ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation | 31-6000228 | ||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | ||||||||||
600 Atrium Two, P.O. Box 598, | |||||||||||
Cincinnati, | OH | 45201-0598 | |||||||||
(Address of principal executive offices) | (Zip Code) |
Large accelerated | Accelerated | ||||||||||
Non-accelerated Filer | |||||||||||
☒ | Smaller reporting company | ☐ | |||||||||
Emerging growth company | ☐ |
Page 1 of |
PART I | ||||||||
Item 1. | Business | |||||||
Item 1A. | Risk Factors | |||||||
Item 1B. | Unresolved Staff Comments | |||||||
Item 2. | Properties | |||||||
Item 3. | Legal Proceedings | |||||||
Item 4. | Mine Safety Disclosures | |||||||
PART II | ||||||||
Item 5. | Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities | |||||||
Item 6. | Selected Financial Data | |||||||
Item 7. | Management's Discussion and Analysis of Financial Condition and Results of Operations | |||||||
Item 7A. | Quantitative and Qualitative Disclosures About Market Risk | |||||||
Item 8. | Financial Statements and Supplementary Data | |||||||
Financial Statements for the Years Ended | ||||||||
Notes to Financial Statements | ||||||||
Supplemental Financial Data | ||||||||
Item 9. | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure | |||||||
Item 9A. | Controls and Procedures | |||||||
Item 9B. | Other Information | |||||||
PART III | ||||||||
Item 10. | Directors, Executive Officers and Corporate Governance | |||||||
Item 11. | Executive Compensation | |||||||
Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters | |||||||
Item 13. | Certain Relationships and Related Transactions, and Director Independence | |||||||
Item 14. | Principal Accountant Fees and Services | |||||||
PART IV | ||||||||
Item 15. | Exhibits and Financial Statement Schedules | |||||||
Item 16. | Form 10-K Summary | |||||||
Signatures |
▪the five-year redemption period for Class B stock; ▪the option we have to call on members to purchase additional capital if |
Mission Asset Activity | Minimum Activity Percentage | Maximum Activity Percentage | ||
Advances | 2% | 4% | ||
Advance Commitments | 2 | 4 | ||
MPP | 0 | 4 |
Mission Asset Activity | Minimum Activity Percentage | Maximum Activity Percentage | ||||||||||||
Advances | 4.50% | 4.50% | ||||||||||||
Advance Commitments | 4.50 | 4.50 | ||||||||||||
MPP | 3.00 | 3.00 | ||||||||||||
Letters of Credit | 0.10 | 0.10 |
(Dollars in millions) | (Dollars in millions) | (Dollars in millions) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2020 | 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Annualized | Annualized | Annualized | Annualized | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Quarter | Amount | Rate | Form | Quarter | Amount | Rate | Form | Quarter | Rate | Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
First | $ | 47 | 4.50 | % | Cash | First | $ | 44 | 4.00 | % | Cash | First | 2.50 | % | 6.00 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Second | 49 | 4.75 | Cash | Second | 43 | 4.00 | Cash | Second | 2.50 | 5.50 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Third | 54 | 5.25 | Cash | Third | 42 | 4.00 | Cash | Third | 2.00 | 4.50 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fourth | 58 | 5.50 | Cash | Fourth | 42 | 4.00 | Cash | Fourth | 2.00 | 4.00 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 208 | 5.00 | Total | $ | 171 | 4.00 | Total | 2.23 | 5.05 |
Year Ended December 31, | |||||||||||||||||||||||||||||
(Dollars in millions) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
STATEMENT OF CONDITION DATA AT PERIOD END: | |||||||||||||||||||||||||||||
Total assets | $ | 65,296 | $ | 93,492 | $ | 99,203 | $ | 106,895 | $ | 104,635 | |||||||||||||||||||
Advances | 25,362 | 47,370 | 54,822 | 69,918 | 69,882 | ||||||||||||||||||||||||
Mortgage loans held for portfolio | 9,549 | 11,236 | 10,502 | 9,682 | 9,150 | ||||||||||||||||||||||||
Allowance for credit losses on mortgage loans (1) | — | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||
Investments (2) | 27,041 | 34,389 | 33,614 | 27,058 | 25,334 | ||||||||||||||||||||||||
Consolidated Obligations, net: | |||||||||||||||||||||||||||||
Discount Notes | 27,500 | 49,084 | 46,944 | 46,211 | 44,690 | ||||||||||||||||||||||||
Bonds | 31,997 | 38,440 | 45,659 | 54,163 | 53,191 | ||||||||||||||||||||||||
Total Consolidated Obligations, net | 59,497 | 87,524 | 92,603 | 100,374 | 97,881 | ||||||||||||||||||||||||
Mandatorily redeemable capital stock | 19 | 22 | 23 | 30 | 35 | ||||||||||||||||||||||||
Capital: | |||||||||||||||||||||||||||||
Capital stock - putable | 2,641 | 3,367 | 4,320 | 4,241 | 4,157 | ||||||||||||||||||||||||
Retained earnings | 1,304 | 1,094 | 1,023 | 940 | 834 | ||||||||||||||||||||||||
Accumulated other comprehensive loss | (15) | (16) | (13) | (16) | (13) | ||||||||||||||||||||||||
Total capital | 3,930 | 4,445 | 5,330 | 5,165 | 4,978 | ||||||||||||||||||||||||
STATEMENT OF INCOME DATA: | |||||||||||||||||||||||||||||
Net interest income | $ | 406 | $ | 406 | $ | 499 | $ | 429 | $ | 363 | |||||||||||||||||||
Non-interest income (loss) | (7) | (10) | (37) | (1) | 46 | ||||||||||||||||||||||||
Non-interest expense | 92 | 89 | 85 | 79 | 111 | ||||||||||||||||||||||||
Affordable Housing Program assessments | 31 | 31 | 38 | 35 | 30 | ||||||||||||||||||||||||
Net income | $ | 276 | $ | 276 | $ | 339 | $ | 314 | $ | 268 | |||||||||||||||||||
FINANCIAL RATIOS: | |||||||||||||||||||||||||||||
Dividend payout ratio (3) | 30.3 | % | 74.1 | % | 75.6 | % | 66.3 | % | 63.9 | % | |||||||||||||||||||
Weighted average dividend rate (4) | 2.23 | 5.05 | 5.88 | 5.00 | 4.00 | ||||||||||||||||||||||||
Return on average equity | 5.78 | 5.65 | 6.29 | 6.15 | 5.35 | ||||||||||||||||||||||||
Return on average assets | 0.31 | 0.28 | 0.32 | 0.31 | 0.25 | ||||||||||||||||||||||||
Net interest margin (5) | 0.46 | 0.42 | 0.47 | 0.42 | 0.35 | ||||||||||||||||||||||||
Average equity to average assets | 5.39 | 5.04 | 5.11 | 5.00 | 4.76 | ||||||||||||||||||||||||
Regulatory capital ratio (6) | 6.07 | 4.79 | 5.41 | 4.88 | 4.80 | ||||||||||||||||||||||||
Operating expenses to average assets (7) | 0.080 | 0.070 | 0.063 | 0.060 | 0.061 |
Year Ended December 31, | |||||||||||||||||||
(Dollars in millions) | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||
STATEMENT OF CONDITION DATA AT PERIOD END: | |||||||||||||||||||
Total assets | $ | 106,895 | $ | 104,635 | $ | 118,756 | $ | 106,607 | $ | 103,137 | |||||||||
Advances | 69,918 | 69,882 | 73,292 | 70,406 | 65,270 | ||||||||||||||
Mortgage loans held for portfolio | 9,682 | 9,150 | 7,954 | 6,956 | 6,782 | ||||||||||||||
Allowance for credit losses on mortgage loans | 1 | 1 | 2 | 5 | 7 | ||||||||||||||
Investments (1) | 27,058 | 25,334 | 37,356 | 26,007 | 22,364 | ||||||||||||||
Consolidated Obligations, net: | |||||||||||||||||||
Discount Notes | 46,211 | 44,690 | 77,199 | 41,232 | 38,210 | ||||||||||||||
Bonds | 54,163 | 53,191 | 35,092 | 59,217 | 58,163 | ||||||||||||||
Total Consolidated Obligations, net | 100,374 | 97,881 | 112,291 | 100,449 | 96,373 | ||||||||||||||
Mandatorily redeemable capital stock | 30 | 35 | 38 | 63 | 116 | ||||||||||||||
Capital: | |||||||||||||||||||
Capital stock - putable | 4,241 | 4,157 | 4,429 | 4,267 | 4,698 | ||||||||||||||
Retained earnings | 940 | 834 | 737 | 656 | 578 | ||||||||||||||
Accumulated other comprehensive loss | (16 | ) | (13 | ) | (13 | ) | (17 | ) | (9 | ) | |||||||||
Total capital | 5,165 | 4,978 | 5,153 | 4,906 | 5,267 | ||||||||||||||
STATEMENT OF INCOME DATA: | |||||||||||||||||||
Net interest income | $ | 429 | $ | 363 | $ | 327 | $ | 327 | $ | 307 | |||||||||
Provision (reversal) for credit losses | — | — | — | — | (7 | ) | |||||||||||||
Non-interest (loss) income | (1 | ) | 46 | 30 | 23 | 20 | |||||||||||||
Non-interest expense | 79 | 111 | 75 | 68 | 64 | ||||||||||||||
Affordable Housing Program assessments | 35 | 30 | 28 | 28 | 30 | ||||||||||||||
Net income | $ | 314 | $ | 268 | $ | 254 | $ | 254 | $ | 240 | |||||||||
FINANCIAL RATIOS: | |||||||||||||||||||
Dividend payout ratio (2) | 66.3 | % | 63.9 | % | 67.7 | % | 69.5 | % | 74.2 | % | |||||||||
Weighted average dividend rate (3) | 5.00 | 4.00 | 4.00 | 4.00 | 4.18 | ||||||||||||||
Return on average equity | 6.15 | 5.35 | 5.04 | 5.16 | 4.72 | ||||||||||||||
Return on average assets | 0.31 | 0.25 | 0.24 | 0.25 | 0.26 | ||||||||||||||
Net interest margin (4) | 0.42 | 0.35 | 0.31 | 0.32 | 0.33 | ||||||||||||||
Average equity to average assets | 5.00 | 4.76 | 4.78 | 4.86 | 5.43 | ||||||||||||||
Regulatory capital ratio (5) | 4.88 | 4.80 | 4.38 | 4.68 | 5.23 | ||||||||||||||
Operating expenses to average assets (6) | 0.063 | 0.064 | 0.058 | 0.054 | 0.055 |
Year Ended December 31, | |||||||||||||||
Ending Balances | Average Balances | ||||||||||||||
(In millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Total Assets | $ | 106,895 | $ | 104,635 | $ | 101,917 | $ | 105,425 | |||||||
Mission Asset Activity: | |||||||||||||||
Advances (principal) | 69,978 | 69,907 | 67,683 | 69,214 | |||||||||||
Mortgage Purchase Program (MPP): | |||||||||||||||
Mortgage loans held for portfolio (principal) | 9,454 | 8,926 | 9,224 | 8,323 | |||||||||||
Mandatory Delivery Contracts (notional) | 219 | 441 | 293 | 555 | |||||||||||
Total MPP | 9,673 | 9,367 | 9,517 | 8,878 | |||||||||||
Letters of Credit (notional) | 14,691 | 17,508 | 16,457 | 17,035 | |||||||||||
Total Mission Asset Activity | $ | 94,342 | $ | 96,782 | $ | 93,657 | $ | 95,127 |
Year Ended December 31, | |||||||||||||||||||||||||||||||||||
Ending Balances | Average Balances | ||||||||||||||||||||||||||||||||||
(In millions) | 2020 | 2019 | 2020 | 2019 | |||||||||||||||||||||||||||||||
Mission Asset Activity: | |||||||||||||||||||||||||||||||||||
Advances (principal) | $ | 25,007 | $ | 47,264 | $ | 42,917 | $ | 47,894 | |||||||||||||||||||||||||||
MPP: | |||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (principal) | 9,316 | 10,981 | 10,995 | 10,499 | |||||||||||||||||||||||||||||||
Mandatory Delivery Contracts (notional) | 137 | 936 | 338 | 516 | |||||||||||||||||||||||||||||||
Total MPP | 9,453 | 11,917 | 11,333 | 11,015 | |||||||||||||||||||||||||||||||
Letters of Credit (notional) | 28,812 | 16,205 | 20,141 | 15,150 | |||||||||||||||||||||||||||||||
Total Mission Asset Activity | $ | 63,272 | $ | 75,386 | $ | 74,391 | $ | 74,059 |
Year Ended December 31, | |||||||||||||||||||||||||||||
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||
Net income | $ | 276 | $ | 276 | $ | 339 | |||||||||||||||||||||||
Affordable Housing Program assessments | 31 | 31 | 38 | ||||||||||||||||||||||||||
Return on average equity (ROE) | 5.78 | % | 5.65 | % | 6.29 | % | |||||||||||||||||||||||
Return on average assets | 0.31 | 0.28 | 0.32 | ||||||||||||||||||||||||||
Weighted average dividend rate | 2.23 | 5.05 | 5.88 | ||||||||||||||||||||||||||
Average short-term interest rates (1) | 0.51 | 2.24 | 2.07 | ||||||||||||||||||||||||||
ROE spread to average short-term interest rates | 5.27 | 3.41 | 4.22 | ||||||||||||||||||||||||||
Dividend rate spread to average short-term interest rates | 1.72 | 2.81 | 3.81 | ||||||||||||||||||||||||||
Year Ended December 31, | |||||||||||
(Dollars in millions) | 2017 | 2016 | 2015 | ||||||||
Net income | $ | 314 | $ | 268 | $ | 254 | |||||
Affordable Housing Program assessments | 35 | 30 | 28 | ||||||||
Return on average equity (ROE) | 6.15 | % | 5.35 | % | 5.04 | % | |||||
Return on average assets | 0.31 | 0.25 | 0.24 | ||||||||
Weighted average dividend rate | 5.00 | 4.00 | 4.00 | ||||||||
Average 3-month LIBOR | 1.26 | 0.74 | 0.32 | ||||||||
ROE spread to 3-month LIBOR | 4.89 | 4.61 | 4.72 | ||||||||
Dividend rate spread to 3-month LIBOR | 3.74 | 3.26 | 3.68 |
Year 2020 | Year 2019 | Year 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ending | Average | Ending | Average | Ending | Average | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal funds effective | 0.09 | % | 0.37 | % | 1.55 | % | 2.16 | % | 2.40 | % | 1.83 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Secured Overnight Financing Rate (SOFR) | 0.09 | 0.37 | 1.55 | 2.20 | 3.00 | 1.85 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
3-month LIBOR | 0.24 | 0.65 | 1.91 | 2.33 | 2.81 | 2.31 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2-year LIBOR | 0.20 | 0.49 | 1.70 | 2.03 | 2.66 | 2.75 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10-year LIBOR | 0.93 | 0.88 | 1.90 | 2.09 | 2.71 | 2.95 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2-year U.S. Treasury | 0.12 | 0.39 | 1.57 | 1.97 | 2.49 | 2.52 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10-year U.S. Treasury | 0.92 | 0.89 | 1.92 | 2.14 | 2.69 | 2.91 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
15-year mortgage current coupon (1) | 0.65 | 1.17 | 2.28 | 2.52 | 3.06 | 3.20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
30-year mortgage current coupon (1) | 1.28 | 1.64 | 2.71 | 2.95 | 3.51 | 3.65 |
Year 2020 by Quarter - Average | ||||||||||||||||||||||||||||||||||||||||
Year 2017 | Year 2016 | Year 2015 | Quarter 1 | Quarter 2 | Quarter 3 | Quarter 4 | ||||||||||||||||||||||||||||||||||
Ending | Average | Ending | Average | Ending | Average | |||||||||||||||||||||||||||||||||||
Federal funds effective | 1.33 | % | 1.00 | % | 0.55 | % | 0.39 | % | 0.20 | % | 0.13 | % | Federal funds effective | 1.25 | % | 0.06 | % | 0.09 | % | 0.09 | % | |||||||||||||||||||
SOFR | SOFR | 1.25 | 0.05 | 0.09 | 0.09 | |||||||||||||||||||||||||||||||||||
3-month LIBOR | 1.69 | 1.26 | 1.00 | 0.74 | 0.61 | 0.32 | 3-month LIBOR | 1.54 | 0.61 | 0.25 | 0.22 | |||||||||||||||||||||||||||||
2-year LIBOR | 2.08 | 1.65 | 1.45 | 1.00 | 1.18 | 0.88 | 2-year LIBOR | 1.18 | 0.32 | 0.22 | 0.23 | |||||||||||||||||||||||||||||
10-year LIBOR | 2.40 | 2.29 | 2.34 | 1.70 | 2.19 | 2.18 | 10-year LIBOR | 1.34 | 0.69 | 0.65 | 0.87 | |||||||||||||||||||||||||||||
2-year U.S. Treasury | 1.89 | 1.39 | 1.19 | 0.83 | 1.05 | 0.67 | 2-year U.S. Treasury | 1.10 | 0.19 | 0.14 | 0.15 | |||||||||||||||||||||||||||||
10-year U.S. Treasury | 2.41 | 2.33 | 2.45 | 1.84 | 2.27 | 2.13 | 10-year U.S. Treasury | 1.38 | 0.68 | 0.65 | 0.86 | |||||||||||||||||||||||||||||
15-year mortgage current coupon (1) | 2.52 | 2.40 | 2.49 | 1.94 | 2.32 | 2.13 | 15-year mortgage current coupon (1) | 1.86 | 1.09 | 0.86 | 0.88 | |||||||||||||||||||||||||||||
30-year mortgage current coupon (1) | 3.00 | 3.03 | 3.14 | 2.63 | 3.02 | 2.88 | 30-year mortgage current coupon (1) | 2.31 | 1.58 | 1.32 | 1.37 |
Year 2017 by Quarter - Average | |||||||||||
Quarter 1 | Quarter 2 | Quarter 3 | Quarter 4 | ||||||||
Federal funds effective | 0.70 | % | 0.95 | % | 1.15 | % | 1.20 | % | |||
3-month LIBOR | 1.07 | 1.20 | 1.31 | 1.47 | |||||||
2-year LIBOR | 1.56 | 1.55 | 1.60 | 1.90 | |||||||
10-year LIBOR | 2.38 | 2.21 | 2.20 | 2.35 | |||||||
2-year U.S. Treasury | 1.23 | 1.29 | 1.36 | 1.69 | |||||||
10-year U.S. Treasury | 2.44 | 2.26 | 2.24 | 2.37 | |||||||
15-year mortgage current coupon (1) | 2.50 | 2.34 | 2.30 | 2.46 | |||||||
30-year mortgage current coupon (1) | 3.18 | 3.00 | 2.94 | 3.01 |
(In millions) | Maturing on or before June 30, 2023 | Maturing after June 30, 2023 | |||||||||
LIBOR-Indexed Variable Rate Financial Instruments | |||||||||||
Advances by redemption term | $ | 2,599 | $ | 3,012 | |||||||
MBS by contractual maturity (1) | — | 5,929 | |||||||||
Total principal amount | $ | 2,599 | $ | 8,941 | |||||||
Derivatives, notional amount by termination date | $ | 9,339 | $ | 4,680 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||
Adjustable/Variable Rate-Indexed: | |||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 10,430 | 22 | % | |||||||||||||||
SOFR | 118 | 1 | 500 | 1 | |||||||||||||||||||
Other | 82 | — | 221 | 1 | |||||||||||||||||||
Total | 5,811 | 23 | 11,151 | 24 | |||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 19,386 | 41 | |||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 11,476 | 24 | |||||||||||||||||||
Putable (2) | 2,657 | 11 | 1,444 | 3 | |||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,358 | 5 | |||||||||||||||||||
Other | 1,151 | 5 | 1,449 | 3 | |||||||||||||||||||
Total | 19,196 | 77 | 36,113 | 76 | |||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 47,264 | 100 | % | |||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 16,205 |
(Dollars in millions) | December 31, 2017 | December 31, 2016 | (Dollars in millions) | December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | |||||||||||||||||||||||||||||||||||||||||||||||||
Adjustable/Variable Rate-Indexed: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Adjustable/Variable-Rate Indexed: | Adjustable/Variable-Rate Indexed: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LIBOR | $ | 32,420 | 47 | % | $ | 44,289 | 64 | % | LIBOR | $ | 5,611 | 22 | % | $ | 5,846 | 22 | % | $ | 21,071 | 44 | % | $ | 28,889 | 36 | % | |||||||||||||||||||||||||||||||||||
SOFR | SOFR | 118 | 1 | 116 | — | 116 | — | 2,000 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other | 941 | 1 | 918 | 1 | Other | 82 | — | 123 | 1 | 83 | — | 247 | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 33,361 | 48 | 45,207 | 65 | Total | 5,811 | 23 | 6,085 | 23 | 21,270 | 44 | 31,136 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||
Fixed-Rate: | Fixed-Rate: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase based (REPO) | 19,890 | 28 | 10,786 | 15 | Repurchase based (REPO) | 3,780 | 15 | 3,896 | 15 | 8,978 | 18 | 28,058 | 35 | |||||||||||||||||||||||||||||||||||||||||||||||
Regular Fixed-Rate | 11,191 | 16 | 9,618 | 14 | Regular Fixed-Rate | 9,587 | 38 | 10,207 | 38 | 11,445 | 24 | 14,452 | 18 | |||||||||||||||||||||||||||||||||||||||||||||||
Putable (2) | 280 | — | 565 | 1 | Putable (2) | 2,657 | 11 | 3,107 | 12 | 3,164 | 6 | 3,164 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||
Amortizing/Mortgage Matched | 2,776 | 4 | 2,596 | 4 | Amortizing/Mortgage Matched | 2,021 | 8 | 2,195 | 8 | 2,309 | 5 | 2,439 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||
Other | 2,479 | 4 | 1,135 | 1 | Other | 1,151 | 5 | 1,158 | 4 | 1,241 | 3 | 680 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||
Total | 36,616 | 52 | 24,700 | 35 | Total | 19,196 | 77 | 20,563 | 77 | 27,137 | 56 | 48,793 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||
Other Advances | 1 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Advances Principal | $ | 69,978 | 100 | % | $ | 69,907 | 100 | % | Total Advances Principal | $ | 25,007 | 100 | % | $ | 26,648 | 100 | % | $ | 48,407 | 100 | % | $ | 79,929 | 100 | % | |||||||||||||||||||||||||||||||||||
Letters of Credit (notional) | $ | 14,691 | $ | 17,508 | Letters of Credit (notional) | $ | 28,812 | $ | 23,011 | $ | 22,381 | $ | 15,785 |
(Dollars in millions) | December 31, 2017 | September 30, 2017 | June 30, 2017 | March 31, 2017 | |||||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||
Adjustable/Variable-Rate Indexed: | |||||||||||||||||||||||||||
LIBOR | $ | 32,420 | 47 | % | $ | 35,567 | 53 | % | $ | 38,061 | 53 | % | $ | 40,319 | 66 | % | |||||||||||
Other | 941 | 1 | 896 | 1 | 643 | 1 | 442 | — | |||||||||||||||||||
Total | 33,361 | 48 | 36,463 | 54 | 38,704 | 54 | 40,761 | 66 | |||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||||||
Repurchase based (REPO) | 19,890 | 28 | 13,753 | 20 | 16,857 | 24 | 6,982 | 12 | |||||||||||||||||||
Regular Fixed-Rate | 11,191 | 16 | 11,246 | 17 | 10,610 | 15 | 9,587 | 16 | |||||||||||||||||||
Putable (2) | 280 | — | 358 | — | 429 | 1 | 493 | 1 | |||||||||||||||||||
Amortizing/Mortgage Matched | 2,776 | 4 | 2,716 | 4 | 2,698 | 4 | 2,656 | 4 | |||||||||||||||||||
Other | 2,479 | 4 | 3,439 | 5 | 1,814 | 2 | 841 | 1 | |||||||||||||||||||
Total | 36,616 | 52 | 31,512 | 46 | 32,408 | 46 | 20,559 | 34 | |||||||||||||||||||
Other Advances | 1 | — | — | — | — | — | — | — | |||||||||||||||||||
Total Advances Principal | $ | 69,978 | 100 | % | $ | 67,975 | 100 | % | $ | 71,112 | 100 | % | $ | 61,320 | 100 | % | |||||||||||
Letters of Credit (notional) | $ | 14,691 | $ | 16,796 | $ | 17,175 | $ | 17,411 |
Mission Asset Activity | Minimum Activity Percentage | Maximum Activity Percentage | ||||||||||||
Advances | 4.50% | 4.50% | ||||||||||||
Advance Commitments | 4.50 | 4.50 | ||||||||||||
MPP | 3.00 | 3.00 | ||||||||||||
Letters of Credit | 0.10 | 0.10 |
(Dollars in millions) | ||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||||||||||||||||||||||||||
Annualized | Annualized | |||||||||||||||||||||||||||||||||||||||||||
Quarter | Rate | Rate | ||||||||||||||||||||||||||||||||||||||||||
First | 2.50 | % | 6.00 | % | ||||||||||||||||||||||||||||||||||||||||
Second | 2.50 | 5.50 | ||||||||||||||||||||||||||||||||||||||||||
Third | 2.00 | 4.50 | ||||||||||||||||||||||||||||||||||||||||||
Fourth | 2.00 | 4.00 | ||||||||||||||||||||||||||||||||||||||||||
Total | 2.23 | 5.05 |
Year Ended December 31, | |||||||||||||||||||||||||||||
(Dollars in millions) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
STATEMENT OF CONDITION DATA AT PERIOD END: | |||||||||||||||||||||||||||||
Total assets | $ | 65,296 | $ | 93,492 | $ | 99,203 | $ | 106,895 | $ | 104,635 | |||||||||||||||||||
Advances | 25,362 | 47,370 | 54,822 | 69,918 | 69,882 | ||||||||||||||||||||||||
Mortgage loans held for portfolio | 9,549 | 11,236 | 10,502 | 9,682 | 9,150 | ||||||||||||||||||||||||
Allowance for credit losses on mortgage loans (1) | — | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||
Investments (2) | 27,041 | 34,389 | 33,614 | 27,058 | 25,334 | ||||||||||||||||||||||||
Consolidated Obligations, net: | |||||||||||||||||||||||||||||
Discount Notes | 27,500 | 49,084 | 46,944 | 46,211 | 44,690 | ||||||||||||||||||||||||
Bonds | 31,997 | 38,440 | 45,659 | 54,163 | 53,191 | ||||||||||||||||||||||||
Total Consolidated Obligations, net | 59,497 | 87,524 | 92,603 | 100,374 | 97,881 | ||||||||||||||||||||||||
Mandatorily redeemable capital stock | 19 | 22 | 23 | 30 | 35 | ||||||||||||||||||||||||
Capital: | |||||||||||||||||||||||||||||
Capital stock - putable | 2,641 | 3,367 | 4,320 | 4,241 | 4,157 | ||||||||||||||||||||||||
Retained earnings | 1,304 | 1,094 | 1,023 | 940 | 834 | ||||||||||||||||||||||||
Accumulated other comprehensive loss | (15) | (16) | (13) | (16) | (13) | ||||||||||||||||||||||||
Total capital | 3,930 | 4,445 | 5,330 | 5,165 | 4,978 | ||||||||||||||||||||||||
STATEMENT OF INCOME DATA: | |||||||||||||||||||||||||||||
Net interest income | $ | 406 | $ | 406 | $ | 499 | $ | 429 | $ | 363 | |||||||||||||||||||
Non-interest income (loss) | (7) | (10) | (37) | (1) | 46 | ||||||||||||||||||||||||
Non-interest expense | 92 | 89 | 85 | 79 | 111 | ||||||||||||||||||||||||
Affordable Housing Program assessments | 31 | 31 | 38 | 35 | 30 | ||||||||||||||||||||||||
Net income | $ | 276 | $ | 276 | $ | 339 | $ | 314 | $ | 268 | |||||||||||||||||||
FINANCIAL RATIOS: | |||||||||||||||||||||||||||||
Dividend payout ratio (3) | 30.3 | % | 74.1 | % | 75.6 | % | 66.3 | % | 63.9 | % | |||||||||||||||||||
Weighted average dividend rate (4) | 2.23 | 5.05 | 5.88 | 5.00 | 4.00 | ||||||||||||||||||||||||
Return on average equity | 5.78 | 5.65 | 6.29 | 6.15 | 5.35 | ||||||||||||||||||||||||
Return on average assets | 0.31 | 0.28 | 0.32 | 0.31 | 0.25 | ||||||||||||||||||||||||
Net interest margin (5) | 0.46 | 0.42 | 0.47 | 0.42 | 0.35 | ||||||||||||||||||||||||
Average equity to average assets | 5.39 | 5.04 | 5.11 | 5.00 | 4.76 | ||||||||||||||||||||||||
Regulatory capital ratio (6) | 6.07 | 4.79 | 5.41 | 4.88 | 4.80 | ||||||||||||||||||||||||
Operating expenses to average assets (7) | 0.080 | 0.070 | 0.063 | 0.060 | 0.061 |
December 31, 2017 | September 30, 2017 | June 30, 2017 | March 31, 2017 | December 31, 2016 | ||||||||||
Average Advances-to-Assets for Members | ||||||||||||||
Assets less than $1.0 billion (575 Members) | 3.04 | % | 3.11 | % | 3.00 | % | 2.87 | % | 3.07 | % | ||||
Assets over $1.0 billion (85 Members) | 4.95 | 4.73 | 4.90 | 4.03 | 3.87 | |||||||||
All Members | 3.28 | 3.31 | 3.23 | 3.01 | 3.17 |
Year Ended December 31, | |||||||||||||||||||||||||||||||||||
Ending Balances | Average Balances | ||||||||||||||||||||||||||||||||||
(In millions) | 2020 | 2019 | 2020 | 2019 | |||||||||||||||||||||||||||||||
Mission Asset Activity: | |||||||||||||||||||||||||||||||||||
Advances (principal) | $ | 25,007 | $ | 47,264 | $ | 42,917 | $ | 47,894 | |||||||||||||||||||||||||||
MPP: | |||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (principal) | 9,316 | 10,981 | 10,995 | 10,499 | |||||||||||||||||||||||||||||||
Mandatory Delivery Contracts (notional) | 137 | 936 | 338 | 516 | |||||||||||||||||||||||||||||||
Total MPP | 9,453 | 11,917 | 11,333 | 11,015 | |||||||||||||||||||||||||||||||
Letters of Credit (notional) | 28,812 | 16,205 | 20,141 | 15,150 | |||||||||||||||||||||||||||||||
Total Mission Asset Activity | $ | 63,272 | $ | 75,386 | $ | 74,391 | $ | 74,059 |
Year Ended December 31, | |||||||||||||||||||||||||||||
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||
Net income | $ | 276 | $ | 276 | $ | 339 | |||||||||||||||||||||||
Affordable Housing Program assessments | 31 | 31 | 38 | ||||||||||||||||||||||||||
Return on average equity (ROE) | 5.78 | % | 5.65 | % | 6.29 | % | |||||||||||||||||||||||
Return on average assets | 0.31 | 0.28 | 0.32 | ||||||||||||||||||||||||||
Weighted average dividend rate | 2.23 | 5.05 | 5.88 | ||||||||||||||||||||||||||
Average short-term interest rates (1) | 0.51 | 2.24 | 2.07 | ||||||||||||||||||||||||||
ROE spread to average short-term interest rates | 5.27 | 3.41 | 4.22 | ||||||||||||||||||||||||||
Dividend rate spread to average short-term interest rates | 1.72 | 2.81 | 3.81 | ||||||||||||||||||||||||||
Year 2020 | Year 2019 | Year 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ending | Average | Ending | Average | Ending | Average | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal funds effective | 0.09 | % | 0.37 | % | 1.55 | % | 2.16 | % | 2.40 | % | 1.83 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Secured Overnight Financing Rate (SOFR) | 0.09 | 0.37 | 1.55 | 2.20 | 3.00 | 1.85 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
3-month LIBOR | 0.24 | 0.65 | 1.91 | 2.33 | 2.81 | 2.31 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2-year LIBOR | 0.20 | 0.49 | 1.70 | 2.03 | 2.66 | 2.75 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10-year LIBOR | 0.93 | 0.88 | 1.90 | 2.09 | 2.71 | 2.95 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2-year U.S. Treasury | 0.12 | 0.39 | 1.57 | 1.97 | 2.49 | 2.52 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10-year U.S. Treasury | 0.92 | 0.89 | 1.92 | 2.14 | 2.69 | 2.91 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
15-year mortgage current coupon (1) | 0.65 | 1.17 | 2.28 | 2.52 | 3.06 | 3.20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
