — 45,074 6,049,145 94,671 2,181 6,141,635 GSE commercial mortgage-backed securities 9,915,864 95,947 17,634 9,994,177 Total $ 15,965,009 $ 190,618 $ 19,815 $ 16,135,812 Included in the table above are GSE commercial mortgage-backed securities ("MBS") that were purchased but which had not yet settled as of March 31, 2019 . The aggregate amount due of $179,106,000 is included in other liabilities on the statement of condition at that date. Available-for-sale securities as of December 31, 2018 were as follows (in thousands): Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Debentures U.S. government-guaranteed obligations $ 447,365 $ 5,652 $ 21 $ 452,996 GSE obligations 5,610,796 77,868 1,831 5,686,833 Other 170,367 461 — 170,828 6,228,528 83,981 1,852 6,310,657 GSE commercial MBS 9,477,647 73,052 36,201 9,514,498 Total $ 15,706,175 $ 157,033 $ 38,053 $ 15,825,155 Included in the table above are GSE commercial MBS that were purchased but which had not yet settled as of December 31, 2018 . The aggregate amount due of $125,927,000 is included in other liabilities on the statement of condition at that date. Other debentures are comprised of securities issued by the Private Export Funding Corporation ("PEFCO"). These debentures are fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures is guaranteed by an agency of the U.S. government. The amortized cost of the Bank's available-for-sale securities includes hedging adjustments. The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of March 31, 2019 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses GSE debentures 3 $ 78,072 $ 461 2 $ 150,442 $ 1,720 5 $ 228,514 $ 2,181 GSE commercial MBS 59 1,888,462 10,052 27 890,440 7,582 86 2,778,902 17,634 Total 62 $ 1,966,534 $ 10,513 29 $ 1,040,882 $ 9,302 91 $ 3,007,416 $ 19,815 The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2018 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Debentures U.S. government-guaranteed obligations 2 $ 59,050 $ 21 — $ — $ — 2 $ 59,050 $ 21 GSE debentures 4 224,072 1,831 — — — 4 224,072 1,831 GSE commercial MBS 105 3,523,623 35,435 7 38,844 766 112 3,562,467 36,201 Total 111 $ 3,806,745 $ 37,287 7 $ 38,844 $ 766 118 $ 3,845,589 $ 38,053 At March 31, 2019 , the gross unrealized losses on the Bank’s available-for-sale securities were $19,815,000 . All of the Bank's available-for-sale securities are either guaranteed by the U.S. government, issued by GSEs, or fully secured by collateral that is guaranteed by the U.S government. As of March 31, 2019 , the U.S. government and the issuers of the Bank’s holdings of GSE debentures and GSE MBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and AA+ by S&P Global Ratings (“S&P”). The Bank's holdings of PEFCO debentures are rated triple-A by Moody's and are not rated by S&P. Based upon the Bank's assessment of the creditworthiness of the issuers of the GSE debentures that were in an unrealized loss position at March 31, 2019 and the credit ratings assigned by Moody's and S&P, the Bank expects that these debentures would not be settled at an amount less than the Bank's amortized cost bases in the investments. In addition, based upon the Bank's assessment of the strength of the GSEs' guarantees of the Bank's holdings of GSE commercial MBS and the credit ratings assigned by Moody's and S&P, the Bank expects that its holdings of GSE commercial MBS that were in an unrealized loss position at March 31, 2019 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at March 31, 2019 . Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at March 31, 2019 and December 31, 2018 are presented below (in thousands). March 31, 2019 December 31, 2018 Maturity Amortized Cost Estimated Fair Value Amortized Cost Estimated Fair Value Debentures Due in one year or less $ 224,002 $ 224,410 $ 445,731 $ 446,227 Due after one year through five years 2,438,116 2,459,969 2,398,495 2,420,763 Due after five years through ten years 3,305,261 3,372,974 3,256,389 3,312,322 Due after ten years 81,766 84,282 127,913 131,345 6,049,145 6,141,635 6,228,528 6,310,657 GSE commercial MBS 9,915,864 9,994,177 9,477,647 9,514,498 Total $ 15,965,009 $ 16,135,812 $ 15,706,175 $ 15,825,155 Interest Rate Payment Terms. At March 31, 2019 and December 31, 2018 , all of the Bank's available-for-sale securities were fixed rate securities which were swapped to a variable rate. Sales of Securities. During the three months ended March 31, 2019 , the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $410,705,000 . Proceeds from the sales totaled $411,145,000 , resulting in realized gains of $440,000 . There were no sales of available-for-sale securities during the three months ended March 31, 2018 . |
Held-to-Maturity Securities
Held-to-Maturity Securities | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Held-to-maturity [Abstract] | |
Held-to-Maturity Securities Disclosure [Text Block] | Held-to-Maturity Securities Major Security Types. Held-to-maturity securities as of March 31, 2019 were as follows (in thousands): Amortized Cost OTTI Recorded in Accumulated Other Comprehensive Income Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Debentures U.S. government-guaranteed obligations $ 7,106 $ — $ 7,106 $ 16 $ — $ 7,122 State housing agency obligations 135,000 — 135,000 10 588 134,422 142,106 — 142,106 26 588 141,544 Mortgage-backed securities U.S. government-guaranteed residential MBS 464 — 464 — 1 463 GSE residential MBS 1,210,755 — 1,210,755 4,741 1,848 1,213,648 Non-agency residential MBS 73,565 10,074 63,491 13,059 416 76,134 1,284,784 10,074 1,274,710 17,800 2,265 1,290,245 Total $ 1,426,890 $ 10,074 $ 1,416,816 $ 17,826 $ 2,853 $ 1,431,789 Held-to-maturity securities as of December 31, 2018 were as follows (in thousands): Amortized Cost OTTI Recorded in Accumulated Other Comprehensive Income Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Debentures U.S. government-guaranteed obligations $ 7,604 $ — $ 7,604 $ 11 $ — $ 7,615 State housing agency obligations 135,000 — 135,000 10 1,043 133,967 142,604 — 142,604 21 1,043 141,582 Mortgage-backed securities U.S. government-guaranteed residential MBS 475 — 475 1 — 476 GSE residential MBS 1,253,573 — 1,253,573 6,022 1,117 1,258,478 Non-agency residential MBS 76,294 10,667 65,627 13,222 694 78,155 1,330,342 10,667 1,319,675 19,245 1,811 1,337,109 Total $ 1,472,946 $ 10,667 $ 1,462,279 $ 19,266 $ 2,854 $ 1,478,691 The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of March 31, 2019 . The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income ("AOCI") and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Debentures State housing agency obligations — $ — $ — 1 $ 34,412 $ 588 1 $ 34,412 $ 588 Mortgage-backed securities U.S. government-guaranteed residential MBS 1 434 1 — — — 1 434 1 GSE residential MBS 40 580,718 1,728 3 25,096 120 43 605,814 1,848 Non-agency residential MBS 3 11,945 173 10 28,477 1,071 13 40,422 1,244 Total 44 $ 593,097 $ 1,902 14 $ 87,985 $ 1,779 58 $ 681,082 $ 3,681 The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of December 31, 2018 . The unrealized losses include other-than-temporary impairments recorded in AOCI and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Debentures State housing agency obligations — $ — $ — 1 $ 33,957 $ 1,043 1 $ 33,957 $ 1,043 Mortgage-backed securities GSE residential MBS 32 467,427 1,000 4 31,220 117 36 498,647 1,117 Non-agency residential MBS 3 12,346 295 10 29,070 1,487 13 41,416 1,782 Total 35 $ 479,773 $ 1,295 15 $ 94,247 $ 2,647 50 $ 574,020 $ 3,942 At March 31, 2019 , the gross unrealized losses on the Bank’s held-to-maturity securities were $3,681,000 , of which $1,244,000 were attributable to its holdings of non-agency (i.e., private-label) residential MBS, $1,849,000 were attributable to securities that are either guaranteed by the U.S. government or issued and guaranteed by GSEs and $588,000 were attributable to a security issued by a state housing agency. As of March 31, 2019 , the U.S. government and the issuers of the Bank’s holdings of GSE residential MBS (“RMBS”) were rated triple-A by Moody’s and AA+ by S&P. Based upon the credit ratings assigned by Moody's and S&P and the Bank's assessment of the strength of the GSEs’ guarantees of the Bank’s holdings of GSE RMBS, the Bank expects that its holdings of GSE RMBS that were in an unrealized loss position at March 31, 2019 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. In addition, based upon the Bank's assessment of the creditworthiness of the state housing agency and the triple-A credit ratings assigned by Moody's and S&P, the Bank expects that the state housing agency debenture that was in an unrealized loss position at March 31, 2019 would not be settled at an amount less than the Bank’s amortized cost basis in this investment. Because the current market value deficits associated with these securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at March 31, 2019 . The deterioration in the U.S. housing markets that occurred primarily during the period from 2007 through 2011, as reflected during that period by declines in the values of residential real estate and higher levels of delinquencies, defaults and losses on residential mortgages, including the mortgages underlying the Bank’s non-agency RMBS, generally increased the risk that the Bank may not ultimately recover the entire cost bases of some of its non-agency RMBS. However, based upon its analysis of the securities in this portfolio, the Bank believes that the unrealized losses as of March 31, 2019 were principally the result of liquidity risk related discounts in the non-agency RMBS market and do not accurately reflect the currently likely future credit performance of the securities. Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank closely monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans. To assess whether the entire amortized cost bases of its 22 non-agency RMBS holdings are likely to be recovered, the Bank performed a cash flow analysis for each security as of March 31, 2019 using two third-party models. The first model considers borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (“CBSAs”), which are based upon an assessment of the individual housing markets. (The term “CBSA” refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area of 10,000 or more people.) The Bank’s housing price forecast as of March 31, 2019 assumed changes in home prices ranging from declines of 6 percent to increases of 14 percent over the 12 -month period beginning January 1, 2019. For the vast majority of markets, the changes were projected to range from increases of 2 percent to 6 percent . Thereafter, home price changes for each market were projected to return (at varying rates and over varying transition periods based on historical housing price patterns) to their long-term historical equilibrium levels. Following these transition periods, the constant long-term annual rates of appreciation for the vast majority of markets were projected to range between 2 percent and 5 percent . The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero. Based on the results of its cash flow analyses, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. Because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their remaining amortized cost bases, none of the Bank's non-agency RMBS were deemed to be other-than-temporarily impaired at March 31, 2019 . During the year ended December 31, 2016, one of the Bank's non-agency RMBS was determined to be other-than-temporarily impaired. In addition, 14 of the Bank's non-agency RMBS were determined to be other-than-temporarily impaired in periods prior to 2013. The following table presents a rollforward for the three months ended March 31, 2019 and 2018 of the amount related to credit losses on the Bank’s non-agency RMBS holdings for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (in thousands). Three Months Ended March 31, 2019 2018 Balance of credit losses, beginning of period $ 8,551 $ 9,443 Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (193 ) (240 ) Balance of credit losses, end of period 8,358 9,203 Cumulative principal shortfalls on securities held at end of period (2,105 ) (2,048 ) Cumulative amortization of the time value of credit losses at end of period 861 636 Credit losses included in the amortized cost bases of other-than-temporarily impaired securities at end of period $ 7,114 $ 7,791 Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at March 31, 2019 and December 31, 2018 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities. March 31, 2019 December 31, 2018 Maturity Amortized Cost Carrying Value Estimated Fair Value Amortized Cost Carrying Value Estimated Fair Value Debentures Due after one year through five years $ 2,998 $ 2,998 $ 3,000 $ 3,497 $ 3,497 $ 3,499 Due after five years through ten years 4,108 4,108 4,122 4,107 4,107 4,116 Due after ten years 135,000 135,000 134,422 135,000 135,000 133,967 142,106 142,106 141,544 142,604 142,604 141,582 Mortgage-backed securities 1,284,784 1,274,710 1,290,245 1,330,342 1,319,675 1,337,109 Total $ 1,426,890 $ 1,416,816 $ 1,431,789 $ 1,472,946 $ 1,462,279 $ 1,478,691 The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $2,334,000 and $2,457,000 at March 31, 2019 and December 31, 2018 , respectively. Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at March 31, 2019 and December 31, 2018 (in thousands): March 31, 2019 December 31, 2018 Amortized cost of variable-rate held-to-maturity securities other than MBS $ 142,106 $ 142,604 Amortized cost of held-to-maturity MBS Fixed-rate pass-through securities 52 57 Collateralized mortgage obligations Fixed-rate 118 135 Variable-rate 1,284,614 1,330,150 1,284,784 1,330,342 Total $ 1,426,890 $ 1,472,946 All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during 2018 or the three months ended March 31, 2019 . Sales of Securities. There were no sales of held-to-maturity securities during the three months ended March 31, 2019 or 2018 . |
Advances
Advances | 3 Months Ended |
Mar. 31, 2019 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances Redemption Terms. At March 31, 2019 and December 31, 2018 , the Bank had advances outstanding at interest rates ranging from 0.89 percent to 8.27 percent and 0.88 percent to 8.27 percent , respectively, as summarized below (dollars in thousands). March 31, 2019 December 31, 2018 Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in one year or less $ 17,032,491 2.50 % $ 21,718,709 2.49 % Due after one year through two years 3,229,333 2.54 2,986,350 2.48 Due after two years through three years 986,411 2.53 1,272,214 2.42 Due after three years through four years 929,184 2.52 951,787 2.49 Due after four years through five years 819,127 2.92 632,862 2.84 Due after five years 13,049,950 2.46 13,230,406 2.42 Total par value 36,046,496 2.50 % 40,792,328 2.47 % Premiums 11 12 Deferred net prepayment fees (8,165 ) (8,683 ) Commitment fees (106 ) (108 ) Hedging adjustments 58,359 10,264 Total $ 36,096,595 $ 40,793,813 The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At March 31, 2019 and December 31, 2018 , the Bank had aggregate prepayable and callable advances totaling $10,523,968,000 and $ 10,446,628,000 , respectively. The following table summarizes advances outstanding at March 31, 2019 and December 31, 2018 , by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands): Contractual Maturity or Next Call Date March 31, 2019 December 31, 2018 Due in one year or less $ 27,399,689 $ 32,024,714 Due after one year through two years 2,684,080 2,434,821 Due after two years through three years 919,299 1,178,054 Due after three years through four years 833,122 848,047 Due after four years through five years 691,029 565,334 Due after five years 3,519,277 3,741,358 Total par value $ 36,046,496 $ 40,792,328 The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At March 31, 2019 and December 31, 2018 , the Bank had putable advances outstanding totaling $3,007,800,000 and $3,094,300,000 , respectively. The following table summarizes advances outstanding at March 31, 2019 and December 31, 2018 , by the earlier of contractual maturity or next possible put date (in thousands): Contractual Maturity or Next Put Date March 31, 2019 December 31, 2018 Due in one year or less $ 19,894,791 $ 24,612,509 Due after one year through two years 3,331,833 3,136,850 Due after two years through three years 1,019,411 1,312,214 Due after three years through four years 929,184 951,787 Due after four years through five years 791,927 611,662 Due after five years 10,079,350 10,167,306 Total par value $ 36,046,496 $ 40,792,328 Interest Rate Payment Terms. The following table provides interest rate payment terms for advances outstanding at March 31, 2019 and December 31, 2018 (in thousands): March 31, 2019 December 31, 2018 Fixed-rate Due in one year or less $ 16,651,106 $ 21,558,023 Due after one year 8,582,807 8,503,772 Total fixed-rate 25,233,913 30,061,795 Variable-rate Due in one year or less 381,386 160,686 Due after one year 10,431,197 10,569,847 Total variable-rate 10,812,583 10,730,533 Total par value $ 36,046,496 $ 40,792,328 At March 31, 2019 and December 31, 2018 , 29 percent and 24 percent , respectively, of the Bank’s fixed-rate advances were swapped to a variable rate. Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. The Bank records prepayment fees received from members/borrowers on prepaid advances net of any associated hedging adjustments on those advances. These fees are reflected as interest income in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances) as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance and the advance meets the accounting criteria to qualify as a modification of the prepaid advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income on advances over the life of the modified advance using the level-yield method. During the three months ended March 31, 2019 and 2018 , gross advance prepayment fees received from members/borrowers were $193,000 and $1,642,000 , respectively, none of which were deferred. The Bank also offers advances that include a symmetrical prepayment feature which allows a member to prepay an advance at the lower of par value or fair value plus a make-whole amount payable to the Bank. During the three months ended March 31, 2019, a symmetrical prepayment advance with a par value of $5,000,000 was prepaid. The difference by which the par value of the advance exceeded its fair value, less the make-whole amount, totaled $68,000 and was recorded in prepayment fees on advances. There were no repayments of symmetrical prepayment advances during the three months ended March 31, 2018 . |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio (Notes) | 3 Months Ended |
Mar. 31, 2019 | |
Mortgage Loans Held for Portfolio [Abstract] | |