30-year mortgage current coupon (1) | 1.28 | 1.64 | 2.71 | 2.95 | 3.51 | 3.65 |
Year 2020 by Quarter - Average | |||||||||||||||||||||||
Quarter 1 | Quarter 2 | Quarter 3 | Quarter 4 | ||||||||||||||||||||
Federal funds effective | 1.25 | % | 0.06 | % | 0.09 | % | 0.09 | % | |||||||||||||||
SOFR | 1.25 | 0.05 | 0.09 | 0.09 | |||||||||||||||||||
3-month LIBOR | 1.54 | 0.61 | 0.25 | 0.22 | |||||||||||||||||||
2-year LIBOR | 1.18 | 0.32 | 0.22 | 0.23 | |||||||||||||||||||
10-year LIBOR | 1.34 | 0.69 | 0.65 | 0.87 | |||||||||||||||||||
2-year U.S. Treasury | 1.10 | 0.19 | 0.14 | 0.15 | |||||||||||||||||||
10-year U.S. Treasury | 1.38 | 0.68 | 0.65 | 0.86 | |||||||||||||||||||
15-year mortgage current coupon (1) | 1.86 | 1.09 | 0.86 | 0.88 | |||||||||||||||||||
30-year mortgage current coupon (1) | 2.31 | 1.58 | 1.32 | 1.37 |
(Dollars in millions) | December 31, 2017 | December 31, 2016 | |||||||||||
Par Value of Advances | Percent of Total Par Value of Advances | Par Value of Advances | Percent of Total Par Value of Advances | ||||||||||
Commercial Banks | $ | 52,899 | 76 | % | $ | 53,743 | 77 | % | |||||
Savings Institutions | 7,369 | 10 | 6,857 | 10 | |||||||||
Credit Unions | 1,293 | 2 | 1,191 | 2 | |||||||||
Insurance Companies | 8,357 | 12 | 8,043 | 11 | |||||||||
Community Development Financial Institutions | 1 | — | 3 | — | |||||||||
Total Member Advances | 69,919 | 100 | 69,837 | 100 | |||||||||
Former Member borrowings | 59 | — | 70 | — | |||||||||
Total par value of Advances | $ | 69,978 | 100 | % | $ | 69,907 | 100 | % |
(Dollars in millions) | ||||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Name | Par Value of Advances | Percent of Total Par Value of Advances | Name | Par Value of Advances | Percent of Total Par Value of Advances | |||||||||||
JPMorgan Chase Bank, N.A. | $ | 23,950 | 34 | % | JPMorgan Chase Bank, N.A. | $ | 32,300 | 46 | % | |||||||
U.S. Bank, N.A. | 8,975 | 13 | U.S. Bank, N.A. | 8,563 | 12 | |||||||||||
Third Federal Savings and Loan Association | 3,756 | 5 | Third Federal Savings and Loan Association | 3,049 | 4 | |||||||||||
The Huntington National Bank | 3,732 | 5 | Fifth Third Bank | 2,517 | 4 | |||||||||||
Fifth Third Bank | 3,140 | 4 | The Huntington National Bank | 2,433 | 3 | |||||||||||
Total of Top 5 | $ | 43,553 | 61 | % | Total of Top 5 | $ | 48,862 | 69 | % |
(In millions) | Maturing on or before June 30, 2023 | Maturing after June 30, 2023 | |||||||||
LIBOR-Indexed Variable Rate Financial Instruments | |||||||||||
Advances by redemption term | $ | 2,599 | $ | 3,012 | |||||||
MBS by contractual maturity (1) | — | 5,929 | |||||||||
Total principal amount | $ | 2,599 | $ | 8,941 | |||||||
Derivatives, notional amount by termination date | $ | 9,339 | $ | 4,680 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||
Adjustable/Variable Rate-Indexed: | |||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 10,430 | 22 | % | |||||||||||||||
SOFR | 118 | 1 | 500 | 1 | |||||||||||||||||||
Other | 82 | — | 221 | 1 | |||||||||||||||||||
Total | 5,811 | 23 | 11,151 | 24 | |||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 19,386 | 41 | |||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 11,476 | 24 | |||||||||||||||||||
Putable (2) | 2,657 | 11 | 1,444 | 3 | |||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,358 | 5 | |||||||||||||||||||
Other | 1,151 | 5 | 1,449 | 3 | |||||||||||||||||||
Total | 19,196 | 77 | 36,113 | 76 | |||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 47,264 | 100 | % | |||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 16,205 |
(Dollars in millions) | December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||||||||||||||||||||||
Adjustable/Variable-Rate Indexed: | |||||||||||||||||||||||||||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 5,846 | 22 | % | $ | 21,071 | 44 | % | $ | 28,889 | 36 | % | |||||||||||||||||||||||||||||||
SOFR | 118 | 1 | 116 | — | 116 | — | 2,000 | 3 | |||||||||||||||||||||||||||||||||||||||
Other | 82 | — | 123 | 1 | 83 | — | 247 | — | |||||||||||||||||||||||||||||||||||||||
Total | 5,811 | 23 | 6,085 | 23 | 21,270 | 44 | 31,136 | 39 | |||||||||||||||||||||||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||||||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 3,896 | 15 | 8,978 | 18 | 28,058 | 35 | |||||||||||||||||||||||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 10,207 | 38 | 11,445 | 24 | 14,452 | 18 | |||||||||||||||||||||||||||||||||||||||
Putable (2) | 2,657 | 11 | 3,107 | 12 | 3,164 | 6 | 3,164 | 4 | |||||||||||||||||||||||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,195 | 8 | 2,309 | 5 | 2,439 | 3 | |||||||||||||||||||||||||||||||||||||||
Other | 1,151 | 5 | 1,158 | 4 | 1,241 | 3 | 680 | 1 | |||||||||||||||||||||||||||||||||||||||
Total | 19,196 | 77 | 20,563 | 77 | 27,137 | 56 | 48,793 | 61 | |||||||||||||||||||||||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 26,648 | 100 | % | $ | 48,407 | 100 | % | $ | 79,929 | 100 | % | |||||||||||||||||||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 23,011 | $ | 22,381 | $ | 15,785 |
(In millions) | 2017 | 2016 | |||||
Balance, beginning of year | $ | 8,926 | $ | 7,758 | |||
Principal purchases | 1,747 | 2,830 | |||||
Principal reductions | (1,219 | ) | (1,662 | ) | |||
Balance, end of year | $ | 9,454 | $ | 8,926 |
(Dollars in millions) | December 31, 2017 | December 31, 2016 | ||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||
Union Savings Bank | $ | 3,247 | 34 | % | Union Savings Bank | $ | 2,886 | 32 | % | |||||
Guardian Savings Bank FSB | 933 | 10 | Guardian Savings Bank FSB | 855 | 10 | |||||||||
PNC Bank, N.A. (1) | 516 | 5 | PNC Bank, N.A. (1) | 660 | 7 | |||||||||
All others | 4,758 | 51 | All others | 4,525 | 51 | |||||||||
Total | $ | 9,454 | 100 | % | Total | $ | 8,926 | 100 | % |
Mission Asset Activity | Minimum Activity Percentage | Maximum Activity Percentage | ||||||||||||
Advances | 4.50% | 4.50% | ||||||||||||
Advance Commitments | 4.50 | 4.50 | ||||||||||||
MPP | 3.00 | 3.00 | ||||||||||||
Letters of Credit | 0.10 | 0.10 |
(Dollars in millions) | ||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||||||||||||||||||||||||||
Annualized | Annualized | |||||||||||||||||||||||||||||||||||||||||||
Quarter | Rate | Rate | ||||||||||||||||||||||||||||||||||||||||||
First | 2.50 | % | 6.00 | % | ||||||||||||||||||||||||||||||||||||||||
Second | 2.50 | 5.50 | ||||||||||||||||||||||||||||||||||||||||||
Third | 2.00 | 4.50 | ||||||||||||||||||||||||||||||||||||||||||
Fourth | 2.00 | 4.00 | ||||||||||||||||||||||||||||||||||||||||||
Total | 2.23 | 5.05 |
Year Ended December 31, | |||||||||||||||||||||||||||||
(Dollars in millions) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
STATEMENT OF CONDITION DATA AT PERIOD END: | |||||||||||||||||||||||||||||
Total assets | $ | 65,296 | $ | 93,492 | $ | 99,203 | $ | 106,895 | $ | 104,635 | |||||||||||||||||||
Advances | 25,362 | 47,370 | 54,822 | 69,918 | 69,882 | ||||||||||||||||||||||||
Mortgage loans held for portfolio | 9,549 | 11,236 | 10,502 | 9,682 | 9,150 | ||||||||||||||||||||||||
Allowance for credit losses on mortgage loans (1) | — | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||
Investments (2) | 27,041 | 34,389 | 33,614 | 27,058 | 25,334 | ||||||||||||||||||||||||
Consolidated Obligations, net: | |||||||||||||||||||||||||||||
Discount Notes | 27,500 | 49,084 | 46,944 | 46,211 | 44,690 | ||||||||||||||||||||||||
Bonds | 31,997 | 38,440 | 45,659 | 54,163 | 53,191 | ||||||||||||||||||||||||
Total Consolidated Obligations, net | 59,497 | 87,524 | 92,603 | 100,374 | 97,881 | ||||||||||||||||||||||||
Mandatorily redeemable capital stock | 19 | 22 | 23 | 30 | 35 | ||||||||||||||||||||||||
Capital: | |||||||||||||||||||||||||||||
Capital stock - putable | 2,641 | 3,367 | 4,320 | 4,241 | 4,157 | ||||||||||||||||||||||||
Retained earnings | 1,304 | 1,094 | 1,023 | 940 | 834 | ||||||||||||||||||||||||
Accumulated other comprehensive loss | (15) | (16) | (13) | (16) | (13) | ||||||||||||||||||||||||
Total capital | 3,930 | 4,445 | 5,330 | 5,165 | 4,978 | ||||||||||||||||||||||||
STATEMENT OF INCOME DATA: | |||||||||||||||||||||||||||||
Net interest income | $ | 406 | $ | 406 | $ | 499 | $ | 429 | $ | 363 | |||||||||||||||||||
Non-interest income (loss) | (7) | (10) | (37) | (1) | 46 | ||||||||||||||||||||||||
Non-interest expense | 92 | 89 | 85 | 79 | 111 | ||||||||||||||||||||||||
Affordable Housing Program assessments | 31 | 31 | 38 | 35 | 30 | ||||||||||||||||||||||||
Net income | $ | 276 | $ | 276 | $ | 339 | $ | 314 | $ | 268 | |||||||||||||||||||
FINANCIAL RATIOS: | |||||||||||||||||||||||||||||
Dividend payout ratio (3) | 30.3 | % | 74.1 | % | 75.6 | % | 66.3 | % | 63.9 | % | |||||||||||||||||||
Weighted average dividend rate (4) | 2.23 | 5.05 | 5.88 | 5.00 | 4.00 | ||||||||||||||||||||||||
Return on average equity | 5.78 | 5.65 | 6.29 | 6.15 | 5.35 | ||||||||||||||||||||||||
Return on average assets | 0.31 | 0.28 | 0.32 | 0.31 | 0.25 | ||||||||||||||||||||||||
Net interest margin (5) | 0.46 | 0.42 | 0.47 | 0.42 | 0.35 | ||||||||||||||||||||||||
Average equity to average assets | 5.39 | 5.04 | 5.11 | 5.00 | 4.76 | ||||||||||||||||||||||||
Regulatory capital ratio (6) | 6.07 | 4.79 | 5.41 | 4.88 | 4.80 | ||||||||||||||||||||||||
Operating expenses to average assets (7) | 0.080 | 0.070 | 0.063 | 0.060 | 0.061 |
Year Ended December 31, | |||||||||||||||||||||||||||||||||||
Ending Balances | Average Balances | ||||||||||||||||||||||||||||||||||
(In millions) | 2020 | 2019 | 2020 | 2019 | |||||||||||||||||||||||||||||||
Mission Asset Activity: | |||||||||||||||||||||||||||||||||||
Advances (principal) | $ | 25,007 | $ | 47,264 | $ | 42,917 | $ | 47,894 | |||||||||||||||||||||||||||
MPP: | |||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (principal) | 9,316 | 10,981 | 10,995 | 10,499 | |||||||||||||||||||||||||||||||
Mandatory Delivery Contracts (notional) | 137 | 936 | 338 | 516 | |||||||||||||||||||||||||||||||
Total MPP | 9,453 | 11,917 | 11,333 | 11,015 | |||||||||||||||||||||||||||||||
Letters of Credit (notional) | 28,812 | 16,205 | 20,141 | 15,150 | |||||||||||||||||||||||||||||||
Total Mission Asset Activity | $ | 63,272 | $ | 75,386 | $ | 74,391 | $ | 74,059 |
Year Ended December 31, | |||||||||||||||||||||||||||||
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||
Net income | $ | 276 | $ | 276 | $ | 339 | |||||||||||||||||||||||
Affordable Housing Program assessments | 31 | 31 | 38 | ||||||||||||||||||||||||||
Return on average equity (ROE) | 5.78 | % | 5.65 | % | 6.29 | % | |||||||||||||||||||||||
Return on average assets | 0.31 | 0.28 | 0.32 | ||||||||||||||||||||||||||
Weighted average dividend rate | 2.23 | 5.05 | 5.88 | ||||||||||||||||||||||||||
Average short-term interest rates (1) | 0.51 | 2.24 | 2.07 | ||||||||||||||||||||||||||
ROE spread to average short-term interest rates | 5.27 | 3.41 | 4.22 | ||||||||||||||||||||||||||
Dividend rate spread to average short-term interest rates | 1.72 | 2.81 | 3.81 | ||||||||||||||||||||||||||
Year 2020 | Year 2019 | Year 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ending | Average | Ending | Average | Ending | Average | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal funds effective | 0.09 | % | 0.37 | % | 1.55 | % | 2.16 | % | 2.40 | % | 1.83 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Secured Overnight Financing Rate (SOFR) | 0.09 | 0.37 | 1.55 | 2.20 | 3.00 | 1.85 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
3-month LIBOR | 0.24 | 0.65 | 1.91 | 2.33 | 2.81 | 2.31 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2-year LIBOR | 0.20 | 0.49 | 1.70 | 2.03 | 2.66 | 2.75 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10-year LIBOR | 0.93 | 0.88 | 1.90 | 2.09 | 2.71 | 2.95 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2-year U.S. Treasury | 0.12 | 0.39 | 1.57 | 1.97 | 2.49 | 2.52 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
10-year U.S. Treasury | 0.92 | 0.89 | 1.92 | 2.14 | 2.69 | 2.91 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
15-year mortgage current coupon (1) | 0.65 | 1.17 | 2.28 | 2.52 | 3.06 | 3.20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
30-year mortgage current coupon (1) | 1.28 | 1.64 | 2.71 | 2.95 | 3.51 | 3.65 |
Year 2020 by Quarter - Average | |||||||||||||||||||||||
Quarter 1 | Quarter 2 | Quarter 3 | Quarter 4 | ||||||||||||||||||||
Federal funds effective | 1.25 | % | 0.06 | % | 0.09 | % | 0.09 | % | |||||||||||||||
SOFR | 1.25 | 0.05 | 0.09 | 0.09 | |||||||||||||||||||
3-month LIBOR | 1.54 | 0.61 | 0.25 | 0.22 | |||||||||||||||||||
2-year LIBOR | 1.18 | 0.32 | 0.22 | 0.23 | |||||||||||||||||||
10-year LIBOR | 1.34 | 0.69 | 0.65 | 0.87 | |||||||||||||||||||
2-year U.S. Treasury | 1.10 | 0.19 | 0.14 | 0.15 | |||||||||||||||||||
10-year U.S. Treasury | 1.38 | 0.68 | 0.65 | 0.86 | |||||||||||||||||||
15-year mortgage current coupon (1) | 1.86 | 1.09 | 0.86 | 0.88 | |||||||||||||||||||
30-year mortgage current coupon (1) | 2.31 | 1.58 | 1.32 | 1.37 |
(In millions) | Maturing on or before June 30, 2023 | Maturing after June 30, 2023 | |||||||||
LIBOR-Indexed Variable Rate Financial Instruments | |||||||||||
Advances by redemption term | $ | 2,599 | $ | 3,012 | |||||||
MBS by contractual maturity (1) | — | 5,929 | |||||||||
Total principal amount | $ | 2,599 | $ | 8,941 | |||||||
Derivatives, notional amount by termination date | $ | 9,339 | $ | 4,680 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||
Adjustable/Variable Rate-Indexed: | |||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 10,430 | 22 | % | |||||||||||||||
SOFR | 118 | 1 | 500 | 1 | |||||||||||||||||||
Other | 82 | — | 221 | 1 | |||||||||||||||||||
Total | 5,811 | 23 | 11,151 | 24 | |||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 19,386 | 41 | |||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 11,476 | 24 | |||||||||||||||||||
Putable (2) | 2,657 | 11 | 1,444 | 3 | |||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,358 | 5 | |||||||||||||||||||
Other | 1,151 | 5 | 1,449 | 3 | |||||||||||||||||||
Total | 19,196 | 77 | 36,113 | 76 | |||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 47,264 | 100 | % | |||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 16,205 |
(Dollars in millions) | December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||||||||||||||||||||||
Adjustable/Variable-Rate Indexed: | |||||||||||||||||||||||||||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 5,846 | 22 | % | $ | 21,071 | 44 | % | $ | 28,889 | 36 | % | |||||||||||||||||||||||||||||||
SOFR | 118 | 1 | 116 | — | 116 | — | 2,000 | 3 | |||||||||||||||||||||||||||||||||||||||
Other | 82 | — | 123 | 1 | 83 | — | 247 | — | |||||||||||||||||||||||||||||||||||||||
Total | 5,811 | 23 | 6,085 | 23 | 21,270 | 44 | 31,136 | 39 | |||||||||||||||||||||||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||||||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 3,896 | 15 | 8,978 | 18 | 28,058 | 35 | |||||||||||||||||||||||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 10,207 | 38 | 11,445 | 24 | 14,452 | 18 | |||||||||||||||||||||||||||||||||||||||
Putable (2) | 2,657 | 11 | 3,107 | 12 | 3,164 | 6 | 3,164 | 4 | |||||||||||||||||||||||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,195 | 8 | 2,309 | 5 | 2,439 | 3 | |||||||||||||||||||||||||||||||||||||||
Other | 1,151 | 5 | 1,158 | 4 | 1,241 | 3 | 680 | 1 | |||||||||||||||||||||||||||||||||||||||
Total | 19,196 | 77 | 20,563 | 77 | 27,137 | 56 | 48,793 | 61 | |||||||||||||||||||||||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 26,648 | 100 | % | $ | 48,407 | 100 | % | $ | 79,929 | 100 | % | |||||||||||||||||||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 23,011 | $ | 22,381 | $ | 15,785 |
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Average Advances-to-assets for members | ||||||||||||||||||||||||||||||||
Assets less than $1.0 billion (514 members) | 1.99 | % | 2.55 | % | ||||||||||||||||||||||||||||
Assets over $1.0 billion (114 members) | 2.11 | 3.31 | ||||||||||||||||||||||||||||||
All members | 2.01 | 2.67 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||
Principal Amount of Advances | Percent of Total Principal Amount of Advances | Principal Amount of Advances | Percent of Total Principal Amount of Advances | ||||||||||||||||||||
Commercial Banks | $ | 9,530 | 38 | % | $ | 31,590 | 67 | % | |||||||||||||||
Savings Institutions | 4,922 | 20 | 5,689 | 12 | |||||||||||||||||||
Credit Unions | 1,344 | 5 | 1,307 | 3 | |||||||||||||||||||
Insurance Companies | 9,201 | 37 | 8,629 | 18 | |||||||||||||||||||
Community Development Financial Institutions | — | — | 1 | — | |||||||||||||||||||
Total member Advances | 24,997 | 100 | 47,216 | 100 | |||||||||||||||||||
Former member borrowings | 10 | — | 48 | — | |||||||||||||||||||
Total principal amount of Advances | $ | 25,007 | 100 | % | $ | 47,264 | 100 | % |
(Dollars in millions) | ||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Name | Principal Amount of Advances | Percent of Total Principal Amount of Advances | Name | Principal Amount of Advances | Percent of Total Principal Amount of Advances | |||||||||||||||||||||||||||
U.S. Bank, N.A. | $ | 4,273 | 17 | % | U.S. Bank, N.A. | $ | 13,874 | 29 | % | |||||||||||||||||||||||
Third Federal Savings and Loan Association | 3,443 | 14 | JPMorgan Chase Bank, N.A. | 4,500 | 10 | |||||||||||||||||||||||||||
Nationwide Life Insurance Company | 2,062 | 8 | Third Federal Savings and Loan Association | 3,883 | 8 | |||||||||||||||||||||||||||
Protective Life Insurance Company | 1,955 | 8 | First Horizon Bank | 2,200 | 5 | |||||||||||||||||||||||||||
Western-Southern Life Assurance Co. | 1,344 | 5 | Pinnacle Bank | 2,063 | 4 | |||||||||||||||||||||||||||
Total of Top 5 | $ | 13,077 | 52 | % | Total of Top 5 | $ | 26,520 | 56 | % |
(In millions) | 2020 | 2019 | |||||||||||||||
Balance, beginning of year | $ | 10,981 | $ | 10,272 | |||||||||||||
Principal purchases | 2,626 | 2,631 | |||||||||||||||
Principal reductions | (4,291) | (1,922) | |||||||||||||||
Balance, end of year | $ | 9,316 | $ | 10,981 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||||||||||||||
Union Savings Bank | $ | 2,826 | 30 | % | Union Savings Bank | $ | 3,574 | 33 | % | |||||||||||||||||
Guardian Savings Bank FSB | 796 | 9 | Guardian Savings Bank FSB | 1,004 | 9 | |||||||||||||||||||||
All others | 5,694 | 61 | FirstBank | 714 | 7 | |||||||||||||||||||||
Total | $ | 9,316 | 100 | % | All others | 5,689 | 51 | |||||||||||||||||||
Total | $ | 10,981 | 100 | % |
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||||||||||
Liquidity investments | $ | 17,285 | $ | 20,548 | $ | 20,924 | $ | 22,525 | |||||||||||||||
MBS | 9,756 | 11,864 | 13,465 | 15,029 | |||||||||||||||||||
Other investments (1) | — | 459 | — | 232 | |||||||||||||||||||
Total investments | $ | 27,041 | $ | 32,871 | $ | 34,389 | $ | 37,786 |
(In millions) | 2017 | 2016 | |||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||
Liquidity investments | $ | 12,286 | $ | 9,757 | $ | 10,818 | $ | 12,177 | |||||||
Mortgage-backed securities | 14,772 | 14,710 | 14,516 | 15,061 | |||||||||||
Other investments (1) | — | 84 | — | 144 | |||||||||||
Total investments | $ | 27,058 | $ | 24,551 | $ | 25,334 | $ | 27,382 |
(1)The average balance includes the rights or obligations to cash collateral, which are included |
(In millions) | MBS Principal | ||||||||||
2020 | 2019 | ||||||||||
Balance, beginning of year | $ | 13,447 | $ | 15,734 | |||||||
Principal purchases | 149 | 1,205 | |||||||||
Principal paydowns | (3,851) | (3,492) | |||||||||
Balance, end of year | $ | 9,745 | $ | 13,447 |
(In millions) | Mortgage-backed Securities Principal | ||||||
2017 | 2016 | ||||||
Balance, beginning of year | $ | 14,487 | $ | 15,203 | |||
Principal purchases | 2,679 | 3,016 | |||||
Principal paydowns | (2,420 | ) | (2,925 | ) | |||
Principal sales | — | (807 | ) | ||||
Balance, end of year | $ | 14,746 | $ | 14,487 |
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||||||||||
Discount Notes: | |||||||||||||||||||||||
Unswapped | $ | 27,503 | $ | 39,478 | $ | 36,776 | $ | 39,286 | |||||||||||||||
Swapped | — | 3,843 | 12,401 | 5,291 | |||||||||||||||||||
Total par Discount Notes | 27,503 | 43,321 | 49,177 | 44,577 | |||||||||||||||||||
Other items (1) | (3) | (37) | (93) | (95) | |||||||||||||||||||
Total Discount Notes | 27,500 | 43,284 | 49,084 | 44,482 | |||||||||||||||||||
Bonds: | |||||||||||||||||||||||
Unswapped fixed-rate | 18,940 | 21,288 | 22,420 | 24,423 | |||||||||||||||||||
Unswapped adjustable-rate (2) | 10,639 | 13,394 | 11,012 | 16,132 | |||||||||||||||||||
Swapped fixed-rate | 2,372 | 3,547 | 4,949 | 5,310 | |||||||||||||||||||
Total par Bonds | 31,951 | 38,229 | 38,381 | 45,865 | |||||||||||||||||||
Other items (1) | 46 | 68 | 59 | 44 | |||||||||||||||||||
Total Bonds | 31,997 | 38,297 | 38,440 | 45,909 | |||||||||||||||||||
Total Consolidated Obligations (3) | $ | 59,497 | $ | 81,581 | $ | 87,524 | $ | 90,391 |
(In millions) | 2017 | 2016 | |||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||
Discount Notes: | |||||||||||||||
Par | $ | 46,259 | $ | 43,166 | $ | 44,711 | $ | 49,853 | |||||||
Discount | (48 | ) | (42 | ) | (21 | ) | (18 | ) | |||||||
Total Discount Notes | 46,211 | 43,124 | 44,690 | 49,835 | |||||||||||
Bonds: | |||||||||||||||
Unswapped fixed-rate | 26,710 | 26,707 | 25,373 | 26,495 | |||||||||||
Unswapped adjustable-rate | 20,895 | 18,500 | 18,290 | 14,512 | |||||||||||
Swapped fixed-rate | 6,552 | 7,131 | 9,510 | 7,959 | |||||||||||
Total par Bonds | 54,157 | 52,338 | 53,173 | 48,966 | |||||||||||
Other items (1) | 6 | 29 | 18 | 68 | |||||||||||
Total Bonds | 54,163 | 52,367 | 53,191 | 49,034 | |||||||||||
Total Consolidated Obligations (2) | $ | 100,374 | $ | 95,491 | $ | 97,881 | $ | 98,869 |
(In millions) | Year of Maturity | Year of Next Call | ||||||||||||||||||
Callable | Noncallable | Total | Callable | |||||||||||||||||
Due in 1 year or less | $ | — | $ | 5,797 | $ | 5,797 | $ | 4,292 | ||||||||||||
Due after 1 year through 2 years | 25 | 2,662 | 2,687 | 120 | ||||||||||||||||
Due after 2 years through 3 years | 936 | 2,363 | 3,299 | — | ||||||||||||||||
Due after 3 years through 4 years | 540 | 1,253 | 1,793 | — | ||||||||||||||||
Due after 4 years through 5 years | 1,182 | 728 | 1,910 | — | ||||||||||||||||
Thereafter | 1,729 | 1,725 | 3,454 | — | ||||||||||||||||
Total | $ | 4,412 | $ | 14,528 | $ | 18,940 | $ | 4,412 |
(In millions) | Year of Maturity | Year of Next Call | |||||||||||
Callable | Noncallable | Total | Callable | ||||||||||
Due in 1 year or less | $ | 615 | $ | 3,546 | $ | 4,161 | $ | 6,585 | |||||
Due after 1 year through 2 years | 704 | 4,579 | 5,283 | 232 | |||||||||
Due after 2 years through 3 years | 1,036 | 3,489 | 4,525 | 36 | |||||||||
Due after 3 years through 4 years | 1,629 | 2,588 | 4,217 | — | |||||||||
Due after 4 years through 5 years | 357 | 1,824 | 2,181 | — | |||||||||
Thereafter | 2,512 | 3,831 | 6,343 | — | |||||||||
Total | $ | 6,853 | $ | 19,857 | $ | 26,710 | $ | 6,853 |
Year Ended December 31, | |||||||||||||||
(In millions) | 2017 | 2016 | |||||||||||||
Period End | Average | Period End | Average | ||||||||||||
GAAP and Regulatory Capital | |||||||||||||||
GAAP Capital Stock | $ | 4,241 | $ | 4,183 | $ | 4,157 | $ | 4,214 | |||||||
Mandatorily Redeemable Capital Stock | 30 | 46 | 35 | 88 | |||||||||||
Regulatory Capital Stock | 4,271 | 4,229 | 4,192 | 4,302 | |||||||||||
Retained Earnings | 940 | 928 | 834 | 813 | |||||||||||
Regulatory Capital | $ | 5,211 | $ | 5,157 | $ | 5,026 | $ | 5,115 |
2017 | 2016 | ||||||||||
Period End | Average | Period End | Average | ||||||||
GAAP and Regulatory Capital-to-Assets Ratio | |||||||||||
GAAP | 4.83 | % | 5.00 | % | 4.76 | % | 4.76 | % | |||
Regulatory (1) | 4.88 | 5.06 | 4.80 | 4.85 |
Year Ended December 31, | |||||||||||||||||||||||
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Period End | Average | Period End | Average | ||||||||||||||||||||
GAAP and Regulatory Capital | |||||||||||||||||||||||
GAAP Capital Stock | $ | 2,641 | $ | 3,567 | $ | 3,367 | $ | 3,827 | |||||||||||||||
Mandatorily Redeemable Capital Stock | 19 | 55 | 22 | 25 | |||||||||||||||||||
Regulatory Capital Stock | 2,660 | 3,622 | 3,389 | 3,852 | |||||||||||||||||||
Retained Earnings | 1,304 | 1,228 | 1,094 | 1,069 | |||||||||||||||||||
Regulatory Capital | $ | 3,964 | $ | 4,850 | $ | 4,483 | $ | 4,921 |
2020 | 2019 | ||||||||||||||||||||||
Period End | Average | Period End | Average | ||||||||||||||||||||
GAAP and Regulatory Capital-to-Assets Ratio | |||||||||||||||||||||||
GAAP | 6.02 | % | 5.39 | % | 4.75 | % | 5.04 | % | |||||||||||||||
Regulatory (1) | 6.07 | 5.47 | 4.79 | 5.08 |
(In millions) | 2017 | 2016 | (In millions) | 2020 | 2019 | |||||||||||||
Regulatory stock balance at beginning of year | $ | 4,192 | $ | 4,467 | Regulatory stock balance at beginning of year | $ | 3,389 | $ | 4,343 | |||||||||
Stock purchases: | Stock purchases: | |||||||||||||||||
Membership stock | 13 | 34 | Membership stock | 25 | 157 | |||||||||||||
Activity stock | 341 | 58 | Activity stock | 2,110 | 435 | |||||||||||||
Stock repurchases/redemptions: | Stock repurchases/redemptions: | |||||||||||||||||
Redemption of Member excess | (259 | ) | (285 | ) | ||||||||||||||
Redemption of member excess | Redemption of member excess | (558) | — | |||||||||||||||
Repurchase of member excess | Repurchase of member excess | (2,300) | (1,538) | |||||||||||||||
Withdrawals | (16 | ) | (82 | ) | Withdrawals | (6) | (8) | |||||||||||
Regulatory stock balance at the end of the year | $ | 4,271 | $ | 4,192 | Regulatory stock balance at the end of the year | $ | 2,660 | $ | 3,389 |
(In millions) | December 31, 2017 | December 31, 2016 | (In millions) | December 31, 2020 | December 31, 2019 | |||||||||||||
Excess capital stock (Capital Plan definition) | $ | 391 | $ | 347 | Excess capital stock (Capital Plan definition) | $ | 228 | $ | 37 | |||||||||
Cooperative utilization of capital stock | $ | 585 | $ | 525 | Cooperative utilization of capital stock | $ | 380 | $ | 781 | |||||||||
Mission Asset Activity capitalized with cooperative capital stock | $ | 14,620 | $ | 13,133 | Mission Asset Activity capitalized with cooperative capital stock | $ | 9,499 | $ | 19,536 |
December 31, | December 31, | |||||||||||||||
2017 | 2016 | 2020 | 2019 | |||||||||||||
Commercial Banks | 385 | 402 | Commercial Banks | 351 | 365 | |||||||||||
Savings Institutions | 92 | 96 | Savings Institutions | 78 | 81 | |||||||||||
Credit Unions | 132 | 130 | Credit Unions | 140 | 136 | |||||||||||
Insurance Companies | 46 | 55 | Insurance Companies | 53 | 52 | |||||||||||
Community Development Financial Institutions | 5 | 4 | Community Development Financial Institutions | 6 | 6 | |||||||||||
Total | 660 | 687 | Total | 628 | 640 |
(In millions) | December 31, | (In millions) | December 31, | |||||||||||||||
2017 | 2016 | 2020 | 2019 | |||||||||||||||
Commercial Banks | $ | 3,232 | $ | 3,224 | Commercial Banks | $ | 1,459 | $ | 2,296 | |||||||||
Savings Institutions | 416 | 391 | Savings Institutions | 398 | 365 | |||||||||||||
Credit Unions | 169 | 141 | Credit Unions | 179 | 175 | |||||||||||||
Insurance Companies | 423 | 400 | Insurance Companies | 604 | 530 | |||||||||||||
Community Development Financial Institutions | 1 | 1 | Community Development Financial Institutions | 1 | 1 | |||||||||||||
Total GAAP Capital Stock | 4,241 | 4,157 | Total GAAP Capital Stock | 2,641 | 3,367 | |||||||||||||
Mandatorily Redeemable Capital Stock | 30 | 35 | Mandatorily Redeemable Capital Stock | 19 | 22 | |||||||||||||
Total Regulatory Capital Stock | $ | 4,271 | $ | 4,192 | Total Regulatory Capital Stock | $ | 2,660 | $ | 3,389 |
December 31, | December 31, | |||||||||||||||
Member Asset Size (1) | 2017 | 2016 | Member Asset Size (1) | 2020 | 2019 | |||||||||||
Up to $100 million | 171 | 172 | Up to $100 million | 147 | 162 | |||||||||||
> $100 up to $500 million | 338 | 359 | > $100 up to $500 million | 297 | 307 | |||||||||||
> $500 million up to $1 billion | 66 | 71 | > $500 million up to $1 billion | 70 | 74 | |||||||||||
> $1 billion | 85 | 85 | > $1 billion | 114 | 97 | |||||||||||
Total Member Stockholders | 660 | 687 | Total Member Stockholders | 628 | 640 |
(Dollars in millions) | 2017 | 2016 | 2015 | (Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | ROE (1) | Amount | ROE (1) | Amount | ROE (1) | Amount | ROE (1) | Amount | ROE (1) | Amount | ROE (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | $ | 429 | 8.42 | % | $ | 363 | 7.24 | % | $ | 327 | 6.50 | % | Net interest income | $ | 406 | 8.51 | % | $ | 406 | 8.31 | % | $ | 499 | 9.24 | % | ||||||||||||||||||||||||||||||||||||||||||
Provision for credit losses | — | 0.01 | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income after provision for credit losses | 429 | 8.41 | 363 | 7.24 | 327 | 6.50 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest income: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized gains from sale of held-to-maturity securities | — | — | 39 | 0.77 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net (losses) gains on derivatives and hedging activities | (24 | ) | (0.48 | ) | (47 | ) | (0.95 | ) | 13 | 0.26 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains on financial instruments held under fair value option | 10 | 0.20 | 40 | 0.81 | 1 | 0.02 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest income (loss): | Non-interest income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investment securities | Net gains (losses) on investment securities | 257 | 5.39 | 210 | 4.30 | 7 | 0.13 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | Net gains (losses) on derivatives and hedging activities | (273) | (5.72) | (178) | (3.64) | (41) | (0.75) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | Net gains (losses) on financial instruments held under fair value option | (7) | (0.15) | (54) | (1.10) | (14) | (0.26) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other non-interest income, net | 13 | 0.25 | 14 | 0.29 | 16 | 0.31 | Other non-interest income, net | 16 | 0.33 | 12 | 0.23 | 11 | 0.20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total non-interest (loss) income | (1 | ) | (0.03 | ) | 46 | 0.92 | 30 | 0.59 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total non-interest income (loss) | Total non-interest income (loss) | (7) | (0.15) | (10) | (0.21) | (37) | (0.68) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total income | 428 | 8.38 | 409 | 8.16 | 357 | 7.09 | Total income | 399 | 8.36 | 396 | 8.10 | 462 | 8.56 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest expense | 79 | 1.54 | 111 | 2.21 | 75 | 1.50 | Non-interest expense | 92 | 1.93 | 89 | 1.82 | 85 | 1.57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program assessments | 35 | 0.69 | 30 | 0.60 | 28 | 0.55 | Affordable Housing Program assessments | 31 | 0.65 | 31 | 0.63 | 38 | 0.70 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | $ | 314 | 6.15 | % | $ | 268 | 5.35 | % | $ | 254 | 5.04 | % | Net income | $ | 276 | 5.78 | % | $ | 276 | 5.65 | % | $ | 339 | 6.29 | % |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||
Amount | % of Earning Assets | Amount | % of Earning Assets | Amount | % of Earning Assets | ||||||||||||||||||||||||||||||||||||||||||
Components of net interest rate spread: | |||||||||||||||||||||||||||||||||||||||||||||||
Net (amortization)/accretion (1) (2) | $ | (115) | (0.13) | % | $ | (37) | (0.04) | % | $ | (17) | (0.02) | % | |||||||||||||||||||||||||||||||||||
Prepayment fees on Advances, net (2) | 34 | 0.04 | 8 | 0.01 | 1 | — | |||||||||||||||||||||||||||||||||||||||||
Other components of net interest rate spread | 441 | 0.50 | 317 | 0.33 | 407 | 0.39 | |||||||||||||||||||||||||||||||||||||||||
Total net interest rate spread | 360 | 0.41 | 288 | 0.30 | 391 | 0.37 | |||||||||||||||||||||||||||||||||||||||||
Earnings from funding assets with interest-free capital | 46 | 0.05 | 118 | 0.12 | 108 | 0.10 | |||||||||||||||||||||||||||||||||||||||||
Total net interest income/net interest margin (3) | $ | 406 | 0.46 | % | $ | 406 | 0.42 | % | $ | 499 | 0.47 | % |
(Dollars in millions) | 2017 | 2016 | 2015 | |||||||||||||||||
Amount | % of Earning Assets | Amount | % of Earning Assets | Amount | % of Earning Assets | |||||||||||||||
Components of net interest rate spread: | ||||||||||||||||||||
Net (amortization)/accretion (1) (2) | $ | (20 | ) | (0.02 | )% | $ | (54 | ) | (0.05 | )% | $ | (24 | ) | (0.02 | )% | |||||
Prepayment fees on Advances, net (2) | 1 | — | 10 | 0.01 | 3 | — | ||||||||||||||
Other components of net interest rate spread | 382 | 0.38 | 360 | 0.34 | 314 | 0.30 | ||||||||||||||
Total net interest rate spread | 363 | 0.36 | 316 | 0.30 | 293 | 0.28 | ||||||||||||||
Earnings from funding assets with interest-free capital | 66 | 0.06 | 47 | 0.05 | 34 | 0.03 | ||||||||||||||
Total net interest income/net interest margin (3) | $ | 429 | 0.42 | % | $ | 363 | 0.35 | % | $ | 327 | 0.31 | % |
(1)Includes |
(Dollars in millions) | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Advances | $ | 67,656 | $ | 905 | 1.34 | % | $ | 69,282 | $ | 587 | 0.85 | % | $ | 70,458 | $ | 369 | 0.52 | % | ||||||||||||||
Mortgage loans held for portfolio (2) | 9,447 | 297 | 3.14 | 8,541 | 261 | 3.06 | 7,581 | 251 | 3.32 | |||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | 9,184 | 94 | 1.02 | 11,218 | 44 | 0.39 | 11,493 | 14 | 0.12 | |||||||||||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 624 | 6 | 1.03 | 1,071 | 6 | 0.57 | 1,141 | 2 | 0.20 | |||||||||||||||||||||||
Mortgage-backed securities | 14,710 | 306 | 2.08 | 15,061 | 325 | 2.16 | 14,664 | 326 | 2.22 | |||||||||||||||||||||||
Other investments (4) | 33 | — | 0.83 | 32 | — | 0.44 | 41 | — | 0.11 | |||||||||||||||||||||||
Loans to other FHLBanks | — | — | — | 3 | — | 0.41 | — | — | — | |||||||||||||||||||||||
Total interest-earning assets | 101,654 | 1,608 | 1.58 | 105,208 | 1,223 | 1.16 | 105,378 | 962 | 0.92 | |||||||||||||||||||||||
Less: allowance for credit losses on mortgage loans | 1 | 1 | 2 | |||||||||||||||||||||||||||||
Other assets | 264 | 218 | 163 | |||||||||||||||||||||||||||||
Total assets | $ | 101,917 | $ | 105,425 | $ | 105,539 | ||||||||||||||||||||||||||
Liabilities and Capital | ||||||||||||||||||||||||||||||||
Term deposits | $ | 76 | 1 | 0.72 | $ | 100 | — | 0.35 | $ | 132 | — | 0.20 | ||||||||||||||||||||
Other interest bearing deposits (5) | 621 | 4 | 0.68 | 734 | 1 | 0.13 | 704 | — | 0.01 | |||||||||||||||||||||||
Discount Notes | 43,124 | 385 | 0.89 | 49,835 | 174 | 0.35 | 52,706 | 65 | 0.12 | |||||||||||||||||||||||
Unswapped fixed-rate Bonds | 26,768 | 527 | 1.97 | 26,549 | 532 | 2.00 | 26,425 | 528 | 2.00 | |||||||||||||||||||||||
Unswapped adjustable-rate Bonds | 18,500 | 185 | 1.00 | 14,512 | 84 | 0.58 | 13,385 | 21 | 0.15 | |||||||||||||||||||||||
Swapped Bonds | 7,099 | 75 | 1.05 | 7,973 | 66 | 0.83 | 6,504 | 19 | 0.29 | |||||||||||||||||||||||
Mandatorily redeemable capital stock | 46 | 2 | 5.42 | 88 | 3 | 4.01 | 61 | 2 | 4.00 | |||||||||||||||||||||||
Other borrowings | 1 | — | 1.17 | — | — | 0.37 | — | — | — | |||||||||||||||||||||||
Total interest-bearing liabilities | 96,235 | 1,179 | 1.22 | 99,791 | 860 | 0.86 | 99,917 | 635 | 0.64 | |||||||||||||||||||||||
Non-interest bearing deposits | 2 | 1 | — | |||||||||||||||||||||||||||||
Other liabilities | 582 | 618 | 578 | |||||||||||||||||||||||||||||
Total capital | 5,098 | 5,015 | 5,044 | |||||||||||||||||||||||||||||
Total liabilities and capital | $ | 101,917 | $ | 105,425 | $ | 105,539 | ||||||||||||||||||||||||||
Net interest rate spread | 0.36 | % | 0.30 | % | 0.28 | % | ||||||||||||||||||||||||||
Net interest income and net interest margin (6) | $ | 429 | 0.42 | % | $ | 363 | 0.35 | % | $ | 327 | 0.31 | % | ||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 105.63 | % | 105.43 | % | 105.47 | % |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | |||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | $ | 43,323 | $ | 469 | 1.08 | % | $ | 47,968 | $ | 1,204 | 2.51 | % | $ | 65,491 | $ | 1,409 | 2.15 | % | |||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (2) | 11,264 | 276 | 2.45 | 10,739 | 340 | 3.17 | 9,967 | 321 | 3.22 | ||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | 7,784 | 43 | 0.55 | 13,142 | 293 | 2.23 | 12,122 | 228 | 1.88 | ||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 1,390 | 8 | 0.55 | 1,701 | 38 | 2.25 | 1,843 | 41 | 2.22 | ||||||||||||||||||||||||||||||||||||||||||||
MBS (4) | 11,864 | 186 | 1.57 | 15,029 | 386 | 2.57 | 15,741 | 380 | 2.41 | ||||||||||||||||||||||||||||||||||||||||||||
Other investments (4) | 11,832 | 265 | 2.24 | 7,914 | 184 | 2.33 | 88 | 2 | 2.69 | ||||||||||||||||||||||||||||||||||||||||||||
Loans to other FHLBanks | 5 | — | 1.22 | 3 | — | 2.43 | 1 | — | 1.46 | ||||||||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | 87,462 | 1,247 | 1.43 | 96,496 | 2,445 | 2.54 | 105,253 | 2,381 | 2.26 | ||||||||||||||||||||||||||||||||||||||||||||
Less: allowance for credit losses on mortgage loans | — | 1 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 1,248 | 442 | 288 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $ | 88,710 | $ | 96,937 | $ | 105,540 | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Term deposits | $ | 78 | — | 0.67 | $ | 49 | 1 | 2.41 | $ | 77 | 1 | 1.78 | |||||||||||||||||||||||||||||||||||||||||
Other interest-bearing deposits (5) | 1,208 | 3 | 0.25 | 768 | 15 | 1.91 | 747 | 13 | 1.69 | ||||||||||||||||||||||||||||||||||||||||||||
Discount Notes | 43,284 | 295 | 0.68 | 44,482 | 989 | 2.22 | 49,185 | 915 | 1.86 | ||||||||||||||||||||||||||||||||||||||||||||
Unswapped fixed-rate Bonds | 21,319 | 432 | 2.03 | 24,467 | 558 | 2.28 | 26,618 | 554 | 2.08 | ||||||||||||||||||||||||||||||||||||||||||||
Unswapped adjustable-rate Bonds | 13,394 | 53 | 0.40 | 16,131 | 371 | 2.30 | 16,967 | 317 | 1.87 | ||||||||||||||||||||||||||||||||||||||||||||
Swapped Bonds | 3,584 | 57 | 1.58 | 5,311 | 104 | 1.96 | 5,917 | 80 | 1.36 | ||||||||||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 55 | 1 | 1.93 | 25 | 1 | 4.50 | 30 | 2 | 6.00 | ||||||||||||||||||||||||||||||||||||||||||||
Other borrowings | 1 | — | — | — | — | 2.14 | — | — | 1.81 | ||||||||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 82,923 | 841 | 1.02 | 91,233 | 2,039 | 2.24 | 99,541 | 1,882 | 1.89 | ||||||||||||||||||||||||||||||||||||||||||||
Non-interest bearing deposits | 2 | 9 | 4 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 1,006 | 811 | 599 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total capital | 4,779 | 4,884 | 5,396 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 88,710 | $ | 96,937 | $ | 105,540 | |||||||||||||||||||||||||||||||||||||||||||||||
Net interest rate spread | 0.41 | % | 0.30 | % | 0.37 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Net interest income and net interest margin (6) | $ | 406 | 0.46 | % | $ | 406 | 0.42 | % | $ | 499 | 0.47 | % | |||||||||||||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 105.48 | % | 105.77 | % | 105.74 | % |
(In millions) | 2020 over 2019 | 2019 over 2018 | |||||||||||||||||||||||||||||||||
Volume (1)(3) | Rate (2)(3) | Total | Volume (1)(3) | Rate (2)(3) | Total | ||||||||||||||||||||||||||||||
Increase (decrease) in interest income | |||||||||||||||||||||||||||||||||||
Advances | $ | (107) | $ | (628) | $ | (735) | $ | (416) | $ | 211 | $ | (205) | |||||||||||||||||||||||
Mortgage loans held for portfolio | 16 | (80) | (64) | 25 | (6) | 19 | |||||||||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | (88) | (162) | (250) | 20 | 45 | 65 | |||||||||||||||||||||||||||||
Interest-bearing deposits in banks | (6) | (24) | (30) | (3) | — | (3) | |||||||||||||||||||||||||||||
MBS | (70) | (130) | (200) | (18) | 24 | 6 | |||||||||||||||||||||||||||||
Other investments | 88 | (7) | 81 | 182 | — | 182 | |||||||||||||||||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | (167) | (1,031) | (1,198) | (210) | 274 | 64 | |||||||||||||||||||||||||||||
Increase (decrease) in interest expense | |||||||||||||||||||||||||||||||||||
Term deposits | — | (1) | (1) | (1) | 1 | — | |||||||||||||||||||||||||||||
Other interest-bearing deposits | 5 | (17) | (12) | — | 2 | 2 | |||||||||||||||||||||||||||||
Discount Notes | (26) | (668) | (694) | (93) | 167 | 74 | |||||||||||||||||||||||||||||
Unswapped fixed-rate Bonds | (67) | (59) | (126) | (47) | 51 | 4 | |||||||||||||||||||||||||||||
Unswapped adjustable-rate Bonds | (54) | (264) | (318) | (16) | 70 | 54 | |||||||||||||||||||||||||||||
Swapped Bonds | (29) | (18) | (47) | (9) | 33 | 24 | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 1 | (1) | — | — | (1) | (1) | |||||||||||||||||||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | (170) | (1,028) | (1,198) | (166) | 323 | 157 | |||||||||||||||||||||||||||||
Increase (decrease) in net interest income | $ | 3 | $ | (3) | $ | — | $ | (44) | $ | (49) | $ | (93) |
(In millions) | 2017 over 2016 | 2016 over 2015 | |||||||||||||||||||||
Volume (1)(3) | Rate (2)(3) | Total | Volume (1)(3) | Rate (2)(3) | Total | ||||||||||||||||||
Increase (decrease) in interest income | |||||||||||||||||||||||
Advances | $ | (14 | ) | $ | 332 | $ | 318 | $ | (6 | ) | $ | 224 | $ | 218 | |||||||||
Mortgage loans held for portfolio | 28 | 8 | 36 | 31 | (21 | ) | 10 | ||||||||||||||||
Federal funds sold and securities purchased under resale agreements | (9 | ) | 59 | 50 | — | 30 | 30 | ||||||||||||||||
Interest-bearing deposits in banks | (4 | ) | 4 | — | — | 4 | 4 | ||||||||||||||||
Mortgage-backed securities | (7 | ) | (12 | ) | (19 | ) | 8 | (9 | ) | (1 | ) | ||||||||||||
Other investments | — | — | — | — | — | — | |||||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||||
Total | (6 | ) | 391 | 385 | 33 | 228 | 261 | ||||||||||||||||
Increase (decrease) in interest expense | |||||||||||||||||||||||
Term deposits | — | 1 | 1 | — | — | — | |||||||||||||||||
Other interest-bearing deposits | — | 3 | 3 | — | 1 | 1 | |||||||||||||||||
Discount Notes | (26 | ) | 237 | 211 | (3 | ) | 112 | 109 | |||||||||||||||
Unswapped fixed-rate Bonds | 4 | (9 | ) | (5 | ) | 2 | 2 | 4 | |||||||||||||||
Unswapped adjustable-rate Bonds | 27 | 74 | 101 | 2 | 61 | 63 | |||||||||||||||||
Swapped Bonds | (8 | ) | 17 | 9 | 5 | 42 | 47 | ||||||||||||||||
Mandatorily redeemable capital stock | (2 | ) | 1 | (1 | ) | 1 | — | 1 | |||||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||||
Total | (5 | ) | 324 | 319 | 7 | 218 | 225 | ||||||||||||||||
Increase (decrease) in net interest income | $ | (1 | ) | $ | 67 | $ | 66 | $ | 26 | $ | 10 | $ | 36 |
(In millions) | (In millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||
(In millions) | 2017 | 2016 | 2015 | |||||||||||||||||||||||||||||||
Advances: | Advances: | |||||||||||||||||||||||||||||||||
Amortization of hedging activities in net interest income | $ | (2 | ) | $ | (3 | ) | $ | (3 | ) | Amortization of hedging activities in net interest income | $ | (1) | $ | (1) | $ | (1) | ||||||||||||||||||
Gains (losses) on designated fair value hedges | Gains (losses) on designated fair value hedges | (16) | (6) | N/A | ||||||||||||||||||||||||||||||
Net interest settlements included in net interest income | Net interest settlements included in net interest income | (91) | 36 | 24 | ||||||||||||||||||||||||||||||
Investment securities: | Investment securities: | |||||||||||||||||||||||||||||||||
Net interest settlements included in net interest income | (18 | ) | (60 | ) | (84 | ) | Net interest settlements included in net interest income | (2) | — | — | ||||||||||||||||||||||||
Mortgage loans: | Mortgage loans: | |||||||||||||||||||||||||||||||||
Amortization of derivative fair value adjustments in net interest income | (3 | ) | (7 | ) | (5 | ) | Amortization of derivative fair value adjustments in net interest income | (12) | (3) | (1) | ||||||||||||||||||||||||
Consolidated Obligation Bonds: | Consolidated Obligation Bonds: | |||||||||||||||||||||||||||||||||
Net interest settlements included in net interest income | (1 | ) | 8 | 20 | Net interest settlements included in net interest income | 2 | 2 | (3) | ||||||||||||||||||||||||||
Decrease to net interest income | $ | (24 | ) | $ | (62 | ) | $ | (72 | ) | |||||||||||||||||||||||||
Increase (decrease) to net interest income | Increase (decrease) to net interest income | $ | (120) | $ | 28 | $ | 19 |
(Dollars in millions) | 2017 | 2016 | 2015 | ||||||||
Non-interest (loss) income | |||||||||||
Net realized gains from sale of held-to-maturity securities | $ | — | $ | 39 | $ | — | |||||
Net (losses) gains on derivatives and hedging activities | (24 | ) | (47 | ) | 13 | ||||||
Net gains on financial instruments held under fair value option | 10 | 40 | 1 | ||||||||
Other non-interest income, net | 13 | 14 | 16 | ||||||||
Total non-interest (loss) income | $ | (1 | ) | $ | 46 | $ | 30 | ||||
Non-interest expense | |||||||||||
Compensation and benefits | $ | 46 | $ | 42 | $ | 40 | |||||
Other operating expense | 19 | 26 | 22 | ||||||||
Finance Agency | 7 | 6 | 7 | ||||||||
Office of Finance | 4 | 4 | 4 | ||||||||
Litigation settlement | — | 25 | — | ||||||||
Other | 3 | 8 | 2 | ||||||||
Total non-interest expense | $ | 79 | $ | 111 | $ | 75 | |||||
Average total assets | $ | 101,917 | $ | 105,425 | $ | 105,539 | |||||
Average regulatory capital | 5,157 | 5,115 | 5,120 | ||||||||
Total non-interest expense to average total assets (1) | 0.08 | % | 0.11 | % | 0.07 | % | |||||
Total non-interest expense to average regulatory capital (1) | 1.53 | 2.17 | 1.48 |
2020 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Discount Notes | Balance Sheet (1) | Other | Total | |||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | $ | — | $ | (242) | $ | (10) | $ | 14 | $ | — | $ | 91 | $ | — | $ | (147) | |||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | (172) | — | 23 | 22 | — | — | (127) | |||||||||||||||||||||||||||||||||||||||
Price alignment amount | — | — | — | — | — | — | 1 | 1 | |||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | — | (414) | (10) | 37 | 22 | 91 | 1 | (273) | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 257 | — | — | — | — | — | 257 | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | 1 | — | — | (9) | 1 | — | — | (7) | |||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | 1 | $ | (157) | $ | (10) | $ | 28 | $ | 23 | $ | 91 | $ | 1 | $ | (23) |
2019 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Discount Notes | Balance Sheet (1) | Other | Total | |||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | $ | (2) | $ | (194) | $ | 4 | $ | 54 | $ | — | $ | (19) | $ | — | $ | (157) | |||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | 2 | — | — | (26) | — | — | — | (24) | |||||||||||||||||||||||||||||||||||||||
Price alignment amount | — | — | — | — | — | — | 3 | 3 | |||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | — | (194) | 4 | 28 | — | (19) | 3 | (178) | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 210 | — | — | — | — | — | 210 | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (53) | (1) | — | — | (54) | |||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | — | $ | 16 | $ | 4 | $ | (25) | $ | (1) | $ | (19) | $ | 3 | $ | (22) | |||||||||||||||||||||||||||||||
2018 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Balance Sheet (1) | Total | |||||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on fair value hedges | $ | 2 | $ | — | $ | — | $ | — | $ | — | $ | 2 | |||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 1 | (9) | (1) | 18 | (6) | 3 | |||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | — | — | (46) | — | (46) | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 3 | (9) | (1) | (28) | (6) | (41) | |||||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 7 | — | — | — | 7 | |||||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (14) | — | (14) | |||||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | 3 | $ | (2) | $ | (1) | $ | (42) | $ | (6) | $ | (48) |
(In millions) | 2017 | ||||||||||||||||||||||
Advances | Mortgage Loans | Consolidated Obligation Bonds | Balance Sheet (1) | Other (2) | Total | ||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||
(Losses) gains on fair value hedges | $ | (1 | ) | $ | — | $ | 1 | $ | — | $ | — | $ | — | ||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 1 | 4 | (13 | ) | (17 | ) | — | (25 | ) | ||||||||||||||
Other (2) | — | — | — | — | 1 | 1 | |||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | — | 4 | (12 | ) | (17 | ) | 1 | (24 | ) | ||||||||||||||
Net gains on financial instruments held under fair value option (3) | — | — | 10 | — | — | 10 | |||||||||||||||||
Total net effect on non-interest income | $ | — | $ | 4 | $ | (2 | ) | $ | (17 | ) | $ | 1 | $ | (14 | ) |
(In millions) | 2016 | ||||||||||||||||||
Advances | Mortgage Loans | Consolidated Obligation Bonds | Balance Sheet (1) | Total | |||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||
Gains on fair value hedges | $ | 1 | $ | — | $ | — | $ | — | $ | 1 | |||||||||
Gains (losses) on derivatives not receiving hedge accounting | — | 3 | (57 | ) | 6 | (48 | ) | ||||||||||||
Total net gains (losses) on derivatives and hedging activities | 1 | 3 | (57 | ) | 6 | (47 | ) | ||||||||||||
Net gains on financial instruments held under fair value option (3) | — | — | 40 | — | 40 | ||||||||||||||
Total net effect on non-interest income | $ | 1 | $ | 3 | $ | (17 | ) | $ | 6 | $ | (7 | ) |
(In millions) | 2015 | ||||||||||||||
Advances | Mortgage Loans | Consolidated Obligation Bonds | Total | ||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||
Gains on fair value hedges | $ | 2 | $ | — | $ | 1 | $ | 3 | |||||||
Gains on derivatives not receiving hedge accounting | 1 | 1 | 8 | 10 | |||||||||||
Total net gains on derivatives and hedging activities | 3 | 1 | 9 | 13 | |||||||||||
Net gains on financial instruments held under fair value option (3) | — | — | 1 | 1 | |||||||||||
Total net effect on non-interest income | $ | 3 | $ | 1 | $ | 10 | $ | 14 |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||
Non-interest expense | |||||||||||||||||||||||
Compensation and benefits | $ | 50 | $ | 46 | $ | 46 | |||||||||||||||||
Other operating expense | 21 | 22 | 20 | ||||||||||||||||||||
Finance Agency | 7 | 7 | 7 | ||||||||||||||||||||
Office of Finance | 5 | 5 | 5 | ||||||||||||||||||||
Other | 9 | 9 | 7 | ||||||||||||||||||||
Total non-interest expense | $ | 92 | $ | 89 | $ | 85 | |||||||||||||||||
1st Quarter | 2nd Quarter | 3rd Quarter | 4th Quarter | Total | |||||||||||||
Components of 2020 ROE: | |||||||||||||||||
Net interest income: | |||||||||||||||||
Other net interest income | 8.69 | % | 11.74 | % | 9.68 | % | 10.33 | % | 10.19 | % | |||||||
Net amortization | (1.91) | (1.98) | (2.67) | (3.22) | (2.40) | ||||||||||||
Prepayment fees | 0.37 | 0.95 | 0.62 | 0.94 | 0.72 | ||||||||||||
Total net interest income | 7.15 | 10.71 | 7.63 | 8.05 | 8.51 | ||||||||||||
Net gains (losses) on derivatives and hedging activities | (25.60) | (2.43) | 1.61 | 3.45 | (5.72) | ||||||||||||
Other non-interest income (loss) | 28.27 | 1.36 | (2.23) | (4.95) | 5.57 | ||||||||||||
Total non-interest income (loss) | 2.67 | (1.07) | (0.62) | (1.50) | (0.15) | ||||||||||||
Total income | 9.82 | 9.64 | 7.01 | 6.55 | 8.36 | ||||||||||||
Total non-interest expense | 2.11 | 1.72 | 1.79 | 2.18 | 1.93 | ||||||||||||
Affordable Housing Program assessments | 0.77 | 0.80 | 0.52 | 0.44 | 0.65 | ||||||||||||
2020 ROE | 6.94 | % | 7.12 | % | 4.70 | % | 3.93 | % | 5.78 | % | |||||||
2019 ROE | 5.59 | % | 5.09 | % | 5.36 | % | 6.64 | % | 5.65 | % | |||||||
2018 ROE | 6.23 | % | 6.15 | % | 6.87 | % | 5.90 | % | 6.29 | % |
1st Quarter | 2nd Quarter | 3rd Quarter | 4th Quarter | Total | ||||||
Components of 2017 ROE: | ||||||||||
Net interest income: | ||||||||||
Other net interest income | 8.74 | % | 8.83 | % | 8.79 | % | 8.78 | % | 8.78 | % |
Net amortization | (0.45 | ) | (0.36 | ) | (0.36 | ) | (0.41 | ) | (0.39 | ) |
Prepayment fees | 0.03 | 0.01 | 0.06 | 0.01 | 0.03 | |||||
Total net interest income | 8.32 | 8.48 | 8.49 | 8.38 | 8.42 | |||||
Provision for credit losses | — | — | 0.04 | — | 0.01 | |||||
Net interest income after provision for credit losses | 8.32 | 8.48 | 8.45 | 8.38 | 8.41 | |||||
Net (losses) gains on derivatives and hedging activities | (0.65 | ) | 1.06 | (0.52 | ) | (1.75 | ) | (0.48 | ) | |
Other non-interest (loss) income | (0.21 | ) | (0.25 | ) | 0.27 | 1.95 | 0.45 | |||
Total non-interest (loss) income | (0.86 | ) | 0.81 | (0.25 | ) | 0.20 | (0.03 | ) | ||
Total revenue | 7.46 | 9.29 | 8.20 | 8.58 | 8.38 | |||||
Total non-interest expense | 1.62 | 1.57 | 1.56 | 1.44 | 1.54 | |||||
Affordable Housing Program assessments | 0.59 | 0.78 | 0.67 | 0.72 | 0.69 | |||||
2017 ROE | 5.25 | % | 6.94 | % | 5.97 | % | 6.42 | % | 6.15 | % |
2016 ROE | 4.50 | % | 4.93 | % | 4.82 | % | 7.15 | % | 5.35 | % |
2015 ROE | 5.32 | % | 4.70 | % | 5.23 | % | 4.93 | % | 5.04 | % |
(Dollars in millions) | Traditional Member Finance | MPP | Total | ||||||||
2017 | |||||||||||
Net interest income after provision for credit losses | $ | 335 | $ | 94 | $ | 429 | |||||
Net income | $ | 243 | $ | 71 | $ | 314 | |||||
Average assets | $ | 91,485 | $ | 10,432 | $ | 101,917 | |||||
Assumed average capital allocation | $ | 4,576 | $ | 522 | $ | 5,098 | |||||
Return on average assets (1) | 0.27 | % | 0.68 | % | 0.31 | % | |||||