Loans, Notes, Trade and Other Receivables Disclosure [Text Block] | Mortgage Loans Held for Portfolio Mortgage loans held for portfolio represent held-for-investment loans acquired through the Mortgage Partnership Finance ® ("MPF" ® ) program. The following table presents information as of March 31, 2019 and December 31, 2018 for mortgage loans held for portfolio (in thousands): March 31, 2019 December 31, 2018 Fixed-rate medium-term* single-family mortgages $ 11,707 $ 10,885 Fixed-rate long-term single-family mortgages 2,525,719 2,127,142 Premiums 53,726 45,259 Discounts (1,756 ) (1,757 ) Deferred net derivative gains associated with mortgage delivery commitments 5,627 4,467 Total mortgage loans held for portfolio 2,595,023 2,185,996 Less: allowance for credit losses (611 ) (493 ) Total mortgage loans held for portfolio, net of allowance for credit losses $ 2,594,412 $ 2,185,503 ________________________________________ *Medium-term is defined as an original term of 15 years or less. The unpaid principal balance of mortgage loans held for portfolio at March 31, 2019 and December 31, 2018 was comprised of government-guaranteed/insured loans totaling $15,253,000 and $15,880,000 , respectively, and conventional loans totaling $2,522,173,000 and $2,122,147,000 , respectively. |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2019 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses An allowance for credit losses is separately established for each of the Bank’s identified portfolio segments, if necessary, to provide for probable losses inherent in its financing receivables portfolio and other off-balance sheet credit exposures as of the balance sheet date. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for the following portfolio segments: (1) advances and other extensions of credit to members/borrowers, collectively referred to as “extensions of credit to members”; (2) government-guaranteed/insured mortgage loans held for portfolio; and (3) conventional mortgage loans held for portfolio. Classes of financing receivables are generally a disaggregation of a portfolio segment and are determined on the basis of their initial measurement attribute, the risk characteristics of the financing receivable and an entity’s method for monitoring and assessing credit risk. Because the credit risk arising from the Bank’s financing receivables is assessed and measured at the portfolio segment level, the Bank does not have separate classes of financing receivables within each of its portfolio segments. During the three months ended March 31, 2019 and 2018 , there were no significant purchases or sales of financing receivables, nor were any financing receivables reclassified to held for sale. Advances and Other Extensions of Credit to Members. In accordance with federal statutes, including the Federal Home Loan Bank Act of 1932, as amended (the “FHLB Act”), the Bank lends to financial institutions within its five-state district that are involved in housing finance. The FHLB Act requires the Bank to obtain and maintain sufficient collateral for advances and other extensions of credit to protect against losses. The Bank makes advances and otherwise extends credit only against eligible collateral, as defined by regulation. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances and other extensions of credit, the Bank applies various haircuts, or discounts, to the collateral to determine the value against which borrowers may borrow. As additional security, the Bank has a statutory lien on each borrower’s capital stock in the Bank. On at least a quarterly basis, the Bank evaluates all outstanding extensions of credit to members/borrowers for potential credit losses. These evaluations include a review of: (1) the amount, type and performance of collateral available to secure the outstanding obligations; (2) metrics that may be indicative of changes in the financial condition and general creditworthiness of the member/borrower; and (3) the payment status of the obligations. Any outstanding extensions of credit that exhibit a potential credit weakness that could jeopardize the full collection of the outstanding obligations would be classified as substandard, doubtful or loss. The Bank did not have any advances or other extensions of credit to members/borrowers that were classified as substandard, doubtful or loss at March 31, 2019 or December 31, 2018 . The Bank considers the amount, type and performance of collateral to be the primary indicator of credit quality with respect to its extensions of credit to members/borrowers. At March 31, 2019 and December 31, 2018 , the Bank had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of each borrower’s outstanding extensions of credit. The Bank continues to evaluate and, as necessary, modify its credit extension and collateral policies based on market conditions. At March 31, 2019 and December 31, 2018 , the Bank did not have any advances that were past due, on nonaccrual status, or considered impaired. There have been no troubled debt restructurings related to advances. The Bank has never experienced a credit loss on an advance or any other extension of credit to a member/borrower and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on its extensions of credit to members/borrowers. Accordingly, the Bank has not provided any allowance for credit losses on advances, nor has it recorded any liabilities to reflect an allowance for credit losses related to its off-balance sheet credit exposures. Mortgage Loans — Government-guaranteed or government-insured. The Bank’s government-guaranteed or government-insured fixed-rate mortgage loans are guaranteed or insured by the Federal Housing Administration or the Department of Veterans Affairs and were acquired through the MPF program (as more fully described in the Bank’s 2018 10-K) in periods prior to 2004. Any losses from these loans are expected to be recovered from those entities. Any losses from these loans that are not recovered from those entities are absorbed by the servicers. Therefore, the Bank has not established an allowance for credit losses on government-guaranteed or government-insured mortgage loans. Government-guaranteed or government-insured loans are not placed on nonaccrual status. Mortgage Loans — Conventional Mortgage Loans. The Bank’s conventional mortgage loans have also been acquired through the MPF program. The allowance for losses on conventional mortgage loans is determined by an analysis that includes consideration of various data such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, and prevailing economic conditions. The allowance for losses on conventional mortgage loans also factors in the credit enhancement under the MPF program. Any incurred losses that are expected to be recovered from the credit enhancements are not reserved as part of the Bank’s allowance for loan losses. The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income until it recovers all interest, and then as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Collateral-dependent loans that are on nonaccrual status are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. A collateral-dependent loan is impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal and interest on the loan. Interest income on impaired loans is recognized in the same manner as it is for nonaccrual loans noted above. The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. A charge-off is recorded if the recorded investment in the loan will not be recovered. The Bank considers the key credit quality indicator for conventional mortgage loans to be the payment status of each loan. The table below summarizes the recorded investment by payment status for mortgage loans at March 31, 2019 and December 31, 2018 (dollars in thousands). March 31, 2019 December 31, 2018 Conventional Loans Government- Guaranteed/ Insured Loans Total Conventional Loans Government- Guaranteed/ Insured Loans Total Mortgage loans: 30-59 days delinquent $ 13,101 $ 634 $ 13,735 $ 11,241 $ 614 $ 11,855 60-89 days delinquent 2,645 17 2,662 1,816 135 1,951 90 days or more delinquent 2,359 213 2,572 1,410 156 1,566 Total past due 18,105 864 18,969 14,467 905 15,372 Total current loans 2,575,279 14,544 2,589,823 2,166,660 15,139 2,181,799 Total mortgage loans $ 2,593,384 $ 15,408 $ 2,608,792 $ 2,181,127 $ 16,044 $ 2,197,171 Other delinquency statistics: In process of foreclosure (1) $ 1,044 $ — $ 1,044 $ 481 $ 77 $ 558 Serious delinquency rate (2) 0.1 % 1.4 % 0.1 % 0.1 % 1.0 % 0.1 % Past due 90 days or more and still accruing interest (3) $ — $ 213 $ 213 $ — $ 156 $ 156 Nonaccrual loans $ 2,359 $ — $ 2,359 $ 1,410 $ — $ 1,410 Troubled debt restructurings $ — $ — $ — $ — $ — $ — _____________________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio. (3) Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due. At March 31, 2019 and December 31, 2018 , the Bank’s other assets included $27,000 and $7,000 , respectively, of real estate owned. Mortgage loans are considered impaired when, based upon current information and events, it is probable that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement. Each nonaccrual mortgage loan and each troubled debt restructuring is specifically reviewed for impairment. At March 31, 2019 and December 31, 2018 , the Bank did not have any troubled debt restructurings related to mortgage loans. At these dates, the estimated value of the collateral securing each nonaccrual loan, plus the estimated amount that can be recovered through credit enhancements and mortgage insurance, if any, exceeded the outstanding loan amount. Therefore, no specific reserve was established for any of the nonaccrual mortgage loans. The remaining conventional mortgage loans were evaluated for impairment on a pool basis. Based upon the current and past performance of these loans and current economic conditions, the Bank determined that an allowance for loan losses of $611,000 was adequate to reserve for credit losses in its conventional mortgage loan portfolio at March 31, 2019 . The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the three months ended March 31, 2019 and 2018 (in thousands): Three Months Ended March 31, 2019 2018 Balance, beginning of period $ 493 $ 271 Provision for credit losses 118 — Balance, end of period $ 611 $ 271 The following table presents information regarding the balances of the Bank's conventional mortgage loans held for portfolio that were individually or collectively evaluated for impairment as well as information regarding the ending balance of the allowance for credit losses as of March 31, 2019 and December 31, 2018 (in thousands). March 31, 2019 December 31, 2018 Ending balance of allowance for credit losses related to loans collectively evaluated for impairment $ 611 $ 493 Recorded investment Individually evaluated for impairment $ 2,359 $ 1,410 Collectively evaluated for impairment 2,591,025 2,179,717 $ 2,593,384 $ 2,181,127 |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | Consolidated Obligations Consolidated obligations are the joint and several obligations of the FHLBanks and consist of consolidated obligation bonds and discount notes. Consolidated obligations are backed only by the financial resources of the 11 FHLBanks. Consolidated obligations are not obligations of, nor are they guaranteed by, the U.S. government. The FHLBanks issue consolidated obligations through the Office of Finance as their agent. In connection with each debt issuance, one or more of the FHLBanks specifies the amount of debt it wants issued on its behalf; the Bank receives the proceeds of only the debt issued on its behalf and records on its statements of condition only that portion of the consolidated obligations for which it has received the proceeds. Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes are issued to raise short-term funds and have maturities of one year or less. These notes are issued at a price that is less than their face amount and are redeemed at par value when they mature. For additional information regarding the FHLBanks’ joint and several liability on consolidated obligations, see Note 16. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations, including consolidated obligations held as investments by other FHLBanks, were approximately $1.011 trillion and $1.032 trillion at March 31, 2019 and December 31, 2018 , respectively. The Bank was the primary obligor on $64.3 billion and $68.0 billion (at par value), respectively, of these consolidated obligations. Interest Rate Payment Terms. The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at March 31, 2019 and December 31, 2018 (in thousands, at par value). March 31, 2019 December 31, 2018 Fixed-rate $ 17,595,925 $ 15,606,555 Variable-rate 5,248,000 10,029,850 Step-up 3,697,500 6,202,500 Step-down 275,000 275,000 Total par value $ 26,816,425 $ 32,113,905 At March 31, 2019 and December 31, 2018 , 80 percent and 90 percent, respectively, of the Bank’s fixed-rate consolidated obligation bonds were swapped to a variable rate. Redemption Terms. The following is a summary of the Bank’s consolidated obligation bonds outstanding at March 31, 2019 and December 31, 2018 , by contractual maturity (dollars in thousands): March 31, 2019 December 31, 2018 Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in one year or less $ 10,497,705 2.14 % $ 14,798,025 2.11 % Due after one year through two years 4,335,200 2.11 4,943,910 2.07 Due after two years through three years 4,228,190 2.24 4,093,605 2.12 Due after three years through four years 2,958,850 2.31 2,686,995 2.24 Due after four years through five years 1,688,060 2.81 2,641,210 2.92 Due after five years 3,108,420 2.62 2,950,160 2.58 Total par value 26,816,425 2.27 % 32,113,905 2.22 % Premiums 1,914 2,241 Discounts (1,031 ) (1,295 ) Debt issuance costs (3,561 ) (3,295 ) Hedging adjustments (67,386 ) (179,627 ) Total $ 26,746,361 $ 31,931,929 At March 31, 2019 and December 31, 2018 , the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value): March 31, 2019 December 31, 2018 Non-callable bonds $ 17,710,425 $ 20,662,505 Callable bonds 9,106,000 11,451,400 Total par value $ 26,816,425 $ 32,113,905 The following table summarizes the Bank’s consolidated obligation bonds outstanding at March 31, 2019 and December 31, 2018 , by the earlier of contractual maturity or next possible call date (in thousands, at par value): Contractual Maturity or Next Call Date March 31, 2019 December 31, 2018 Due in one year or less $ 18,996,705 $ 23,532,425 Due after one year through two years 3,320,200 3,804,410 Due after two years through three years 1,636,190 1,931,605 Due after three years through four years 1,682,850 1,618,095 Due after four years through five years 859,060 971,210 Due after five years 321,420 256,160 Total par value $ 26,816,425 $ 32,113,905 Discount Notes. At March 31, 2019 and December 31, 2018 , the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands): Book Value Par Value Weighted Average Implied Interest Rate March 31, 2019 $ 37,369,065 $ 37,533,190 2.39 % December 31, 2018 $ 35,731,713 $ 35,882,027 2.30 % |
Affordable Housing Program ("AH
Affordable Housing Program ("AHP") | 3 Months Ended |
Mar. 31, 2019 | |
Affordable Housing Program (“AHP”) [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program (“AHP”) The following table summarizes the changes in the Bank’s AHP liability during the three months ended March 31, 2019 and 2018 (in thousands): Three Months Ended March 31, 2019 2018 Balance, beginning of period $ 44,358 $ 31,246 AHP assessment 6,494 4,640 Grants funded, net of recaptured amounts (5,116 ) (3,712 ) Balance, end of period $ 45,736 $ 32,174 |
Assets and Liabilities Subject
Assets and Liabilities Subject to Offsetting | 3 Months Ended |
Mar. 31, 2019 | |
Assets and Liabilities Subject to Offsetting [Abstract] | |
Assets and Liabilities Subject to Offsetting [Text Block] | Assets and Liabilities Subject to Offsetting The Bank has derivatives and securities purchased under agreements to resell that are subject to enforceable master netting agreements or similar arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. The Bank did not have any liabilities that were eligible to offset its securities purchased under agreements to resell (i.e., securities sold under agreements to repurchase) as of March 31, 2019 or December 31, 2018 . The Bank's derivative transactions are executed either bilaterally or, if required, cleared through a third-party central clearinghouse. The Bank has entered into master agreements with each of its bilateral derivative counterparties that provide for the netting of all transactions with each of these counterparties. Under its master agreements with its non-member bilateral derivative counterparties, collateral is delivered (or returned) daily when certain thresholds (ranging from $ 50,000 to $ 500,000 ) are met. The Bank offsets the fair value amounts recognized for bilaterally traded derivatives executed with the same counterparty, including any cash collateral remitted to or received from the counterparty. When entering into derivative transactions with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions with members consists of collateral that is eligible to secure advances and other obligations under the member's Advances and Security Agreement with the Bank. The Bank is not required to pledge collateral to its members to secure derivative positions. For cleared derivatives, all transactions with each clearing member of each clearinghouse are netted pursuant to legally enforceable setoff rights. Cleared derivatives are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Effective January 3, 2017, one of the Bank's two clearinghouse counterparties made certain amendments to its rulebook that changed the legal characterization of variation margin payments on cleared derivatives to settlements on the contracts. Effective January 16, 2018, the Bank's other clearinghouse counterparty made similar amendments to its rulebook. Prior to the dates upon which these amendments became effective, the variation margin payments were in each case characterized as collateral pledged to secure outstanding credit exposure on the derivative contracts. Initial and variation margin (regardless of whether it is characterized as collateral or settlements) is typically delivered/paid (or returned/received) daily and is not subject to any maximum unsecured thresholds. The Bank offsets the fair value amounts recognized for cleared derivatives transacted with each clearing member of each clearinghouse (which fair value amounts include variation margin paid or received on daily settled contracts) and any cash collateral pledged or received. The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of March 31, 2019 and December 31, 2018 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities. Gross Amounts of Recognized Financial Instruments Gross Amounts Offset in the Statement of Condition Net Amounts Presented in the Statement of Condition Collateral Not Offset in the Statement of Condition (1) Net Unsecured Amount March 31, 2019 Assets Derivatives Bilateral derivatives $ 25,345 $ (17,070 ) $ 8,275 $ (4,185 ) (2) $ 4,090 Cleared derivatives 48,099 (4,046 ) 44,053 — 44,053 Total derivatives 73,444 (21,116 ) 52,328 (4,185 ) 48,143 Securities purchased under agreements to resell 5,515,000 — 5,515,000 (5,515,000 ) — Total assets $ 5,588,444 $ (21,116 ) $ 5,567,328 $ (5,519,185 ) $ 48,143 Liabilities Derivatives Bilateral derivatives $ 148,753 $ (134,076 ) $ 14,677 $ — $ 14,677 Cleared derivatives 9,466 (4,053 ) 5,413 (5,413 ) (3) — Total liabilities $ 158,219 $ (138,129 ) $ 20,090 $ (5,413 ) $ 14,677 December 31, 2018 Assets Derivatives Bilateral derivatives $ 35,923 $ (26,074 ) $ 9,849 $ (3,380 ) (2) $ 6,469 Cleared derivatives 7,773 (7,744 ) 29 — 29 Total derivatives 43,696 (33,818 ) 9,878 (3,380 ) 6,498 Securities purchased under agreements to resell 6,215,000 — 6,215,000 (6,215,000 ) — Total assets $ 6,258,696 $ (33,818 ) $ 6,224,878 $ (6,218,380 ) $ 6,498 Liabilities Derivatives Bilateral derivatives $ 189,654 $ (181,022 ) $ 8,632 $ — $ 8,632 Cleared derivatives 45,025 (7,666 ) 37,359 (37,359 ) (4) — Total liabilities $ 234,679 $ (188,688 ) $ 45,991 $ (37,359 ) $ 8,632 _____________________________ (1) Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount. (2) Consists of collateral pledged by member counterparties. (3) Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $737,236,000 at March 31, 2019 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. (4) Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $675,188,000 at December 31, 2018 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Derivatives and Hedging Activities Hedging Activities. As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. The Bank enters into interest rate swap, swaption, cap and forward rate agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates. The Bank may use these instruments to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. In addition, the Bank may use these instruments to hedge the variable cash flows associated with forecasted transactions. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives and, as of March 31, 2019 , it was not a party to any forward rate agreements. The Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some other defined risk (referred to as an “economic hedge”). For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets (both advances and investments), and/or to adjust the interest rate sensitivity of advances or investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank also uses interest rate exchange agreements to, among other things, manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities, to hedge the duration risk of prepayable instruments, to hedge the variable cash flows associated with forecasted transactions, to offset interest rate exchange agreements entered into with members (the Bank serves as an intermediary in these transactions), and to reduce funding costs. The Bank, consistent with Finance Agency regulations, enters into interest rate exchange agreements only to reduce potential market risk exposures inherent in otherwise unhedged assets and liabilities or anticipated transactions, or to act as an intermediary between its members and the Bank’s non-member derivative counterparties. The Bank is not a derivatives dealer and it does not trade derivatives for short-term profit. At inception, the Bank formally documents the relationships between derivatives designated as hedging instruments and their hedged items, its risk management objectives and strategies for undertaking the hedge transactions, and its method for assessing the effectiveness of the hedging relationships. For fair value hedges, this process includes linking the derivatives to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. For cash flow hedges, this process includes linking the derivatives to forecasted transactions. The Bank also formally assesses (both at the inception of the hedging relationship and on a monthly basis thereafter) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items or the cash flows associated with forecasted transactions and whether those derivatives may be expected to remain effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges. Investment Securities and Mortgage Loans Held for Portfolio — The Bank has invested in agency and non-agency MBS and residential mortgage loans. The interest rate and prepayment risk associated with these investments is managed through consolidated obligations and/or derivatives. The Bank may manage prepayment and duration risk presented by some of these investments with either callable and/or non-callable consolidated obligations and/or interest rate exchange agreements, including interest rate swaps, swaptions and caps. A substantial portion of the Bank’s held-to-maturity securities are variable-rate MBS that include caps that would limit the variable-rate coupons if short-term interest rates rise dramatically. To hedge a portion of the potential cap risk embedded in these securities, the Bank has entered into interest rate cap agreements. These derivatives are treated as economic hedges. All of the Bank's available-for-sale securities are fixed-rate agency and other highly rated debentures and agency commercial MBS. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank has entered into fixed-for-floating interest rate exchange agreements, which are designated as fair value hedges. Approximately one-half of the Bank's trading securities are fixed-rate U.S. Treasury Notes that were acquired with short remaining terms to maturity. To convert some of these fixed-rate investment securities to a short-term floating rate, the Bank entered into fixed-for-floating interest rate exchange agreements that are indexed to the overnight index swap ("OIS") rate. These derivatives are treated as economic hedges. The interest rate swaps and swaptions that are used by the Bank to hedge the risks associated with its mortgage loan portfolio are treated as economic hedges. Advances — The Bank issues both fixed-rate and variable-rate advances. When appropriate, the Bank uses interest rate exchange agreements to adjust the interest rate sensitivity of its fixed-rate advances to approximate more closely the interest rate sensitivity of its liabilities. With issuances of putable advances, the Bank purchases from the member a put option that enables the Bank to terminate a fixed-rate advance on specified future dates. This embedded option is clearly and closely related to the host advance contract. The Bank typically hedges a putable advance by entering into a cancelable interest rate exchange agreement where the Bank pays a fixed-rate coupon and receives a variable-rate coupon, and sells an option to cancel the swap to the swap counterparty. This type of hedge is treated as a fair value hedge. The swap counterparty can cancel the interest rate exchange agreement on the call date and the Bank can cancel the putable advance and offer, subject to certain conditions, replacement funding at prevailing market rates. A small portion of the Bank’s variable-rate advances are subject to interest rate caps that would limit the variable-rate coupons if short-term interest rates rise above a predetermined level. To hedge the cap risk embedded in these advances, the Bank generally enters into interest rate cap agreements. This type of hedge is treated as a fair value hedge. The Bank may hedge a firm commitment for a forward-starting advance through the use of an interest rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The carrying value of the firm commitment will be included in the basis of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment will then be amortized into interest income over the life of the advance. The Bank enters into optional advance commitments with its members. In an optional advance commitment, the Bank sells an option to the member that provides the member with the right to increase the amount of an existing advance at a specified fixed rate and term on a specified future date, provided the member has satisfied all of the customary requirements for such advance. This embedded option is clearly and closely related to the host contract. The Bank may hedge an optional advance commitment through the use of an interest rate swaption. In this case, the swaption will function as the hedging instrument for both the commitment and, if the option is exercised by the member, the subsequent advance. These swaptions are treated as fair value hedges. Consolidated Obligations — While consolidated obligations are the joint and several obligations of the FHLBanks, each FHLBank is the primary obligor for the consolidated obligations it has issued or assumed from another FHLBank. The Bank generally enters into derivative contracts to hedge the interest rate risk associated with its specific debt issuances. To manage the interest rate risk of certain of its consolidated obligations, the Bank will match the cash outflow on a consolidated obligation with the cash inflow of an interest rate exchange agreement. With issuances of fixed-rate consolidated obligation bonds, the Bank typically enters into a matching interest rate exchange agreement in which the counterparty pays fixed cash flows to the Bank that are designed to mirror in timing and amount the cash outflows the Bank pays on the consolidated obligation. In this transaction, the Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate assets, typically one-month or three-month LIBOR. These transactions are treated as fair value hedges. On occasion, the Bank may enter into fixed-for-floating interest rate exchange agreements to hedge the interest rate risk associated with certain of its consolidated obligation discount notes. The derivatives associated with the Bank’s fair value discount note hedging are treated as economic hedges. The Bank may also use interest rate exchange agreements to convert variable-rate consolidated obligation bonds from one index rate (e.g., the daily effective federal funds rate) to another index rate (e.g., one-month or three-month LIBOR). These transactions are treated as economic hedges. The Bank has not issued consolidated obligations denominated in currencies other than U.S. dollars. Forecasted Issuances of Consolidated Obligations — The Bank uses derivatives to hedge the variability of cash flows over a specified period of time as a result of the forecasted issuances and maturities of short-term, fixed-rate instruments, such as three-month consolidated obligation discount notes. Although each short-term consolidated obligation discount note has a fixed rate of interest, a portfolio of rolling consolidated obligation discount notes effectively has a variable interest rate. The variable cash flows associated with these liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The maturity dates of the cash flow streams are closely matched to the interest rate reset dates of the derivatives. These derivatives are treated as cash flow hedges. Balance Sheet Management — From time to time, the Bank may enter into interest rate basis swaps to reduce its exposure to changing spreads between one-month and three-month LIBOR. In addition, to reduce its exposure to reset risk, the Bank may occasionally enter into forward rate agreements. These derivatives are treated as economic hedges. Intermediation — The Bank offers interest rate swaps, caps and floors to its members to assist them in meeting their hedging needs. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties. All interest rate exchange agreements related to the Bank’s intermediary activities with its members are accounted for as economic hedges. Other — From time to time, the Bank may enter into derivatives to hedge risks to its earnings that are not directly linked to specific assets, liabilities or forecasted transactions. These derivatives are treated as economic hedges. Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “ Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances. As discussed in Note 2, effective January 1, 2019, the Bank adopted ASU 2017-12, which, among other things, impacts the presentation of gains/losses on derivatives and hedging activities for qualifying hedges. Beginning January 1, 2019, any fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate). Prior to January 1, 2019, any fair value hedge ineffectiveness was recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities” while the net interest income/expense associated with the derivative was recorded as a component of net interest income. On and after January 1, 2019, all changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes). Prior to January 1, 2019, changes in the fair value of a derivative that was designated and qualified as a cash flow hedge, to the extent that the hedge was effective, were recorded in AOCI until earnings were affected by the variability of the cash flows of the hedged transaction. Any ineffective portion of a cash flow hedge (which represented the amount by which the change in the fair value of the derivative differed from the change in fair value of a hypothetical derivative having terms that match identically the critical terms of the hedged forecasted transaction) was recognized in other income (loss) as “net gains (losses) on derivatives and hedging activities.” An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date. Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities." When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported. In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Impact of Derivatives and Hedging Activities. The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at March 31, 2019 and December 31, 2018 (in thousands). March 31, 2019 December 31, 2018 Notional Amount of Derivatives Estimated Fair Value Notional Amount of Derivatives Estimated Fair Value Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments under ASC 815 Interest rate swaps Advances $ 7,437,559 $ 6,630 $ 54,700 $ 7,171,033 $ 4,273 $ 36,521 Available-for-sale securities 15,941,072 41,393 15,717 15,981,523 8,501 55,202 Consolidated obligation bonds 17,154,740 15,653 75,309 19,824,055 21,112 130,806 Consolidated obligation discount notes 913,000 2,817 — 865,000 — 2,480 Total derivatives designated as hedging instruments under ASC 815 41,446,371 66,493 145,726 43,841,611 33,886 225,009 Derivatives not designated as hedging instruments under ASC 815 Interest rate swaps Advances — — — 2,500 — — Available-for-sale securities 3,156 6 — 3,156 — 10 Mortgage loans held for portfolio 160,600 125 755 150,600 158 198 Trading securities 1,163,000 94 — 1,713,000 5 39 Intermediary transactions 1,177,771 4,309 9,941 1,228,345 3,742 6,245 Other 425,000 — 787 425,000 1,425 — Interest rate swaptions related to mortgage loans held for portfolio 215,000 1,269 — 185,000 1,234 — Mortgage delivery commitments 23,114 137 — 11,687 62 — Interest rate caps and floors Held-to-maturity securities 750,000 1 — 1,000,000 6 — Intermediary transactions 363,000 1,010 1,010 541,000 3,178 3,178 Total derivatives not designated as hedging instruments under ASC 815 4,280,641 6,951 12,493 5,260,288 9,810 9,670 Total derivatives before collateral and netting adjustments $ 45,727,012 73,444 158,219 $ 49,101,899 43,696 234,679 Cash collateral and related accrued interest (9,487 ) (126,492 ) (9,287 ) (164,237 ) Cash received or remitted in excess of variation margin requirements — (8 ) (93 ) (13 ) Netting adjustments (11,629 ) (11,629 ) (24,438 ) (24,438 ) Total collateral and netting adjustments (1) (21,116 ) (138,129 ) (33,818 ) (188,688 ) Net derivative balances reported in statements of condition $ 52,328 $ 20,090 $ 9,878 $ 45,991 _____________________________ (1) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties. The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the three months ended March 31, 2019 and 2018 (in thousands). Interest Income (Expense) Advances Available-for-Sale Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes Net Gains (Losses) on Derivatives and Hedging Activities Other Comprehensive Income (Loss) Three Months Ended March 31, 2019 Total amount of the financial statement line item $ 237,864 $ 119,008 $ (190,768 ) $ (196,251 ) $ 8,766 $ 31,201 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ (35,083 ) $ (283,861 ) $ 93,225 $ — $ — $ — Hedged items 48,096 298,786 (112,240 ) — — — Net gains (losses) on fair value hedging relationships $ 13,013 $ 14,925 $ (19,015 ) $ — $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ 807 $ — $ (807 ) Recognized in OCI — — — — — (20,390 ) Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ 807 $ — $ (21,197 ) Three Months Ended March 31, 2018 (1) Total amount of the financial statement line item $ 155,345 $ 79,958 $ (128,145 ) $ (94,536 ) $ 1,823 $ 55,301 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ (1,698 ) $ (11,682 ) $ 1,765 $ — $ 232,203 $ — Hedged items (2) — — — — (220,298 ) — Net gains (losses) on fair value hedging relationships $ (1,698 ) $ (11,682 ) $ 1,765 $ — $ 11,905 $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (310 ) $ — $ 310 Recognized in OCI — — — — — 13,840 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (310 ) $ — $ 14,150 _____________________________ (1) Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. (2) Excludes amortization/accretion on closed fair value relationships. For the three months ended March 31, 2019 and 2018 , there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At March 31, 2019 , $1,940,000 of deferred net gains on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At March 31, 2019 , the maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 10 years. The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of March 31, 2019 . Line Item in Statement of Condition of Hedged Item Amortized Cost of Hedged Asset/(Liability) (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Total Fair Value Hedging Basis Adjustments (2) Advances $ 7,487,138 $ 52,353 $ 6,006 $ 58,359 Available-for-sale securities 15,965,009 (151,980 ) (1,079 ) (153,059 ) Consolidated obligation bonds (17,189,554 ) 67,969 (583 ) 67,386 _____________________________ (1) Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments. (2) Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items. The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the three months ended March 31, 2019 and 2018 (in thousands). Gain (Loss) Recognized in Other Income for the Three Months Ended March 31, 2019 2018 Derivatives and hedged items in ASC 815 fair value hedging relationships (1) Interest rate swaps $ — $ 11,880 Interest rate swaptions — 25 Total net gain related to fair value hedge ineffectiveness — 11,905 Derivatives not designated as hedging instruments under ASC 815 Interest rate swaps 8,565 (9,028 ) Net interest income (expense) on interest rate swaps (1,023 ) 175 Interest rate swaptions (229 ) — Interest rate caps and floors 85 11 Mortgage delivery commitments 1,261 51 Total net gain (loss) related to derivatives not designated as hedging instruments under ASC 815 8,659 (8,791 ) Price alignment amount on variation margin for daily settled derivative contracts (2) 107 (1,291 ) Net gains on derivatives and hedging activities reported in other income $ 8,766 $ 1,823 _____________________________ (1) For the three months ended March 31, 2019, all of the effects of derivatives and associated hedged items in ASC 815 fair value hedging relationships are reported in net interest income. (2) The amount reported for the three months ended March 31, 2019 reflects the price alignment amount on variation margin for daily settled derivative contracts that are not designated as hedging instruments under ASC 815. The price alignment amount on variation margin for daily settled derivative contracts that are designated as hedging instruments under ASC 815 is recorded in the same line item as the earnings effect of the hedged item. The amount reported for the three months ended March 31, 2018 reflects the price alignment amount on variation margin for all daily settled derivative contracts. Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy, and Finance Agency regulations. The majority of the Bank's derivative contracts have been cleared through third-party central clearinghouses (as of March 31, 2019 , the notional balance of cleared transactions outstanding totaled $29.8 billion ). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions (as of March 31, 2019 , the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties totaled $15.1 billion and $0.8 billion , respectively). Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations. The notional amount of the Bank's interest rate exchange agreements does not reflect its credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current m |
Capital
Capital | 3 Months Ended |
Mar. 31, 2019 | |
Capital [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | Capital At all times during the three months ended March 31, 2019 , the Bank was in compliance with all applicable statutory and regulatory capital requirements. The following table summarizes the Bank’s compliance with those capital requirements as of March 31, 2019 and December 31, 2018 (dollars in thousands): March 31, 2019 December 31, 2018 Required Actual Required Actual Regulatory capital requirements: Risk-based capital $ 1,044,976 $ 3,559,945 $ 1,159,443 $ 3,643,234 Total capital $ 2,761,500 $ 3,559,945 $ 2,910,932 $ 3,643,234 Total capital-to-assets ratio 4.00 % 5.16 % 4.00 % 5.01 % Leverage capital $ 3,451,875 $ 5,339,918 $ 3,638,665 $ 5,464,851 Leverage capital-to-assets ratio 5.00 % 7.73 % 5.00 % 7.51 % Members are required to maintain an investment in Class B Capital Stock equal to the sum of a membership investment requirement and an activity-based investment requirement. The membership investment requirement is currently 0.04 percent of each member’s total assets as of December 31, 2018 , subject to a minimum of $1,000 and a maximum of $7,000,000 . The activity-based investment requirement is currently 4.1 percent of outstanding advances, except as described below. On September 21, 2015, the Bank announced a Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for certain advances that were funded during the period from October 21, 2015 through December 31, 2015. To be eligible for the reduced activity-based investment requirement, advances funded during this period had to have a minimum maturity of one year or greater, among other things. The standard activity-based stock investment requirement of 4.1 percent continued to apply to all other advances that were funded during the period from October 21, 2015 through December 31, 2015. The Bank generally repurchases surplus stock quarterly. For the repurchase that occurred during the three months ended March 31, 2019 , surplus stock was defined as the amount of stock held by a member shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For that repurchase, which occurred on March 26, 2019 , a member shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,500,000 or less, (2) the shareholder elected to opt-out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). On March 26, 2019 , the Bank repurchased surplus stock totaling $202,498,000 , none of which was classified as mandatorily redeemable capital stock at that date. From time to time, the Bank may modify the definition of surplus stock or the timing and/or frequency of surplus stock repurchases. On March 26, 2019 , the Bank also repurchased all excess stock held by non-member shareholders as of that date. This excess stock, all of which was classified as mandatorily redeemable capital stock at that date, totaled $1,596,000 . |
Employee Retirement Plans
Employee Retirement Plans | 3 Months Ended |
Mar. 31, 2019 | |
Employee Retirement Plans [Abstract] | |
Pension and Other Postretirement Benefits Disclosure [Text Block] | Employee Retirement Plans The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three months ended March 31, 2019 and 2018 were as follows (in thousands): Three Months Ended March 31, 2019 2018 Service cost $ 7 $ 5 Interest cost 5 5 Amortization of prior service cost 5 5 Amortization of net actuarial gain (23 ) (26 ) Net periodic benefit credit $ (6 ) $ (11 ) The Bank reports the service cost component of its net periodic postretirement benefit cost (credit) in compensation and benefits expense and the other components of net periodic postretirement benefit cost (credit) in "other, net" in the other income (loss) section of the statement of income. |
Estimated Fair Values
Estimated Fair Values | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | Estimated Fair Values Fair value is defined under U.S. GAAP as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. U.S. GAAP also requires an entity to disclose the level within the fair value hierarchy in which each measurement is classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. Level 2 Inputs — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data (e.g., implied spreads). Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs. For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Reclassifications, if any, would be reported as transfers as of the beginning of the quarter in which the changes occurred. For the three months ended March 31, 2019 and 2018 , the Bank did not reclassify any fair value measurements. The following estimated fair value amounts have been determined by the Bank using available market information and management’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of March 31, 2019 and December 31, 2018 . Although management uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for many of the Bank’s financial instruments (e.g., advances, non-agency RMBS and mortgage loans held for portfolio), in certain cases their fair values are not subject to precise quantification or verification. Therefore, the estimated fair values presented below in the Fair Value Summary Tables may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Further, the fair values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities. The valuation techniques used to measure the fair values of the Bank’s financial instruments that are measured at fair value on the statement of condition are described below. Trading and available-for-sale securities. To value its U.S. Treasury Notes and Bills classified as trading securities and all of its available-for-sale securities, the Bank obtains prices from three designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. A "median" price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. All prices that are within a specified tolerance threshold of the median price are included in the “cluster” of prices that are averaged to compute a “default” price. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. As of March 31, 2019 and December 31, 2018 , three vendor prices were received for substantially all of the Bank’s trading and available-for-sale securities and the final prices for substantially all of those securities were computed by averaging the three prices. Based on the Bank's understanding of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers, the Bank's additional analyses), the Bank believes its final prices result in reasonable estimates of the fair values and that the fair value measurements are classified appropriately in the fair value hierarchy. Derivative assets/liabilities . The fair values of the Bank’s interest rate swap and swaption agreements are estimated using a pricing model with inputs that are observable in the market (e.g., the relevant interest rate curves (that is, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve) and, for agreements containing options, swaption volatility). The fair values of the Bank’s interest rate caps and floors are also estimated using a pricing model with inputs that are observable in the market (that is, cap/floor volatility, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve). As the collateral (or variation margin in the case of daily settled contracts) and netting provisions of the Bank’s arrangements with its derivative counterparties significantly reduce the risk from nonperformance (see Note 11), the Bank does not consider its own nonperformance risk or the nonperformance risk associated with each of its counterparties to be a significant factor in the valuation of its derivative assets and liabilities. The Bank compares the fair values obtained from its pricing model to clearinghouse valuations (in the case of cleared derivatives) and non-binding dealer estimates (in the case of bilateral derivatives) and may also compare its fair values to those of similar instruments to ensure that the fair values are reasonable. The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties; the estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of the Bank's bilateral derivatives are netted by counterparty pursuant to the provisions of the credit support annexes to the Bank’s master netting agreements with its non-member bilateral derivative counterparties. The Bank's cleared derivative transactions with each clearing member of each clearinghouse are netted pursuant to the Bank's arrangements with those parties. In each case, if the netted amounts are positive, they are classified as an asset and, if negative, as a liability. The Bank estimates the fair values of mortgage delivery commitments based upon the prices for to-be-announced ("TBA") securities, which represent quoted market prices for forward-settling agency MBS. The prices are adjusted for differences in coupon, cost to carry, vintage, remittance type and product type between the Bank's mortgage loan commitments and the referenced TBA MBS. Other assets held at fair value. To value its mutual fund investments included in other assets, the Bank obtains quoted prices for the mutual funds. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at March 31, 2019 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE Estimated Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (4) Assets: Cash and due from banks $ 47,497 $ 47,497 $ 47,497 $ — $ — $ — Interest-bearing deposits 1,256,255 1,256,255 — 1,256,255 — — Securities purchased under agreements to resell 5,515,000 5,515,000 — 5,515,000 — — Federal funds sold 2,125,000 2,125,000 — 2,125,000 — — Trading securities (1) 3,592,104 3,592,104 — 3,592,104 — — Available-for-sale securities (1) 16,135,812 16,135,812 — 16,135,812 — — Held-to-maturity securities 1,416,816 1,431,789 — 1,355,655 (2) 76,134 (3) — Advances 36,096,595 36,066,088 — 36,066,088 — — Mortgage loans held for portfolio, net 2,594,412 2,604,052 — 2,604,052 — — Accrued interest receivable 162,010 162,010 — 162,010 — — Derivative assets (1) 52,328 52,328 — 73,444 — (21,116 ) Other assets held at fair value (1) 12,341 12,341 12,341 — — — Liabilities: Deposits 792,046 792,101 — 792,101 — — Consolidated obligations Discount notes 37,369,065 37,362,270 — 37,362,270 — — Bonds 26,746,361 26,712,206 — 26,712,206 — — Mandatorily redeemable capital stock 7,753 7,753 7,753 — — — Accrued interest payable 134,076 134,076 — 134,076 — — Derivative liabilities (1) 20,090 20,090 — 158,219 — (138,129 ) ___________________________ (1) Financial instruments measured at fair value on a recurring basis as of March 31, 2019 . (2) Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS and GSE RMBS. (3) Consists of the Bank's holdings of non-agency RMBS. (4) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2018 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE Estimated Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (4) Assets: Cash and due from banks $ 35,157 $ 35,157 $ 35,157 $ — $ — $ — Interest-bearing deposits 2,500,317 2,500,317 — 2,500,317 — — Securities purchased under agreements to resell 6,215,000 6,215,000 — 6,215,000 — — Federal funds sold 1,731,000 1,731,000 — 1,731,000 — — Trading securities (1) 1,818,178 1,818,178 — 1,818,178 — — Available-for-sale securities (1) 15,825,155 15,825,155 — 15,825,155 — — Held-to-maturity securities 1,462,279 1,478,691 — 1,400,536 (2) 78,155 (3) — Advances 40,793,813 40,720,636 — 40,720,636 — — Mortgage loans held for portfolio, net 2,185,503 2,161,720 — 2,161,720 — — Accrued interest receivable 152,670 152,670 — 152,670 — — Derivative assets (1) 9,878 9,878 — 43,696 — (33,818 ) Other assets held at fair value (1) 12,376 12,376 12,376 — — — Liabilities: Deposits 963,992 964,017 — 964,017 — — Consolidated obligations Discount notes 35,731,713 35,723,208 — 35,723,208 — — Bonds 31,931,929 31,850,858 — 31,850,858 — — Mandatorily redeemable capital stock 6,979 6,979 6,979 — — — Accrued interest payable 122,938 122,938 — 122,938 — — Derivative liabilities (1) 45,991 45,991 — 234,679 — (188,688 ) ___________________________ (1) Financial instruments measured at fair value on a recurring basis as of December 31, 2018 . (2) Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS and GSE RMBS. (3) Consists of the Bank's holdings of non-agency RMBS. (4) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | Commitments and Contingencies Joint and several liability. The Bank is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. At March 31, 2019 , the par amount of the other 10 FHLBanks’ outstanding consolidated obligations was approximately $947 billion . The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any consolidated obligation payment on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank with primary liability. However, if the Finance Agency determines that the primary obligor is unable to satisfy its obligations, then the Finance Agency may allocate the outstanding liability among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding, or on any other basis that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary obligor; as a result, the regulatory provisions for directing other FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked. If the Bank expected that it would be required to pay any amounts on behalf of its co-obligors under its joint and several liability, the Bank would charge to income the amount of the expected payment. Based upon the creditworthiness of the other FHLBanks, the Bank currently believes that the likelihood that it would have to pay any amounts beyond those for which it is primarily liable is remote. Other commitments and contingencies. At March 31, 2019 and December 31, 2018 , the Bank had commitments to make additional advances totaling approximately $9,323,000 and $124,223,000 , respectively. In addition, outstanding standby letters of credit totaled $18,716,053,000 and $18,538,265,000 at March 31, 2019 and December 31, 2018 , respectively. Based on management’s credit analyses and collateral requirements, the Bank does not deem it necessary to have any provision for credit losses on these letters of credit (see Note 8). In late 2017 and June 2018, the Bank entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. Each standby bond purchase agreement includes the provisions under which the Bank would be required to purchase the bonds. At both March 31, 2019 and December 31, 2018 , the Bank had outstanding standby bond purchase agreements totaling $449,890,000 , of which $196,671,000 and $253,219,000 expire in 2022 and 2023, respectively. The Bank was not required to purchase any bonds under these agreements during the three months ended March 31, 2019 or the year ended December 31, 2018 . At March 31, 2019 and December 31, 2018 , the Bank had commitments to purchase conventional mortgage loans totaling $23,114,000 and $11,687,000 , respectively, from certain of its members that participate in the MPF program. At March 31, 2019 and December 31, 2018 , the Bank had commitments to issue $300,000,000 and $20,000,000 , respectively, of consolidated obligation bonds, all of which were hedged with interest rate swaps. In addition, at March 31, 2019 and December 31, 2018 , the Bank had commitments to issue $342,121,000 and $323,652,000 (par value) of consolidated obligation discount notes, none of which were hedged. The Bank has transacted interest rate exchange agreements with large financial institutions and third-party clearinghouses that are subject to collateral exchange arrangements. As of March 31, 2019 and December 31, 2018 , the Bank had pledged cash collateral of $126,245,000 and $163,887,000 , respectively, to those parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged cash collateral (i.e., interest-bearing deposit asset) is netted against derivative assets and liabilities in the statements of condition. In addition, as of March 31, 2019 and December 31, 2018 , the Bank had pledged securities with carrying values (and fair values) of $742,649,000 and $712,547,000 , respectively, to parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged securities may be rehypothecated and are not netted against derivative assets and liabilities in the statements of condition. In the ordinary course of its business, the Bank is subject to the risk that litigation may arise. Currently, the Bank is not a party to any material pending legal proceedings. |
Transactions with Shareholders
Transactions with Shareholders | 3 Months Ended |
Mar. 31, 2019 | |
Transactions with Shareholders [Abstract] | |
Transactions With Stockholders [Text Block] | Transactions with Shareholders Affiliates of two of the Bank’s derivative counterparties (Citigroup and Wells Fargo) acquired member institutions on March 31, 2005 and October 1, 2006, respectively. Since the acquisitions were completed, the Bank has continued to enter into interest rate exchange agreements with Citigroup and Wells Fargo in the normal course of business and under the same terms and conditions as before. Effective October 1, 2006, Citigroup terminated the Ninth District charter of the affiliate that acquired the member institution and, as a result, an affiliate of Citigroup became a non-member shareholder of the Bank. |
Transactions with Other FHLBank
Transactions with Other FHLBanks | 3 Months Ended |
Mar. 31, 2019 | |
Transactions with Other FHLBanks [Abstract] | |
Transactions with Other FHLBanks [Text Block] | Transactions with Other FHLBanks Occasionally, the Bank loans (or borrows) short-term federal funds to (or from) other FHLBanks. The Bank did not loan any short-term federal funds to other FHLBanks during the three months ended March 31, 2019 or 2018 . During the three months ended March 31, 2019 and 2018 , interest expense on borrowings from other FHLBanks totaled $669 and $58,264 , respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the three months ended March 31, 2019 and 2018 (in thousands). Three Months Ended March 31, 2019 2018 Balance at January 1, $ — $ — Borrowings from: FHLBank of Indianapolis 10,000 300,000 FHLBank of Boston — 175,000 FHLBank of Cincinnati — 500,000 FHLBank of Des Moines — 500,000 Repayments to: FHLBank of Indianapolis (10,000 ) (300,000 ) FHLBank of Boston — (175,000 ) FHLBank of Cincinnati — (500,000 ) FHLBank of Des Moines — (500,000 ) Balance at March 31, $ — $ — |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 3 Months Ended |
Mar. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss) [Abstract] | |
Comprehensive Income (Loss) Note [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table presents the changes in the components of AOCI for the three months ended March 31, 2019 and 2018 (in thousands). Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) Net Unrealized Gains (Losses) on Cash Flow Hedges Non-Credit Portion of Other-than-Temporary Impairment Losses on Held-to-Maturity Securities Postretirement Benefits Total AOCI Three Months Ended March 31, 2019 Balance at January 1, 2019 $ 118,980 $ 18,412 $ (10,667 ) $ 1,276 $ 128,001 Reclassifications from AOCI to net income Realized gains on sales of available-for-sale securities included in net income (440 ) — — — (440 ) Gains on cash flow hedges included in interest expense — (807 ) — — (807 ) Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (18 ) (18 ) Other amounts of other comprehensive income (loss) Net unrealized gains on available-for-sale securities 52,263 — — — 52,263 Unrealized losses on cash flow hedges — (20,390 ) — — (20,390 ) Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 593 — 593 Total other comprehensive income (loss) 51,823 (21,197 ) 593 (18 ) 31,201 Balance at March 31, 2019 $ 170,803 $ (2,785 ) $ (10,074 ) $ 1,258 $ 159,202 Three Months Ended March 31, 2018 Balance at January 1, 2018 $ 212,225 $ 20,185 $ (13,601 ) $ 1,517 $ 220,326 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 310 — — 310 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (21 ) (21 ) Other amounts of other comprehensive income Net unrealized gains on available-for-sale securities 40,399 — — — 40,399 Unrealized gains on cash flow hedges — 13,840 — — 13,840 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 773 — 773 Total other comprehensive income (loss) 40,399 14,150 773 (21 ) 55,301 Balance at March 31, 2018 $ 252,624 $ 34,335 $ (12,828 ) $ 1,496 $ 275,627 _____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. |
Basis of Presentation (Policies
Basis of Presentation (Policies) | 3 Months Ended |
Mar. 31, 2019 | |
Basis of Presentation [Abstract] | |
Loans and Leases Receivable, Nonaccrual Loan and Lease Status, Policy [Policy Text Block] | The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income until it recovers all interest, and then as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Collateral-dependent loans that are on nonaccrual status are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. A collateral-dependent loan is impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal and interest on the loan. Interest income on impaired loans is recognized in the same manner as it is for nonaccrual loans noted above. The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. A charge-off is recorded if the recorded investment in the loan will not be recovered. |
Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block] | For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. |
Derivatives, Policy [Policy Text Block] | Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “ Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances. As discussed in Note 2, effective January 1, 2019, the Bank adopted ASU 2017-12, which, among other things, impacts the presentation of gains/losses on derivatives and hedging activities for qualifying hedges. Beginning January 1, 2019, any fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate). Prior to January 1, 2019, any fair value hedge ineffectiveness was recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities” while the net interest income/expense associated with the derivative was recorded as a component of net interest income. On and after January 1, 2019, all changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes). Prior to January 1, 2019, changes in the fair value of a derivative that was designated and qualified as a cash flow hedge, to the extent that the hedge was effective, were recorded in AOCI until earnings were affected by the variability of the cash flows of the hedged transaction. Any ineffective portion of a cash flow hedge (which represented the amount by which the change in the fair value of the derivative differed from the change in fair value of a hypothetical derivative having terms that match identically the critical terms of the hedged forecasted transaction) was recognized in other income (loss) as “net gains (losses) on derivatives and hedging activities.” An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date. Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities." When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported. In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." |
Derivatives, Embedded Derivatives [Policy Text Block] | The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. |
Derivatives, Hedge Discontinuances [Policy Text Block] | The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities." When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported. In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." |
Fair Value Transfer, Policy [Policy Text Block] | For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Reclassifications, if any, would be reported as transfers as of the beginning of the quarter in which the changes occurred. |
Trading Securities (Tables)
Trading Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Trading and Available-for-sale [Abstract] | |
Debt Securities, Trading, and Equity Securities, FV-NI [Table Text Block] | Trading securities as of March 31, 2019 and December 31, 2018 were as follows (in thousands): March 31, 2019 December 31, 2018 U.S. Treasury Notes $ 1,770,509 $ 1,818,178 U.S. Treasury Bills 1,821,595 — Total $ 3,592,104 $ 1,818,178 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-sale securities as of March 31, 2019 were as follows (in thousands): Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Debentures U.S. government-guaranteed obligations $ 451,916 $ 7,386 $ — $ 459,302 GSE obligations 5,552,561 86,879 2,181 5,637,259 Other 44,668 406 — 45,074 6,049,145 94,671 2,181 6,141,635 GSE commercial mortgage-backed securities 9,915,864 95,947 17,634 9,994,177 Total $ 15,965,009 $ 190,618 $ 19,815 $ 16,135,812 Included in the table above are GSE commercial mortgage-backed securities ("MBS") that were purchased but which had not yet settled as of March 31, 2019 . The aggregate amount due of $179,106,000 is included in other liabilities on the statement of condition at that date. Available-for-sale securities as of December 31, 2018 were as follows (in thousands): Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value Debentures U.S. government-guaranteed obligations $ 447,365 $ 5,652 $ 21 $ 452,996 GSE obligations 5,610,796 77,868 1,831 5,686,833 Other 170,367 461 — 170,828 6,228,528 83,981 1,852 6,310,657 GSE commercial MBS 9,477,647 73,052 36,201 9,514,498 Total $ 15,706,175 $ 157,033 $ 38,053 $ 15,825,155 |
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |
Debt Securities, Available-for-sale [Line Items] | |
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of March 31, 2019 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses GSE debentures 3 $ 78,072 $ 461 2 $ 150,442 $ 1,720 5 $ 228,514 $ 2,181 GSE commercial MBS 59 1,888,462 10,052 27 890,440 7,582 86 2,778,902 17,634 Total 62 $ 1,966,534 $ 10,513 29 $ 1,040,882 $ 9,302 91 $ 3,007,416 $ 19,815 The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2018 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Debentures U.S. government-guaranteed obligations 2 $ 59,050 $ 21 — $ — $ — 2 $ 59,050 $ 21 GSE debentures 4 224,072 1,831 — — — 4 224,072 1,831 GSE commercial MBS 105 3,523,623 35,435 7 38,844 766 112 3,562,467 36,201 Total 111 $ 3,806,745 $ 37,287 7 $ 38,844 $ 766 118 $ 3,845,589 $ 38,053 |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at March 31, 2019 and December 31, 2018 are presented below (in thousands). March 31, 2019 December 31, 2018 Maturity Amortized Cost Estimated Fair Value Amortized Cost Estimated Fair Value Debentures Due in one year or less $ 224,002 $ 224,410 $ 445,731 $ 446,227 Due after one year through five years 2,438,116 2,459,969 2,398,495 2,420,763 Due after five years through ten years 3,305,261 3,372,974 3,256,389 3,312,322 Due after ten years 81,766 84,282 127,913 131,345 6,049,145 6,141,635 6,228,528 6,310,657 GSE commercial MBS 9,915,864 9,994,177 9,477,647 9,514,498 Total $ 15,965,009 $ 16,135,812 $ 15,706,175 $ 15,825,155 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Debt Securities, Held-to-maturity [Table Text Block] | Held-to-maturity securities as of March 31, 2019 were as follows (in thousands): Amortized Cost OTTI Recorded in Accumulated Other Comprehensive Income Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Debentures U.S. government-guaranteed obligations $ 7,106 $ — $ 7,106 $ 16 $ — $ 7,122 State housing agency obligations 135,000 — 135,000 10 588 134,422 142,106 — 142,106 26 588 141,544 Mortgage-backed securities U.S. government-guaranteed residential MBS 464 — 464 — 1 463 GSE residential MBS 1,210,755 — 1,210,755 4,741 1,848 1,213,648 Non-agency residential MBS 73,565 10,074 63,491 13,059 416 76,134 1,284,784 10,074 1,274,710 17,800 2,265 1,290,245 Total $ 1,426,890 $ 10,074 $ 1,416,816 $ 17,826 $ 2,853 $ 1,431,789 Held-to-maturity securities as of December 31, 2018 were as follows (in thousands): Amortized Cost OTTI Recorded in Accumulated Other Comprehensive Income Carrying Value Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Debentures U.S. government-guaranteed obligations $ 7,604 $ — $ 7,604 $ 11 $ — $ 7,615 State housing agency obligations 135,000 — 135,000 10 1,043 133,967 142,604 — 142,604 21 1,043 141,582 Mortgage-backed securities U.S. government-guaranteed residential MBS 475 — 475 1 — 476 GSE residential MBS 1,253,573 — 1,253,573 6,022 1,117 1,258,478 Non-agency residential MBS 76,294 10,667 65,627 13,222 694 78,155 1,330,342 10,667 1,319,675 19,245 1,811 1,337,109 Total $ 1,472,946 $ 10,667 $ 1,462,279 $ 19,266 $ 2,854 $ 1,478,691 |
Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of March 31, 2019 . The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income ("AOCI") and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Debentures State housing agency obligations — $ — $ — 1 $ 34,412 $ 588 1 $ 34,412 $ 588 Mortgage-backed securities U.S. government-guaranteed residential MBS 1 434 1 — — — 1 434 1 GSE residential MBS 40 580,718 1,728 3 25,096 120 43 605,814 1,848 Non-agency residential MBS 3 11,945 173 10 28,477 1,071 13 40,422 1,244 Total 44 $ 593,097 $ 1,902 14 $ 87,985 $ 1,779 58 $ 681,082 $ 3,681 The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of December 31, 2018 . The unrealized losses include other-than-temporary impairments recorded in AOCI and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Number of Positions Estimated Fair Value Gross Unrealized Losses Debentures State housing agency obligations — $ — $ — 1 $ 33,957 $ 1,043 1 $ 33,957 $ 1,043 Mortgage-backed securities GSE residential MBS 32 467,427 1,000 4 31,220 117 36 498,647 1,117 Non-agency residential MBS 3 12,346 295 10 29,070 1,487 13 41,416 1,782 Total 35 $ 479,773 $ 1,295 15 $ 94,247 $ 2,647 50 $ 574,020 $ 3,942 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents a rollforward for the three months ended March 31, 2019 and 2018 of the amount related to credit losses on the Bank’s non-agency RMBS holdings for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (in thousands). Three Months Ended March 31, 2019 2018 Balance of credit losses, beginning of period $ 8,551 $ 9,443 Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (193 ) (240 ) Balance of credit losses, end of period 8,358 9,203 Cumulative principal shortfalls on securities held at end of period (2,105 ) (2,048 ) Cumulative amortization of the time value of credit losses at end of period 861 636 Credit losses included in the amortized cost bases of other-than-temporarily impaired securities at end of period $ 7,114 $ 7,791 |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at March 31, 2019 and December 31, 2018 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities. March 31, 2019 December 31, 2018 Maturity Amortized Cost Carrying Value Estimated Fair Value Amortized Cost Carrying Value Estimated Fair Value Debentures Due after one year through five years $ 2,998 $ 2,998 $ 3,000 $ 3,497 $ 3,497 $ 3,499 Due after five years through ten years 4,108 4,108 4,122 4,107 4,107 4,116 Due after ten years 135,000 135,000 134,422 135,000 135,000 133,967 142,106 142,106 141,544 142,604 142,604 141,582 Mortgage-backed securities 1,284,784 1,274,710 1,290,245 1,330,342 1,319,675 1,337,109 Total $ 1,426,890 $ 1,416,816 $ 1,431,789 $ 1,472,946 $ 1,462,279 $ 1,478,691 |
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | The following table provides interest rate payment terms for investment securities classified as held-to-maturity at March 31, 2019 and December 31, 2018 (in thousands): March 31, 2019 December 31, 2018 Amortized cost of variable-rate held-to-maturity securities other than MBS $ 142,106 $ 142,604 Amortized cost of held-to-maturity MBS Fixed-rate pass-through securities 52 57 Collateralized mortgage obligations Fixed-rate 118 135 Variable-rate 1,284,614 1,330,150 1,284,784 1,330,342 Total $ 1,426,890 $ 1,472,946 |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | At March 31, 2019 and December 31, 2018 , the Bank had advances outstanding at interest rates ranging from 0.89 percent to 8.27 percent and 0.88 percent to 8.27 percent , respectively, as summarized below (dollars in thousands). March 31, 2019 December 31, 2018 Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in one year or less $ 17,032,491 2.50 % $ 21,718,709 2.49 % Due after one year through two years 3,229,333 2.54 2,986,350 2.48 Due after two years through three years 986,411 2.53 1,272,214 2.42 Due after three years through four years 929,184 2.52 951,787 2.49 Due after four years through five years 819,127 2.92 632,862 2.84 Due after five years 13,049,950 2.46 13,230,406 2.42 Total par value 36,046,496 2.50 % 40,792,328 2.47 % Premiums 11 12 Deferred net prepayment fees (8,165 ) (8,683 ) Commitment fees (106 ) (108 ) Hedging adjustments 58,359 10,264 Total $ 36,096,595 $ 40,793,813 |
Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Table Text Block] | The following table summarizes advances outstanding at March 31, 2019 and December 31, 2018 , by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands): Contractual Maturity or Next Call Date March 31, 2019 December 31, 2018 Due in one year or less $ 27,399,689 $ 32,024,714 Due after one year through two years 2,684,080 2,434,821 Due after two years through three years 919,299 1,178,054 Due after three years through four years 833,122 848,047 Due after four years through five years 691,029 565,334 Due after five years 3,519,277 3,741,358 Total par value $ 36,046,496 $ 40,792,328 |
Schedule of Advances Classified by Contractual Maturity Date or Next Put Date [Table Text Block] | The following table summarizes advances outstanding at March 31, 2019 and December 31, 2018 , by the earlier of contractual maturity or next possible put date (in thousands): Contractual Maturity or Next Put Date March 31, 2019 December 31, 2018 Due in one year or less $ 19,894,791 $ 24,612,509 Due after one year through two years 3,331,833 3,136,850 Due after two years through three years 1,019,411 1,312,214 Due after three years through four years 929,184 951,787 Due after four years through five years 791,927 611,662 Due after five years 10,079,350 10,167,306 Total par value $ 36,046,496 $ 40,792,328 |
Schedule of Federal Home Loan Bank Advances by Interest Rate Payment Terms [Table Text Block] | The following table provides interest rate payment terms for advances outstanding at March 31, 2019 and December 31, 2018 (in thousands): March 31, 2019 December 31, 2018 Fixed-rate Due in one year or less $ 16,651,106 $ 21,558,023 Due after one year 8,582,807 8,503,772 Total fixed-rate 25,233,913 30,061,795 Variable-rate Due in one year or less 381,386 160,686 Due after one year 10,431,197 10,569,847 Total variable-rate 10,812,583 10,730,533 Total par value $ 36,046,496 $ 40,792,328 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Mortgage Loans Held for Portfolio [Abstract] | |
Mortgage Loans Held For Portfolio [Table Text Block] | The following table presents information as of March 31, 2019 and December 31, 2018 for mortgage loans held for portfolio (in thousands): March 31, 2019 December 31, 2018 Fixed-rate medium-term* single-family mortgages $ 11,707 $ 10,885 Fixed-rate long-term single-family mortgages 2,525,719 2,127,142 Premiums 53,726 45,259 Discounts (1,756 ) (1,757 ) Deferred net derivative gains associated with mortgage delivery commitments 5,627 4,467 Total mortgage loans held for portfolio 2,595,023 2,185,996 Less: allowance for credit losses (611 ) (493 ) Total mortgage loans held for portfolio, net of allowance for credit losses $ 2,594,412 $ 2,185,503 ________________________________________ *Medium-term is defined as an original term of 15 years or less. |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Allowance for Credit Losses [Abstract] | |
Past Due Financing Receivables [Table Text Block] | The table below summarizes the recorded investment by payment status for mortgage loans at March 31, 2019 and December 31, 2018 (dollars in thousands). March 31, 2019 December 31, 2018 Conventional Loans Government- Guaranteed/ Insured Loans Total Conventional Loans Government- Guaranteed/ Insured Loans Total Mortgage loans: 30-59 days delinquent $ 13,101 $ 634 $ 13,735 $ 11,241 $ 614 $ 11,855 60-89 days delinquent 2,645 17 2,662 1,816 135 1,951 90 days or more delinquent 2,359 213 2,572 1,410 156 1,566 Total past due 18,105 864 18,969 14,467 905 15,372 Total current loans 2,575,279 14,544 2,589,823 2,166,660 15,139 2,181,799 Total mortgage loans $ 2,593,384 $ 15,408 $ 2,608,792 $ 2,181,127 $ 16,044 $ 2,197,171 Other delinquency statistics: In process of foreclosure (1) $ 1,044 $ — $ 1,044 $ 481 $ 77 $ 558 Serious delinquency rate (2) 0.1 % 1.4 % 0.1 % 0.1 % 1.0 % 0.1 % Past due 90 days or more and still accruing interest (3) $ — $ 213 $ 213 $ — $ 156 $ 156 Nonaccrual loans $ 2,359 $ — $ 2,359 $ 1,410 $ — $ 1,410 Troubled debt restructurings $ — $ — $ — $ — $ — $ — _____________________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio. (3) Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due. |
Allowance for Credit Losses on Financing Receivables [Table Text Block] | The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the three months ended March 31, 2019 and 2018 (in thousands): Three Months Ended March 31, 2019 2018 Balance, beginning of period $ 493 $ 271 Provision for credit losses 118 — Balance, end of period $ 611 $ 271 |
Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] | The following table presents information regarding the balances of the Bank's conventional mortgage loans held for portfolio that were individually or collectively evaluated for impairment as well as information regarding the ending balance of the allowance for credit losses as of March 31, 2019 and December 31, 2018 (in thousands). March 31, 2019 December 31, 2018 Ending balance of allowance for credit losses related to loans collectively evaluated for impairment $ 611 $ 493 Recorded investment Individually evaluated for impairment $ 2,359 $ 1,410 Collectively evaluated for impairment 2,591,025 2,179,717 $ 2,593,384 $ 2,181,127 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Debt Disclosure [Abstract] | |
Schedule of Consolidated Obligation Bonds By Interest Rate Payment Terms [Table Text Block] | The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at March 31, 2019 and December 31, 2018 (in thousands, at par value). March 31, 2019 December 31, 2018 Fixed-rate $ 17,595,925 $ 15,606,555 Variable-rate 5,248,000 10,029,850 Step-up 3,697,500 6,202,500 Step-down 275,000 275,000 Total par value $ 26,816,425 $ 32,113,905 |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following is a summary of the Bank’s consolidated obligation bonds outstanding at March 31, 2019 and December 31, 2018 , by contractual maturity (dollars in thousands): March 31, 2019 December 31, 2018 Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in one year or less $ 10,497,705 2.14 % $ 14,798,025 2.11 % Due after one year through two years 4,335,200 2.11 4,943,910 2.07 Due after two years through three years 4,228,190 2.24 4,093,605 2.12 Due after three years through four years 2,958,850 2.31 2,686,995 2.24 Due after four years through five years 1,688,060 2.81 2,641,210 2.92 Due after five years 3,108,420 2.62 2,950,160 2.58 Total par value 26,816,425 2.27 % 32,113,905 2.22 % Premiums 1,914 2,241 Discounts (1,031 ) (1,295 ) Debt issuance costs (3,561 ) (3,295 ) Hedging adjustments (67,386 ) (179,627 ) Total $ 26,746,361 $ 31,931,929 |
Schedule of Consolidated Obligation Bonds by Call Feature [Table Text Block] | At March 31, 2019 and December 31, 2018 , the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value): March 31, 2019 December 31, 2018 Non-callable bonds $ 17,710,425 $ 20,662,505 Callable bonds 9,106,000 11,451,400 Total par value $ 26,816,425 $ 32,113,905 |
Schedule of Maturities of Consolidated Obligation Bonds by Contractual Maturity or Next Call Date [Table Text Block] | The following table summarizes the Bank’s consolidated obligation bonds outstanding at March 31, 2019 and December 31, 2018 , by the earlier of contractual maturity or next possible call date (in thousands, at par value): Contractual Maturity or Next Call Date March 31, 2019 December 31, 2018 Due in one year or less $ 18,996,705 $ 23,532,425 Due after one year through two years 3,320,200 3,804,410 Due after two years through three years 1,636,190 1,931,605 Due after three years through four years 1,682,850 1,618,095 Due after four years through five years 859,060 971,210 Due after five years 321,420 256,160 Total par value $ 26,816,425 $ 32,113,905 |
Schedule of Short-term Debt [Table Text Block] | At March 31, 2019 and December 31, 2018 , the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands): Book Value Par Value Weighted Average Implied Interest Rate March 31, 2019 $ 37,369,065 $ 37,533,190 2.39 % December 31, 2018 $ 35,731,713 $ 35,882,027 2.30 % |
Affordable Housing Program ("_2
Affordable Housing Program ("AHP") (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Affordable Housing Program (“AHP”) [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation [Table Text Block] | The following table summarizes the changes in the Bank’s AHP liability during the three months ended March 31, 2019 and 2018 (in thousands): Three Months Ended March 31, 2019 2018 Balance, beginning of period $ 44,358 $ 31,246 AHP assessment 6,494 4,640 Grants funded, net of recaptured amounts (5,116 ) (3,712 ) Balance, end of period $ 45,736 $ 32,174 |
Assets and Liabilities Subjec_2
Assets and Liabilities Subject to Offsetting (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Assets and Liabilities Subject to Offsetting [Abstract] | |
Offsetting Assets and Liabilities [Table Text Block] | The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of March 31, 2019 and December 31, 2018 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities. Gross Amounts of Recognized Financial Instruments Gross Amounts Offset in the Statement of Condition Net Amounts Presented in the Statement of Condition Collateral Not Offset in the Statement of Condition (1) Net Unsecured Amount March 31, 2019 Assets Derivatives Bilateral derivatives $ 25,345 $ (17,070 ) $ 8,275 $ (4,185 ) (2) $ 4,090 Cleared derivatives 48,099 (4,046 ) 44,053 — 44,053 Total derivatives 73,444 (21,116 ) 52,328 (4,185 ) 48,143 Securities purchased under agreements to resell 5,515,000 — 5,515,000 (5,515,000 ) — Total assets $ 5,588,444 $ (21,116 ) $ 5,567,328 $ (5,519,185 ) $ 48,143 Liabilities Derivatives Bilateral derivatives $ 148,753 $ (134,076 ) $ 14,677 $ — $ 14,677 Cleared derivatives 9,466 (4,053 ) 5,413 (5,413 ) (3) — Total liabilities $ 158,219 $ (138,129 ) $ 20,090 $ (5,413 ) $ 14,677 December 31, 2018 Assets Derivatives Bilateral derivatives $ 35,923 $ (26,074 ) $ 9,849 $ (3,380 ) (2) $ 6,469 Cleared derivatives 7,773 (7,744 ) 29 — 29 Total derivatives 43,696 (33,818 ) 9,878 (3,380 ) 6,498 Securities purchased under agreements to resell 6,215,000 — 6,215,000 (6,215,000 ) — Total assets $ 6,258,696 $ (33,818 ) $ 6,224,878 $ (6,218,380 ) $ 6,498 Liabilities Derivatives Bilateral derivatives $ 189,654 $ (181,022 ) $ 8,632 $ — $ 8,632 Cleared derivatives 45,025 (7,666 ) 37,359 (37,359 ) (4) — Total liabilities $ 234,679 $ (188,688 ) $ 45,991 $ (37,359 ) $ 8,632 _____________________________ (1) Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount. (2) Consists of collateral pledged by member counterparties. (3) Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $737,236,000 at March 31, 2019 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. (4) Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $675,188,000 at December 31, 2018 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at March 31, 2019 and December 31, 2018 (in thousands). March 31, 2019 December 31, 2018 Notional Amount of Derivatives Estimated Fair Value Notional Amount of Derivatives Estimated Fair Value Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments under ASC 815 Interest rate swaps Advances $ 7,437,559 $ 6,630 $ 54,700 $ 7,171,033 $ 4,273 $ 36,521 Available-for-sale securities 15,941,072 41,393 15,717 15,981,523 8,501 55,202 Consolidated obligation bonds 17,154,740 15,653 75,309 19,824,055 21,112 130,806 Consolidated obligation discount notes 913,000 2,817 — 865,000 — 2,480 Total derivatives designated as hedging instruments under ASC 815 41,446,371 66,493 145,726 43,841,611 33,886 225,009 Derivatives not designated as hedging instruments under ASC 815 Interest rate swaps Advances — — — 2,500 — — Available-for-sale securities 3,156 6 — 3,156 — 10 Mortgage loans held for portfolio 160,600 125 755 150,600 158 198 Trading securities 1,163,000 94 — 1,713,000 5 39 Intermediary transactions 1,177,771 4,309 9,941 1,228,345 3,742 6,245 Other 425,000 — 787 425,000 1,425 — Interest rate swaptions related to mortgage loans held for portfolio 215,000 1,269 — 185,000 1,234 — Mortgage delivery commitments 23,114 137 — 11,687 62 — Interest rate caps and floors Held-to-maturity securities 750,000 1 — 1,000,000 6 — Intermediary transactions 363,000 1,010 1,010 541,000 3,178 3,178 Total derivatives not designated as hedging instruments under ASC 815 4,280,641 6,951 12,493 5,260,288 9,810 9,670 Total derivatives before collateral and netting adjustments $ 45,727,012 73,444 158,219 $ 49,101,899 43,696 234,679 Cash collateral and related accrued interest (9,487 ) (126,492 ) (9,287 ) (164,237 ) Cash received or remitted in excess of variation margin requirements — (8 ) (93 ) (13 ) Netting adjustments (11,629 ) (11,629 ) (24,438 ) (24,438 ) Total collateral and netting adjustments (1) (21,116 ) (138,129 ) (33,818 ) (188,688 ) Net derivative balances reported in statements of condition $ 52,328 $ 20,090 $ 9,878 $ 45,991 _____________________________ (1) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties. |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the three months ended March 31, 2019 and 2018 (in thousands). Interest Income (Expense) Advances Available-for-Sale Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes Net Gains (Losses) on Derivatives and Hedging Activities Other Comprehensive Income (Loss) Three Months Ended March 31, 2019 Total amount of the financial statement line item $ 237,864 $ 119,008 $ (190,768 ) $ (196,251 ) $ 8,766 $ 31,201 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ (35,083 ) $ (283,861 ) $ 93,225 $ — $ — $ — Hedged items 48,096 298,786 (112,240 ) — — — Net gains (losses) on fair value hedging relationships $ 13,013 $ 14,925 $ (19,015 ) $ — $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ 807 $ — $ (807 ) Recognized in OCI — — — — — (20,390 ) Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ 807 $ — $ (21,197 ) Three Months Ended March 31, 2018 (1) Total amount of the financial statement line item $ 155,345 $ 79,958 $ (128,145 ) $ (94,536 ) $ 1,823 $ 55,301 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ (1,698 ) $ (11,682 ) $ 1,765 $ — $ 232,203 $ — Hedged items (2) — — — — (220,298 ) — Net gains (losses) on fair value hedging relationships $ (1,698 ) $ (11,682 ) $ 1,765 $ — $ 11,905 $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (310 ) $ — $ 310 Recognized in OCI — — — — — 13,840 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (310 ) $ — $ 14,150 _____________________________ (1) Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. (2) Excludes amortization/accretion on closed fair value relationships. |
Cumulative Basis Adjustments for Fair Value Hedges [Table Text Block] | The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of March 31, 2019 . Line Item in Statement of Condition of Hedged Item Amortized Cost of Hedged Asset/(Liability) (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Total Fair Value Hedging Basis Adjustments (2) Advances $ 7,487,138 $ 52,353 $ 6,006 $ 58,359 Available-for-sale securities 15,965,009 (151,980 ) (1,079 ) (153,059 ) Consolidated obligation bonds (17,189,554 ) 67,969 (583 ) 67,386 _____________________________ (1) Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments. (2) Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items. |
Derivatives Not Designated as Hedging Instruments [Table Text Block] | The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the three months ended March 31, 2019 and 2018 (in thousands). Gain (Loss) Recognized in Other Income for the Three Months Ended March 31, 2019 2018 Derivatives and hedged items in ASC 815 fair value hedging relationships (1) Interest rate swaps $ — $ 11,880 Interest rate swaptions — 25 Total net gain related to fair value hedge ineffectiveness — 11,905 Derivatives not designated as hedging instruments under ASC 815 Interest rate swaps 8,565 (9,028 ) Net interest income (expense) on interest rate swaps (1,023 ) 175 Interest rate swaptions (229 ) — Interest rate caps and floors 85 11 Mortgage delivery commitments 1,261 51 Total net gain (loss) related to derivatives not designated as hedging instruments under ASC 815 8,659 (8,791 ) Price alignment amount on variation margin for daily settled derivative contracts (2) 107 (1,291 ) Net gains on derivatives and hedging activities reported in other income $ 8,766 $ 1,823 _____________________________ (1) For the three months ended March 31, 2019, all of the effects of derivatives and associated hedged items in ASC 815 fair value hedging relationships are reported in net interest income. (2) The amount reported for the three months ended March 31, 2019 reflects the price alignment amount on variation margin for daily settled derivative contracts that are not designated as hedging instruments under ASC 815. The price alignment amount on variation margin for daily settled derivative contracts that are designated as hedging instruments under ASC 815 is recorded in the same line item as the earnings effect of the hedged item. The amount reported for the three months ended March 31, 2018 reflects the price alignment amount on variation margin for all daily settled derivative contracts. |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | The following table summarizes the Bank’s compliance with those capital requirements as of March 31, 2019 and December 31, 2018 (dollars in thousands): March 31, 2019 December 31, 2018 Required Actual Required Actual Regulatory capital requirements: Risk-based capital $ 1,044,976 $ 3,559,945 $ 1,159,443 $ 3,643,234 Total capital $ 2,761,500 $ 3,559,945 $ 2,910,932 $ 3,643,234 Total capital-to-assets ratio 4.00 % 5.16 % 4.00 % 5.01 % Leverage capital $ 3,451,875 $ 5,339,918 $ 3,638,665 $ 5,464,851 Leverage capital-to-assets ratio 5.00 % 7.73 % 5.00 % 7.51 % |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Employee Retirement Plans [Abstract] | |