Return on average equity (1) | 5.30 | % | 13.60 | % | 6.15 | % | |||||
2016 | |||||||||||
Net interest income after provision for credit losses | $ | 288 | $ | 75 | $ | 363 | |||||
Net income | $ | 205 | $ | 63 | $ | 268 | |||||
Average assets | $ | 96,855 | $ | 8,570 | $ | 105,425 | |||||
Assumed average capital allocation | $ | 4,607 | $ | 408 | $ | 5,015 | |||||
Return on average assets (1) | 0.21 | % | 0.73 | % | 0.25 | % | |||||
Return on average equity (1) | 4.45 | % | 15.44 | % | 5.35 | % | |||||
2015 | |||||||||||
Net interest income after provision for credit losses | $ | 250 | $ | 77 | $ | 327 | |||||
Net income | $ | 192 | $ | 62 | $ | 254 | |||||
Average assets | $ | 97,932 | $ | 7,607 | $ | 105,539 | |||||
Assumed average capital allocation | $ | 4,680 | $ | 364 | $ | 5,044 | |||||
Return on average assets (1) | 0.20 | % | 0.82 | % | 0.24 | % | |||||
Return on average equity (1) | 4.10 | % | 17.14 | % | 5.04 | % |
(Dollars in millions) | Traditional Member Finance | MPP | Total | ||||||||||||||
2020 | |||||||||||||||||
Net interest income | $ | 385 | $ | 21 | $ | 406 | |||||||||||
Net income | $ | 221 | $ | 55 | $ | 276 | |||||||||||
Average assets | $ | 77,090 | $ | 11,620 | $ | 88,710 | |||||||||||
Assumed average capital allocation | $ | 4,149 | $ | 630 | $ | 4,779 | |||||||||||
Return on average assets (1) | 0.29 | % | 0.48 | % | 0.31 | % | |||||||||||
Return on average equity (1) | 5.33 | % | 8.76 | % | 5.78 | % | |||||||||||
2019 | |||||||||||||||||
Net interest income | $ | 309 | $ | 97 | $ | 406 | |||||||||||
Net income | $ | 206 | $ | 70 | $ | 276 | |||||||||||
Average assets | $ | 83,867 | $ | 13,070 | $ | 96,937 | |||||||||||
Assumed average capital allocation | $ | 4,226 | $ | 658 | $ | 4,884 | |||||||||||
Return on average assets (1) | 0.25 | % | 0.54 | % | 0.28 | % | |||||||||||
Return on average equity (1) | 4.87 | % | 10.71 | % | 5.65 | % | |||||||||||
2018 | |||||||||||||||||
Net interest income | $ | 390 | $ | 109 | $ | 499 | |||||||||||
Net income | $ | 255 | $ | 84 | $ | 339 | |||||||||||
Average assets | $ | 93,531 | $ | 12,009 | $ | 105,540 | |||||||||||
Assumed average capital allocation | $ | 4,781 | $ | 615 | $ | 5,396 | |||||||||||
Return on average assets (1) | 0.27 | % | 0.70 | % | 0.32 | % | |||||||||||
Return on average equity (1) | 5.34 | % | 13.65 | % | 6.29 | % | |||||||||||
▪Market Value of Equity Sensitivity. The market value of equity for the entire balance sheet in two hypothetical interest rate scenarios (up 200 basis points and down 100 to 200 basis points from the current interest rate environment) must be between positive and negative 10 percent of the current balance sheet's market value of equity. The interest rate |
(Dollars in millions) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | (Dollars in millions) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Average Results | Average Results | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 Full Year | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2020 Full Year | 2020 Full Year | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,702 | $ | 4,765 | $ | 4,973 | $ | 5,021 | $ | 4,956 | $ | 4,881 | $ | 4,815 | Market Value of Equity | $ | 4,541 | $ | 4,541 | $ | 4,547 | $ | 4,624 | $ | 4,723 | $ | 4,608 | $ | 4,466 | |||||||||||||||||||||||||||||||||||||||
% Change from Flat Case | (6.3 | )% | (5.1 | )% | (0.9 | )% | — | (1.3 | )% | (2.8 | )% | (4.1 | )% | % Change from Flat Case | (1.8) | % | (1.8) | % | (1.7) | % | — | 2.1 | % | (0.3) | % | (3.4) | % | |||||||||||||||||||||||||||||||||||||||||
2016 Full Year | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019 Full Year | 2019 Full Year | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,571 | $ | 4,595 | $ | 4,720 | $ | 4,843 | $ | 4,791 | $ | 4,655 | $ | 4,509 | Market Value of Equity | $ | 4,545 | $ | 4,580 | $ | 4,652 | $ | 4,729 | $ | 4,674 | $ | 4,586 | $ | 4,528 | |||||||||||||||||||||||||||||||||||||||
% Change from Flat Case | (5.6 | )% | (5.1 | )% | (2.5 | )% | — | (1.1 | )% | (3.9 | )% | (6.9 | )% | % Change from Flat Case | (3.9) | % | (3.1) | % | (1.6) | % | — | (1.1) | % | (3.0) | % | (4.3) | % | |||||||||||||||||||||||||||||||||||||||||
Month-End Results | Month-End Results | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,764 | $ | 4,837 | $ | 5,095 | $ | 5,165 | $ | 5,097 | $ | 5,027 | $ | 4,955 | Market Value of Equity | $ | 3,765 | $ | 3,765 | $ | 3,791 | $ | 3,835 | $ | 3,893 | $ | 3,777 | $ | 3,676 | |||||||||||||||||||||||||||||||||||||||
% Change from Flat Case | (7.8 | )% | (6.3 | )% | (1.3 | )% | — | (1.3 | )% | (2.7 | )% | (4.1 | )% | % Change from Flat Case | (1.8) | % | (1.8) | % | (1.1) | % | — | 1.5 | % | (1.5) | % | (4.2) | % | |||||||||||||||||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2019 | December 31, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,587 | $ | 4,660 | $ | 4,803 | $ | 4,770 | $ | 4,654 | $ | 4,543 | $ | 4,457 | Market Value of Equity | $ | 4,257 | $ | 4,262 | $ | 4,236 | $ | 4,372 | $ | 4,313 | $ | 4,213 | $ | 4,144 | |||||||||||||||||||||||||||||||||||||||
% Change from Flat Case | (3.8 | )% | (2.3 | )% | 0.7 | % | — | (2.4 | )% | (4.8 | )% | (6.6 | )% | % Change from Flat Case | (2.6) | % | (2.5) | % | (3.1) | % | — | (1.3) | % | (3.6) | % | (5.2) | % |
(In years) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | ||||||||||||||||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||||||||||||||||
2020 Full Year | — | — | (0.9) | (2.6) | 1.0 | 3.4 | 2.0 | ||||||||||||||||||||||||||||||||||
2019 Full Year | (0.8) | (1.4) | (1.7) | (0.8) | 1.7 | 1.4 | 1.1 | ||||||||||||||||||||||||||||||||||
Month-End Results | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | — | (0.1) | (1.4) | (2.3) | 1.8 | 3.2 | 1.2 | ||||||||||||||||||||||||||||||||||
December 31, 2019 | (0.1) | 0.6 | (2.1) | (1.2) | 2.0 | 1.7 | 1.4 |
(In years) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||
Average Results | ||||||||||||||||||||
2017 Full Year | (1.7 | ) | (4.2 | ) | (3.8 | ) | 0.4 | 1.6 | 1.4 | 1.4 | ||||||||||
2016 Full Year | (2.3 | ) | (2.8 | ) | (3.4 | ) | (0.8 | ) | 2.3 | 3.1 | 3.3 | |||||||||
Month-End Results | ||||||||||||||||||||
December 31, 2017 | (2.0 | ) | (5.3 | ) | (4.4 | ) | 0.5 | 1.5 | 1.4 | 1.5 | ||||||||||
December 31, 2016 | (2.0 | ) | (3.7 | ) | (1.7 | ) | 1.8 | 2.5 | 2.0 | 1.8 |
Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||||||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||||||||||||||||
2020 Full Year | (15.9) | % | (15.9) | % | (14.6) | % | — | 11.9 | % | 2.4 | % | (10.3) | % | ||||||||||||||||||||||||||||
2019 Full Year | (28.6) | % | (24.1) | % | (10.4) | % | — | (2.4) | % | (8.3) | % | (11.7) | % | ||||||||||||||||||||||||||||
Month-End Results | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | (15.3) | % | (15.3) | % | (11.3) | % | — | 10.6 | % | 3.9 | % | (1.7) | % | ||||||||||||||||||||||||||||
December 31, 2019 | (17.7) | % | (17.2) | % | (12.5) | % | — | (5.6) | % | (14.6) | % | (20.5) | % |
Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||
Average Results | |||||||||||||||||||
2017 Full Year | (36.1 | )% | (29.1 | )% | (6.8 | )% | — | (3.8 | )% | (8.6 | )% | (12.8 | )% | ||||||
2016 Full Year | (31.7 | )% | (29.4 | )% | (15.5 | )% | — | (3.1 | )% | (15.3 | )% | (29.0 | )% | ||||||
Month-End Results | |||||||||||||||||||
December 31, 2017 | (39.4 | )% | (32.2 | )% | (8.7 | )% | — | (2.4 | )% | (4.9 | )% | (7.8 | )% | ||||||
December 31, 2016 | (28.4 | )% | (18.5 | )% | 0.7 | % | — | (10.4 | )% | (20.3 | )% | (27.7 | )% |
(In millions) | December 31, 2020 | December 31, 2019 | ||||||||||||||||||
Hedged Item/Hedging Instrument | Hedging Objective | Fair Value Hedge | Economic Hedge | Fair Value Hedge | Economic Hedge | |||||||||||||||
Advances: | ||||||||||||||||||||
Pay-fixed, receive-float interest rate swap (without options) | Converts the Advance's fixed rate to a variable-rate index. | $ | 7,409 | $ | 5 | $ | 7,449 | $ | 5 | |||||||||||
Pay-fixed, receive-float interest rate swap (with options) | Converts the Advance's fixed rate to a variable-rate index and offsets option risk in the Advance. | 2,664 | 27 | 1,327 | 155 | |||||||||||||||
Pay-float with embedded features, receive-float interest rate swap (callable) | Reduces interest-rate sensitivity and repricing gaps by offsetting embedded option risk in the Advance. | — | — | 200 | — | |||||||||||||||
Total Advances | 10,073 | 32 | 8,976 | 160 | ||||||||||||||||
Investment securities: | ||||||||||||||||||||
Pay-fixed, receive-float interest rate swap (without options) | Converts the investment security's fixed rate to a variable-rate index. | 274 | 9,817 | 124 | 11,202 | |||||||||||||||
Mortgage Loans: | ||||||||||||||||||||
Forward settlement agreement | Protects against changes in market value of fixed-rate Mandatory Delivery Contracts resulting from changes in interest rates. | — | — | — | 849 | |||||||||||||||
Consolidated Obligations Bonds: | ||||||||||||||||||||
Receive-fixed, pay-float interest rate swap (without options) | Converts the Bond's fixed rate to a variable-rate index. | 131 | 2,241 | — | 4,709 | |||||||||||||||
Receive-fixed, pay-float interest rate swap (with options) | Converts the Bond's fixed rate to a variable-rate index and offsets option risk in the Bond. | — | — | 210 | 30 | |||||||||||||||
Total Consolidated Obligations Bonds | 131 | 2,241 | 210 | 4,739 | ||||||||||||||||
Consolidated Discount Notes: | ||||||||||||||||||||
Receive-fixed, pay-float interest rate swap (without options) | Converts the Discount Note's fixed rate to a variable-rate index. | — | — | — | 12,401 | |||||||||||||||
Balance Sheet: | ||||||||||||||||||||
Pay-float, receive-fixed interest-rate swap | Interest-rate swap not linked to a specific asset, liability or forecasted transaction. | — | 589 | — | — | |||||||||||||||
Pay-fixed, receive-float interest-rate swap | Interest-rate swap not linked to a specific asset, liability or forecasted transaction. | — | 589 | — | — | |||||||||||||||
Interest rate swaptions | Provides the option to enter into an interest rate swap to offset interest-rate or prepayment risk. | — | 2,175 | — | 6,000 | |||||||||||||||
Total Balance Sheet | — | 3,353 | — | 6,000 | ||||||||||||||||
Stand-Alone Derivatives: | ||||||||||||||||||||
Mandatory Delivery Contracts | Exposure to fair-value risk associated with fixed rate mortgage purchase commitments. | — | 137 | — | 936 | |||||||||||||||
Total | $ | 10,478 | $ | 15,580 | $ | 9,310 | $ | 36,287 |
(In millions) | December 31, 2017 | December 31, 2016 | ||||||||||||
Hedged Item/Hedging Instrument | Hedging Objective | Fair Value Hedge | Economic Hedge | Fair Value Hedge | Economic Hedge | |||||||||
Advances: | ||||||||||||||
Pay-fixed, receive-float interest rate swap (without options) | Converts the Advance's fixed rate to a variable-rate index. | $ | 4,686 | $ | 15 | $ | 3,605 | $ | 15 | |||||
Pay-fixed, receive-float interest rate swap (with options) | Converts the Advance's fixed rate to a variable-rate index and offsets option risk in the Advance. | 379 | 150 | 696 | 33 | |||||||||
Total Advances | 5,065 | 165 | 4,301 | 48 | ||||||||||
Mortgage Loans: | ||||||||||||||
Forward settlement agreement | Protects against changes in market value of fixed-rate Mandatory Delivery Contracts resulting from changes in interest rates. | — | 212 | — | 511 | |||||||||
Consolidated Obligations Bonds: | ||||||||||||||
Receive-fixed, pay-float interest rate swap (without options) | Converts the Bond's fixed rate to a variable-rate index. | 874 | 5,529 | 1,229 | 6,789 | |||||||||
Receive-fixed, pay-float interest rate swap (with options) | Converts the Bond's fixed rate to a variable-rate index and offsets option risk in the Bond. | 54 | 95 | 130 | 1,362 | |||||||||
Total Consolidated Obligations Bonds | 928 | 5,624 | 1,359 | 8,151 | ||||||||||
Balance Sheet: | ||||||||||||||
Interest rate swaptions | Provides the option to enter into an interest rate swap to offset interest-rate or prepayment risk. | — | 2,316 | — | 2,346 | |||||||||
Stand-Alone Derivatives: | ||||||||||||||
Mandatory Delivery Contracts | Exposure to fair-value risk associated with fixed rate mortgage purchase commitments. | — | 219 | — | 441 | |||||||||
Total | $ | 5,993 | $ | 8,536 | $ | 5,660 | $ | 11,497 |
(In millions) | December 31, 2020 | December 31, 2019 | |||||||||
Unrestricted retained earnings | $ | 803 | $ | 648 | |||||||
Restricted retained earnings (1) | 501 | 446 | |||||||||
Total retained earnings | $ | 1,304 | $ | 1,094 |
(In millions) | Maturing on or before June 30, 2023 | Maturing after June 30, 2023 | |||||||||
LIBOR-Indexed Variable Rate Financial Instruments | |||||||||||
Advances by redemption term | $ | 2,599 | $ | 3,012 | |||||||
MBS by contractual maturity (1) | — | 5,929 | |||||||||
Total principal amount | $ | 2,599 | $ | 8,941 | |||||||
Derivatives, notional amount by termination date | $ | 9,339 | $ | 4,680 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||
Adjustable/Variable Rate-Indexed: | |||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 10,430 | 22 | % | |||||||||||||||
SOFR | 118 | 1 | 500 | 1 | |||||||||||||||||||
Other | 82 | — | 221 | 1 | |||||||||||||||||||
Total | 5,811 | 23 | 11,151 | 24 | |||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 19,386 | 41 | |||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 11,476 | 24 | |||||||||||||||||||
Putable (2) | 2,657 | 11 | 1,444 | 3 | |||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,358 | 5 | |||||||||||||||||||
Other | 1,151 | 5 | 1,449 | 3 | |||||||||||||||||||
Total | 19,196 | 77 | 36,113 | 76 | |||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 47,264 | 100 | % | |||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 16,205 |
(Dollars in millions) | December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||||||||||||||||||||||
Adjustable/Variable-Rate Indexed: | |||||||||||||||||||||||||||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 5,846 | 22 | % | $ | 21,071 | 44 | % | $ | 28,889 | 36 | % | |||||||||||||||||||||||||||||||
SOFR | 118 | 1 | 116 | — | 116 | — | 2,000 | 3 | |||||||||||||||||||||||||||||||||||||||
Other | 82 | — | 123 | 1 | 83 | — | 247 | — | |||||||||||||||||||||||||||||||||||||||
Total | 5,811 | 23 | 6,085 | 23 | 21,270 | 44 | 31,136 | 39 | |||||||||||||||||||||||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||||||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 3,896 | 15 | 8,978 | 18 | 28,058 | 35 | |||||||||||||||||||||||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 10,207 | 38 | 11,445 | 24 | 14,452 | 18 | |||||||||||||||||||||||||||||||||||||||
Putable (2) | 2,657 | 11 | 3,107 | 12 | 3,164 | 6 | 3,164 | 4 | |||||||||||||||||||||||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,195 | 8 | 2,309 | 5 | 2,439 | 3 | |||||||||||||||||||||||||||||||||||||||
Other | 1,151 | 5 | 1,158 | 4 | 1,241 | 3 | 680 | 1 | |||||||||||||||||||||||||||||||||||||||
Total | 19,196 | 77 | 20,563 | 77 | 27,137 | 56 | 48,793 | 61 | |||||||||||||||||||||||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 26,648 | 100 | % | $ | 48,407 | 100 | % | $ | 79,929 | 100 | % | |||||||||||||||||||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 23,011 | $ | 22,381 | $ | 15,785 |
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Average Advances-to-assets for members | ||||||||||||||||||||||||||||||||
Assets less than $1.0 billion (514 members) | 1.99 | % | 2.55 | % | ||||||||||||||||||||||||||||
Assets over $1.0 billion (114 members) | 2.11 | 3.31 | ||||||||||||||||||||||||||||||
All members | 2.01 | 2.67 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||
Principal Amount of Advances | Percent of Total Principal Amount of Advances | Principal Amount of Advances | Percent of Total Principal Amount of Advances | ||||||||||||||||||||
Commercial Banks | $ | 9,530 | 38 | % | $ | 31,590 | 67 | % | |||||||||||||||
Savings Institutions | 4,922 | 20 | 5,689 | 12 | |||||||||||||||||||
Credit Unions | 1,344 | 5 | 1,307 | 3 | |||||||||||||||||||
Insurance Companies | 9,201 | 37 | 8,629 | 18 | |||||||||||||||||||
Community Development Financial Institutions | — | — | 1 | — | |||||||||||||||||||
Total member Advances | 24,997 | 100 | 47,216 | 100 | |||||||||||||||||||
Former member borrowings | 10 | — | 48 | — | |||||||||||||||||||
Total principal amount of Advances | $ | 25,007 | 100 | % | $ | 47,264 | 100 | % |
(Dollars in millions) | ||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Name | Principal Amount of Advances | Percent of Total Principal Amount of Advances | Name | Principal Amount of Advances | Percent of Total Principal Amount of Advances | |||||||||||||||||||||||||||
U.S. Bank, N.A. | $ | 4,273 | 17 | % | U.S. Bank, N.A. | $ | 13,874 | 29 | % | |||||||||||||||||||||||
Third Federal Savings and Loan Association | 3,443 | 14 | JPMorgan Chase Bank, N.A. | 4,500 | 10 | |||||||||||||||||||||||||||
Nationwide Life Insurance Company | 2,062 | 8 | Third Federal Savings and Loan Association | 3,883 | 8 | |||||||||||||||||||||||||||
Protective Life Insurance Company | 1,955 | 8 | First Horizon Bank | 2,200 | 5 | |||||||||||||||||||||||||||
Western-Southern Life Assurance Co. | 1,344 | 5 | Pinnacle Bank | 2,063 | 4 | |||||||||||||||||||||||||||
Total of Top 5 | $ | 13,077 | 52 | % | Total of Top 5 | $ | 26,520 | 56 | % |
(In millions) | 2020 | 2019 | |||||||||||||||
Balance, beginning of year | $ | 10,981 | $ | 10,272 | |||||||||||||
Principal purchases | 2,626 | 2,631 | |||||||||||||||
Principal reductions | (4,291) | (1,922) | |||||||||||||||
Balance, end of year | $ | 9,316 | $ | 10,981 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||||||||||||||
Union Savings Bank | $ | 2,826 | 30 | % | Union Savings Bank | $ | 3,574 | 33 | % | |||||||||||||||||
Guardian Savings Bank FSB | 796 | 9 | Guardian Savings Bank FSB | 1,004 | 9 | |||||||||||||||||||||
All others | 5,694 | 61 | FirstBank | 714 | 7 | |||||||||||||||||||||
Total | $ | 9,316 | 100 | % | All others | 5,689 | 51 | |||||||||||||||||||
Total | $ | 10,981 | 100 | % |
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||||||||||
Liquidity investments | $ | 17,285 | $ | 20,548 | $ | 20,924 | $ | 22,525 | |||||||||||||||
MBS | 9,756 | 11,864 | 13,465 | 15,029 | |||||||||||||||||||
Other investments (1) | — | 459 | — | 232 | |||||||||||||||||||
Total investments | $ | 27,041 | $ | 32,871 | $ | 34,389 | $ | 37,786 |
(In millions) | MBS Principal | ||||||||||
2020 | 2019 | ||||||||||
Balance, beginning of year | $ | 13,447 | $ | 15,734 | |||||||
Principal purchases | 149 | 1,205 | |||||||||
Principal paydowns | (3,851) | (3,492) | |||||||||
Balance, end of year | $ | 9,745 | $ | 13,447 |
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||||||||||
Discount Notes: | |||||||||||||||||||||||
Unswapped | $ | 27,503 | $ | 39,478 | $ | 36,776 | $ | 39,286 | |||||||||||||||
Swapped | — | 3,843 | 12,401 | 5,291 | |||||||||||||||||||
Total par Discount Notes | 27,503 | 43,321 | 49,177 | 44,577 | |||||||||||||||||||
Other items (1) | (3) | (37) | (93) | (95) | |||||||||||||||||||
Total Discount Notes | 27,500 | 43,284 | 49,084 | 44,482 | |||||||||||||||||||
Bonds: | |||||||||||||||||||||||
Unswapped fixed-rate | 18,940 | 21,288 | 22,420 | 24,423 | |||||||||||||||||||
Unswapped adjustable-rate (2) | 10,639 | 13,394 | 11,012 | 16,132 | |||||||||||||||||||
Swapped fixed-rate | 2,372 | 3,547 | 4,949 | 5,310 | |||||||||||||||||||
Total par Bonds | 31,951 | 38,229 | 38,381 | 45,865 | |||||||||||||||||||
Other items (1) | 46 | 68 | 59 | 44 | |||||||||||||||||||
Total Bonds | 31,997 | 38,297 | 38,440 | 45,909 | |||||||||||||||||||
Total Consolidated Obligations (3) | $ | 59,497 | $ | 81,581 | $ | 87,524 | $ | 90,391 |
(In millions) | Year of Maturity | Year of Next Call | ||||||||||||||||||
Callable | Noncallable | Total | Callable | |||||||||||||||||
Due in 1 year or less | $ | — | $ | 5,797 | $ | 5,797 | $ | 4,292 | ||||||||||||
Due after 1 year through 2 years | 25 | 2,662 | 2,687 | 120 | ||||||||||||||||
Due after 2 years through 3 years | 936 | 2,363 | 3,299 | — | ||||||||||||||||
Due after 3 years through 4 years | 540 | 1,253 | 1,793 | — | ||||||||||||||||
Due after 4 years through 5 years | 1,182 | 728 | 1,910 | — | ||||||||||||||||
Thereafter | 1,729 | 1,725 | 3,454 | — | ||||||||||||||||
Total | $ | 4,412 | $ | 14,528 | $ | 18,940 | $ | 4,412 |
(Dollars in millions) | December 31, 2017 | Monthly Average 2017 | December 31, 2016 | ||||||||
Market risk-based capital | $ | 421 | $ | 330 | $ | 184 | |||||
Credit risk-based capital | 261 | 272 | 262 | ||||||||
Operational risk-based capital | 204 | 180 | 134 | ||||||||
Total risk-based capital requirement | 886 | 782 | 580 | ||||||||
Total permanent capital | 5,211 | 5,157 | 5,026 | ||||||||
Excess permanent capital | $ | 4,325 | $ | 4,375 | $ | 4,446 | |||||
Risk-based capital as a percent of permanent capital | 17 | % | 15 | % | 12 | % |
Year Ended December 31, | |||||||||||||||||||||||
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Period End | Average | Period End | Average | ||||||||||||||||||||
GAAP and Regulatory Capital | |||||||||||||||||||||||
GAAP Capital Stock | $ | 2,641 | $ | 3,567 | $ | 3,367 | $ | 3,827 | |||||||||||||||
Mandatorily Redeemable Capital Stock | 19 | 55 | 22 | 25 | |||||||||||||||||||
Regulatory Capital Stock | 2,660 | 3,622 | 3,389 | 3,852 | |||||||||||||||||||
Retained Earnings | 1,304 | 1,228 | 1,094 | 1,069 | |||||||||||||||||||
Regulatory Capital | $ | 3,964 | $ | 4,850 | $ | 4,483 | $ | 4,921 |
2020 | 2019 | ||||||||||||||||||||||
Period End | Average | Period End | Average | ||||||||||||||||||||
GAAP and Regulatory Capital-to-Assets Ratio | |||||||||||||||||||||||
GAAP | 6.02 | % | 5.39 | % | 4.75 | % | 5.04 | % | |||||||||||||||
Regulatory (1) | 6.07 | 5.47 | 4.79 | 5.08 |
December 31, 2017 | Monthly Average Year Ended December 31, 2017 | December 31, 2016 | ||||||
Market Value of Equity to Par Value of Regulatory Capital Stock - Base Case (Flat Rates) Scenario | 121 | % | 119 | % | 114 | % | ||
Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock (1) | 119 | 117 | 115 | |||||
Market Value of Equity to Par Value of Regulatory Capital Stock - Up Shock (2) | 118 | 115 | 108 |
(In millions) | 2020 | 2019 | |||||||||
Regulatory stock balance at beginning of year | $ | 3,389 | $ | 4,343 | |||||||
Stock purchases: | |||||||||||
Membership stock | 25 | 157 | |||||||||
Activity stock | 2,110 | 435 | |||||||||
Stock repurchases/redemptions: | |||||||||||
Redemption of member excess | (558) | — | |||||||||
Repurchase of member excess | (2,300) | (1,538) | |||||||||
Withdrawals | (6) | (8) | |||||||||
Regulatory stock balance at the end of the year | $ | 2,660 | $ | 3,389 |
(In millions) | December 31, 2020 | December 31, 2019 | |||||||||
Excess capital stock (Capital Plan definition) | $ | 228 | $ | 37 | |||||||
Cooperative utilization of capital stock | $ | 380 | $ | 781 | |||||||
Mission Asset Activity capitalized with cooperative capital stock | $ | 9,499 | $ | 19,536 |
December 31, | |||||||||||
2020 | 2019 | ||||||||||
Commercial Banks | 351 | 365 | |||||||||
Savings Institutions | 78 | 81 | |||||||||
Credit Unions | 140 | 136 | |||||||||
Insurance Companies | 53 | 52 | |||||||||
Community Development Financial Institutions | 6 | 6 | |||||||||
Total | 628 | 640 |
(In millions) | December 31, | ||||||||||
2020 | 2019 | ||||||||||
Commercial Banks | $ | 1,459 | $ | 2,296 | |||||||
Savings Institutions | 398 | 365 | |||||||||
Credit Unions | 179 | 175 | |||||||||
Insurance Companies | 604 | 530 | |||||||||
Community Development Financial Institutions | 1 | 1 | |||||||||
Total GAAP Capital Stock | 2,641 | 3,367 | |||||||||
Mandatorily Redeemable Capital Stock | 19 | 22 | |||||||||
Total Regulatory Capital Stock | $ | 2,660 | $ | 3,389 |
December 31, | |||||||||||
Member Asset Size (1) | 2020 | 2019 | |||||||||
Up to $100 million | 147 | 162 | |||||||||
> $100 up to $500 million | 297 | 307 | |||||||||
> $500 million up to $1 billion | 70 | 74 | |||||||||
> $1 billion | 114 | 97 | |||||||||
Total Member Stockholders | 628 | 640 |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||
Amount | ROE (1) | Amount | ROE (1) | Amount | ROE (1) | ||||||||||||||||||||||||||||||||||||||||||
Net interest income | $ | 406 | 8.51 | % | $ | 406 | 8.31 | % | $ | 499 | 9.24 | % | |||||||||||||||||||||||||||||||||||
Non-interest income (loss): | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investment securities | 257 | 5.39 | 210 | 4.30 | 7 | 0.13 | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (273) | (5.72) | (178) | (3.64) | (41) | (0.75) | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | (7) | (0.15) | (54) | (1.10) | (14) | (0.26) | |||||||||||||||||||||||||||||||||||||||||
Other non-interest income, net | 16 | 0.33 | 12 | 0.23 | 11 | 0.20 | |||||||||||||||||||||||||||||||||||||||||
Total non-interest income (loss) | (7) | (0.15) | (10) | (0.21) | (37) | (0.68) | |||||||||||||||||||||||||||||||||||||||||
Total income | 399 | 8.36 | 396 | 8.10 | 462 | 8.56 | |||||||||||||||||||||||||||||||||||||||||
Non-interest expense | 92 | 1.93 | 89 | 1.82 | 85 | 1.57 | |||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program assessments | 31 | 0.65 | 31 | 0.63 | 38 | 0.70 | |||||||||||||||||||||||||||||||||||||||||
Net income | $ | 276 | 5.78 | % | $ | 276 | 5.65 | % | $ | 339 | 6.29 | % |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||
Amount | % of Earning Assets | Amount | % of Earning Assets | Amount | % of Earning Assets | ||||||||||||||||||||||||||||||||||||||||||
Components of net interest rate spread: | |||||||||||||||||||||||||||||||||||||||||||||||
Net (amortization)/accretion (1) (2) | $ | (115) | (0.13) | % | $ | (37) | (0.04) | % | $ | (17) | (0.02) | % | |||||||||||||||||||||||||||||||||||
Prepayment fees on Advances, net (2) | 34 | 0.04 | 8 | 0.01 | 1 | — | |||||||||||||||||||||||||||||||||||||||||
Other components of net interest rate spread | 441 | 0.50 | 317 | 0.33 | 407 | 0.39 | |||||||||||||||||||||||||||||||||||||||||
Total net interest rate spread | 360 | 0.41 | 288 | 0.30 | 391 | 0.37 | |||||||||||||||||||||||||||||||||||||||||
Earnings from funding assets with interest-free capital | 46 | 0.05 | 118 | 0.12 | 108 | 0.10 | |||||||||||||||||||||||||||||||||||||||||
Total net interest income/net interest margin (3) | $ | 406 | 0.46 | % | $ | 406 | 0.42 | % | $ | 499 | 0.47 | % |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | |||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | $ | 43,323 | $ | 469 | 1.08 | % | $ | 47,968 | $ | 1,204 | 2.51 | % | $ | 65,491 | $ | 1,409 | 2.15 | % | |||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (2) | 11,264 | 276 | 2.45 | 10,739 | 340 | 3.17 | 9,967 | 321 | 3.22 | ||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | 7,784 | 43 | 0.55 | 13,142 | 293 | 2.23 | 12,122 | 228 | 1.88 | ||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 1,390 | 8 | 0.55 | 1,701 | 38 | 2.25 | 1,843 | 41 | 2.22 | ||||||||||||||||||||||||||||||||||||||||||||
MBS (4) | 11,864 | 186 | 1.57 | 15,029 | 386 | 2.57 | 15,741 | 380 | 2.41 | ||||||||||||||||||||||||||||||||||||||||||||
Other investments (4) | 11,832 | 265 | 2.24 | 7,914 | 184 | 2.33 | 88 | 2 | 2.69 | ||||||||||||||||||||||||||||||||||||||||||||
Loans to other FHLBanks | 5 | — | 1.22 | 3 | — | 2.43 | 1 | — | 1.46 | ||||||||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | 87,462 | 1,247 | 1.43 | 96,496 | 2,445 | 2.54 | 105,253 | 2,381 | 2.26 | ||||||||||||||||||||||||||||||||||||||||||||
Less: allowance for credit losses on mortgage loans | — | 1 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 1,248 | 442 | 288 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $ | 88,710 | $ | 96,937 | $ | 105,540 | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Term deposits | $ | 78 | — | 0.67 | $ | 49 | 1 | 2.41 | $ | 77 | 1 | 1.78 | |||||||||||||||||||||||||||||||||||||||||
Other interest-bearing deposits (5) | 1,208 | 3 | 0.25 | 768 | 15 | 1.91 | 747 | 13 | 1.69 | ||||||||||||||||||||||||||||||||||||||||||||
Discount Notes | 43,284 | 295 | 0.68 | 44,482 | 989 | 2.22 | 49,185 | 915 | 1.86 | ||||||||||||||||||||||||||||||||||||||||||||
Unswapped fixed-rate Bonds | 21,319 | 432 | 2.03 | 24,467 | 558 | 2.28 | 26,618 | 554 | 2.08 | ||||||||||||||||||||||||||||||||||||||||||||
Unswapped adjustable-rate Bonds | 13,394 | 53 | 0.40 | 16,131 | 371 | 2.30 | 16,967 | 317 | 1.87 | ||||||||||||||||||||||||||||||||||||||||||||
Swapped Bonds | 3,584 | 57 | 1.58 | 5,311 | 104 | 1.96 | 5,917 | 80 | 1.36 | ||||||||||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 55 | 1 | 1.93 | 25 | 1 | 4.50 | 30 | 2 | 6.00 | ||||||||||||||||||||||||||||||||||||||||||||
Other borrowings | 1 | — | — | — | — | 2.14 | — | — | 1.81 | ||||||||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 82,923 | 841 | 1.02 | 91,233 | 2,039 | 2.24 | 99,541 | 1,882 | 1.89 | ||||||||||||||||||||||||||||||||||||||||||||
Non-interest bearing deposits | 2 | 9 | 4 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 1,006 | 811 | 599 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total capital | 4,779 | 4,884 | 5,396 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 88,710 | $ | 96,937 | $ | 105,540 | |||||||||||||||||||||||||||||||||||||||||||||||
Net interest rate spread | 0.41 | % | 0.30 | % | 0.37 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Net interest income and net interest margin (6) | $ | 406 | 0.46 | % | $ | 406 | 0.42 | % | $ | 499 | 0.47 | % | |||||||||||||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 105.48 | % | 105.77 | % | 105.74 | % |
(In millions) | 2020 over 2019 | 2019 over 2018 | |||||||||||||||||||||||||||||||||
Volume (1)(3) | Rate (2)(3) | Total | Volume (1)(3) | Rate (2)(3) | Total | ||||||||||||||||||||||||||||||
Increase (decrease) in interest income | |||||||||||||||||||||||||||||||||||
Advances | $ | (107) | $ | (628) | $ | (735) | $ | (416) | $ | 211 | $ | (205) | |||||||||||||||||||||||
Mortgage loans held for portfolio | 16 | (80) | (64) | 25 | (6) | 19 | |||||||||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | (88) | (162) | (250) | 20 | 45 | 65 | |||||||||||||||||||||||||||||
Interest-bearing deposits in banks | (6) | (24) | (30) | (3) | — | (3) | |||||||||||||||||||||||||||||
MBS | (70) | (130) | (200) | (18) | 24 | 6 | |||||||||||||||||||||||||||||
Other investments | 88 | (7) | 81 | 182 | — | 182 | |||||||||||||||||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | (167) | (1,031) | (1,198) | (210) | 274 | 64 | |||||||||||||||||||||||||||||
Increase (decrease) in interest expense | |||||||||||||||||||||||||||||||||||
Term deposits | — | (1) | (1) | (1) | 1 | — | |||||||||||||||||||||||||||||
Other interest-bearing deposits | 5 | (17) | (12) | — | 2 | 2 | |||||||||||||||||||||||||||||
Discount Notes | (26) | (668) | (694) | (93) | 167 | 74 | |||||||||||||||||||||||||||||
Unswapped fixed-rate Bonds | (67) | (59) | (126) | (47) | 51 | 4 | |||||||||||||||||||||||||||||
Unswapped adjustable-rate Bonds | (54) | (264) | (318) | (16) | 70 | 54 | |||||||||||||||||||||||||||||
Swapped Bonds | (29) | (18) | (47) | (9) | 33 | 24 | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 1 | (1) | — | — | (1) | (1) | |||||||||||||||||||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | (170) | (1,028) | (1,198) | (166) | 323 | 157 | |||||||||||||||||||||||||||||
Increase (decrease) in net interest income | $ | 3 | $ | (3) | $ | — | $ | (44) | $ | (49) | $ | (93) |
(In millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||
Advances: | |||||||||||||||||||||||
Amortization of hedging activities in net interest income | $ | (1) | $ | (1) | $ | (1) | |||||||||||||||||
Gains (losses) on designated fair value hedges | (16) | (6) | N/A | ||||||||||||||||||||
Net interest settlements included in net interest income | (91) | 36 | 24 | ||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||
Net interest settlements included in net interest income | (2) | — | — | ||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
Amortization of derivative fair value adjustments in net interest income | (12) | (3) | (1) | ||||||||||||||||||||
Consolidated Obligation Bonds: | |||||||||||||||||||||||
Net interest settlements included in net interest income | 2 | 2 | (3) | ||||||||||||||||||||
Increase (decrease) to net interest income | $ | (120) | $ | 28 | $ | 19 |
2020 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Discount Notes | Balance Sheet (1) | Other | Total | |||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | $ | — | $ | (242) | $ | (10) | $ | 14 | $ | — | $ | 91 | $ | — | $ | (147) | |||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | (172) | — | 23 | 22 | — | — | (127) | |||||||||||||||||||||||||||||||||||||||
Price alignment amount | — | — | — | — | — | — | 1 | 1 | |||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | — | (414) | (10) | 37 | 22 | 91 | 1 | (273) | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 257 | — | — | — | — | — | 257 | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | 1 | — | — | (9) | 1 | — | — | (7) | |||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | 1 | $ | (157) | $ | (10) | $ | 28 | $ | 23 | $ | 91 | $ | 1 | $ | (23) |
2019 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Discount Notes | Balance Sheet (1) | Other | Total | |||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | $ | (2) | $ | (194) | $ | 4 | $ | 54 | $ | — | $ | (19) | $ | — | $ | (157) | |||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | 2 | — | — | (26) | — | — | — | (24) | |||||||||||||||||||||||||||||||||||||||
Price alignment amount | — | — | — | — | — | — | 3 | 3 | |||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | — | (194) | 4 | 28 | — | (19) | 3 | (178) | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 210 | — | — | — | — | — | 210 | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (53) | (1) | — | — | (54) | |||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | — | $ | 16 | $ | 4 | $ | (25) | $ | (1) | $ | (19) | $ | 3 | $ | (22) | |||||||||||||||||||||||||||||||
2018 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Balance Sheet (1) | Total | |||||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on fair value hedges | $ | 2 | $ | — | $ | — | $ | — | $ | — | $ | 2 | |||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 1 | (9) | (1) | 18 | (6) | 3 | |||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | — | — | (46) | — | (46) | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 3 | (9) | (1) | (28) | (6) | (41) | |||||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 7 | — | — | — | 7 | |||||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (14) | — | (14) | |||||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | 3 | $ | (2) | $ | (1) | $ | (42) | $ | (6) | $ | (48) |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||
Non-interest expense | |||||||||||||||||||||||
Compensation and benefits | $ | 50 | $ | 46 | $ | 46 | |||||||||||||||||
Other operating expense | 21 | 22 | 20 | ||||||||||||||||||||
Finance Agency | 7 | 7 | 7 | ||||||||||||||||||||
Office of Finance | 5 | 5 | 5 | ||||||||||||||||||||
Other | 9 | 9 | 7 | ||||||||||||||||||||
Total non-interest expense | $ | 92 | $ | 89 | $ | 85 | |||||||||||||||||
1st Quarter | 2nd Quarter | 3rd Quarter | 4th Quarter | Total | |||||||||||||
Components of 2020 ROE: | |||||||||||||||||
Net interest income: | |||||||||||||||||
Other net interest income | 8.69 | % | 11.74 | % | 9.68 | % | 10.33 | % | 10.19 | % | |||||||
Net amortization | (1.91) | (1.98) | (2.67) | (3.22) | (2.40) | ||||||||||||
Prepayment fees | 0.37 | 0.95 | 0.62 | 0.94 | 0.72 | ||||||||||||
Total net interest income | 7.15 | 10.71 | 7.63 | 8.05 | 8.51 | ||||||||||||
Net gains (losses) on derivatives and hedging activities | (25.60) | (2.43) | 1.61 | 3.45 | (5.72) | ||||||||||||
Other non-interest income (loss) | 28.27 | 1.36 | (2.23) | (4.95) | 5.57 | ||||||||||||
Total non-interest income (loss) | 2.67 | (1.07) | (0.62) | (1.50) | (0.15) | ||||||||||||
Total income | 9.82 | 9.64 | 7.01 | 6.55 | 8.36 | ||||||||||||
Total non-interest expense | 2.11 | 1.72 | 1.79 | 2.18 | 1.93 | ||||||||||||
Affordable Housing Program assessments | 0.77 | 0.80 | 0.52 | 0.44 | 0.65 | ||||||||||||
2020 ROE | 6.94 | % | 7.12 | % | 4.70 | % | 3.93 | % | 5.78 | % | |||||||
2019 ROE | 5.59 | % | 5.09 | % | 5.36 | % | 6.64 | % | 5.65 | % | |||||||
2018 ROE | 6.23 | % | 6.15 | % | 6.87 | % | 5.90 | % | 6.29 | % |
(Dollars in millions) | Traditional Member Finance | MPP | Total | ||||||||||||||
2020 | |||||||||||||||||
Net interest income | $ | 385 | $ | 21 | $ | 406 | |||||||||||
Net income | $ | 221 | $ | 55 | $ | 276 | |||||||||||
Average assets | $ | 77,090 | $ | 11,620 | $ | 88,710 | |||||||||||
Assumed average capital allocation | $ | 4,149 | $ | 630 | $ | 4,779 | |||||||||||
Return on average assets (1) | 0.29 | % | 0.48 | % | 0.31 | % | |||||||||||
Return on average equity (1) | 5.33 | % | 8.76 | % | 5.78 | % | |||||||||||
2019 | |||||||||||||||||
Net interest income | $ | 309 | $ | 97 | $ | 406 | |||||||||||
Net income | $ | 206 | $ | 70 | $ | 276 | |||||||||||
Average assets | $ | 83,867 | $ | 13,070 | $ | 96,937 | |||||||||||
Assumed average capital allocation | $ | 4,226 | $ | 658 | $ | 4,884 | |||||||||||
Return on average assets (1) | 0.25 | % | 0.54 | % | 0.28 | % | |||||||||||
Return on average equity (1) | 4.87 | % | 10.71 | % | 5.65 | % | |||||||||||
2018 | |||||||||||||||||
Net interest income | $ | 390 | $ | 109 | $ | 499 | |||||||||||
Net income | $ | 255 | $ | 84 | $ | 339 | |||||||||||
Average assets | $ | 93,531 | $ | 12,009 | $ | 105,540 | |||||||||||
Assumed average capital allocation | $ | 4,781 | $ | 615 | $ | 5,396 | |||||||||||
Return on average assets (1) | 0.27 | % | 0.70 | % | 0.32 | % | |||||||||||
Return on average equity (1) | 5.34 | % | 13.65 | % | 6.29 | % | |||||||||||
December 31, 2017 | Monthly Average Year Ended December 31, 2017 | December 31, 2016 | ||||||
Market Value of Equity to Book Value of Capital - Base Case (Flat Rates) Scenario (1) | 99 | % | 98 | % | 95 | % | ||
Market Value of Equity to Book Value of Capital - Down Shock (1)(2) | 98 | 97 | 96 | |||||
Market Value of Equity to Book Value of Capital - Up Shock (1)(3) | 97 | 95 | 91 |
(Dollars in millions) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | ||||||||||||||||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||||||||||||||||
2020 Full Year | |||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,541 | $ | 4,541 | $ | 4,547 | $ | 4,624 | $ | 4,723 | $ | 4,608 | $ | 4,466 | |||||||||||||||||||||||||||
% Change from Flat Case | (1.8) | % | (1.8) | % | (1.7) | % | — | 2.1 | % | (0.3) | % | (3.4) | % | ||||||||||||||||||||||||||||
2019 Full Year | |||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,545 | $ | 4,580 | $ | 4,652 | $ | 4,729 | $ | 4,674 | $ | 4,586 | $ | 4,528 | |||||||||||||||||||||||||||
% Change from Flat Case | (3.9) | % | (3.1) | % | (1.6) | % | — | (1.1) | % | (3.0) | % | (4.3) | % | ||||||||||||||||||||||||||||
Month-End Results | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 3,765 | $ | 3,765 | $ | 3,791 | $ | 3,835 | $ | 3,893 | $ | 3,777 | $ | 3,676 | |||||||||||||||||||||||||||
% Change from Flat Case | (1.8) | % | (1.8) | % | (1.1) | % | — | 1.5 | % | (1.5) | % | (4.2) | % | ||||||||||||||||||||||||||||
December 31, 2019 | |||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,257 | $ | 4,262 | $ | 4,236 | $ | 4,372 | $ | 4,313 | $ | 4,213 | $ | 4,144 | |||||||||||||||||||||||||||
% Change from Flat Case | (2.6) | % | (2.5) | % | (3.1) | % | — | (1.3) | % | (3.6) | % | (5.2) | % |
(In years) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | ||||||||||||||||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||||||||||||||||
2020 Full Year | — | — | (0.9) | (2.6) | 1.0 | 3.4 | 2.0 | ||||||||||||||||||||||||||||||||||
2019 Full Year | (0.8) | (1.4) | (1.7) | (0.8) | 1.7 | 1.4 | 1.1 | ||||||||||||||||||||||||||||||||||
Month-End Results | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | — | (0.1) | (1.4) | (2.3) | 1.8 | 3.2 | 1.2 | ||||||||||||||||||||||||||||||||||
December 31, 2019 | (0.1) | 0.6 | (2.1) | (1.2) | 2.0 | 1.7 | 1.4 |
Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||||||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||||||||||||||||
2020 Full Year | (15.9) | % | (15.9) | % | (14.6) | % | — | 11.9 | % | 2.4 | % | (10.3) | % | ||||||||||||||||||||||||||||
2019 Full Year | (28.6) | % | (24.1) | % | (10.4) | % | — | (2.4) | % | (8.3) | % | (11.7) | % | ||||||||||||||||||||||||||||
Month-End Results | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | (15.3) | % | (15.3) | % | (11.3) | % | — | 10.6 | % | 3.9 | % | (1.7) | % | ||||||||||||||||||||||||||||
December 31, 2019 | (17.7) | % | (17.2) | % | (12.5) | % | — | (5.6) | % | (14.6) | % | (20.5) | % |
(In millions) | December 31, 2020 | December 31, 2019 | ||||||||||||||||||
Hedged Item/Hedging Instrument | Hedging Objective | Fair Value Hedge | Economic Hedge | Fair Value Hedge | Economic Hedge | |||||||||||||||
Advances: | ||||||||||||||||||||
Pay-fixed, receive-float interest rate swap (without options) | Converts the Advance's fixed rate to a variable-rate index. | $ | 7,409 | $ | 5 | $ | 7,449 | $ | 5 | |||||||||||
Pay-fixed, receive-float interest rate swap (with options) | Converts the Advance's fixed rate to a variable-rate index and offsets option risk in the Advance. | 2,664 | 27 | 1,327 | 155 | |||||||||||||||
Pay-float with embedded features, receive-float interest rate swap (callable) | Reduces interest-rate sensitivity and repricing gaps by offsetting embedded option risk in the Advance. | — | — | 200 | — | |||||||||||||||
Total Advances | 10,073 | 32 | 8,976 | 160 | ||||||||||||||||
Investment securities: | ||||||||||||||||||||
Pay-fixed, receive-float interest rate swap (without options) | Converts the investment security's fixed rate to a variable-rate index. | 274 | 9,817 | 124 | 11,202 | |||||||||||||||
Mortgage Loans: | ||||||||||||||||||||
Forward settlement agreement | Protects against changes in market value of fixed-rate Mandatory Delivery Contracts resulting from changes in interest rates. | — | — | — | 849 | |||||||||||||||
Consolidated Obligations Bonds: | ||||||||||||||||||||
Receive-fixed, pay-float interest rate swap (without options) | Converts the Bond's fixed rate to a variable-rate index. | 131 | 2,241 | — | 4,709 | |||||||||||||||
Receive-fixed, pay-float interest rate swap (with options) | Converts the Bond's fixed rate to a variable-rate index and offsets option risk in the Bond. | — | — | 210 | 30 | |||||||||||||||
Total Consolidated Obligations Bonds | 131 | 2,241 | 210 | 4,739 | ||||||||||||||||
Consolidated Discount Notes: | ||||||||||||||||||||
Receive-fixed, pay-float interest rate swap (without options) | Converts the Discount Note's fixed rate to a variable-rate index. | — | — | — | 12,401 | |||||||||||||||
Balance Sheet: | ||||||||||||||||||||
Pay-float, receive-fixed interest-rate swap | Interest-rate swap not linked to a specific asset, liability or forecasted transaction. | — | 589 | — | — | |||||||||||||||
Pay-fixed, receive-float interest-rate swap | Interest-rate swap not linked to a specific asset, liability or forecasted transaction. | — | 589 | — | — | |||||||||||||||
Interest rate swaptions | Provides the option to enter into an interest rate swap to offset interest-rate or prepayment risk. | — | 2,175 | — | 6,000 | |||||||||||||||
Total Balance Sheet | — | 3,353 | — | 6,000 | ||||||||||||||||
Stand-Alone Derivatives: | ||||||||||||||||||||
Mandatory Delivery Contracts | Exposure to fair-value risk associated with fixed rate mortgage purchase commitments. | — | 137 | — | 936 | |||||||||||||||
Total | $ | 10,478 | $ | 15,580 | $ | 9,310 | $ | 36,287 |
(In millions) | December 31, 2020 | December 31, 2019 | |||||||||
Unrestricted retained earnings | $ | 803 | $ | 648 | |||||||
Restricted retained earnings (1) | 501 | 446 | |||||||||
Total retained earnings | $ | 1,304 | $ | 1,094 |
(In millions) | Maturing on or before June 30, 2023 | Maturing after June 30, 2023 | |||||||||
LIBOR-Indexed Variable Rate Financial Instruments | |||||||||||
Advances by redemption term | $ | 2,599 | $ | 3,012 | |||||||
MBS by contractual maturity (1) | — | 5,929 | |||||||||
Total principal amount | $ | 2,599 | $ | 8,941 | |||||||
Derivatives, notional amount by termination date | $ | 9,339 | $ | 4,680 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||
Adjustable/Variable Rate-Indexed: | |||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 10,430 | 22 | % | |||||||||||||||
SOFR | 118 | 1 | 500 | 1 | |||||||||||||||||||
Other | 82 | — | 221 | 1 | |||||||||||||||||||
Total | 5,811 | 23 | 11,151 | 24 | |||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 19,386 | 41 | |||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 11,476 | 24 | |||||||||||||||||||
Putable (2) | 2,657 | 11 | 1,444 | 3 | |||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,358 | 5 | |||||||||||||||||||
Other | 1,151 | 5 | 1,449 | 3 | |||||||||||||||||||
Total | 19,196 | 77 | 36,113 | 76 | |||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 47,264 | 100 | % | |||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 16,205 |
(Dollars in millions) | December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||||||||||||||||||||||
Adjustable/Variable-Rate Indexed: | |||||||||||||||||||||||||||||||||||||||||||||||
LIBOR | $ | 5,611 | 22 | % | $ | 5,846 | 22 | % | $ | 21,071 | 44 | % | $ | 28,889 | 36 | % | |||||||||||||||||||||||||||||||
SOFR | 118 | 1 | 116 | — | 116 | — | 2,000 | 3 | |||||||||||||||||||||||||||||||||||||||
Other | 82 | — | 123 | 1 | 83 | — | 247 | — | |||||||||||||||||||||||||||||||||||||||
Total | 5,811 | 23 | 6,085 | 23 | 21,270 | 44 | 31,136 | 39 | |||||||||||||||||||||||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||||||||||||||||||||||||||
Repurchase based (REPO) | 3,780 | 15 | 3,896 | 15 | 8,978 | 18 | 28,058 | 35 | |||||||||||||||||||||||||||||||||||||||
Regular Fixed-Rate | 9,587 | 38 | 10,207 | 38 | 11,445 | 24 | 14,452 | 18 | |||||||||||||||||||||||||||||||||||||||
Putable (2) | 2,657 | 11 | 3,107 | 12 | 3,164 | 6 | 3,164 | 4 | |||||||||||||||||||||||||||||||||||||||
Amortizing/Mortgage Matched | 2,021 | 8 | 2,195 | 8 | 2,309 | 5 | 2,439 | 3 | |||||||||||||||||||||||||||||||||||||||
Other | 1,151 | 5 | 1,158 | 4 | 1,241 | 3 | 680 | 1 | |||||||||||||||||||||||||||||||||||||||
Total | 19,196 | 77 | 20,563 | 77 | 27,137 | 56 | 48,793 | 61 | |||||||||||||||||||||||||||||||||||||||
Total Advances Principal | $ | 25,007 | 100 | % | $ | 26,648 | 100 | % | $ | 48,407 | 100 | % | $ | 79,929 | 100 | % | |||||||||||||||||||||||||||||||
Letters of Credit (notional) | $ | 28,812 | $ | 23,011 | $ | 22,381 | $ | 15,785 |
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Average Advances-to-assets for members | ||||||||||||||||||||||||||||||||
Assets less than $1.0 billion (514 members) | 1.99 | % | 2.55 | % | ||||||||||||||||||||||||||||
Assets over $1.0 billion (114 members) | 2.11 | 3.31 | ||||||||||||||||||||||||||||||
All members | 2.01 | 2.67 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||
Principal Amount of Advances | Percent of Total Principal Amount of Advances | Principal Amount of Advances | Percent of Total Principal Amount of Advances | ||||||||||||||||||||
Commercial Banks | $ | 9,530 | 38 | % | $ | 31,590 | 67 | % | |||||||||||||||
Savings Institutions | 4,922 | 20 | 5,689 | 12 | |||||||||||||||||||
Credit Unions | 1,344 | 5 | 1,307 | 3 | |||||||||||||||||||
Insurance Companies | 9,201 | 37 | 8,629 | 18 | |||||||||||||||||||
Community Development Financial Institutions | — | — | 1 | — | |||||||||||||||||||
Total member Advances | 24,997 | 100 | 47,216 | 100 | |||||||||||||||||||
Former member borrowings | 10 | — | 48 | — | |||||||||||||||||||
Total principal amount of Advances | $ | 25,007 | 100 | % | $ | 47,264 | 100 | % |
(Dollars in millions) | ||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Name | Principal Amount of Advances | Percent of Total Principal Amount of Advances | Name | Principal Amount of Advances | Percent of Total Principal Amount of Advances | |||||||||||||||||||||||||||
U.S. Bank, N.A. | $ | 4,273 | 17 | % | U.S. Bank, N.A. | $ | 13,874 | 29 | % | |||||||||||||||||||||||
Third Federal Savings and Loan Association | 3,443 | 14 | JPMorgan Chase Bank, N.A. | 4,500 | 10 | |||||||||||||||||||||||||||
Nationwide Life Insurance Company | 2,062 | 8 | Third Federal Savings and Loan Association | 3,883 | 8 | |||||||||||||||||||||||||||
Protective Life Insurance Company | 1,955 | 8 | First Horizon Bank | 2,200 | 5 | |||||||||||||||||||||||||||
Western-Southern Life Assurance Co. | 1,344 | 5 | Pinnacle Bank | 2,063 | 4 | |||||||||||||||||||||||||||
Total of Top 5 | $ | 13,077 | 52 | % | Total of Top 5 | $ | 26,520 | 56 | % |
(In millions) | 2020 | 2019 | |||||||||||||||
Balance, beginning of year | $ | 10,981 | $ | 10,272 | |||||||||||||
Principal purchases | 2,626 | 2,631 | |||||||||||||||
Principal reductions | (4,291) | (1,922) | |||||||||||||||
Balance, end of year | $ | 9,316 | $ | 10,981 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||||||||||||||
Union Savings Bank | $ | 2,826 | 30 | % | Union Savings Bank | $ | 3,574 | 33 | % | |||||||||||||||||
Guardian Savings Bank FSB | 796 | 9 | Guardian Savings Bank FSB | 1,004 | 9 | |||||||||||||||||||||
All others | 5,694 | 61 | FirstBank | 714 | 7 | |||||||||||||||||||||
Total | $ | 9,316 | 100 | % | All others | 5,689 | 51 | |||||||||||||||||||
Total | $ | 10,981 | 100 | % |
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||||||||||
Liquidity investments | $ | 17,285 | $ | 20,548 | $ | 20,924 | $ | 22,525 | |||||||||||||||
MBS | 9,756 | 11,864 | 13,465 | 15,029 | |||||||||||||||||||
Other investments (1) | — | 459 | — | 232 | |||||||||||||||||||
Total investments | $ | 27,041 | $ | 32,871 | $ | 34,389 | $ | 37,786 |
(In millions) | MBS Principal | ||||||||||
2020 | 2019 | ||||||||||
Balance, beginning of year | $ | 13,447 | $ | 15,734 | |||||||
Principal purchases | 149 | 1,205 | |||||||||
Principal paydowns | (3,851) | (3,492) | |||||||||
Balance, end of year | $ | 9,745 | $ | 13,447 |
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||||||||||
Discount Notes: | |||||||||||||||||||||||
Unswapped | $ | 27,503 | $ | 39,478 | $ | 36,776 | $ | 39,286 | |||||||||||||||
Swapped | — | 3,843 | 12,401 | 5,291 | |||||||||||||||||||
Total par Discount Notes | 27,503 | 43,321 | 49,177 | 44,577 | |||||||||||||||||||
Other items (1) | (3) | (37) | (93) | (95) | |||||||||||||||||||
Total Discount Notes | 27,500 | 43,284 | 49,084 | 44,482 | |||||||||||||||||||
Bonds: | |||||||||||||||||||||||
Unswapped fixed-rate | 18,940 | 21,288 | 22,420 | 24,423 | |||||||||||||||||||
Unswapped adjustable-rate (2) | 10,639 | 13,394 | 11,012 | 16,132 | |||||||||||||||||||
Swapped fixed-rate | 2,372 | 3,547 | 4,949 | 5,310 | |||||||||||||||||||
Total par Bonds | 31,951 | 38,229 | 38,381 | 45,865 | |||||||||||||||||||
Other items (1) | 46 | 68 | 59 | 44 | |||||||||||||||||||
Total Bonds | 31,997 | 38,297 | 38,440 | 45,909 | |||||||||||||||||||
Total Consolidated Obligations (3) | $ | 59,497 | $ | 81,581 | $ | 87,524 | $ | 90,391 |
(In millions) | Year of Maturity | Year of Next Call | ||||||||||||||||||
Callable | Noncallable | Total | Callable | |||||||||||||||||
Due in 1 year or less | $ | — | $ | 5,797 | $ | 5,797 | $ | 4,292 | ||||||||||||
Due after 1 year through 2 years | 25 | 2,662 | 2,687 | 120 | ||||||||||||||||
Due after 2 years through 3 years | 936 | 2,363 | 3,299 | — | ||||||||||||||||
Due after 3 years through 4 years | 540 | 1,253 | 1,793 | — | ||||||||||||||||
Due after 4 years through 5 years | 1,182 | 728 | 1,910 | — | ||||||||||||||||
Thereafter | 1,729 | 1,725 | 3,454 | — | ||||||||||||||||
Total | $ | 4,412 | $ | 14,528 | $ | 18,940 | $ | 4,412 |
Year Ended December 31, | |||||||||||||||||||||||
(In millions) | 2020 | 2019 | |||||||||||||||||||||
Period End | Average | Period End | Average | ||||||||||||||||||||
GAAP and Regulatory Capital | |||||||||||||||||||||||
GAAP Capital Stock | $ | 2,641 | $ | 3,567 | $ | 3,367 | $ | 3,827 | |||||||||||||||
Mandatorily Redeemable Capital Stock | 19 | 55 | 22 | 25 | |||||||||||||||||||
Regulatory Capital Stock | 2,660 | 3,622 | 3,389 | 3,852 | |||||||||||||||||||
Retained Earnings | 1,304 | 1,228 | 1,094 | 1,069 | |||||||||||||||||||
Regulatory Capital | $ | 3,964 | $ | 4,850 | $ | 4,483 | $ | 4,921 |
2020 | 2019 | ||||||||||||||||||||||
Period End | Average | Period End | Average | ||||||||||||||||||||
GAAP and Regulatory Capital-to-Assets Ratio | |||||||||||||||||||||||
GAAP | 6.02 | % | 5.39 | % | 4.75 | % | 5.04 | % | |||||||||||||||
Regulatory (1) | 6.07 | 5.47 | 4.79 | 5.08 |
(In millions) | 2020 | 2019 | |||||||||
Regulatory stock balance at beginning of year | $ | 3,389 | $ | 4,343 | |||||||
Stock purchases: | |||||||||||
Membership stock | 25 | 157 | |||||||||
Activity stock | 2,110 | 435 | |||||||||
Stock repurchases/redemptions: | |||||||||||
Redemption of member excess | (558) | — | |||||||||
Repurchase of member excess | (2,300) | (1,538) | |||||||||
Withdrawals | (6) | (8) | |||||||||
Regulatory stock balance at the end of the year | $ | 2,660 | $ | 3,389 |
(In millions) | December 31, 2020 | December 31, 2019 | |||||||||
Excess capital stock (Capital Plan definition) | $ | 228 | $ | 37 | |||||||
Cooperative utilization of capital stock | $ | 380 | $ | 781 | |||||||