Schedule of Net Benefit Costs [Table Text Block] | The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three months ended March 31, 2019 and 2018 were as follows (in thousands): Three Months Ended March 31, 2019 2018 Service cost $ 7 $ 5 Interest cost 5 5 Amortization of prior service cost 5 5 Amortization of net actuarial gain (23 ) (26 ) Net periodic benefit credit $ (6 ) $ (11 ) |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at March 31, 2019 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE Estimated Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (4) Assets: Cash and due from banks $ 47,497 $ 47,497 $ 47,497 $ — $ — $ — Interest-bearing deposits 1,256,255 1,256,255 — 1,256,255 — — Securities purchased under agreements to resell 5,515,000 5,515,000 — 5,515,000 — — Federal funds sold 2,125,000 2,125,000 — 2,125,000 — — Trading securities (1) 3,592,104 3,592,104 — 3,592,104 — — Available-for-sale securities (1) 16,135,812 16,135,812 — 16,135,812 — — Held-to-maturity securities 1,416,816 1,431,789 — 1,355,655 (2) 76,134 (3) — Advances 36,096,595 36,066,088 — 36,066,088 — — Mortgage loans held for portfolio, net 2,594,412 2,604,052 — 2,604,052 — — Accrued interest receivable 162,010 162,010 — 162,010 — — Derivative assets (1) 52,328 52,328 — 73,444 — (21,116 ) Other assets held at fair value (1) 12,341 12,341 12,341 — — — Liabilities: Deposits 792,046 792,101 — 792,101 — — Consolidated obligations Discount notes 37,369,065 37,362,270 — 37,362,270 — — Bonds 26,746,361 26,712,206 — 26,712,206 — — Mandatorily redeemable capital stock 7,753 7,753 7,753 — — — Accrued interest payable 134,076 134,076 — 134,076 — — Derivative liabilities (1) 20,090 20,090 — 158,219 — (138,129 ) ___________________________ (1) Financial instruments measured at fair value on a recurring basis as of March 31, 2019 . (2) Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS and GSE RMBS. (3) Consists of the Bank's holdings of non-agency RMBS. (4) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2018 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE Estimated Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (4) Assets: Cash and due from banks $ 35,157 $ 35,157 $ 35,157 $ — $ — $ — Interest-bearing deposits 2,500,317 2,500,317 — 2,500,317 — — Securities purchased under agreements to resell 6,215,000 6,215,000 — 6,215,000 — — Federal funds sold 1,731,000 1,731,000 — 1,731,000 — — Trading securities (1) 1,818,178 1,818,178 — 1,818,178 — — Available-for-sale securities (1) 15,825,155 15,825,155 — 15,825,155 — — Held-to-maturity securities 1,462,279 1,478,691 — 1,400,536 (2) 78,155 (3) — Advances 40,793,813 40,720,636 — 40,720,636 — — Mortgage loans held for portfolio, net 2,185,503 2,161,720 — 2,161,720 — — Accrued interest receivable 152,670 152,670 — 152,670 — — Derivative assets (1) 9,878 9,878 — 43,696 — (33,818 ) Other assets held at fair value (1) 12,376 12,376 12,376 — — — Liabilities: Deposits 963,992 964,017 — 964,017 — — Consolidated obligations Discount notes 35,731,713 35,723,208 — 35,723,208 — — Bonds 31,931,929 31,850,858 — 31,850,858 — — Mandatorily redeemable capital stock 6,979 6,979 6,979 — — — Accrued interest payable 122,938 122,938 — 122,938 — — Derivative liabilities (1) 45,991 45,991 — 234,679 — (188,688 ) ___________________________ (1) Financial instruments measured at fair value on a recurring basis as of December 31, 2018 . (2) Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS and GSE RMBS. (3) Consists of the Bank's holdings of non-agency RMBS. (4) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. |
Transactions with Other FHLBa_2
Transactions with Other FHLBanks (Table) | 3 Months Ended |
Mar. 31, 2019 | |
Transactions with Other FHLBanks [Abstract] | |
Schedule of Loans from Other Federal Home Loan Banks [Table Text Block] | The following table summarizes the Bank’s borrowings from other FHLBanks during the three months ended March 31, 2019 and 2018 (in thousands). Three Months Ended March 31, 2019 2018 Balance at January 1, $ — $ — Borrowings from: FHLBank of Indianapolis 10,000 300,000 FHLBank of Boston — 175,000 FHLBank of Cincinnati — 500,000 FHLBank of Des Moines — 500,000 Repayments to: FHLBank of Indianapolis (10,000 ) (300,000 ) FHLBank of Boston — (175,000 ) FHLBank of Cincinnati — (500,000 ) FHLBank of Des Moines — (500,000 ) Balance at March 31, $ — $ — |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 3 Months Ended |
Mar. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss) [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table presents the changes in the components of AOCI for the three months ended March 31, 2019 and 2018 (in thousands). Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) Net Unrealized Gains (Losses) on Cash Flow Hedges Non-Credit Portion of Other-than-Temporary Impairment Losses on Held-to-Maturity Securities Postretirement Benefits Total AOCI Three Months Ended March 31, 2019 Balance at January 1, 2019 $ 118,980 $ 18,412 $ (10,667 ) $ 1,276 $ 128,001 Reclassifications from AOCI to net income Realized gains on sales of available-for-sale securities included in net income (440 ) — — — (440 ) Gains on cash flow hedges included in interest expense — (807 ) — — (807 ) Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (18 ) (18 ) Other amounts of other comprehensive income (loss) Net unrealized gains on available-for-sale securities 52,263 — — — 52,263 Unrealized losses on cash flow hedges — (20,390 ) — — (20,390 ) Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 593 — 593 Total other comprehensive income (loss) 51,823 (21,197 ) 593 (18 ) 31,201 Balance at March 31, 2019 $ 170,803 $ (2,785 ) $ (10,074 ) $ 1,258 $ 159,202 Three Months Ended March 31, 2018 Balance at January 1, 2018 $ 212,225 $ 20,185 $ (13,601 ) $ 1,517 $ 220,326 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 310 — — 310 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (21 ) (21 ) Other amounts of other comprehensive income Net unrealized gains on available-for-sale securities 40,399 — — — 40,399 Unrealized gains on cash flow hedges — 13,840 — — 13,840 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 773 — 773 Total other comprehensive income (loss) 40,399 14,150 773 (21 ) 55,301 Balance at March 31, 2018 $ 252,624 $ 34,335 $ (12,828 ) $ 1,496 $ 275,627 _____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. |
Recently Adopted Accounting G_2
Recently Adopted Accounting Guidance ASU2016-02 and ASU2017-12 (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Jan. 01, 2019 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Cumulative Effect of New Accounting Principle in Period of Adoption | $ (25) | |
The increase (decrease) in other income and decrease (increase) in net interest income due to the adoption of ASU2017-12 | $ 9,340 | |
Accounting Standards Update 2016-02 [Member] | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Cumulative Effect of New Accounting Principle in Period of Adoption | (25) | |
Right-of-use assets and lease liabilities due to the adoption of ASU2016-02 | $ 2,500 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 3,592,104 | $ 1,818,178 |
US Treasury Notes [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 1,770,509 | 1,818,178 |
US Treasury Bill Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 1,821,595 | $ 0 |
Available-for-Sale Securities_2
Available-for-Sale Securities (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019USD ($)position | Dec. 31, 2018USD ($)position | |
Debt Securities, Available-for-sale Securities, Gross Realized Gain (Loss) [Abstract] | ||
Amortized Cost of Sold Available-for-sale Securities | $ 410,705 | |
Proceeds from Sale of Debt Securities, Available-for-sale | 411,145 | |
Available-for-sale Securities, Gross Realized Gains | 440 | |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 15,965,009 | $ 15,706,175 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 190,618 | 157,033 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 19,815 | 38,053 |
Debt Securities, Available-for-sale | $ 16,135,812 | $ 15,825,155 |
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 62 | 111 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 1,966,534 | $ 3,806,745 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 10,513 | $ 37,287 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 29 | 7 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 1,040,882 | $ 38,844 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 9,302 | $ 766 |
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 91 | 118 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 3,007,416 | $ 3,845,589 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 19,815 | 38,053 |
US Government Agencies Debt Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 451,916 | 447,365 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 7,386 | 5,652 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 21 |
Debt Securities, Available-for-sale | 459,302 | $ 452,996 |
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 2 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 59,050 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 21 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 0 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 0 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 0 | |
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 2 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 59,050 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 21 | |
US Government-sponsored Enterprises Debt Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 5,552,561 | 5,610,796 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 86,879 | 77,868 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 2,181 | 1,831 |
Debt Securities, Available-for-sale | $ 5,637,259 | $ 5,686,833 |
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 3 | 4 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 78,072 | $ 224,072 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 461 | $ 1,831 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 2 | 0 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 150,442 | $ 0 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 1,720 | $ 0 |
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 5 | 4 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 228,514 | $ 224,072 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 2,181 | 1,831 |
Other Debt Obligations [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 44,668 | 170,367 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 406 | 461 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Debt Securities, Available-for-sale | 45,074 | 170,828 |
Non-mortgage-backed securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 6,049,145 | 6,228,528 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 94,671 | 83,981 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 2,181 | 1,852 |
Debt Securities, Available-for-sale | 6,141,635 | 6,310,657 |
Available-for-sale Securities, Debt Maturities [Abstract] | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost | 224,002 | 445,731 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost | 2,438,116 | 2,398,495 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost | 3,305,261 | 3,256,389 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost | 81,766 | 127,913 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value | 224,410 | 446,227 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 2,459,969 | 2,420,763 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 3,372,974 | 3,312,322 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 84,282 | 131,345 |
GSE mortgage-backed securities[Member] | Multifamily [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Amortized Cost | 9,915,864 | 9,477,647 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 95,947 | 73,052 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 17,634 | 36,201 |
Debt Securities, Available-for-sale | 9,994,177 | 9,514,498 |
Payables to Broker-Dealers and Clearing Organizations | $ 179,106 | $ 125,927 |
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 59 | 105 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 1,888,462 | $ 3,523,623 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 10,052 | $ 35,435 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 27 | 7 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 890,440 | $ 38,844 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 7,582 | $ 766 |
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 86 | 112 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 2,778,902 | $ 3,562,467 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | $ 17,634 | $ 36,201 |
Held-to-Maturity Securities (De
Held-to-Maturity Securities (Details) $ in Thousands | Mar. 31, 2019USD ($)position | Dec. 31, 2018USD ($)position |
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 1,426,890 | $ 1,472,946 |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 10,074 | 10,667 |
Held-to-maturity securities | 1,416,816 | 1,462,279 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 17,826 | 19,266 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 2,853 | 2,854 |
Debt Securities, Held-to-maturity, Fair Value | $ 1,431,789 | $ 1,478,691 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 44 | 35 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | $ 593,097 | $ 479,773 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 1,902 | $ 1,295 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 14 | 15 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | $ 87,985 | $ 94,247 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 1,779 | $ 2,647 |
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 58 | 50 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | $ 681,082 | $ 574,020 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 3,681 | 3,942 |
US Government Agencies Debt Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 7,106 | 7,604 |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 |
Held-to-maturity securities | 7,106 | 7,604 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 16 | 11 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 0 | 0 |
Debt Securities, Held-to-maturity, Fair Value | 7,122 | 7,615 |
US States and Political Subdivisions Debt Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 135,000 | 135,000 |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 |
Held-to-maturity securities | 135,000 | 135,000 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 10 | 10 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 588 | 1,043 |
Debt Securities, Held-to-maturity, Fair Value | $ 134,422 | $ 133,967 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 0 | 0 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | $ 0 | $ 0 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 0 | $ 0 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 1 | 1 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | $ 34,412 | $ 33,957 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 588 | $ 1,043 |
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 1 | 1 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | $ 34,412 | $ 33,957 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 588 | 1,043 |
Non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 142,106 | 142,604 |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 |
Held-to-maturity securities | 142,106 | 142,604 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 26 | 21 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 588 | 1,043 |
Debt Securities, Held-to-maturity, Fair Value | 141,544 | 141,582 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost | 2,998 | 3,497 |
Held-to-maturity Securities, Debt Maturities, After One Through Five Years, Net Carrying Amount | 2,998 | 3,497 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 3,000 | 3,499 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost | 4,108 | 4,107 |
Held-to-maturity Securities, Debt Maturities, After Five Through Ten Years, Net Carrying Amount | 4,108 | 4,107 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 4,122 | 4,116 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost | 135,000 | 135,000 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after 10 Years, Net Carrying Amount | 135,000 | 135,000 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 134,422 | 133,967 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 73,565 | 76,294 |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 10,074 | 10,667 |
Held-to-maturity securities | 63,491 | 65,627 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 13,059 | 13,222 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 416 | 694 |
Debt Securities, Held-to-maturity, Fair Value | $ 76,134 | $ 78,155 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 3 | 3 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | $ 11,945 | $ 12,346 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 173 | $ 295 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 10 | 10 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | $ 28,477 | $ 29,070 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 1,071 | $ 1,487 |
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 13 | 13 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | $ 40,422 | $ 41,416 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 1,244 | 1,782 |
Residential Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 464 | 475 |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 |
Held-to-maturity securities | 464 | 475 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 0 | 1 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 1 | 0 |
Debt Securities, Held-to-maturity, Fair Value | $ 463 | 476 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 1 | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | $ 434 | |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 1 | |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 0 | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | $ 0 | |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 0 | |
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 1 | |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | $ 434 | |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 1 | |
Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 1,284,784 | 1,330,342 |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 10,074 | 10,667 |
Held-to-maturity securities | 1,274,710 | 1,319,675 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 17,800 | 19,245 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 2,265 | 1,811 |
Debt Securities, Held-to-maturity, Fair Value | 1,290,245 | 1,337,109 |
Held-to-maturity Securities, Premium (Discounts), Net | (2,334) | (2,457) |
US government agency and GSE mortgage-backed securities[Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 1,849 | |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 1,210,755 | 1,253,573 |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 |
Held-to-maturity securities | 1,210,755 | 1,253,573 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 4,741 | 6,022 |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 1,848 | 1,117 |
Debt Securities, Held-to-maturity, Fair Value | $ 1,213,648 | $ 1,258,478 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 40 | 32 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | $ 580,718 | $ 467,427 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 1,728 | $ 1,000 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 3 | 4 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | $ 25,096 | $ 31,220 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 120 | $ 117 |
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 43 | 36 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | $ 605,814 | $ 498,647 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | $ 1,848 | $ 1,117 |
Held-to-Maturity Securities (Ot
Held-to-Maturity Securities (Other-Than-Temporary Impairment Analysis) (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019USD ($)position | Mar. 31, 2018USD ($) | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | position | 22 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Balance of credit losses, beginning of period | $ 8,551 | $ 9,443 |
Increase In cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (193) | (240) |
Balance of credit losses, end of period | 8,358 | 9,203 |
Cumulative principal shortfalls on securities held at end of period | (2,105) | (2,048) |
Cumulative amortization of the time value of credit losses at the end of the period | 861 | 636 |
Credit losses in the amortized cost bases of other-than-temporarily impaired securities at end of period | $ 7,114 | $ 7,791 |
Minimum [Member] | ||
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract] | ||
Projected House Price Decline Rate Over the Next 12 Months | 6.00% | |
Maximum [Member] | ||
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract] | ||
Projected House Price Recovery Rate Over the Next 12 Months | 14.00% | |
Majority of Markets [Member] | Minimum [Member] | ||
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract] | ||
Projected House Price Recovery Rate Over the Next 12 Months | 2.00% | |
Projected House Price Annual Appreciation Rate at Long-Term Equilibrium Level | 2.00% | |
Majority of Markets [Member] | Maximum [Member] | ||
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract] | ||
Projected House Price Recovery Rate Over the Next 12 Months | 6.00% | |
Projected House Price Annual Appreciation Rate at Long-Term Equilibrium Level | 5.00% |
Held-to-Maturity Securities (In
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 1,426,890 | $ 1,472,946 |
Non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 142,106 | 142,604 |
Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 1,284,784 | 1,330,342 |
Fixed Interest Rate [Member] | Mortgage Passthrough Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 52 | 57 |
Fixed Interest Rate [Member] | Collateralized Mortgage Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 118 | 135 |
Variable Interest Rate [Member] | Non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 142,106 | 142,604 |
Variable Interest Rate [Member] | Collateralized Mortgage Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 1,284,614 | $ 1,330,150 |
Held-to-Maturity Securities Sal
Held-to-Maturity Securities Sales of Securities (Details) | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Proceeds and Gains (Losses) from Sale of HTM [Abstract] | |
Amortized Cost of Sold Held-to-maturity Securities | |
Proceeds from Sales of Held-to-maturity Securities | |
Gains on sales of held-to-maturity securities |
Advances Redemption Terms (Deta
Advances Redemption Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Advances by Redemption Terms [Line Items] | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months | $ 17,032,491 | $ 21,718,709 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 2.50% | 2.49% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two | $ 3,229,333 | $ 2,986,350 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 2.54% | 2.48% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | $ 986,411 | $ 1,272,214 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | 2.53% | 2.42% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four | $ 929,184 | $ 951,787 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | 2.52% | 2.49% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five | $ 819,127 | $ 632,862 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | 2.92% | 2.84% |
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five | $ 13,049,950 | $ 13,230,406 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five | 2.46% | 2.42% |
Federal Home Loan Bank Advances Par Value | $ 36,046,496 | $ 40,792,328 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate | 2.50% | 2.47% |
Federal Home Loan Bank, Advances, Premium | $ 11 | $ 12 |
Deferred Prepayment Fees | (8,165) | (8,683) |
Federal Home Loan Bank, Advances, Commitment Fees | (106) | (108) |
Federal Home Loan Bank Advances, Valuation Adjustments For Hedging Activities | 58,359 | 10,264 |
Federal Home Loan Bank Advances | $ 36,096,595 | $ 40,793,813 |
Advances Outstanding by the Ear
Advances Outstanding by the Earlier of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Line Items] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months | $ 27,399,689 | $ 32,024,714 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two | 2,684,080 | 2,434,821 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three | 919,299 | 1,178,054 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four | 833,122 | 848,047 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five | 691,029 | 565,334 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five | 3,519,277 | 3,741,358 |
Federal Home Loan Bank Advances Par Value | $ 36,046,496 | $ 40,792,328 |
Advances Outstanding by the E_2
Advances Outstanding by the Earlier of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Advances by Earlier of Contractual Maturity or Next Put Date [Line Items] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, due in Next Rolling Twelve Months | $ 19,894,791 | $ 24,612,509 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two | 3,331,833 | 3,136,850 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three | 1,019,411 | 1,312,214 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four | 929,184 | 951,787 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five | 791,927 | 611,662 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five | 10,079,350 | 10,167,306 |
Federal Home Loan Bank Advances Par Value | $ 36,046,496 | $ 40,792,328 |
Advances Interest Rate Payment
Advances Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Advances by Interest Rate Payment Terms [Line Items] | ||
Federal Home Loan Bank, Advances, Fixed Rate, under One Year | $ 16,651,106 | $ 21,558,023 |
Federal Home Loan Bank, Advances, Fixed Rate, after One Year | 8,582,807 | 8,503,772 |
Federal Home Loan Bank, Advances, Fixed Rate | 25,233,913 | 30,061,795 |
Federal Home Loan Bank, Advances, Floating Rate, under One Year | 381,386 | 160,686 |
Federal Home Loan Bank, Advances, Floating Rate, after One Year | 10,431,197 | 10,569,847 |
Federal Home Loan Bank, Advances, Floating Rate | 10,812,583 | 10,730,533 |
Federal Home Loan Bank Advances Par Value | $ 36,046,496 | $ 40,792,328 |
Advances Narrative (Details)
Advances Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Advances [Line Items] | |||
Percent Of Fixed Rate Advances Swapped To Adjustable Rate | 29.00% | 24.00% | |
Gross Prepayment Fees on Advances Received | $ 193 | $ 1,642 | |
Prepaid Advances with Symmetrical prepayment Feature | 5,000 | ||
Federal Home Loan Bank Advances Par Value | 36,046,496 | $ 40,792,328 | |
Fees paid on prepaid Advances with Symmetrical Prepayment Feature | $ 68 | ||
Minimum [Member] | |||
Advances [Line Items] | |||
Federal Home Loan Bank Advances, Interest Rate | 0.89% | 0.88% | |
Maximum [Member] | |||
Advances [Line Items] | |||
Federal Home Loan Bank Advances, Interest Rate | 8.27% | 8.27% | |
Federal Home Loan Bank Advances Callable Option [Member] | |||
Advances [Line Items] | |||
Federal Home Loan Bank Advances Par Value | $ 10,523,968 | $ 10,446,628 | |
Federal Home Loan Bank Advances Putable Option [Member] | |||
Advances [Line Items] | |||
Federal Home Loan Bank Advances Par Value | $ 3,007,800 | $ 3,094,300 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | |
Mortgage Loans on Real Estate [Line Items] | |||||
Loans and Leases Receivable, Unamortized Premiums | $ 53,726 | $ 45,259 | |||
Loans and Leases Receivable, Unamortized Discounts | (1,756) | (1,757) | |||
Loans And Leases Receivable, Net Deferred Loan Costs | 5,627 | 4,467 | |||
Mortgage Loans, Gross | 2,595,023 | 2,185,996 | |||
Loans and Leases Receivable, Net Amount | 2,594,412 | 2,185,503 | |||
Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | [1] | 11,707 | 10,885 | ||
Loans Receivable With Fixed Rates Of Interest Long Term [Member] | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 2,525,719 | 2,127,142 | |||
Government Loan [Member] | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 15,253 | 15,880 | |||
Conventional Mortgage Loan [Member] | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 2,522,173 | 2,122,147 | |||
Conventional Mortgage Loan [Member] | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Loans and Leases Receivable, Allowance | $ (611) | $ (493) | $ (271) | $ (271) | |
[1] | *Medium-term is defined as an original term of 15 years or less. |
Allowance for Credit Losses (De
Allowance for Credit Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2019 | Mar. 31, 2018 | Dec. 31, 2018 | |
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | $ 18,969 | $ 15,372 | |
Total current loans | 2,589,823 | 2,181,799 | |
Total mortgage loans | 2,608,792 | 2,197,171 | |
Mortgage Loans in Process of Foreclosure, Amount | $ 1,044 | $ 558 | |
Serious delinquency rate | 0.10% | 0.10% | |
Past due 90 days or more and still accruing interest | $ 213 | $ 156 | |
Non-accrual loans | 2,359 | 1,410 | |
Troubled debt restructurings | 0 | 0 | |
Real estate acquired through foreclosure | 27 | 7 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Provision for mortgage loan losses | 118 | $ 0 | |
Financing Receivables, 30 to 59 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 13,735 | 11,855 | |
Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 2,662 | 1,951 | |
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 2,572 | 1,566 | |
Conventional Mortgage Loan [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 18,105 | 14,467 | |
Total current loans | 2,575,279 | 2,166,660 | |
Total mortgage loans | 2,593,384 | 2,181,127 | |
Mortgage Loans in Process of Foreclosure, Amount | $ 1,044 | $ 481 | |
Serious delinquency rate | 0.10% | 0.10% | |
Past due 90 days or more and still accruing interest | $ 0 | $ 0 | |
Non-accrual loans | 2,359 | 1,410 | |
Troubled debt restructurings | 0 | 0 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Balance, beginning of period | 493 | 271 | |
Provision for mortgage loan losses | 118 | 0 | |
Balance, end of period | 611 | $ 271 | |
Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Abstract] | |||
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment | 611 | 493 | |
Individually Evaluated for Impairment | 2,359 | 1,410 | |
Collectively Evaluated for Impairment | 2,591,025 | 2,179,717 | |
Conventional Mortgage Loan [Member] | Financing Receivables, 30 to 59 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 13,101 | 11,241 | |
Conventional Mortgage Loan [Member] | Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 2,645 | 1,816 | |
Conventional Mortgage Loan [Member] | Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 2,359 | 1,410 | |
US Government Agency Insured Loans [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 864 | 905 | |
Total current loans | 14,544 | 15,139 | |
Total mortgage loans | 15,408 | 16,044 | |
Mortgage Loans in Process of Foreclosure, Amount | $ 0 | $ 77 | |
Serious delinquency rate | 1.40% | 1.00% | |
Past due 90 days or more and still accruing interest | $ 213 | $ 156 | |
Non-accrual loans | 0 | 0 | |
Troubled debt restructurings | 0 | 0 | |
US Government Agency Insured Loans [Member] | Financing Receivables, 30 to 59 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 634 | 614 | |
US Government Agency Insured Loans [Member] | Financing Receivables, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | 17 | 135 | |
US Government Agency Insured Loans [Member] | Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||
Total past due | $ 213 | $ 156 |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Billions | Mar. 31, 2019 | Dec. 31, 2018 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Percent of Fixed Rate Long Term Debt Swapped to An Adjustable Rate | 80.00% | 90.00% |
FHLBanks [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 1,011 | $ 1,032 |
FHL Bank of Dallas [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 64.3 | $ 68 |
Consolidated Obligations Intere
Consolidated Obligations Interest Rate Payment Terms (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt Instrument [Line Items] | ||
Debt, Gross | $ 26,816,425 | $ 32,113,905 |
Fixed Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 17,595,925 | 15,606,555 |
Variable Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 5,248,000 | 10,029,850 |
Step Down [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 275,000 | 275,000 |
Step Up [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | $ 3,697,500 | $ 6,202,500 |
Consolidated Obligations Redemp
Consolidated Obligations Redemption Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Debt Instrument, Redemption [Line Items] | ||
Bonds | $ 26,746,361 | $ 31,931,929 |
Unsecured Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Debt, Gross | 26,816,425 | 32,113,905 |
Debt Instrument, Unamortized Premium | 1,914 | 2,241 |
Debt Instrument, Unamortized Discount | (1,031) | (1,295) |
Unamortized Debt Issuance Expense | (3,561) | (3,295) |
Debt Valuation Adjustment for Hedging Activities | (67,386) | (179,627) |
Bonds | 26,746,361 | 31,931,929 |
Contractual Maturity [Member] | Unsecured Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 10,497,705 | $ 14,798,025 |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 2.14% | 2.11% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | $ 4,335,200 | $ 4,943,910 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 2.11% | 2.07% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | $ 4,228,190 | $ 4,093,605 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.24% | 2.12% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | $ 2,958,850 | $ 2,686,995 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 2.31% | 2.24% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | $ 1,688,060 | $ 2,641,210 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 2.81% | 2.92% |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 3,108,420 | $ 2,950,160 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.62% | 2.58% |
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 2.27% | 2.22% |
Consolidated Obligations Callab
Consolidated Obligations Callable/Non-callable (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | $ 26,816,425 | $ 32,113,905 |
Non Callable [Member] | ||
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | 17,710,425 | 20,662,505 |
Callable [Member] | ||
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | $ 9,106,000 | $ 11,451,400 |
Consolidated Obligations Contra
Consolidated Obligations Contractual Maturity or Next Call Date (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items] | ||
Debt, Gross | $ 26,816,425 | $ 32,113,905 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 18,996,705 | 23,532,425 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 3,320,200 | 3,804,410 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,636,190 | 1,931,605 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,682,850 | 1,618,095 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 859,060 | 971,210 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 321,420 | 256,160 |
Debt, Gross | $ 26,816,425 | $ 32,113,905 |
Consolidated Obligations Discou
Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Short-term Debt [Line Items] | ||
Percent of Fixed Rate Consolidated Obligation Bonds Swapped to An Adjustable Rate | 80.00% | 90.00% |
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 37,369,065 | $ 35,731,713 |
Discount Notes [Member] | ||
Short-term Debt [Line Items] | ||
Debt Instrument, Face Amount | $ 37,533,190 | $ 35,882,027 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 2.39% | 2.30% |
Affordable Housing Program ("_3
Affordable Housing Program ("AHP") (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Affordable Housing Program [Roll Forward] | ||
Balance, beginning of period | $ 44,358 | $ 31,246 |
AHP assessment | 6,494 | 4,640 |
Grants funded, net of recaptured amounts | (5,116) | (3,712) |
Balance, end of period | $ 45,736 | $ 32,174 |
Assets and Liabilities Subjec_3
Assets and Liabilities Subject to Offsetting (Details) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018 | |||
Offsetting Assets and Liabilities [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | $ 73,444,000 | $ 43,696,000 | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (21,116,000) | (33,818,000) | ||
Derivative Assets | 52,328,000 | 9,878,000 | |||
Derivative, Collateral, Obligation to Return Securities | [2] | (4,185,000) | (3,380,000) | ||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 48,143,000 | 6,498,000 | |||
Securities Purchased under Agreements to Resell, Gross | 5,515,000,000 | 6,215,000,000 | |||
Securities Purchased under Agreements to Resell, Amount Offset Against Collateral | 0 | 0 | |||
Securities Purchased under Agreements to Resell | 5,515,000,000 | 6,215,000,000 | |||
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities | [2] | (5,515,000,000) | (6,215,000,000) | ||
Securities Purchased under Agreements to Resell, Amount Not Offset Against Collateral | 0 | 0 | |||
Offsetting Assets, Gross | 5,588,444,000 | 6,258,696,000 | |||
Assets, Amounts Offset Against Collateral | (21,116,000) | (33,818,000) | |||
Offsetting Assets, Total | 5,567,328,000 | 6,224,878,000 | |||
Offsetting Assets, Collateral Not Offset in the Statement of Condition | [2] | (5,519,185,000) | (6,218,380,000) | ||
Offsetting Assets, Amount Not Offset Against Collateral | 48,143,000 | 6,498,000 | |||
Derivative Liability, Fair Value, Gross Liability | 158,219,000 | 234,679,000 | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (138,129,000) | (188,688,000) | ||
Derivative Liabilities | 20,090,000 | 45,991,000 | |||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [2] | (5,413,000) | (37,359,000) | ||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 14,677,000 | 8,632,000 | |||
Over the Counter [Member] | |||||
Offsetting Assets and Liabilities [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 25,345,000 | 35,923,000 | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (17,070,000) | (26,074,000) | |||
Derivative Assets | 8,275,000 | 9,849,000 | |||
Derivative, Collateral, Obligation to Return Securities | [2],[3] | (4,185,000) | (3,380,000) | ||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 4,090,000 | 6,469,000 | |||
Derivative Liability, Fair Value, Gross Liability | 148,753,000 | 189,654,000 | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (134,076,000) | (181,022,000) | |||
Derivative Liabilities | 14,677,000 | 8,632,000 | |||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [2] | 0 | 0 | ||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 14,677,000 | 8,632,000 | |||
Exchange Cleared [Member] | |||||
Offsetting Assets and Liabilities [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 48,099,000 | 7,773,000 | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (4,046,000) | (7,744,000) | |||
Derivative Assets | 44,053,000 | 29,000 | |||
Derivative, Collateral, Obligation to Return Securities | [2] | 0 | 0 | ||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 44,053,000 | 29,000 | |||
Derivative Liability, Fair Value, Gross Liability | 9,466,000 | 45,025,000 | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (4,053,000) | (7,666,000) | |||
Derivative Liabilities | 5,413,000 | 37,359,000 | |||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [2] | (5,413,000) | [4] | (37,359,000) | [5] |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 0 | 0 | |||
Derivative Liabilities, Additional Net Exposure, Collateral Pledged to Counterparties in Excess of Net Liabilities | (737,236,000) | $ (675,188,000) | |||
Minimum [Member] | Non-member Counterparty [Member] | |||||
Offsetting Assets and Liabilities [Line Items] | |||||
Collateral Thresholds | 50,000 | ||||
Maximum [Member] | Non-member Counterparty [Member] | |||||
Offsetting Assets and Liabilities [Line Items] | |||||
Collateral Thresholds | $ 500,000 | ||||
[1] | Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties. | ||||
[2] | Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount. | ||||
[3] | Consists of collateral pledged by member counterparties. | ||||
[4] | Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $737,236,000 at March 31, 2019 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. | ||||
[5] | Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged other securities with an aggregate fair value of $675,188,000 at December 31, 2018 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | $ 73,444 | $ 43,696 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 158,219 | 234,679 | |
Derivative, Notional Amount | 45,727,012 | 49,101,899 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | (9,487) | (9,287) | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | (126,492) | (164,237) | |
Derivative Asset Fair Value Cash Received Exceeding Variation Margin Requirement | 0 | (93) | |
Derivative Liability, Fair Value Cash Remitted Exceeding Variation Margin Requirement | (8) | (13) | |
Derivative Asset, Fair Value, Gross Liability | (11,629) | (24,438) | |
Derivative Liability, Fair Value, Gross Asset | (11,629) | (24,438) | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (21,116) | (33,818) |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (138,129) | (188,688) |
Derivative assets | 52,328 | 9,878 | |
Derivative liabilities | 20,090 | 45,991 | |
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 66,493 | 33,886 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 145,726 | 225,009 | |
Derivative, Notional Amount | 41,446,371 | 43,841,611 | |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 6,630 | 4,273 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 54,700 | 36,521 | |
Derivative, Notional Amount | 7,437,559 | 7,171,033 | |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 41,393 | 8,501 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 15,717 | 55,202 | |
Derivative, Notional Amount | 15,941,072 | 15,981,523 | |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 15,653 | 21,112 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 75,309 | 130,806 | |
Derivative, Notional Amount | 17,154,740 | 19,824,055 | |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,817 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 2,480 | |
Derivative, Notional Amount | 913,000 | 865,000 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 6,951 | 9,810 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 12,493 | 9,670 | |
Derivative, Notional Amount | 4,280,641 | 5,260,288 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Derivative, Notional Amount | 0 | 2,500 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 6 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 10 | |
Derivative, Notional Amount | 3,156 | 3,156 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Mortgages [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 125 | 158 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 755 | 198 | |
Derivative, Notional Amount | 160,600 | 150,600 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Intermediary Transactions [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 4,309 | 3,742 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 9,941 | 6,245 | |
Derivative, Notional Amount | 1,177,771 | 1,228,345 | |
Not Designated as Hedging Instrument [Member] | Other Contract [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 1,425 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 787 | 0 | |
Derivative, Notional Amount | 425,000 | 425,000 | |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 137 | 62 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Derivative, Notional Amount | 23,114 | 11,687 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | Mortgages [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,269 | 1,234 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Derivative, Notional Amount | 215,000 | 185,000 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Held-to-maturity Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1 | 6 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Derivative, Notional Amount | 750,000 | 1,000,000 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Caps And Floors [Member] | Intermediary Transactions [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,010 | 3,178 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 1,010 | 3,178 | |
Derivative, Notional Amount | 363,000 | 541,000 | |
Not Designated as Hedging Instrument, Trading [Member] | Interest Rate Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 94 | 5 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 39 | |
Derivative, Notional Amount | $ 1,163,000 | $ 1,713,000 | |