Mission Asset Activity capitalized with cooperative capital stock | $ | 9,499 | $ | 19,536 |
December 31, | |||||||||||
2020 | 2019 | ||||||||||
Commercial Banks | 351 | 365 | |||||||||
Savings Institutions | 78 | 81 | |||||||||
Credit Unions | 140 | 136 | |||||||||
Insurance Companies | 53 | 52 | |||||||||
Community Development Financial Institutions | 6 | 6 | |||||||||
Total | 628 | 640 |
(In millions) | December 31, | ||||||||||
2020 | 2019 | ||||||||||
Commercial Banks | $ | 1,459 | $ | 2,296 | |||||||
Savings Institutions | 398 | 365 | |||||||||
Credit Unions | 179 | 175 | |||||||||
Insurance Companies | 604 | 530 | |||||||||
Community Development Financial Institutions | 1 | 1 | |||||||||
Total GAAP Capital Stock | 2,641 | 3,367 | |||||||||
Mandatorily Redeemable Capital Stock | 19 | 22 | |||||||||
Total Regulatory Capital Stock | $ | 2,660 | $ | 3,389 |
December 31, | |||||||||||
Member Asset Size (1) | 2020 | 2019 | |||||||||
Up to $100 million | 147 | 162 | |||||||||
> $100 up to $500 million | 297 | 307 | |||||||||
> $500 million up to $1 billion | 70 | 74 | |||||||||
> $1 billion | 114 | 97 | |||||||||
Total Member Stockholders | 628 | 640 |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||
Amount | ROE (1) | Amount | ROE (1) | Amount | ROE (1) | ||||||||||||||||||||||||||||||||||||||||||
Net interest income | $ | 406 | 8.51 | % | $ | 406 | 8.31 | % | $ | 499 | 9.24 | % | |||||||||||||||||||||||||||||||||||
Non-interest income (loss): | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on investment securities | 257 | 5.39 | 210 | 4.30 | 7 | 0.13 | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (273) | (5.72) | (178) | (3.64) | (41) | (0.75) | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | (7) | (0.15) | (54) | (1.10) | (14) | (0.26) | |||||||||||||||||||||||||||||||||||||||||
Other non-interest income, net | 16 | 0.33 | 12 | 0.23 | 11 | 0.20 | |||||||||||||||||||||||||||||||||||||||||
Total non-interest income (loss) | (7) | (0.15) | (10) | (0.21) | (37) | (0.68) | |||||||||||||||||||||||||||||||||||||||||
Total income | 399 | 8.36 | 396 | 8.10 | 462 | 8.56 | |||||||||||||||||||||||||||||||||||||||||
Non-interest expense | 92 | 1.93 | 89 | 1.82 | 85 | 1.57 | |||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program assessments | 31 | 0.65 | 31 | 0.63 | 38 | 0.70 | |||||||||||||||||||||||||||||||||||||||||
Net income | $ | 276 | 5.78 | % | $ | 276 | 5.65 | % | $ | 339 | 6.29 | % |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||
Amount | % of Earning Assets | Amount | % of Earning Assets | Amount | % of Earning Assets | ||||||||||||||||||||||||||||||||||||||||||
Components of net interest rate spread: | |||||||||||||||||||||||||||||||||||||||||||||||
Net (amortization)/accretion (1) (2) | $ | (115) | (0.13) | % | $ | (37) | (0.04) | % | $ | (17) | (0.02) | % | |||||||||||||||||||||||||||||||||||
Prepayment fees on Advances, net (2) | 34 | 0.04 | 8 | 0.01 | 1 | — | |||||||||||||||||||||||||||||||||||||||||
Other components of net interest rate spread | 441 | 0.50 | 317 | 0.33 | 407 | 0.39 | |||||||||||||||||||||||||||||||||||||||||
Total net interest rate spread | 360 | 0.41 | 288 | 0.30 | 391 | 0.37 | |||||||||||||||||||||||||||||||||||||||||
Earnings from funding assets with interest-free capital | 46 | 0.05 | 118 | 0.12 | 108 | 0.10 | |||||||||||||||||||||||||||||||||||||||||
Total net interest income/net interest margin (3) | $ | 406 | 0.46 | % | $ | 406 | 0.42 | % | $ | 499 | 0.47 | % |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | |||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | $ | 43,323 | $ | 469 | 1.08 | % | $ | 47,968 | $ | 1,204 | 2.51 | % | $ | 65,491 | $ | 1,409 | 2.15 | % | |||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (2) | 11,264 | 276 | 2.45 | 10,739 | 340 | 3.17 | 9,967 | 321 | 3.22 | ||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | 7,784 | 43 | 0.55 | 13,142 | 293 | 2.23 | 12,122 | 228 | 1.88 | ||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 1,390 | 8 | 0.55 | 1,701 | 38 | 2.25 | 1,843 | 41 | 2.22 | ||||||||||||||||||||||||||||||||||||||||||||
MBS (4) | 11,864 | 186 | 1.57 | 15,029 | 386 | 2.57 | 15,741 | 380 | 2.41 | ||||||||||||||||||||||||||||||||||||||||||||
Other investments (4) | 11,832 | 265 | 2.24 | 7,914 | 184 | 2.33 | 88 | 2 | 2.69 | ||||||||||||||||||||||||||||||||||||||||||||
Loans to other FHLBanks | 5 | — | 1.22 | 3 | — | 2.43 | 1 | — | 1.46 | ||||||||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | 87,462 | 1,247 | 1.43 | 96,496 | 2,445 | 2.54 | 105,253 | 2,381 | 2.26 | ||||||||||||||||||||||||||||||||||||||||||||
Less: allowance for credit losses on mortgage loans | — | 1 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets | 1,248 | 442 | 288 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $ | 88,710 | $ | 96,937 | $ | 105,540 | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Term deposits | $ | 78 | — | 0.67 | $ | 49 | 1 | 2.41 | $ | 77 | 1 | 1.78 | |||||||||||||||||||||||||||||||||||||||||
Other interest-bearing deposits (5) | 1,208 | 3 | 0.25 | 768 | 15 | 1.91 | 747 | 13 | 1.69 | ||||||||||||||||||||||||||||||||||||||||||||
Discount Notes | 43,284 | 295 | 0.68 | 44,482 | 989 | 2.22 | 49,185 | 915 | 1.86 | ||||||||||||||||||||||||||||||||||||||||||||
Unswapped fixed-rate Bonds | 21,319 | 432 | 2.03 | 24,467 | 558 | 2.28 | 26,618 | 554 | 2.08 | ||||||||||||||||||||||||||||||||||||||||||||
Unswapped adjustable-rate Bonds | 13,394 | 53 | 0.40 | 16,131 | 371 | 2.30 | 16,967 | 317 | 1.87 | ||||||||||||||||||||||||||||||||||||||||||||
Swapped Bonds | 3,584 | 57 | 1.58 | 5,311 | 104 | 1.96 | 5,917 | 80 | 1.36 | ||||||||||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 55 | 1 | 1.93 | 25 | 1 | 4.50 | 30 | 2 | 6.00 | ||||||||||||||||||||||||||||||||||||||||||||
Other borrowings | 1 | — | — | — | — | 2.14 | — | — | 1.81 | ||||||||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 82,923 | 841 | 1.02 | 91,233 | 2,039 | 2.24 | 99,541 | 1,882 | 1.89 | ||||||||||||||||||||||||||||||||||||||||||||
Non-interest bearing deposits | 2 | 9 | 4 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 1,006 | 811 | 599 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total capital | 4,779 | 4,884 | 5,396 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 88,710 | $ | 96,937 | $ | 105,540 | |||||||||||||||||||||||||||||||||||||||||||||||
Net interest rate spread | 0.41 | % | 0.30 | % | 0.37 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Net interest income and net interest margin (6) | $ | 406 | 0.46 | % | $ | 406 | 0.42 | % | $ | 499 | 0.47 | % | |||||||||||||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 105.48 | % | 105.77 | % | 105.74 | % |
(In millions) | 2020 over 2019 | 2019 over 2018 | |||||||||||||||||||||||||||||||||
Volume (1)(3) | Rate (2)(3) | Total | Volume (1)(3) | Rate (2)(3) | Total | ||||||||||||||||||||||||||||||
Increase (decrease) in interest income | |||||||||||||||||||||||||||||||||||
Advances | $ | (107) | $ | (628) | $ | (735) | $ | (416) | $ | 211 | $ | (205) | |||||||||||||||||||||||
Mortgage loans held for portfolio | 16 | (80) | (64) | 25 | (6) | 19 | |||||||||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | (88) | (162) | (250) | 20 | 45 | 65 | |||||||||||||||||||||||||||||
Interest-bearing deposits in banks | (6) | (24) | (30) | (3) | — | (3) | |||||||||||||||||||||||||||||
MBS | (70) | (130) | (200) | (18) | 24 | 6 | |||||||||||||||||||||||||||||
Other investments | 88 | (7) | 81 | 182 | — | 182 | |||||||||||||||||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | (167) | (1,031) | (1,198) | (210) | 274 | 64 | |||||||||||||||||||||||||||||
Increase (decrease) in interest expense | |||||||||||||||||||||||||||||||||||
Term deposits | — | (1) | (1) | (1) | 1 | — | |||||||||||||||||||||||||||||
Other interest-bearing deposits | 5 | (17) | (12) | — | 2 | 2 | |||||||||||||||||||||||||||||
Discount Notes | (26) | (668) | (694) | (93) | 167 | 74 | |||||||||||||||||||||||||||||
Unswapped fixed-rate Bonds | (67) | (59) | (126) | (47) | 51 | 4 | |||||||||||||||||||||||||||||
Unswapped adjustable-rate Bonds | (54) | (264) | (318) | (16) | 70 | 54 | |||||||||||||||||||||||||||||
Swapped Bonds | (29) | (18) | (47) | (9) | 33 | 24 | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 1 | (1) | — | — | (1) | (1) | |||||||||||||||||||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | (170) | (1,028) | (1,198) | (166) | 323 | 157 | |||||||||||||||||||||||||||||
Increase (decrease) in net interest income | $ | 3 | $ | (3) | $ | — | $ | (44) | $ | (49) | $ | (93) |
(In millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||
Advances: | |||||||||||||||||||||||
Amortization of hedging activities in net interest income | $ | (1) | $ | (1) | $ | (1) | |||||||||||||||||
Gains (losses) on designated fair value hedges | (16) | (6) | N/A | ||||||||||||||||||||
Net interest settlements included in net interest income | (91) | 36 | 24 | ||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||
Net interest settlements included in net interest income | (2) | — | — | ||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
Amortization of derivative fair value adjustments in net interest income | (12) | (3) | (1) | ||||||||||||||||||||
Consolidated Obligation Bonds: | |||||||||||||||||||||||
Net interest settlements included in net interest income | 2 | 2 | (3) | ||||||||||||||||||||
Increase (decrease) to net interest income | $ | (120) | $ | 28 | $ | 19 |
2020 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Discount Notes | Balance Sheet (1) | Other | Total | |||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | $ | — | $ | (242) | $ | (10) | $ | 14 | $ | — | $ | 91 | $ | — | $ | (147) | |||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | (172) | — | 23 | 22 | — | — | (127) | |||||||||||||||||||||||||||||||||||||||
Price alignment amount | — | — | — | — | — | — | 1 | 1 | |||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | — | (414) | (10) | 37 | 22 | 91 | 1 | (273) | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 257 | — | — | — | — | — | 257 | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | 1 | — | — | (9) | 1 | — | — | (7) | |||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | 1 | $ | (157) | $ | (10) | $ | 28 | $ | 23 | $ | 91 | $ | 1 | $ | (23) |
2019 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Discount Notes | Balance Sheet (1) | Other | Total | |||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | $ | (2) | $ | (194) | $ | 4 | $ | 54 | $ | — | $ | (19) | $ | — | $ | (157) | |||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | 2 | — | — | (26) | — | — | — | (24) | |||||||||||||||||||||||||||||||||||||||
Price alignment amount | — | — | — | — | — | — | 3 | 3 | |||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | — | (194) | 4 | 28 | — | (19) | 3 | (178) | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 210 | — | — | — | — | — | 210 | |||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (53) | (1) | — | — | (54) | |||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | — | $ | 16 | $ | 4 | $ | (25) | $ | (1) | $ | (19) | $ | 3 | $ | (22) | |||||||||||||||||||||||||||||||
2018 | |||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Balance Sheet (1) | Total | |||||||||||||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on fair value hedges | $ | 2 | $ | — | $ | — | $ | — | $ | — | $ | 2 | |||||||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 1 | (9) | (1) | 18 | (6) | 3 | |||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | — | — | (46) | — | (46) | |||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 3 | (9) | (1) | (28) | (6) | (41) | |||||||||||||||||||||||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 7 | — | — | — | 7 | |||||||||||||||||||||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (14) | — | (14) | |||||||||||||||||||||||||||||||||||||||||
Total net effect on non-interest income | $ | 3 | $ | (2) | $ | (1) | $ | (42) | $ | (6) | $ | (48) |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||||||||
Non-interest expense | |||||||||||||||||||||||
Compensation and benefits | $ | 50 | $ | 46 | $ | 46 | |||||||||||||||||
Other operating expense | 21 | 22 | 20 | ||||||||||||||||||||
Finance Agency | 7 | 7 | 7 | ||||||||||||||||||||
Office of Finance | 5 | 5 | 5 | ||||||||||||||||||||
Other | 9 | 9 | 7 | ||||||||||||||||||||
Total non-interest expense | $ | 92 | $ | 89 | $ | 85 | |||||||||||||||||
1st Quarter | 2nd Quarter | 3rd Quarter | 4th Quarter | Total | |||||||||||||
Components of 2020 ROE: | |||||||||||||||||
Net interest income: | |||||||||||||||||
Other net interest income | 8.69 | % | 11.74 | % | 9.68 | % | 10.33 | % | 10.19 | % | |||||||
Net amortization | (1.91) | (1.98) | (2.67) | (3.22) | (2.40) | ||||||||||||
Prepayment fees | 0.37 | 0.95 | 0.62 | 0.94 | 0.72 | ||||||||||||
Total net interest income | 7.15 | 10.71 | 7.63 | 8.05 | 8.51 | ||||||||||||
Net gains (losses) on derivatives and hedging activities | (25.60) | (2.43) | 1.61 | 3.45 | (5.72) | ||||||||||||
Other non-interest income (loss) | 28.27 | 1.36 | (2.23) | (4.95) | 5.57 | ||||||||||||
Total non-interest income (loss) | 2.67 | (1.07) | (0.62) | (1.50) | (0.15) | ||||||||||||
Total income | 9.82 | 9.64 | 7.01 | 6.55 | 8.36 | ||||||||||||
Total non-interest expense | 2.11 | 1.72 | 1.79 | 2.18 | 1.93 | ||||||||||||
Affordable Housing Program assessments | 0.77 | 0.80 | 0.52 | 0.44 | 0.65 | ||||||||||||
2020 ROE | 6.94 | % | 7.12 | % | 4.70 | % | 3.93 | % | 5.78 | % | |||||||
2019 ROE | 5.59 | % | 5.09 | % | 5.36 | % | 6.64 | % | 5.65 | % | |||||||
2018 ROE | 6.23 | % | 6.15 | % | 6.87 | % | 5.90 | % | 6.29 | % |
(Dollars in millions) | Traditional Member Finance | MPP | Total | ||||||||||||||
2020 | |||||||||||||||||
Net interest income | $ | 385 | $ | 21 | $ | 406 | |||||||||||
Net income | $ | 221 | $ | 55 | $ | 276 | |||||||||||
Average assets | $ | 77,090 | $ | 11,620 | $ | 88,710 | |||||||||||
Assumed average capital allocation | $ | 4,149 | $ | 630 | $ | 4,779 | |||||||||||
Return on average assets (1) | 0.29 | % | 0.48 | % | 0.31 | % | |||||||||||
Return on average equity (1) | 5.33 | % | 8.76 | % | 5.78 | % | |||||||||||
2019 | |||||||||||||||||
Net interest income | $ | 309 | $ | 97 | $ | 406 | |||||||||||
Net income | $ | 206 | $ | 70 | $ | 276 | |||||||||||
Average assets | $ | 83,867 | $ | 13,070 | $ | 96,937 | |||||||||||
Assumed average capital allocation | $ | 4,226 | $ | 658 | $ | 4,884 | |||||||||||
Return on average assets (1) | 0.25 | % | 0.54 | % | 0.28 | % | |||||||||||
Return on average equity (1) | 4.87 | % | 10.71 | % | 5.65 | % | |||||||||||
2018 | |||||||||||||||||
Net interest income | $ | 390 | $ | 109 | $ | 499 | |||||||||||
Net income | $ | 255 | $ | 84 | $ | 339 | |||||||||||
Average assets | $ | 93,531 | $ | 12,009 | $ | 105,540 | |||||||||||
Assumed average capital allocation | $ | 4,781 | $ | 615 | $ | 5,396 | |||||||||||
Return on average assets (1) | 0.27 | % | 0.70 | % | 0.32 | % | |||||||||||
Return on average equity (1) | 5.34 | % | 13.65 | % | 6.29 | % | |||||||||||
(Dollars in millions) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | ||||||||||||||||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||||||||||||||||
2020 Full Year | |||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,541 | $ | 4,541 | $ | 4,547 | $ | 4,624 | $ | 4,723 | $ | 4,608 | $ | 4,466 | |||||||||||||||||||||||||||
% Change from Flat Case | (1.8) | % | (1.8) | % | (1.7) | % | — | 2.1 | % | (0.3) | % | (3.4) | % | ||||||||||||||||||||||||||||
2019 Full Year | |||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,545 | $ | 4,580 | $ | 4,652 | $ | 4,729 | $ | 4,674 | $ | 4,586 | $ | 4,528 | |||||||||||||||||||||||||||
% Change from Flat Case | (3.9) | % | (3.1) | % | (1.6) | % | — | (1.1) | % | (3.0) | % | (4.3) | % | ||||||||||||||||||||||||||||
Month-End Results | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 3,765 | $ | 3,765 | $ | 3,791 | $ | 3,835 | $ | 3,893 | $ | 3,777 | $ | 3,676 | |||||||||||||||||||||||||||
% Change from Flat Case | (1.8) | % | (1.8) | % | (1.1) | % | — | 1.5 | % | (1.5) | % | (4.2) | % | ||||||||||||||||||||||||||||
December 31, 2019 | |||||||||||||||||||||||||||||||||||||||||
Market Value of Equity | $ | 4,257 | $ | 4,262 | $ | 4,236 | $ | 4,372 | $ | 4,313 | $ | 4,213 | $ | 4,144 | |||||||||||||||||||||||||||
% Change from Flat Case | (2.6) | % | (2.5) | % | (3.1) | % | — | (1.3) | % | (3.6) | % | (5.2) | % |
(In years) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | ||||||||||||||||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||||||||||||||||
2020 Full Year | — | — | (0.9) | (2.6) | 1.0 | 3.4 | 2.0 | ||||||||||||||||||||||||||||||||||
2019 Full Year | (0.8) | (1.4) | (1.7) | (0.8) | 1.7 | 1.4 | 1.1 | ||||||||||||||||||||||||||||||||||
Month-End Results | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | — | (0.1) | (1.4) | (2.3) | 1.8 | 3.2 | 1.2 | ||||||||||||||||||||||||||||||||||
December 31, 2019 | (0.1) | 0.6 | (2.1) | (1.2) | 2.0 | 1.7 | 1.4 |
Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||||||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||||||||||||||||
2020 Full Year | (15.9) | % | (15.9) | % | (14.6) | % | — | 11.9 | % | 2.4 | % | (10.3) | % | ||||||||||||||||||||||||||||
2019 Full Year | (28.6) | % | (24.1) | % | (10.4) | % | — | (2.4) | % | (8.3) | % | (11.7) | % | ||||||||||||||||||||||||||||
Month-End Results | |||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | (15.3) | % | (15.3) | % | (11.3) | % | — | 10.6 | % | 3.9 | % | (1.7) | % | ||||||||||||||||||||||||||||
December 31, 2019 | (17.7) | % | (17.2) | % | (12.5) | % | — | (5.6) | % | (14.6) | % | (20.5) | % |
(In millions) | December 31, 2020 | December 31, 2019 | ||||||||||||||||||
Hedged Item/Hedging Instrument | Hedging Objective | Fair Value Hedge | Economic Hedge | Fair Value Hedge | Economic Hedge | |||||||||||||||
Advances: | ||||||||||||||||||||
Pay-fixed, receive-float interest rate swap (without options) | Converts the Advance's fixed rate to a variable-rate index. | $ | 7,409 | $ | 5 | $ | 7,449 | $ | 5 | |||||||||||
Pay-fixed, receive-float interest rate swap (with options) | Converts the Advance's fixed rate to a variable-rate index and offsets option risk in the Advance. | 2,664 | 27 | 1,327 | 155 | |||||||||||||||
Pay-float with embedded features, receive-float interest rate swap (callable) | Reduces interest-rate sensitivity and repricing gaps by offsetting embedded option risk in the Advance. | — | — | 200 | — | |||||||||||||||
Total Advances | 10,073 | 32 | 8,976 | 160 | ||||||||||||||||
Investment securities: | ||||||||||||||||||||
Pay-fixed, receive-float interest rate swap (without options) | Converts the investment security's fixed rate to a variable-rate index. | 274 | 9,817 | 124 | 11,202 | |||||||||||||||
Mortgage Loans: | ||||||||||||||||||||
Forward settlement agreement | Protects against changes in market value of fixed-rate Mandatory Delivery Contracts resulting from changes in interest rates. | — | — | — | 849 | |||||||||||||||
Consolidated Obligations Bonds: | ||||||||||||||||||||
Receive-fixed, pay-float interest rate swap (without options) | Converts the Bond's fixed rate to a variable-rate index. | 131 | 2,241 | — | 4,709 | |||||||||||||||
Receive-fixed, pay-float interest rate swap (with options) | Converts the Bond's fixed rate to a variable-rate index and offsets option risk in the Bond. | — | — | 210 | 30 | |||||||||||||||
Total Consolidated Obligations Bonds | 131 | 2,241 | 210 | 4,739 | ||||||||||||||||
Consolidated Discount Notes: | ||||||||||||||||||||
Receive-fixed, pay-float interest rate swap (without options) | Converts the Discount Note's fixed rate to a variable-rate index. | — | — | — | 12,401 | |||||||||||||||
Balance Sheet: | ||||||||||||||||||||
Pay-float, receive-fixed interest-rate swap | Interest-rate swap not linked to a specific asset, liability or forecasted transaction. | — | 589 | — | — | |||||||||||||||
Pay-fixed, receive-float interest-rate swap | Interest-rate swap not linked to a specific asset, liability or forecasted transaction. | — | 589 | — | — | |||||||||||||||
Interest rate swaptions | Provides the option to enter into an interest rate swap to offset interest-rate or prepayment risk. | — | 2,175 | — | 6,000 | |||||||||||||||
Total Balance Sheet | — | 3,353 | — | 6,000 | ||||||||||||||||
Stand-Alone Derivatives: | ||||||||||||||||||||
Mandatory Delivery Contracts | Exposure to fair-value risk associated with fixed rate mortgage purchase commitments. | — | 137 | — | 936 | |||||||||||||||
Total | $ | 10,478 | $ | 15,580 | $ | 9,310 | $ | 36,287 |
(In millions) | December 31, 2020 | December 31, 2019 | |||||||||
Unrestricted retained earnings | $ | 803 | $ | 648 | |||||||
Restricted retained earnings (1) | 501 | 446 | |||||||||
Total retained earnings | $ | 1,304 | $ | 1,094 |
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||||||||
Market risk-based capital | $ | 211 | $ | 264 | |||||||||||||
Credit risk-based capital | 204 | 367 | |||||||||||||||
Operational risk-based capital | 124 | 190 | |||||||||||||||
Total risk-based capital requirement | 539 | 821 | |||||||||||||||
Total permanent capital | 3,964 | 4,483 | |||||||||||||||
Excess permanent capital | $ | 3,425 | $ | 3,662 | |||||||||||||
Risk-based capital as a percent of permanent capital | 14 | % | 18 | % |
December 31, 2020 | December 31, 2019 | ||||||||||||||||
Market Value of Equity to Par Value of Regulatory Capital Stock - Base Case (Flat Rates) Scenario | 144 | % | 129 | % | |||||||||||||
Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock (1) | 143 | 125 | |||||||||||||||
Market Value of Equity to Par Value of Regulatory Capital Stock - Up Shock (2) | 142 | 124 |
December 31, 2020 | December 31, 2019 | ||||||||||||||||
Market Value of Equity to Book Value of Capital - Base Case (Flat Rates) Scenario (1) | 97 | % | 98 | % | |||||||||||||
Market Value of Equity to Book Value of Capital - Down Shock (1)(2) | 96 | 95 | |||||||||||||||
Market Value of Equity to Book Value of Capital - Up Shock (1)(3) | 96 | 94 |
December 31, 2017 | December 31, 2016 | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||||
(Dollars in billions) | Percent of Total | Percent of Total | (Dollars in billions) | Percent of Total | Percent of Total | |||||||||||||||||||||||||||||||
Collateral Amount | Pledged Collateral | Collateral Amount | Pledged Collateral | Collateral Amount | Pledged Collateral | Collateral Amount | Pledged Collateral | |||||||||||||||||||||||||||||
Single family loans | $ | 192.3 | 58 | % | $ | 188.7 | 59 | % | Single family loans | $ | 226.6 | 57 | % | $ | 208.9 | 57 | % | |||||||||||||||||||
Multi-family loans | 59.7 | 18 | 56.7 | 18 | Multi-family loans | 60.0 | 15 | 68.4 | 19 | |||||||||||||||||||||||||||
Commercial real estate | 38.6 | 12 | 33.8 | 11 | ||||||||||||||||||||||||||||||||
Commercial real estate loans | Commercial real estate loans | 48.0 | 12 | 46.3 | 13 | |||||||||||||||||||||||||||||||
Bond Securities | Bond Securities | 26.1 | 7 | 11.3 | 3 | |||||||||||||||||||||||||||||||
Home equity loans/lines of credit | 24.9 | 8 | 24.9 | 8 | Home equity loans/lines of credit | 25.2 | 6 | 29.2 | 8 | |||||||||||||||||||||||||||
Bond Securities | 12.5 | 4 | 13.8 | 4 | ||||||||||||||||||||||||||||||||
Farm real estate | 0.7 | — | 0.6 | — | ||||||||||||||||||||||||||||||||
Government guaranteed loans | Government guaranteed loans | 12.4 | 3 | — | — | |||||||||||||||||||||||||||||||
Farm real estate loans | Farm real estate loans | 0.7 | — | 0.7 | — | |||||||||||||||||||||||||||||||
Total | $ | 328.7 | 100 | % | $ | 318.5 | 100 | % | Total | $ | 399.0 | 100 | % | $ | 364.8 | 100 | % |
Blanket Status: | |||||
Prime 1-4 family loans | |||||
Multi-family loans | |||||
Prime home equity loans/lines of credit | |||||
Commercial real estate loans | |||||
Farm real estate loans | |||||
Listing Status/Physical Delivery: | |||||
Cash/U.S. Government/U.S. Treasury/U.S. agency securities | |||||
U.S. agency | |||||
U.S. agency commercial MBS/collateralized mortgage obligations | 78-91% | ||||
Private-label residential | |||||
Private-label commercial | |||||
Municipal securities | |||||
Prime 1-4 family loans | |||||
Multi-family loans | |||||
Prime home equity loans/lines of credit | |||||
Commercial real estate loans | |||||
Farm real estate loans | |||||
SBA Paycheck Protection Program loans | 10-90% |
(Dollars in billions) | ||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Number | Collateral-Based | Number | Collateral-Based | |||||||||||||||||||||||||||||
Credit | of | Borrowing | Credit | of | Borrowing | |||||||||||||||||||||||||||
Rating | Institutions | Capacity | Rating | Institutions | Capacity | |||||||||||||||||||||||||||
1-3 | 441 | $ | 282.6 | 1-3 | 485 | $ | 276.3 | |||||||||||||||||||||||||
4 | 141 | 31.7 | 4 | 119 | 12.6 | |||||||||||||||||||||||||||
5 | 36 | 1.3 | 5 | 37 | 1.1 | |||||||||||||||||||||||||||
6 | 13 | 0.3 | 6 | 6 | 0.1 | |||||||||||||||||||||||||||
7 | 5 | — | 7 | 5 | — | |||||||||||||||||||||||||||
Total | 636 | $ | 315.9 | Total | 652 | $ | 290.1 |
(Dollars in billions) | ||||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Borrowers | Borrowers | |||||||||||||||
Collateral-Based | Collateral-Based | |||||||||||||||
Credit | Borrowing | Credit | Borrowing | |||||||||||||
Rating | Number | Capacity | Rating | Number | Capacity | |||||||||||
1-3 | 532 | $ | 262.4 | 1-3 | 599 | $ | 265.8 | |||||||||
4 | 101 | 9.2 | 4 | 67 | 6.7 | |||||||||||
5 | 28 | 0.5 | 5 | 22 | 1.2 | |||||||||||
6 | 5 | 0.1 | 6 | 8 | 0.1 | |||||||||||
7 | 5 | — | 7 | 3 | — | |||||||||||
Total | 671 | $ | 272.2 | Total | 699 | $ | 273.8 |
FICO® Score (1) | December 31, 2020 | December 31, 2019 | ||||||||||||
< 620 | — | % | — | % | ||||||||||
620 to < 660 | — | — | ||||||||||||
660 to < 700 | 6 | 6 | ||||||||||||
700 to < 740 | 17 | 17 | ||||||||||||
>= 740 | 77 | 77 | ||||||||||||
Weighted Average | 765 | 765 |
FICO® Score (1) | December 31, 2017 | December 31, 2016 | ||||
< 620 | — | % | — | % | ||
620 to < 660 | 1 | 1 | ||||
660 to < 700 | 6 | 6 | ||||
700 to < 740 | 16 | 16 | ||||
>= 740 | 77 | 77 | ||||
Weighted Average | 765 | 764 |
Based on Estimated Origination Value | Based On Estimated Current Value | Based on Estimated Origination Value | Based On Estimated Current Value | |||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value | December 31, 2017 | December 31, 2016 | Loan-to-Value | December 31, 2017 | December 31, 2016 | Loan-to-Value | December 31, 2020 | December 31, 2019 | Loan-to-Value | December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||||||
<= 60% | 14 | % | 15 | % | <= 60% | 41 | % | 38 | % | <= 60% | 15 | % | 13 | % | <= 60% | 60 | % | 48 | % | |||||||||||||||||||||||||||
> 60% to 70% | 15 | 16 | > 60% to 70% | 29 | 26 | > 60% to 70% | 16 | 15 | > 60% to 70% | 28 | 26 | |||||||||||||||||||||||||||||||||||
> 70% to 80% | 56 | 55 | > 70% to 80% | 24 | 28 | > 70% to 80% | 55 | 58 | > 70% to 80% | 11 | 23 | |||||||||||||||||||||||||||||||||||
> 80% to 90% | 9 | 9 | > 80% to 90% | 5 | 7 | > 80% to 90% | 9 | 9 | > 80% to 90% | 1 | 3 | |||||||||||||||||||||||||||||||||||
> 90% | 6 | 5 | > 90% to 100% | 1 | 1 | > 90% | 5 | 5 | > 90% to 100% | — | — | |||||||||||||||||||||||||||||||||||
> 100% | — | — | > 100% | — | — | |||||||||||||||||||||||||||||||||||||||||
Weighted Average | 73 | % | 73 | % | Weighted Average | 61 | % | 63 | % | Weighted Average | 73 | % | 74 | % | Weighted Average | 55 | % | 59 | % |
December 31, 2020 | December 31, 2019 | |||||||||||||
Ohio | 63 | % | Ohio | 60 | % | |||||||||
Kentucky | 13 | Kentucky | 13 | |||||||||||
Indiana | 10 | Indiana | 11 | |||||||||||
Tennessee | 3 | Tennessee | 3 | |||||||||||
Michigan | 1 | Michigan | 1 | |||||||||||
All others | 10 | All others | 12 | |||||||||||
Total | 100 | % | Total | 100 | % |
Conventional Loan Delinquencies | |||||||||||
(Dollars in millions) | December 31, 2020 | December 31, 2019 | |||||||||
Early stage delinquencies - unpaid principal balance (1) | $ | 49 | $ | 40 | |||||||
Serious delinquencies - unpaid principal balance (2) | $ | 64 | $ | 12 | |||||||
Early stage delinquency rate (3) | 0.5 | % | 0.4 | % | |||||||
Serious delinquency rate (4) | 0.7 | % | 0.1 | % | |||||||
National average serious delinquency rate (5) | 3.7 | % | 1.3 | % |
Conventional Loan Delinquencies | |||||||
(Dollars in millions) | December 31, 2017 | December 31, 2016 | |||||
Early stage delinquencies - unpaid principal balance (1) | $ | 43 | $ | 47 | |||
Serious delinquencies - unpaid principal balance (2) | $ | 17 | $ | 23 | |||
Early stage delinquency rate (3) | 0.5 | % | 0.5 | % | |||
Serious delinquency rate (4) | 0.2 | % | 0.3 | % | |||
National average serious delinquency rate (5) | 2.0 | % | 2.5 | % |
(In millions) | December 31, 2017 | December 31, 2016 | (In millions) | December 31, 2020 | December 31, 2019 | |||||||||||||
Estimated incurred credit losses, before credit enhancements | $ | (6 | ) | $ | (9 | ) | ||||||||||||
Estimated credit losses, before credit enhancements | Estimated credit losses, before credit enhancements | $ | 8 | $ | 4 | |||||||||||||
Estimated amounts deemed recoverable by: | Estimated amounts deemed recoverable by: | |||||||||||||||||
Primary mortgage insurance | 1 | 1 | Primary mortgage insurance | (1) | — | |||||||||||||
Supplemental mortgage insurance | 3 | 5 | Supplemental mortgage insurance | (1) | (2) | |||||||||||||
Lender Risk Account | 1 | 2 | Lender Risk Account | (6) | (1) | |||||||||||||
Estimated incurred credit losses, after credit enhancements | $ | (1 | ) | $ | (1 | ) | ||||||||||||
Estimated credit losses, after credit enhancements | Estimated credit losses, after credit enhancements | $ | — | $ | 1 |
(In millions) | December 31, 2017 | (In millions) | December 31, 2020 | |||||||||||||||||||||||||||||||
Long-Term Rating | Long-Term Rating | |||||||||||||||||||||||||||||||||
AA | A | Total | AA | A | Total | |||||||||||||||||||||||||||||
Unsecured Liquidity Investments | Unsecured Liquidity Investments | |||||||||||||||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | $ | — | $ | 555 | $ | 555 | |||||||||||||||||||||||||||
Federal funds sold | $ | 1,465 | $ | 2,185 | $ | 3,650 | Federal funds sold | 500 | 3,740 | 4,240 | ||||||||||||||||||||||||
Certificates of deposit | 800 | 100 | 900 | |||||||||||||||||||||||||||||||
Total unsecured liquidity investments | 2,265 | 2,285 | 4,550 | Total unsecured liquidity investments | 500 | 4,295 | 4,795 | |||||||||||||||||||||||||||
Guaranteed/Secured Liquidity Investments | Guaranteed/Secured Liquidity Investments | |||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 7,702 | — | 7,702 | Securities purchased under agreements to resell | 1,818 | — | 1,818 | |||||||||||||||||||||||||||
U.S. Treasury obligations | 34 | — | 34 | U.S. Treasury obligations | 8,404 | — | 8,404 | |||||||||||||||||||||||||||
GSE obligations | GSE obligations | 2,268 | — | 2,268 | ||||||||||||||||||||||||||||||
Total guaranteed/secured liquidity investments | 7,736 | — | 7,736 | Total guaranteed/secured liquidity investments | 12,490 | — | 12,490 | |||||||||||||||||||||||||||
Total liquidity investments | $ | 10,001 | $ | 2,285 | $ | 12,286 | Total liquidity investments | $ | 12,990 | $ | 4,295 | $ | 17,285 |
December 31, 2019 | |||||||||||||||||||||||
Long-Term Rating | |||||||||||||||||||||||
AA | A | Total | |||||||||||||||||||||
Unsecured Liquidity Investments | |||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | 550 | $ | 550 | |||||||||||||||||
Federal funds sold | 1,023 | 3,810 | 4,833 | ||||||||||||||||||||
Certificates of deposit | 500 | 910 | 1,410 | ||||||||||||||||||||
Total unsecured liquidity investments | 1,523 | 5,270 | 6,793 | ||||||||||||||||||||
Guaranteed/Secured Liquidity Investments | |||||||||||||||||||||||
Securities purchased under agreements to resell | 2,349 | — | 2,349 | ||||||||||||||||||||
U.S. Treasury obligations | 9,662 | — | 9,662 | ||||||||||||||||||||
GSE obligations | 2,120 | — | 2,120 | ||||||||||||||||||||
Total guaranteed/secured liquidity investments | 14,131 | — | 14,131 | ||||||||||||||||||||
Total liquidity investments | $ | 15,654 | $ | 5,270 | $ | 20,924 |
December 31, 2016 | |||||||||||
Long-Term Rating | |||||||||||
AA | A | Total | |||||||||
Unsecured Liquidity Investments | |||||||||||
Federal funds sold | $ | 1,280 | $ | 2,977 | $ | 4,257 | |||||
Certificates of deposit | 1,300 | — | 1,300 | ||||||||
Total unsecured liquidity investments | 2,580 | 2,977 | 5,557 | ||||||||
Guaranteed/Secured Liquidity Investments | |||||||||||
Securities purchased under agreements to resell | 5,230 | — | 5,230 | ||||||||
Government-sponsored enterprises (1) | 31 | — | 31 | ||||||||
Total guaranteed/secured liquidity investments | 5,261 | — | 5,261 | ||||||||
Total liquidity investments | $ | 7,841 | $ | 2,977 | $ | 10,818 |
(In millions) | December 31, 2017 | (In millions) | December 31, 2020 | |||||||||||||||||||||||||||||
Counterparty Rating (1) | Counterparty Rating | |||||||||||||||||||||||||||||||
Domicile of Counterparty | AA | A | Total | Domicile of Counterparty | AA | A | Total | |||||||||||||||||||||||||
Domestic | $ | 565 | $ | — | $ | 565 | Domestic | $ | — | $ | 755 | $ | 755 | |||||||||||||||||||
U.S. branches and agency offices of foreign commercial banks: | U.S. branches and agency offices of foreign commercial banks: | |||||||||||||||||||||||||||||||
Canada | 200 | 1,200 | 1,400 | Canada | 250 | 1,920 | 2,170 | |||||||||||||||||||||||||
Australia | 1,000 | — | 1,000 | Australia | — | 710 | 710 | |||||||||||||||||||||||||
Netherlands | — | 510 | 510 | Netherlands | — | 710 | 710 | |||||||||||||||||||||||||
Norway | — | 500 | 500 | |||||||||||||||||||||||||||||
Germany | 300 | 75 | 375 | |||||||||||||||||||||||||||||
Sweden | 200 | — | 200 | |||||||||||||||||||||||||||||
Finland | Finland | 250 | — | 250 | ||||||||||||||||||||||||||||
France | France | — | 200 | 200 | ||||||||||||||||||||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 1,700 | 2,285 | 3,985 | Total U.S. branches and agency offices of foreign commercial banks | 500 | 3,540 | 4,040 | |||||||||||||||||||||||||
Total unsecured investment credit exposure | $ | 2,265 | $ | 2,285 | $ | 4,550 | Total unsecured investment credit exposure | $ | 500 | $ | 4,295 | $ | 4,795 |
(In millions) | December 31, 2017 | (In millions) | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||
Domicile of Counterparty | Overnight | Due 2 days through 30 days | Due 31 days through 90 days | Total | Domicile of Counterparty | Overnight | Total | |||||||||||||||||||||||||||||||||||||||||
Domestic | $ | 265 | $ | — | $ | 300 | $ | 565 | Domestic | $ | 755 | $ | 755 | |||||||||||||||||||||||||||||||||||
U.S. branches and agency offices of foreign commercial banks: | U.S. branches and agency offices of foreign commercial banks: | |||||||||||||||||||||||||||||||||||||||||||||||
Canada | 1,100 | 200 | 100 | 1,400 | Canada | 2,170 | 2,170 | |||||||||||||||||||||||||||||||||||||||||
Australia | 1,000 | — | — | 1,000 | Australia | 710 | 710 | |||||||||||||||||||||||||||||||||||||||||
Netherlands | 510 | — | — | 510 | Netherlands | 710 | 710 | |||||||||||||||||||||||||||||||||||||||||
Norway | 500 | — | — | 500 | ||||||||||||||||||||||||||||||||||||||||||||
Germany | 75 | — | 300 | 375 | ||||||||||||||||||||||||||||||||||||||||||||
Sweden | 200 | — | — | 200 | ||||||||||||||||||||||||||||||||||||||||||||
Finland | Finland | 250 | 250 | |||||||||||||||||||||||||||||||||||||||||||||
France | France | 200 | 200 | |||||||||||||||||||||||||||||||||||||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 3,385 | 200 | 400 | 3,985 | Total U.S. branches and agency offices of foreign commercial banks | 4,040 | 4,040 | |||||||||||||||||||||||||||||||||||||||||
Total unsecured investment credit exposure | $ | 3,650 | $ | 200 | $ | 700 | $ | 4,550 | Total unsecured investment credit exposure | $ | 4,795 | $ | 4,795 |
(In millions) | (In millions) | |||||||||||||||||||||||||||||||||||||||||
Total Notional | Net Derivatives Fair Value Before Collateral and Variation Margin for Daily Settled Contracts | Cash Collateral Pledged to (from) Counterparties and Variation Margin for Daily Settled Contracts (1) | Net Credit Exposure to Counterparties | Total Notional | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged to (from) Counterparties | Net Credit Exposure to Counterparties | |||||||||||||||||||||||||||||||||||
Nonmember counterparties: | Nonmember counterparties: | |||||||||||||||||||||||||||||||||||||||||
Asset positions with credit exposure: | Asset positions with credit exposure: | |||||||||||||||||||||||||||||||||||||||||
Uncleared derivatives: | ||||||||||||||||||||||||||||||||||||||||||
A-rated | $ | 89 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||||
Total uncleared derivatives | 89 | — | — | — | ||||||||||||||||||||||||||||||||||||||
Cleared derivatives (2) | 4,574 | 56 | (20 | ) | 36 | |||||||||||||||||||||||||||||||||||||
Cleared derivatives | $ | 464 | $ | — | $ | 2 | $ | 2 | ||||||||||||||||||||||||||||||||||
Liability positions with credit exposure: | Liability positions with credit exposure: | |||||||||||||||||||||||||||||||||||||||||
Cleared derivatives | 6,340 | (73 | ) | 97 | 24 | |||||||||||||||||||||||||||||||||||||
Cleared derivatives (1) | Cleared derivatives (1) | 20,591 | (3) | 216 | 213 | |||||||||||||||||||||||||||||||||||||
Total derivative positions with credit exposure to nonmember counterparties | 11,003 | (17 | ) | 77 | 60 | Total derivative positions with credit exposure to nonmember counterparties | 21,055 | (3) | 218 | 215 | ||||||||||||||||||||||||||||||||
Member institutions (3) | 177 | 1 | — | 1 | ||||||||||||||||||||||||||||||||||||||
Member institutions (2) | Member institutions (2) | 137 | 1 | — | 1 | |||||||||||||||||||||||||||||||||||||
Total | $ | 11,180 | $ | (16 | ) | $ | 77 | $ | 61 | Total | $ | 21,192 | $ | (2) | $ | 218 | $ | 216 |
(In millions) | December 31, 2017 | December 31, 2016 | |||||
Contingency Liquidity Requirement | |||||||
Total Contingency Liquidity Reserves (1) | $ | 40,850 | $ | 32,127 | |||
Total Requirement (2) | (32,349 | ) | (24,224 | ) | |||
Excess Contingency Liquidity Available | $ | 8,501 | $ | 7,903 |
(In millions) | December 31, 2020 | December 31, 2019 | |||||||||
Deposit Reserve Requirement | |||||||||||
Total Eligible Deposit Reserves | $ | 37,185 | $ | 61,590 | |||||||
Total Member Deposits | (1,327) | (942) | |||||||||
Excess Deposit Reserves | $ | 35,858 | $ | 60,648 |
(In millions) | December 31, 2017 | December 31, 2016 | |||||
Deposit Reserve Requirement | |||||||
Total Eligible Deposit Reserves | $ | 73,728 | $ | 72,114 | |||
Total Member Deposits | (649 | ) | (765 | ) | |||
Excess Deposit Reserves | $ | 73,079 | $ | 71,349 |
(In millions) | < 1 year | 1 < 3 years | 3 < 5 years | > 5 years | Total | ||||||||||||||||||||||||
Contractual Obligations | |||||||||||||||||||||||||||||
Long-term debt (Bonds) - par (1) | $ | 18,677 | $ | 6,117 | $ | 3,703 | $ | 3,454 | $ | 31,951 | |||||||||||||||||||
Operating leases | 1 | 2 | 2 | 1 | 6 | ||||||||||||||||||||||||
Mandatorily redeemable capital stock | 12 | 3 | 3 | 1 | 19 | ||||||||||||||||||||||||
Commitments to fund mortgage loans | 137 | — | — | — | 137 | ||||||||||||||||||||||||
Pension and other postretirement benefit obligations | 3 | 5 | 4 | 43 | 55 | ||||||||||||||||||||||||
Total Contractual Obligations | $ | 18,830 | $ | 6,127 | $ | 3,712 | $ | 3,499 | $ | 32,168 |
(In millions) | < 1 year | 1 < 3 years | 3 < 5 years | > 5 years | Total | ||||||||||||||
Contractual Obligations | |||||||||||||||||||
Long-term debt (Bonds) - par (1) | $ | 28,940 | $ | 10,612 | $ | 8,262 | $ | 6,343 | $ | 54,157 | |||||||||
Operating leases (include premises and equipment) | 1 | 2 | 2 | 3 | 8 | ||||||||||||||
Mandatorily redeemable capital stock | 19 | 2 | 8 | 1 | 30 | ||||||||||||||
Commitments to fund mortgage loans | 219 | — | — | — | 219 | ||||||||||||||
Pension and other postretirement benefit obligations | 2 | 5 | 5 | 32 | 44 | ||||||||||||||
Total Contractual Obligations | $ | 29,181 | $ | 10,621 | $ | 8,277 | $ | 6,379 | $ | 54,458 |
(In millions) | < 1 year | 1 < 3 years | 3 < 5 years | > 5 years | Total | ||||||||||||||||||||||||
Off-balance sheet items (1) | |||||||||||||||||||||||||||||
Standby Letters of Credit | $ | 27,741 | $ | 984 | $ | 86 | $ | 1 | $ | 28,812 | |||||||||||||||||||
Standby bond purchase agreements | — | 35 | — | — | 35 | ||||||||||||||||||||||||
Consolidated Obligations traded, not yet settled | 322 | — | — | — | 322 | ||||||||||||||||||||||||
Total off-balance sheet items | $ | 28,063 | $ | 1,019 | $ | 86 | $ | 1 | $ | 29,169 |
(In millions) | < 1 year | 1 < 3 years | 3 < 5 years | > 5 years | Total | ||||||||||||||
Off-balance sheet items (1) | |||||||||||||||||||
Commitments to fund additional Advances | $ | 5 | $ | — | $ | — | $ | — | $ | 5 | |||||||||
Standby Letters of Credit | 14,389 | 92 | 186 | 24 | 14,691 | ||||||||||||||
Standby bond purchase agreements | 27 | 45 | — | — | 72 | ||||||||||||||
Consolidated Obligations traded, not yet settled | 310 | — | — | — | 310 | ||||||||||||||
Total off-balance sheet items | $ | 14,731 | $ | 137 | $ | 186 | $ | 24 | $ | 15,078 |
2020 | |||||||||||||||||||||||||||||
(In millions) | 4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||||||||||||||
Interest income | $ | 197 | $ | 239 | $ | 363 | $ | 447 | |||||||||||||||||||||
Interest expense | 116 | 146 | 214 | 365 | |||||||||||||||||||||||||
Net interest income | 81 | 93 | 149 | 82 | |||||||||||||||||||||||||
Non-interest income (loss) | (15) | (7) | (15) | 31 | |||||||||||||||||||||||||
Non-interest expense | 26 | 29 | 35 | 33 | |||||||||||||||||||||||||
Net income | $ | 40 | $ | 57 | $ | 99 | $ | 80 |
2019 | |||||||||||||||||||||||||||||
(In millions) | 4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||||||||||||||
Interest income | $ | 507 | $ | 591 | $ | 646 | $ | 701 | |||||||||||||||||||||
Interest expense | 408 | 504 | 549 | 579 | |||||||||||||||||||||||||
Net interest income | 99 | 87 | 97 | 122 | |||||||||||||||||||||||||
Non-interest income (loss) | 6 | 5 | (3) | (18) | |||||||||||||||||||||||||
Non-interest expense | 29 | 29 | 30 | 31 | |||||||||||||||||||||||||
Net income | $ | 76 | $ | 63 | $ | 64 | $ | 73 |
2017 | |||||||||||||||||||
(In millions) | 1st Quarter | 2nd Quarter | 3rd Quarter | 4th Quarter | Total | ||||||||||||||
Interest income | $ | 344 | $ | 385 | $ | 437 | $ | 442 | $ | 1,608 | |||||||||
Interest expense | 241 | 279 | 327 | 332 | 1,179 | ||||||||||||||
Net interest income | 103 | 106 | 110 | 110 | 429 | ||||||||||||||
Non-interest (loss) income | (11 | ) | 10 | (3 | ) | 3 | (1 | ) | |||||||||||
Non-interest expense | 27 | 29 | 29 | 29 | 114 | ||||||||||||||
Net income | $ | 65 | $ | 87 | $ | 78 | $ | 84 | $ | 314 |
2016 | |||||||||||||||||||
(In millions) | 1st Quarter | 2nd Quarter | 3rd Quarter | 4th Quarter | Total | ||||||||||||||
Interest income | $ | 303 | $ | 298 | $ | 308 | $ | 314 | $ | 1,223 | |||||||||
Interest expense | 214 | 215 | 215 | 216 | 860 | ||||||||||||||
Net interest income | 89 | 83 | 93 | 98 | 363 | ||||||||||||||
Non-interest (loss) income | (4 | ) | 6 | (4 | ) | 48 | 46 | ||||||||||||
Non-interest expense | 28 | 28 | 28 | 57 | 141 | ||||||||||||||
Net income | $ | 57 | $ | 61 | $ | 61 | $ | 89 | $ | 268 |
(In millions) | Carrying Value at December 31, | ||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||
Interest-bearing deposits | $ | 555 | $ | 550 | $ | — | |||||||||||
Securities purchased under agreements to resell | 1,818 | 2,349 | 4,402 | ||||||||||||||
Federal funds sold | 4,240 | 4,833 | 10,793 | ||||||||||||||
Trading securities: | |||||||||||||||||
U.S. Treasury obligations | 8,362 | 9,627 | — | ||||||||||||||
GSE obligations | 2,126 | 1,988 | 224 | ||||||||||||||
MBS: | |||||||||||||||||
U.S. obligation single-family MBS | — | 1 | — | ||||||||||||||
Total trading securities | 10,488 | 11,616 | 224 | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||
Certificates of deposit | — | 1,410 | 2,350 | ||||||||||||||
GSE obligations | 142 | 132 | 53 | ||||||||||||||
MBS: | |||||||||||||||||
GSE multi-family MBS | 150 | — | — | ||||||||||||||
Total available-for-sale securities | 292 | 1,542 | 2,403 | ||||||||||||||
Held-to-maturity securities: | |||||||||||||||||
U.S. Treasury obligations | 42 | 35 | 36 | ||||||||||||||
MBS: | |||||||||||||||||
U.S. obligation single-family MBS | 986 | 1,671 | 2,041 | ||||||||||||||
GSE single-family MBS | 3,013 | 4,500 | 5,544 | ||||||||||||||
GSE multi-family MBS | 5,607 | 7,293 | 8,171 | ||||||||||||||
Total held-to-maturity securities | 9,648 | 13,499 | 15,792 | ||||||||||||||
Total securities | 20,428 | 26,657 | 18,419 | ||||||||||||||
Total investments | $ | 27,041 | $ | 34,389 | $ | 33,614 |
(In millions) | Carrying Value at December 31, | ||||||||||
2017 | 2016 | 2015 | |||||||||
Trading securities: | |||||||||||
Mortgage-backed securities: | |||||||||||
U.S. obligation single-family mortgage-backed securities | $ | 1 | $ | 1 | $ | 1 | |||||
Total trading securities | 1 | 1 | 1 | ||||||||
Available-for-sale securities: | |||||||||||
Certificates of deposit | 900 | 1,300 | 700 | ||||||||
Total available-for-sale securities | 900 | 1,300 | 700 | ||||||||
Held-to-maturity securities: | |||||||||||
U.S. Treasury obligations | 34 | — | — | ||||||||
Government-sponsored enterprises | — | 31 | 33 | ||||||||
Mortgage-backed securities: | |||||||||||
U.S. obligation single-family mortgage-backed securities | 2,484 | 3,183 | 3,894 | ||||||||
Government-sponsored enterprise single-family mortgage-backed securities | 6,703 | 8,186 | 10,891 | ||||||||
Government-sponsored enterprise multi-family mortgage-backed securities | 5,584 | 3,146 | 460 | ||||||||
Total held-to-maturity securities | 14,805 | 14,546 | 15,278 | ||||||||
Total securities | 15,706 | 15,847 | 15,979 | ||||||||
Securities purchased under agreements to resell | 7,702 | 5,230 | 10,532 | ||||||||
Federal funds sold | 3,650 | 4,257 | 10,845 | ||||||||
Total investments | $ | 27,058 | $ | 25,334 | $ | 37,356 |
(Dollars in millions) | Due in one year or less | Due after one year through five years | Due after five through 10 years | Due after 10 years | Carrying Value | ||||||||||||
Interest-bearing deposits | $ | 555 | $ | — | $ | — | $ | — | $ | 555 | |||||||
Securities purchased under agreements to resell | 1,818 | — | — | — | 1,818 | ||||||||||||
Federal funds sold | 4,240 | — | — | — | 4,240 | ||||||||||||
Trading securities: | |||||||||||||||||
U.S. Treasury obligations | 2,205 | 6,157 | — | — | 8,362 | ||||||||||||
GSE obligations | — | 162 | 1,674 | 290 | 2,126 | ||||||||||||
Total trading securities | 2,205 | 6,319 | 1,674 | 290 | 10,488 | ||||||||||||
Yield on trading securities | 1.95 | % | 2.30 | % | 2.59 | % | 2.68 | % | |||||||||
Available-for-sale securities: | |||||||||||||||||
GSE obligations | $ | — | $ | 11 | $ | 117 | $ | 14 | $ | 142 | |||||||
MBS(1): | |||||||||||||||||
GSE multi-family MBS | — | — | 150 | — | 150 | ||||||||||||
Total available-for-sale securities | — | 11 | 267 | 14 | 292 | ||||||||||||
Yield on available-for sale securities | — | % | 3.28 | % | 2.00 | % | 3.09 | % | |||||||||
Held-to-maturity securities: | |||||||||||||||||
U.S. Treasury obligations | $ | 42 | $ | — | $ | — | $ | — | $ | 42 | |||||||
MBS(1): | |||||||||||||||||
U.S. obligation single-family MBS | — | — | — | 986 | 986 | ||||||||||||
GSE single-family MBS | — | 15 | 4 | 2,994 | 3,013 | ||||||||||||
GSE multi-family MBS | — | 1,041 | 4,392 | 174 | 5,607 | ||||||||||||
Total held-to-maturity securities | 42 | 1,056 | 4,396 | 4,154 | 9,648 | ||||||||||||
Yield on held-to-maturity securities | 0.15 | % | 0.47 | % | 0.62 | % | 2.20 | % | |||||||||
Total securities | $ | 2,247 | $ | 7,386 | $ | 6,337 | $ | 4,458 | $ | 20,428 | |||||||
Total investments | $ | 8,860 | $ | 7,386 | $ | 6,337 | $ | 4,458 | $ | 27,041 |
(Dollars in millions) | Due in one year or less | Due after one year through five years | Due after five through 10 years | Due after 10 years | Carrying Value | ||||||||||
Trading securities: | |||||||||||||||
Mortgage-backed securities(1): | |||||||||||||||
U.S. obligation single-family mortgage-backed securities | $ | — | $ | — | $ | 1 | $ | — | $ | 1 | |||||
Total trading securities | — | — | 1 | — | 1 | ||||||||||
Yield on trading securities | — | % | — | % | 3.20 | % | — | % | |||||||
Available-for-sale securities: | |||||||||||||||
Certificates of deposit | $ | 900 | $ | — | $ | — | $ | — | $ | 900 | |||||
Total available-for-sale securities | 900 | — | — | — | 900 | ||||||||||
Yield on available-for sale securities | 1.53 | % | — | % | — | % | — | % | |||||||
Held-to-maturity securities: | |||||||||||||||
U.S. Treasury obligations | $ | 34 | $ | — | $ | — | $ | — | $ | 34 | |||||
Mortgage-backed securities(1): | |||||||||||||||
U.S. obligation single-family mortgage-backed securities | — | 468 | — | 2,016 | 2,484 | ||||||||||
Government-sponsored enterprise single-family mortgage-backed securities | — | — | 49 | 6,654 | 6,703 | ||||||||||
Government-sponsored enterprise multi-family mortgage-backed securities | — | — | 5,387 | 197 | 5,584 | ||||||||||
Total held-to-maturity securities | 34 | 468 | 5,436 | 8,867 | 14,805 | ||||||||||
Yield on held-to-maturity securities | 1.09 | % | 1.86 | % | 1.92 | % | 2.33 | % | |||||||
Total securities | $ | 934 | $ | 468 | $ | 5,437 | $ | 8,867 | $ | 15,706 | |||||
Securities purchased under agreements to resell | 7,702 | — | — | — | 7,702 | ||||||||||
Federal funds sold | 3,650 | — | — | — | 3,650 | ||||||||||
Total investments | $ | 12,286 | $ | 468 | $ | 5,437 | $ | 8,867 | $ | 27,058 |
(In millions) | Total | Total | ||||||||||||
Name of Issuer | Carrying Value | Fair Value | ||||||||||||
United States Treasury | $ | 8,404 | $ | 8,404 | ||||||||||
Fannie Mae | 6,291 | 6,352 | ||||||||||||
Freddie Mac | 3,988 | 4,030 | ||||||||||||
Government National Mortgage Association | 987 | 1,028 | ||||||||||||
Federal Farm Credit Banks | 660 | 660 | ||||||||||||
Other (1) | 98 | 98 | ||||||||||||
Total investment securities | $ | 20,428 | $ | 20,572 |
(In millions) | Total | Total | ||||||
Name of Issuer | Carrying Value | Fair Value | ||||||
Freddie Mac | $ | 3,946 | $ | 3,906 | ||||
Fannie Mae | 8,341 | 8,280 | ||||||
Government National Mortgage Association | 2,017 | 1,994 | ||||||
Other (1) | 1,402 | 1,403 | ||||||
Total investment securities | $ | 15,706 | $ | 15,583 |
(Dollars in millions) | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||||
Domestic: | |||||||||||||||||||||||||||||
Advances | $ | 25,362 | $ | 47,370 | $ | 54,822 | $ | 69,918 | $ | 69,882 | |||||||||||||||||||
Real estate mortgages | $ | 9,549 | $ | 11,236 | $ | 10,502 | $ | 9,682 | $ | 9,150 | |||||||||||||||||||
Real estate mortgages past due 90 days or more (including those in process of foreclosure) and still accruing interest, unpaid principal balance | $ | 64 | $ | 17 | $ | 19 | $ | 26 | $ | 33 | |||||||||||||||||||
Non-accrual loans, unpaid principal balance (1) | $ | 7 | $ | 2 | $ | 3 | $ | 3 | $ | 4 | |||||||||||||||||||
Troubled debt restructurings, unpaid principal balance (not included above) | $ | 17 | $ | 12 | $ | 9 | $ | 9 | $ | 8 | |||||||||||||||||||
Allowance for credit losses on mortgage loans, beginning of year | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 2 | |||||||||||||||||||
Adjustment for cumulative effect of accounting change | (1) | — | — | — | — | ||||||||||||||||||||||||
Net charge-offs | — | — | — | — | (1) | ||||||||||||||||||||||||
Allowance for credit losses on mortgage loans, end of year | $ | — | $ | 1 | $ | 1 | $ | 1 | $ | 1 | |||||||||||||||||||
Ratio of net charge-offs during the period to average loans outstanding during the period | — | % | — | % | — | % | — | % | 0.01 | % |
(Dollars in millions) | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||
Domestic: | |||||||||||||||||||
Advances | $ | 69,918 | $ | 69,882 | $ | 73,292 | $ | 70,406 | $ | 65,270 | |||||||||
Real estate mortgages | $ | 9,682 | $ | 9,150 | $ | 7,954 | $ | 6,956 | $ | 6,782 | |||||||||
Real estate mortgages past due 90 days or more (including those in process of foreclosure) and still accruing interest, unpaid principal balance | $ | 26 | $ | 33 | $ | 42 | $ | 66 | $ | 89 | |||||||||
Non-accrual loans, unpaid principal balance (1) | $ | 3 | $ | 4 | $ | 7 | $ | 4 | $ | 3 | |||||||||
Troubled debt restructurings, unpaid principal balance (not included above) | $ | 9 | $ | 8 | $ | 8 | $ | 5 | $ | 4 | |||||||||
Allowance for credit losses on mortgage loans, beginning of year | $ | 1 | $ | 2 | $ | 5 | $ | 7 | $ | 18 | |||||||||
Net charge-offs | — | (1 | ) | (3 | ) | (2 | ) | (4 | ) | ||||||||||
Provision (reversal) for credit losses | — | — | — | — | (7 | ) | |||||||||||||
Allowance for credit losses on mortgage loans, end of year | $ | 1 | $ | 1 | $ | 2 | $ | 5 | $ | 7 | |||||||||
Ratio of net charge-offs during the period to average loans outstanding during the period | — | % | 0.01 | % | 0.04 | % | 0.03 | % | 0.05 | % |
(Dollars in millions) | 2020 | 2019 | 2018 | ||||||||||||||
Discount Notes | |||||||||||||||||
Outstanding at year-end (book value) | $ | 27,500 | $ | 49,084 | $ | 46,944 | |||||||||||
Weighted average rate at year-end (1) (2) | 0.11 | % | 1.56 | % | 2.35 | % | |||||||||||
Daily average outstanding for the year (book value) | $ | 43,284 | $ | 44,482 | $ | 49,185 | |||||||||||
Weighted average rate for the year (2) | 0.68 | % | 2.22 | % | 1.86 | % | |||||||||||