[1] | Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Net gains (losses) on fair value and cash flow hedges) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2019 | Mar. 31, 2018 | ||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Advances | $ 237,864 | $ 155,345 | [1] | ||
Available-for-sale securities | 119,008 | 79,958 | [1] | ||
Interest Expense, Other Long-term Debt | (190,768) | (128,145) | [1] | ||
Interest Expense, Other Short-term Borrowings | (196,251) | (94,536) | [1] | ||
Net gains on derivatives and hedging activities | 8,766 | 1,823 | [1] | ||
Other comprehensive income | 31,201 | 55,301 | [1] | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 0 | [2] | 11,905 | ||
Interest Rate Contract [Member] | Designated as Hedging Instrument [Member] | Other Comprehensive Income (Loss) [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Gain (Loss) on Cash Flow Hedging Relationship | (21,197) | 14,150 | [1] | ||
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), before Reclassification and Tax | (20,390) | 13,840 | [1] | ||
Interest Rate Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net | (807) | 310 | [1] | ||
Interest Rate Contract [Member] | Gain (Loss) on Derivative Instruments [Member] | Designated as Hedging Instrument [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | [1] | 232,203 | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | [1],[3] | (220,298) | |||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [1] | 11,905 | |||
Advances [Member] | Interest Rate Contract [Member] | Interest Income [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (35,083) | (1,698) | [1] | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 48,096 | 0 | [1],[3] | ||
Gain Loss On Fair Value Hedging Relationship | 13,013 | (1,698) | [1] | ||
Available-for-sale Securities [Member] | Interest Rate Contract [Member] | Interest Income [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (283,861) | (11,682) | [1] | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 298,786 | 0 | [1],[3] | ||
Gain Loss On Fair Value Hedging Relationship | 14,925 | (11,682) | [1] | ||
Consolidated Obligation Bonds [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 93,225 | 1,765 | [1] | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (112,240) | 0 | [1],[3] | ||
Gain Loss On Fair Value Hedging Relationship | (19,015) | 1,765 | [1] | ||
Consolidated Obligation Discount Notes [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | [1] | 0 | |||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | [1],[3] | 0 | |||
Gain Loss On Fair Value Hedging Relationship | [1] | 0 | |||
Consolidated Obligation Discount Notes [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | Designated as Hedging Instrument [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net Gain (Loss) on Cash Flow Hedging Relationship | 807 | (310) | [1] | ||
Interest Rate Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net | $ 807 | $ (310) | [1] | ||
[1] | Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. | ||||
[2] | For the three months ended March 31, 2019, all of the effects of derivatives and associated hedged items in ASC 815 fair value hedging relationships are reported in net interest income. | ||||
[3] | Excludes amortization/accretion on closed fair value relationships. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) $ in Thousands | Mar. 31, 2019USD ($) | |
Advances [Member] | ||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | ||
Hedged Asset, Fair Value Hedge | $ 7,487,138 | [1] |
HedgedAssetActiveFairValueHedgeCumulativeIncreaseDecrease | 52,353 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 6,006 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 58,359 | [2] |
Available-for-sale Securities [Member] | ||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | ||
Hedged Asset, Fair Value Hedge | 15,965,009 | [1] |
HedgedAssetActiveFairValueHedgeCumulativeIncreaseDecrease | (151,980) | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (1,079) | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | (153,059) | [2] |
Consolidated Obligation Bonds [Member] | ||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | ||
Hedged Liability, Fair Value Hedge | (17,189,554) | [1] |
HedgedLiabilityActiveFairValueHedgeCumulativeIncreaseDecrease | 67,969 | |
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (583) | |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | $ 67,386 | [2] |
[1] | Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments. | |
[2] | Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities (Net gains (losses) on derivatives and hedging activities in other income (loss)) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2019 | Mar. 31, 2018 | ||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ 0 | [1] | $ 11,905 | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 8,659 | (8,791) | |||
Derivative Instruments, Other Gain (Loss) | [2] | 107 | (1,291) | ||
Gain (Loss) on Derivative Instruments, Net, Pretax | 8,766 | 1,823 | [3] | ||
Interest Rate Swap [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 0 | [1] | 11,880 | ||
Interest Rate Swaption [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 0 | [1] | 25 | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps And Floors [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 85 | 11 | |||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 8,565 | (9,028) | |||
Not Designated as Hedging Instrument, Economic Hedge [Member] | NetInterestSettlements [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (1,023) | 175 | |||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swaption [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (229) | 0 | |||
Mortgage Receivable [Member] | Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 1,261 | $ 51 | |||
[1] | For the three months ended March 31, 2019, all of the effects of derivatives and associated hedged items in ASC 815 fair value hedging relationships are reported in net interest income. | ||||
[2] | The amount reported for the three months ended March 31, 2019 reflects the price alignment amount on variation margin for daily settled derivative contracts that are not designated as hedging instruments under ASC 815. The price alignment amount on variation margin for daily settled derivative contracts that are designated as hedging instruments under ASC 815 is recorded in the same line item as the earnings effect of the hedged item. The amount reported for the three months ended March 31, 2018 reflects the price alignment amount on variation margin for all daily settled derivative contracts. | ||||
[3] | Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | ||
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ 1,940 | |
Maximum Length of Time Hedged in Cash Flow Hedge | 10 years | |
Derivative, Notional Amount | $ 45,727,012 | $ 49,101,899 |
Over the Counter [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 15,100,000 | |
Exchange Cleared [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 29,800,000 | |
Member Counterparties [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 800,000 |
Capital (Details)
Capital (Details) - USD ($) | Mar. 31, 2019 | Mar. 26, 2019 | Dec. 31, 2018 | Oct. 21, 2015 |
Capital [Line Items] | ||||
Federal Home Loan Bank, Risk-Based Capital, Required | $ 1,044,976,000 | $ 1,159,443,000 | ||
Federal Home Loan Bank, Risk-Based Capital, Actual | 3,559,945,000 | 3,643,234,000 | ||
Federal Home Loan Bank, Regulatory Capital, Required | 2,761,500,000 | 2,910,932,000 | ||
Federal Home Loan Bank, Regulatory Capital, Actual | $ 3,559,945,000 | $ 3,643,234,000 | ||
Regulatory Capital Ratio, Required | 4.00% | 4.00% | ||
Federal Home Loan Bank, Regulatory Capital Ratio, Actual | 5.16% | 5.01% | ||
Federal Home Loan Bank, Leverage Capital, Required | $ 3,451,875,000 | $ 3,638,665,000 | ||
Federal Home Loan Bank, Leverage Capital, Actual | $ 5,339,918,000 | $ 5,464,851,000 | ||
Leverage Ratio, Required | 5.00% | 5.00% | ||
Leverage Ratio, Actual | 7.73% | 7.51% | ||
Membership Investment Requirement, Percent of Members Total Assets as of Previous Calendar Year | 0.04% | |||
Membership Investment Requirement, Minimum Dollar Amount | $ 1,000 | |||
Membership Investment Requirement, Maximum Dollar Amount | $ 7,000,000 | |||
Activity Based Investment Requirement, Percent of Outstanding Advances | 4.10% | 4.10% | ||
Activity Based % Requirement, Special Advances Program | 2.00% | |||
Surplus Stock Threshold Percentage | 125.00% | 125.00% | ||
Minimum Stock Surplus Required For Repurchase | $ 2,500,000 | $ 2,500,000 | ||
Repurchased Surplus Stock, Total | 202,498,000 | |||
RepurchasedSurplusStockMRCSPortion | $ 1,596,000 |
Employee Retirement Plans (Deta
Employee Retirement Plans (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Defined Benefit Plan Disclosure [Line Items] | ||
Service cost | $ 7 | $ 5 |
Interest cost | 5 | 5 |
Amortization of prior service cost | 5 | 5 |
Amortization of net actuarial gain | (23) | (26) |
Net periodic benefit credit | $ (6) | $ (11) |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative, Notional Amount | $ 45,727,012 | $ 49,101,899 | |||
Assets | |||||
Cash and due from banks | 47,497 | 35,157 | |||
Trading securities | 3,592,104 | 1,818,178 | |||
Available-for-sale securities | 16,135,812 | 15,825,155 | |||
Held-to-maturity securities | 1,416,816 | 1,462,279 | |||
Held-to-maturity securities, Fair Value | 1,431,789 | 1,478,691 | |||
Accrued interest receivable | 162,010 | 152,670 | |||
Derivative assets | 52,328 | 9,878 | |||
Other assets held at fair value | 12,341 | 12,376 | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (21,116) | (33,818) | ||
Assets, Amounts Offset Against Collateral | 21,116 | 33,818 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 7,753 | 6,979 | |||
Accrued interest payable | 134,076 | 122,938 | |||
Derivative liabilities | 20,090 | 45,991 | |||
Loans from Other Federal Home Loan Banks | 0 | 0 | $ 0 | $ 0 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (138,129) | (188,688) | ||
Carrying Value [Member] | |||||
Assets | |||||
Cash and due from banks | 47,497 | 35,157 | |||
Interest-bearing deposits | 1,256,255 | 2,500,317 | |||
Securities purchased under agreements to resell | 5,515,000 | 6,215,000 | |||
Federal funds sold | 2,125,000 | 1,731,000 | |||
Trading securities | 3,592,104 | 1,818,178 | |||
Available-for-sale securities | 16,135,812 | 15,825,155 | |||
Held-to-maturity securities | 1,416,816 | 1,462,279 | |||
Advances | 36,096,595 | 40,793,813 | |||
Mortgage loans held for portfolio, net | 2,594,412 | 2,185,503 | |||
Accrued interest receivable | 162,010 | 152,670 | |||
Derivative assets | 52,328 | 9,878 | |||
Other assets held at fair value | 12,341 | 12,376 | |||
Liabilities | |||||
Deposits | 792,046 | 963,992 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 7,753 | 6,979 | |||
Accrued interest payable | 134,076 | 122,938 | |||
Derivative liabilities | 20,090 | 45,991 | |||
Estimated Fair Value [Member] | |||||
Assets | |||||
Cash and due from banks | 47,497 | 35,157 | |||
Interest-bearing deposits | 1,256,255 | 2,500,317 | |||
Securities purchased under agreements to resell | 5,515,000 | 6,215,000 | |||
Federal funds sold | 2,125,000 | 1,731,000 | |||
Trading securities | 3,592,104 | 1,818,178 | |||
Available-for-sale securities | 16,135,812 | 15,825,155 | |||
Held-to-maturity securities, Fair Value | 1,431,789 | 1,478,691 | |||
Advances | 36,066,088 | 40,720,636 | |||
Mortgage loans held for portfolio, net | 2,604,052 | 2,161,720 | |||
Accrued interest receivable | 162,010 | 152,670 | |||
Derivative assets | 52,328 | 9,878 | |||
Other assets held at fair value | 12,341 | 12,376 | |||
Liabilities | |||||
Deposits | 792,101 | 964,017 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 7,753 | 6,979 | |||
Accrued interest payable | 134,076 | 122,938 | |||
Derivative liabilities | 20,090 | 45,991 | |||
Fair Value, Inputs, Level 1 [Member] | |||||
Assets | |||||
Cash and due from banks | 47,497 | 35,157 | |||
Interest-bearing deposits | 0 | 0 | |||
Securities purchased under agreements to resell | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Held-to-maturity securities, Fair Value | 0 | 0 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Other assets held at fair value | 12,341 | 12,376 | |||
Liabilities | |||||
Deposits | 0 | 0 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 7,753 | 6,979 | |||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Assets | |||||
Cash and due from banks | 0 | 0 | |||
Interest-bearing deposits | 1,256,255 | 2,500,317 | |||
Securities purchased under agreements to resell | 5,515,000 | 6,215,000 | |||
Federal funds sold | 2,125,000 | 1,731,000 | |||
Trading securities | 3,592,104 | 1,818,178 | |||
Available-for-sale securities | 16,135,812 | 15,825,155 | |||
Held-to-maturity securities, Fair Value | 1,355,655 | 1,400,536 | |||
Advances | 36,066,088 | 40,720,636 | |||
Mortgage loans held for portfolio, net | 2,604,052 | 2,161,720 | |||
Accrued interest receivable | 162,010 | 152,670 | |||
Derivative assets | 73,444 | 43,696 | |||
Other assets held at fair value | 0 | 0 | |||
Liabilities | |||||
Deposits | 792,101 | 964,017 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued interest payable | 134,076 | 122,938 | |||
Derivative liabilities | 158,219 | 234,679 | |||
Fair Value, Inputs, Level 3 [Member] | |||||
Assets | |||||
Cash and due from banks | 0 | 0 | |||
Interest-bearing deposits | 0 | 0 | |||
Securities purchased under agreements to resell | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Held-to-maturity securities, Fair Value | 76,134 | 78,155 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Other assets held at fair value | 0 | 0 | |||
Liabilities | |||||
Deposits | 0 | 0 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Consolidated Obligation Discount Notes [Member] | Carrying Value [Member] | |||||
Consolidated obligations | |||||
Discount notes, Fair Value | 37,369,065 | 35,731,713 | |||
Consolidated Obligation Discount Notes [Member] | Estimated Fair Value [Member] | |||||
Consolidated obligations | |||||
Discount notes, Fair Value | 37,362,270 | 35,723,208 | |||
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member] | |||||
Consolidated obligations | |||||
Discount notes, Fair Value | 0 | 0 | |||
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member] | |||||
Consolidated obligations | |||||
Discount notes, Fair Value | 37,362,270 | 35,723,208 | |||
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member] | |||||
Consolidated obligations | |||||
Discount notes, Fair Value | 0 | 0 | |||
Consolidated Obligation Bonds [Member] | Carrying Value [Member] | |||||
Consolidated obligations | |||||
Bonds, Fair Value | 26,746,361 | 31,931,929 | |||
Consolidated Obligation Bonds [Member] | Estimated Fair Value [Member] | |||||
Consolidated obligations | |||||
Bonds, Fair Value | 26,712,206 | 31,850,858 | |||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | |||||
Consolidated obligations | |||||
Bonds, Fair Value | 0 | 0 | |||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | |||||
Consolidated obligations | |||||
Bonds, Fair Value | 26,712,206 | 31,850,858 | |||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | |||||
Consolidated obligations | |||||
Bonds, Fair Value | $ 0 | $ 0 | |||
[1] | Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties. |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 |
Commitments and Contingencies [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 126,245 | $ 163,887 |
Other Assets, Fair Value Disclosure | 12,341 | 12,376 |
Other FHLBanks [Member] | ||
Commitments and Contingencies [Line Items] | ||
Debt, Gross | 947,000,000 | |
Available-for-sale Securities [Member] | ||
Commitments and Contingencies [Line Items] | ||
Derivative, Collateral, Right to Reclaim Securities | 742,649 | 712,547 |
Loan Origination Commitments [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 9,323 | 124,223 |
Standby Letters of Credit [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 18,716,053 | 18,538,265 |
Financial Standby Letter of Credit [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2022 | 196,671 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2023 | 253,219 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 449,890 | 449,890 |
Consolidated Obligation Bonds [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 300,000 | 20,000 |
Consolidated Obligation Discount Notes [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 342,121 | 323,652 |
Conventional Mortgage Loan [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | $ 23,114 | $ 11,687 |
Transactions with Other FHLBa_3
Transactions with Other FHLBanks (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2019 | Mar. 31, 2018 | |
Loans Made to Other FHLBanks [Roll Forward] | ||
Interest Expense, Loans from Other Federal Home Loan Banks | $ 669 | $ 58,264 |
Borrowings From Other FHLBanks [Roll Forward] | ||
Loans from other FHLBanks, Beginning of period | 0 | 0 |
Loans from other FHLBanks, End of period | 0 | 0 |
Federal Home Loan Bank of Boston [Member] | ||
Borrowings From Other FHLBanks [Roll Forward] | ||
Borrowings from other FHLBanks | 0 | 175,000,000 |
Repayments to other FHLBanks | 0 | (175,000,000) |
Federal Home Loan Bank of Cincinnati [Member] | ||
Borrowings From Other FHLBanks [Roll Forward] | ||
Borrowings from other FHLBanks | 0 | 500,000,000 |
Repayments to other FHLBanks | 0 | (500,000,000) |
Federal Home Loan Bank of Des Moines [Member] | ||
Borrowings From Other FHLBanks [Roll Forward] | ||
Borrowings from other FHLBanks | 0 | 500,000,000 |
Repayments to other FHLBanks | 0 | (500,000,000) |
FHLBank of Indianapolis [Member] | ||
Borrowings From Other FHLBanks [Roll Forward] | ||
Borrowings from other FHLBanks | 10,000,000 | 300,000,000 |
Repayments to other FHLBanks | $ (10,000,000) | $ (300,000,000) |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive income (loss), Start of period | $ 128,001 | |||
Reclassifications from accumulated other comprehensive income (loss) to net income | ||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | (440) | $ 0 | ||
Reclassification adjustment for (gains) losses on cash flow hedges included in net income | (807) | 310 | ||
Other amounts of other comprehensive income (loss) | ||||
Net unrealized gains on available-for-sale securities | 52,263 | 40,399 | ||
Unrealized gains (losses) on cash flow hedges | (20,390) | 13,840 | ||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 593 | 773 | ||
Total other comprehensive income (loss) | 31,201 | 55,301 | [1] | |
Accumulated Other Comprehensive Income (Loss), End of Period | 159,202 | |||
Accumulated Net Unrealized Investment Gain (Loss) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive income (loss), Start of period | [2] | 118,980 | 212,225 | |
Reclassifications from accumulated other comprehensive income (loss) to net income | ||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | [2] | (440) | ||
Other amounts of other comprehensive income (loss) | ||||
Net unrealized gains on available-for-sale securities | [2] | 52,263 | 40,399 | |
Total other comprehensive income (loss) | [2] | 51,823 | 40,399 | |
Accumulated Other Comprehensive Income (Loss), End of Period | [2] | 170,803 | 252,624 | |
Accumulated Net Gain (Loss) from Cash Flow Hedges Attributable to Parent [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive income (loss), Start of period | 18,412 | 20,185 | ||
Reclassifications from accumulated other comprehensive income (loss) to net income | ||||
Reclassification adjustment for (gains) losses on cash flow hedges included in net income | (807) | 310 | ||
Other amounts of other comprehensive income (loss) | ||||
Unrealized gains (losses) on cash flow hedges | (20,390) | 13,840 | ||
Total other comprehensive income (loss) | (21,197) | 14,150 | ||
Accumulated Other Comprehensive Income (Loss), End of Period | (2,785) | 34,335 | ||
Accumulated Defined Benefit Plans Adjustment [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive income (loss), Start of period | 1,276 | 1,517 | ||
Reclassifications from accumulated other comprehensive income (loss) to net income | ||||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (18) | (21) | ||
Other amounts of other comprehensive income (loss) | ||||
Total other comprehensive income (loss) | (18) | (21) | ||
Accumulated Other Comprehensive Income (Loss), End of Period | 1,258 | 1,496 | ||
AOCI Attributable to Parent [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive income (loss), Start of period | 128,001 | 220,326 | ||
Reclassifications from accumulated other comprehensive income (loss) to net income | ||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | (440) | |||
Reclassification adjustment for (gains) losses on cash flow hedges included in net income | (807) | 310 | ||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (18) | (21) | ||
Other amounts of other comprehensive income (loss) | ||||
Net unrealized gains on available-for-sale securities | 52,263 | 40,399 | ||
Unrealized gains (losses) on cash flow hedges | (20,390) | 13,840 | ||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 593 | 773 | ||
Total other comprehensive income (loss) | 31,201 | 55,301 | ||
Accumulated Other Comprehensive Income (Loss), End of Period | 159,202 | 275,627 | ||
Held-to-maturity Securities [Member] | Accumulated Other-than-Temporary Impairment [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive income (loss), Start of period | (10,667) | (13,601) | ||
Other amounts of other comprehensive income (loss) | ||||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 593 | 773 | ||
Total other comprehensive income (loss) | 593 | 773 | ||
Accumulated Other Comprehensive Income (Loss), End of Period | $ (10,074) | $ (12,828) | ||
[1] | Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. | |||
[2] | Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. |