Highest outstanding at any month-end (book value) | $ | 79,660 | $ | 62,567 | $ | 64,045 | |||||||||||
Bonds (short-term) | |||||||||||||||||
Outstanding at year-end (principal amount) | $ | 11,676 | $ | 11,101 | $ | 14,728 | |||||||||||
Weighted average rate at year-end (2) (3) | 0.14 | % | 1.60 | % | 2.38 | % | |||||||||||
Daily average outstanding for the year (principal amount) | $ | 16,065 | $ | 15,595 | $ | 14,937 | |||||||||||
Weighted average rate for the year (2) (3) | 0.40 | % | 2.27 | % | 1.87 | % | |||||||||||
Highest outstanding at any month-end (principal amount) | $ | 23,649 | $ | 21,270 | $ | 19,438 |
(Dollars in millions) | 2017 | 2016 | 2015 | ||||||||
Discount Notes | |||||||||||
Outstanding at year-end (book value) | $ | 46,211 | $ | 44,690 | $ | 77,199 | |||||
Weighted average rate at year-end (1) (2) | 1.23 | % | 0.46 | % | 0.24 | % | |||||
Daily average outstanding for the year (book value) | $ | 43,124 | $ | 49,835 | $ | 52,706 | |||||
Weighted average rate for the year (2) | 0.89 | % | 0.35 | % | 0.12 | % | |||||
Highest outstanding at any month-end (book value) | $ | 51,762 | $ | 63,137 | $ | 77,199 | |||||
Bonds (short-term) | |||||||||||
Outstanding at year-end (par value) | $ | 14,405 | $ | 11,332 | $ | 4,415 | |||||
Weighted average rate at year-end (2) (3) | 1.35 | % | 0.66 | % | 0.23 | % | |||||
Daily average outstanding for the year (par value) | $ | 10,359 | $ | 11,996 | $ | 6,974 | |||||
Weighted average rate for the year (2) (3) | 0.93 | % | 0.51 | % | 0.13 | % | |||||
Highest outstanding at any month-end (par value) | $ | 14,405 | $ | 14,591 | $ | 13,825 |
(In millions) By remaining maturity at December 31, 2017 | 3 months or less | Over 3 months but within 6 months | Over 6 months but within 12 months | Over 12 months but within 24 months | Total | |||||||||||||||||||||||||||||||||||||||||||
(In millions) By remaining maturity at December 31, 2020 | (In millions) By remaining maturity at December 31, 2020 | 3 months or less | Over 3 months but within 6 months | Over 6 months but within 12 months | Over 12 months but within 24 months | Total | ||||||||||||||||||||||||||||||||||||||||||
Time certificates of deposit | $ | 30 | $ | 7 | $ | 13 | $ | 3 | $ | 53 | Time certificates of deposit | $ | 65 | $ | 38 | $ | 19 | $ | 2 | $ | 124 |
2020 | 2019 | 2018 | |||||||||||||||
Return on average assets | 0.31 | % | 0.28 | % | 0.32 | % | |||||||||||
Return on average equity | 5.78 | 5.65 | 6.29 | ||||||||||||||
Average equity to average assets | 5.39 | 5.04 | 5.11 | ||||||||||||||
Dividend payout ratio | 30.27 | % | 74.06 | % | 75.60 | % |
2017 | 2016 | 2015 | ||||||
Return on average assets | 0.31 | % | 0.25 | % | 0.24 | % | ||
Return on average equity | 6.15 | 5.35 | 5.04 | |||||
Average equity to average assets | 5.00 | 4.76 | 4.78 | |||||
Dividend payout ratio | 66.31 | % | 63.92 | % | 67.68 | % |
(In thousands, except par value) | December 31, | ||||||
2017 | 2016 | ||||||
ASSETS | |||||||
Cash and due from banks (Note 3) | $ | 26,550 | $ | 8,737 | |||
Interest-bearing deposits | 140 | 129 | |||||
Securities purchased under agreements to resell | 7,701,929 | 5,229,487 | |||||
Federal funds sold | 3,650,000 | 4,257,000 | |||||
Investment securities: | |||||||
Trading securities (Note 4) | 781 | 970 | |||||
Available-for-sale securities (Note 5) | 899,876 | 1,300,023 | |||||
Held-to-maturity securities (includes $0 and $0 pledged as collateral in 2017 and 2016, respectively, that may be repledged) (a) (Note 6) | 14,804,970 | 14,546,979 | |||||
Total investment securities | 15,705,627 | 15,847,972 | |||||
Advances (includes $15,013 and $15,093 at fair value under fair value option in 2017 and 2016, respectively) (Note 8) | 69,918,224 | 69,882,074 | |||||
Mortgage loans held for portfolio: | |||||||
Mortgage loans held for portfolio (Note 9) | 9,682,130 | 9,149,860 | |||||
Less: allowance for credit losses on mortgage loans (Note 10) | 1,190 | 1,142 | |||||
Mortgage loans held for portfolio, net | 9,680,940 | 9,148,718 | |||||
Accrued interest receivable | 128,561 | 109,886 | |||||
Premises, software, and equipment, net | 8,896 | 9,187 | |||||
Derivative assets (Note 11) | 60,695 | 104,753 | |||||
Other assets | 13,652 | 37,338 | |||||
TOTAL ASSETS | $ | 106,895,214 | $ | 104,635,281 | |||
LIABILITIES | |||||||
Deposits (Note 12) | $ | 650,531 | $ | 765,879 | |||
Consolidated Obligations: (Note 13) | |||||||
Discount Notes | 46,210,458 | 44,689,662 | |||||
Bonds (includes $5,577,315 and $7,895,510 at fair value under fair value option in 2017 and 2016, respectively) | 54,163,061 | 53,190,866 | |||||
Total Consolidated Obligations | 100,373,519 | 97,880,528 | |||||
Mandatorily redeemable capital stock (Note 15) | 30,031 | 34,782 | |||||
Accrued interest payable | 128,652 | 119,322 | |||||
Affordable Housing Program payable (Note 14) | 109,877 | 104,883 | |||||
Derivative liabilities (Note 11) | 2,893 | 17,874 | |||||
Other liabilities | 435,198 | 733,918 | |||||
Total liabilities | 101,730,701 | 99,657,186 | |||||
Commitments and contingencies (Note 20) | |||||||
CAPITAL (Note 15) | |||||||
Capital stock Class B putable ($100 par value); issued and outstanding shares: 42,411 shares in 2017 and 41,569 shares in 2016 | 4,241,140 | 4,156,944 | |||||
Retained earnings: | |||||||
Unrestricted | 617,034 | 574,122 | |||||
Restricted | 322,999 | 260,285 | |||||
Total retained earnings | 940,033 | 834,407 | |||||
Accumulated other comprehensive loss (Note 16) | (16,660 | ) | (13,256 | ) | |||
Total capital | 5,164,513 | 4,978,095 | |||||
TOTAL LIABILITIES AND CAPITAL | $ | 106,895,214 | $ | 104,635,281 |
(In thousands, except par value) | December 31, | ||||||||||
2020 | 2019 | ||||||||||
ASSETS | |||||||||||
Cash and due from banks (Note 3) | $ | 2,984,073 | $ | 20,608 | |||||||
Interest-bearing deposits | 555,104 | 550,160 | |||||||||
Securities purchased under agreements to resell | 1,818,268 | 2,348,584 | |||||||||
Federal funds sold | 4,240,000 | 4,833,000 | |||||||||
Investment securities: (Note 4) | |||||||||||
Trading securities | 10,488,124 | 11,615,693 | |||||||||
Available-for-sale securities (amortized cost of $286,869 and $1,541,815 at December 31, 2020 and 2019, respectively) | 291,587 | 1,542,185 | |||||||||
Held-to-maturity securities (includes $0 and $0 pledged as collateral at December 31, 2020 and 2019, respectively, that may be repledged) (a) | 9,648,171 | 13,499,319 | |||||||||
Total investment securities | 20,427,882 | 26,657,197 | |||||||||
Advances (includes $27,202 and $5,238 at fair value under fair value option at December 31, 2020 and 2019, respectively) (Note 5) | 25,362,003 | 47,369,573 | |||||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $248 and $711 at December 31, 2020 and 2019, respectively (Note 6) | 9,548,506 | 11,235,353 | |||||||||
Accrued interest receivable | 113,701 | 182,252 | |||||||||
Derivative assets (Note 7) | 215,888 | 267,165 | |||||||||
Other assets, net | 30,814 | 27,667 | |||||||||
TOTAL ASSETS | $ | 65,296,239 | $ | 93,491,559 | |||||||
LIABILITIES | |||||||||||
Deposits (Note 8) | $ | 1,327,202 | $ | 951,296 | |||||||
Consolidated Obligations: (Note 9) | |||||||||||
Discount Notes (includes $0 and $12,386,974 at fair value under fair value option at December 31, 2020 and 2019, respectively) | 27,500,244 | 49,084,219 | |||||||||
Bonds (includes $2,262,388 and $4,757,177 at fair value under fair value option at December 31, 2020 and 2019, respectively) | 31,996,311 | 38,439,724 | |||||||||
Total Consolidated Obligations | 59,496,555 | 87,523,943 | |||||||||
Mandatorily redeemable capital stock (Note 11) | 19,454 | 21,669 | |||||||||
Accrued interest payable | 77,521 | 126,091 | |||||||||
Affordable Housing Program payable (Note 10) | 110,772 | 115,295 | |||||||||
Derivative liabilities (Note 7) | 3,813 | 1,310 | |||||||||
Other liabilities | 331,008 | 307,499 | |||||||||
Total liabilities | 61,366,325 | 89,047,103 | |||||||||
Commitments and contingencies (Note 16) | 0 | 0 | |||||||||
CAPITAL (Note 11) | |||||||||||
Capital stock Class B putable ($100 par value); issued and outstanding shares: 26,409 shares at December 31, 2020 and 33,664 shares at December 31, 2019 | 2,640,863 | 3,366,428 | |||||||||
Retained earnings: | |||||||||||
Unrestricted | 802,715 | 648,374 | |||||||||
Restricted | 501,321 | 446,048 | |||||||||
Total retained earnings | 1,304,036 | 1,094,422 | |||||||||
Accumulated other comprehensive loss (Note 12) | (14,985) | (16,394) | |||||||||
Total capital | 3,929,914 | 4,444,456 | |||||||||
TOTAL LIABILITIES AND CAPITAL | $ | 65,296,239 | $ | 93,491,559 |
(In thousands) | For the Years Ended December 31, | (In thousands) | For the Years Ended December 31, | |||||||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2020 | 2019 | 2018 | |||||||||||||||||||||||||||||
INTEREST INCOME: | INTEREST INCOME: | |||||||||||||||||||||||||||||||||
Advances | $ | 903,620 | $ | 576,970 | $ | 366,651 | Advances | $ | 434,815 | $ | 1,195,128 | $ | 1,407,702 | |||||||||||||||||||||
Prepayment fees on Advances, net | 1,351 | 9,874 | 2,723 | Prepayment fees on Advances, net | 34,583 | 8,421 | 679 | |||||||||||||||||||||||||||
Interest-bearing deposits | 181 | 320 | 88 | Interest-bearing deposits | 4,467 | 13,453 | 704 | |||||||||||||||||||||||||||
Securities purchased under agreements to resell | 23,340 | 9,491 | 2,147 | Securities purchased under agreements to resell | 11,124 | 64,336 | 48,454 | |||||||||||||||||||||||||||
Federal funds sold | 70,287 | 34,313 | 12,106 | Federal funds sold | 32,051 | 228,761 | 179,552 | |||||||||||||||||||||||||||
Investment securities: | Investment securities: | |||||||||||||||||||||||||||||||||
Trading securities | 19 | 20 | 22 | Trading securities | 263,847 | 180,506 | 1,535 | |||||||||||||||||||||||||||
Available-for-sale securities | 6,228 | 5,822 | 2,198 | Available-for-sale securities | 4,782 | 27,691 | 40,444 | |||||||||||||||||||||||||||
Held-to-maturity securities | 306,204 | 325,500 | 325,449 | Held-to-maturity securities | 186,363 | 386,526 | 380,304 | |||||||||||||||||||||||||||
Total investment securities | 312,451 | 331,342 | 327,669 | Total investment securities | 454,992 | 594,723 | 422,283 | |||||||||||||||||||||||||||
Mortgage loans held for portfolio | 297,075 | 261,071 | 251,594 | Mortgage loans held for portfolio | 275,600 | 340,025 | 321,328 | |||||||||||||||||||||||||||
Loans to other FHLBanks | — | 13 | — | Loans to other FHLBanks | 60 | 70 | 20 | |||||||||||||||||||||||||||
Total interest income | 1,608,305 | 1,223,394 | 962,978 | Total interest income | 1,247,692 | 2,444,917 | 2,380,722 | |||||||||||||||||||||||||||
INTEREST EXPENSE: | INTEREST EXPENSE: | |||||||||||||||||||||||||||||||||
Consolidated Obligations: | Consolidated Obligations: | |||||||||||||||||||||||||||||||||
Discount Notes | 384,976 | 173,595 | 65,217 | Discount Notes | 294,573 | 988,600 | 915,032 | |||||||||||||||||||||||||||
Bonds | 786,922 | 681,757 | 566,970 | Bonds | 541,996 | 1,033,508 | 951,298 | |||||||||||||||||||||||||||
Total Consolidated Obligations | 1,171,898 | 855,352 | 632,187 | Total Consolidated Obligations | 836,569 | 2,022,108 | 1,866,330 | |||||||||||||||||||||||||||
Deposits | 4,738 | 1,320 | 360 | Deposits | 3,525 | 15,861 | 14,009 | |||||||||||||||||||||||||||
Loans from other FHLBanks | 10 | 1 | — | Loans from other FHLBanks | 0 | 3 | 5 | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 2,514 | 3,517 | 2,432 | Mandatorily redeemable capital stock | 1,068 | 1,113 | 1,806 | |||||||||||||||||||||||||||
Other borrowings | 2 | — | — | |||||||||||||||||||||||||||||||
Total interest expense | 1,179,162 | 860,190 | 634,979 | Total interest expense | 841,162 | 2,039,085 | 1,882,150 | |||||||||||||||||||||||||||
NET INTEREST INCOME | 429,143 | 363,204 | 327,999 | NET INTEREST INCOME | 406,530 | 405,832 | 498,572 | |||||||||||||||||||||||||||
Provision for credit losses | 500 | — | — | |||||||||||||||||||||||||||||||
NET INTEREST INCOME AFTER PROVISION FOR CREDIT LOSSES | 428,643 | 363,204 | 327,999 | |||||||||||||||||||||||||||||||
NON-INTEREST (LOSS) INCOME: | ||||||||||||||||||||||||||||||||||
Net losses on trading securities | (6 | ) | (5 | ) | (18 | ) | ||||||||||||||||||||||||||||
Net realized gains from sale of held-to-maturity securities | — | 38,763 | — | |||||||||||||||||||||||||||||||
Net gains on financial instruments held under fair value option | 10,409 | 40,503 | 1,057 | |||||||||||||||||||||||||||||||
Net (losses) gains on derivatives and hedging activities | (24,464 | ) | (47,431 | ) | 13,037 | |||||||||||||||||||||||||||||
NON-INTEREST INCOME (LOSS): | NON-INTEREST INCOME (LOSS): | |||||||||||||||||||||||||||||||||
Net gains (losses) on investment securities | Net gains (losses) on investment securities | 257,566 | 210,207 | 7,086 | ||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | Net gains (losses) on financial instruments held under fair value option | (7,293) | (53,852) | (14,184) | ||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | Net gains (losses) on derivatives and hedging activities | (273,253) | (177,912) | (40,398) | ||||||||||||||||||||||||||||||
Standby Letters of Credit fees | 10,895 | 12,195 | 13,098 | Standby Letters of Credit fees | 13,936 | 9,429 | 8,753 | |||||||||||||||||||||||||||
Other, net | 1,929 | 2,206 | 2,720 | Other, net | 1,976 | 1,909 | 1,925 | |||||||||||||||||||||||||||
Total non-interest (loss) income | (1,237 | ) | 46,231 | 29,894 | ||||||||||||||||||||||||||||||
Total non-interest income (loss) | Total non-interest income (loss) | (7,068) | (10,219) | (36,818) | ||||||||||||||||||||||||||||||
NON-INTEREST EXPENSE: | NON-INTEREST EXPENSE: | |||||||||||||||||||||||||||||||||
Compensation and benefits | 45,543 | 41,932 | 39,766 | Compensation and benefits | 50,242 | 46,077 | 46,317 | |||||||||||||||||||||||||||
Other operating expenses | 18,880 | 25,935 | 21,728 | Other operating expenses | 20,901 | 21,629 | 20,019 | |||||||||||||||||||||||||||
Finance Agency | 6,598 | 6,325 | 6,793 | Finance Agency | 6,765 | 6,715 | 6,389 | |||||||||||||||||||||||||||
Office of Finance | 4,484 | 4,284 | 4,698 | Office of Finance | 5,119 | 4,930 | 4,984 | |||||||||||||||||||||||||||
Litigation settlement | — | 25,250 | — | |||||||||||||||||||||||||||||||
Other | 3,213 | 7,337 | 2,566 | Other | 9,246 | 9,367 | 7,010 | |||||||||||||||||||||||||||
Total non-interest expense | 78,718 | 111,063 | 75,551 | Total non-interest expense | 92,273 | 88,718 | 84,719 | |||||||||||||||||||||||||||
INCOME BEFORE ASSESSMENTS | 348,688 | 298,372 | 282,342 | INCOME BEFORE ASSESSMENTS | 307,189 | 306,895 | 377,035 | |||||||||||||||||||||||||||
Affordable Housing Program assessments | 35,120 | 30,189 | 27,906 | Affordable Housing Program assessments | 30,826 | 30,801 | 37,884 | |||||||||||||||||||||||||||
NET INCOME | $ | 313,568 | $ | 268,183 | $ | 254,436 | NET INCOME | $ | 276,363 | $ | 276,094 | $ | 339,151 |
(In thousands) | For the Years Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||||||||
Net income | $ | 276,363 | $ | 276,094 | $ | 339,151 | |||||||||||||||||
Other comprehensive income adjustments: | |||||||||||||||||||||||
Net unrealized gains (losses) on available-for-sale securities | 4,348 | 480 | 14 | ||||||||||||||||||||
Pension and postretirement benefits | (2,939) | (3,831) | 3,603 | ||||||||||||||||||||
Total other comprehensive income (loss) adjustments | 1,409 | (3,351) | 3,617 | ||||||||||||||||||||
Comprehensive income | $ | 277,772 | $ | 272,743 | $ | 342,768 |
(In thousands) | For the Years Ended December 31, | ||||||||||
2017 | 2016 | 2015 | |||||||||
Net income | $ | 313,568 | $ | 268,183 | $ | 254,436 | |||||
Other comprehensive income adjustments: | |||||||||||
Net unrealized (losses) gains on available-for-sale securities | (147 | ) | (58 | ) | 105 | ||||||
Pension and postretirement benefits | (3,257 | ) | 79 | 3,214 | |||||||
Total other comprehensive income adjustments | (3,404 | ) | 21 | 3,319 | |||||||
Comprehensive income | $ | 310,164 | $ | 268,204 | $ | 257,755 |
(In thousands) | Capital Stock Class B - Putable | Retained Earnings | Accumulated Other Comprehensive | Total | |||||||||||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | Loss | Capital | |||||||||||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2017 | 42,411 | $ | 4,241,140 | $ | 617,034 | $ | 322,999 | $ | 940,033 | $ | (16,660) | $ | 5,164,513 | ||||||||||||||||||||||||||||
Comprehensive income (loss) | 271,321 | 67,830 | 339,151 | 3,617 | 342,768 | ||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | 4,392 | 439,157 | 439,157 | ||||||||||||||||||||||||||||||||||||||
Repurchase of capital stock | (2,972) | (297,252) | (297,252) | ||||||||||||||||||||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (626) | (62,586) | (62,586) | ||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock | (256,384) | (256,384) | (256,384) | ||||||||||||||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2018 | 43,205 | 4,320,459 | 631,971 | 390,829 | 1,022,800 | (13,043) | 5,330,216 | ||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | 220,875 | 55,219 | 276,094 | (3,351) | 272,743 | ||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | 5,918 | 591,762 | 591,762 | ||||||||||||||||||||||||||||||||||||||
Repurchase of capital stock | (15,386) | (1,538,544) | (1,538,544) | ||||||||||||||||||||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (73) | (7,249) | (7,249) | ||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock | (204,472) | (204,472) | (204,472) | ||||||||||||||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2019 | 33,664 | 3,366,428 | 648,374 | 446,048 | 1,094,422 | (16,394) | 4,444,456 | ||||||||||||||||||||||||||||||||||
Adjustment for cumulative effect of accounting change | 366 | 366 | 366 | ||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | 221,090 | 55,273 | 276,363 | 1,409 | 277,772 | ||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | 21,351 | 2,135,091 | 2,135,091 | ||||||||||||||||||||||||||||||||||||||
Repurchase of capital stock | (23,000) | (2,300,000) | (2,300,000) | ||||||||||||||||||||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (5,606) | (560,656) | (560,656) | ||||||||||||||||||||||||||||||||||||||
Partial recovery of prior capital distribution to Financing Corporation | 16,533 | 16,533 | 16,533 | ||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock | (83,648) | (83,648) | (83,648) | ||||||||||||||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2020 | 26,409 | $ | 2,640,863 | $ | 802,715 | $ | 501,321 | $ | 1,304,036 | $ | (14,985) | $ | 3,929,914 |
(In thousands) | Capital Stock Class B - Putable | Retained Earnings | Accumulated Other Comprehensive | Total | ||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | Loss | Capital | ||||||||||||||||||||
BALANCE, DECEMBER 31, 2014 | 42,665 | $ | 4,266,543 | $ | 499,651 | $ | 155,761 | $ | 655,412 | $ | (16,596 | ) | $ | 4,905,359 | ||||||||||||
Comprehensive income | 203,549 | 50,887 | 254,436 | 3,319 | 257,755 | |||||||||||||||||||||
Proceeds from sale of capital stock | 1,912 | 191,132 | 191,132 | |||||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (289 | ) | (28,919 | ) | (28,919 | ) | ||||||||||||||||||||
Cash dividends on capital stock | (172,202 | ) | (172,202 | ) | (172,202 | ) | ||||||||||||||||||||
BALANCE, DECEMBER 31, 2015 | 44,288 | 4,428,756 | 530,998 | 206,648 | 737,646 | (13,277 | ) | 5,153,125 | ||||||||||||||||||
Comprehensive income | 214,546 | 53,637 | 268,183 | 21 | 268,204 | |||||||||||||||||||||
Proceeds from sale of capital stock | 920 | 92,027 | 92,027 | |||||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (3,639 | ) | (363,839 | ) | (363,839 | ) | ||||||||||||||||||||
Cash dividends on capital stock | (171,422 | ) | (171,422 | ) | (171,422 | ) | ||||||||||||||||||||
BALANCE, DECEMBER 31, 2016 | 41,569 | 4,156,944 | 574,122 | 260,285 | 834,407 | (13,256 | ) | 4,978,095 | ||||||||||||||||||
Comprehensive income | 250,854 | 62,714 | 313,568 | (3,404 | ) | 310,164 | ||||||||||||||||||||
Proceeds from sale of capital stock | 3,547 | 354,654 | 354,654 | |||||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (2,705 | ) | (270,458 | ) | (270,458 | ) | ||||||||||||||||||||
Cash dividends on capital stock | (207,942 | ) | (207,942 | ) | (207,942 | ) | ||||||||||||||||||||
BALANCE, DECEMBER 31, 2017 | 42,411 | $ | 4,241,140 | $ | 617,034 | $ | 322,999 | $ | 940,033 | $ | (16,660 | ) | $ | 5,164,513 |
(In thousands) | For the Years Ended December 31, | ||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||
OPERATING ACTIVITIES: | |||||||||||||||||
Net income | $ | 276,363 | $ | 276,094 | $ | 339,151 | |||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||||||||||
Depreciation and amortization | 64,208 | 4,914 | 59,577 | ||||||||||||||
Net change in derivative and hedging activities | (123,345) | (147,582) | (4,706) | ||||||||||||||
Net change in fair value adjustments on trading securities | (257,566) | (210,207) | (7,086) | ||||||||||||||
Net change in fair value adjustments on financial instruments held under fair value option | 7,293 | 53,852 | 14,184 | ||||||||||||||
Other adjustments, net | 1,014 | 757 | (10) | ||||||||||||||
Net change in: | |||||||||||||||||
Accrued interest receivable | 68,750 | (12,408) | (41,482) | ||||||||||||||
Other assets | (4,476) | (1,517) | 1,651 | ||||||||||||||
Accrued interest payable | (54,159) | (21,224) | 18,077 | ||||||||||||||
Other liabilities | 16,062 | 19,520 | 25,792 | ||||||||||||||
Total adjustments | (282,219) | (313,895) | 65,997 | ||||||||||||||
Net cash provided by (used in) operating activities | (5,856) | (37,801) | 405,148 | ||||||||||||||
INVESTING ACTIVITIES: | |||||||||||||||||
Net change in: | |||||||||||||||||
Interest-bearing deposits | (87,411) | (771,791) | (7,089) | ||||||||||||||
Securities purchased under agreements to resell | 530,316 | 2,053,624 | 3,299,721 | ||||||||||||||
Federal funds sold | 593,000 | 5,960,000 | (7,143,000) | ||||||||||||||
Premises, software, and equipment | (1,861) | (2,460) | (2,173) | ||||||||||||||
Trading securities: | |||||||||||||||||
Proceeds from maturities | 5,885,074 | 139 | 164 | ||||||||||||||
Purchases | (4,499,938) | (11,181,646) | (216,277) | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||
Proceeds from maturities | 1,810,000 | 6,525,000 | 6,850,000 | ||||||||||||||
Purchases | (550,267) | (5,673,500) | (8,336,000) | ||||||||||||||
Held-to-maturity securities: | |||||||||||||||||
Proceeds from maturities | 3,919,706 | 3,561,188 | 2,917,912 | ||||||||||||||
Purchases | (75,604) | (1,290,195) | (4,065,023) | ||||||||||||||
Advances: | |||||||||||||||||
Repaid | 512,521,226 | 1,343,898,413 | 2,889,037,056 | ||||||||||||||
Originated | (490,263,028) | (1,336,290,080) | (2,873,930,828) | ||||||||||||||
Mortgage loans held for portfolio: | |||||||||||||||||
Principal collected | 4,291,048 | 1,922,162 | 1,117,727 | ||||||||||||||
Purchases | (2,691,664) | (2,691,654) | (1,978,111) | ||||||||||||||
Net cash provided by (used in) investing activities | 31,380,597 | 6,019,200 | 7,544,079 | ||||||||||||||
The accompanying notes are an integral part of these financial statements. | |||||||||||||||||
(In thousands) | For the Years Ended December 31, | ||||||||||
2017 | 2016 | 2015 | |||||||||
OPERATING ACTIVITIES: | |||||||||||
Net income | $ | 313,568 | $ | 268,183 | $ | 254,436 | |||||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||||||
Depreciation and amortization | 57,973 | 55,296 | 35,793 | ||||||||
Net change in derivative and hedging activities | 6,927 | 63,806 | 12,651 | ||||||||
Net change in fair value adjustments on trading securities | 6 | 5 | 18 | ||||||||
Net change in fair value adjustments on financial instruments held under fair value option | (10,409 | ) | (40,503 | ) | (1,057 | ) | |||||
Other adjustments | 489 | (38,774 | ) | (11 | ) | ||||||
Net change in: | |||||||||||
Accrued interest receivable | (18,701 | ) | (15,028 | ) | (13,473 | ) | |||||
Other assets | 23,686 | (24,325 | ) | (1,120 | ) | ||||||
Accrued interest payable | 4,743 | 21,273 | 4,694 | ||||||||
Other liabilities | 15,456 | 32,560 | 41,036 | ||||||||
Total adjustments | 80,170 | 54,310 | 78,531 | ||||||||
Net cash provided by operating activities | 393,738 | 322,493 | 332,967 | ||||||||
INVESTING ACTIVITIES: | |||||||||||
Net change in: | |||||||||||
Interest-bearing deposits | 46,981 | (113,516 | ) | 12,092 | |||||||
Securities purchased under agreements to resell | (2,472,442 | ) | 5,302,492 | (7,188,979 | ) | ||||||
Federal funds sold | 607,000 | 6,588,000 | (4,245,000 | ) | |||||||
Premises, software, and equipment | (2,647 | ) | (1,623 | ) | (1,834 | ) | |||||
Trading securities: | |||||||||||
Proceeds from maturities of long-term | 182 | 184 | 164 | ||||||||
Available-for-sale securities: | |||||||||||
Net decrease (increase) in short-term | 400,000 | (600,000 | ) | 650,000 | |||||||
Held-to-maturity securities: | |||||||||||
Net (increase) decrease in short-term | (2,753 | ) | 1,404 | (6,585 | ) | ||||||
Proceeds from maturities of long-term | 2,420,330 | 2,924,469 | 2,611,029 | ||||||||
Proceeds from sale of long-term | — | 852,199 | — | ||||||||
Purchases of long-term | (2,992,069 | ) | (2,529,144 | ) | (3,172,521 | ) | |||||
Advances: | |||||||||||
Repaid | 2,366,633,884 | 1,364,290,711 | 930,146,812 | ||||||||
Originated | (2,366,705,248 | ) | (1,360,955,355 | ) | (933,090,216 | ) | |||||
Mortgage loans held for portfolio: | |||||||||||
Principal collected | 1,218,035 | 1,661,697 | 1,383,198 | ||||||||
Purchases | (1,788,156 | ) | (2,899,907 | ) | (2,414,064 | ) | |||||
Net cash (used in) provided by investing activities | (2,636,903 | ) | 14,521,611 | (15,315,904 | ) | ||||||
The accompanying notes are an integral part of these financial statements. | |||||||||||
(continued from previous page) | |||||||||||||||||
FEDERAL HOME LOAN BANK OF CINCINNATI | |||||||||||||||||
STATEMENTS OF CASH FLOWS | |||||||||||||||||
(In thousands) | For the Years Ended December 31, | ||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||
FINANCING ACTIVITIES: | |||||||||||||||||
Net change in deposits and pass-through reserves | $ | 371,585 | $ | 274,910 | $ | 28,225 | |||||||||||
Net proceeds (payments) on derivative contracts with financing elements | (10,764) | (619) | (1,107) | ||||||||||||||
Net proceeds from issuance of Consolidated Obligations: | |||||||||||||||||
Discount Notes | 275,314,658 | 823,242,543 | 552,603,900 | ||||||||||||||
Bonds | 37,753,386 | 27,927,333 | 29,071,856 | ||||||||||||||
Bonds transferred from other FHLBanks | 0 | 12,697 | 0 | ||||||||||||||
Payments for maturing and retiring Consolidated Obligations: | |||||||||||||||||
Discount Notes | (296,851,576) | (821,075,874) | (551,919,437) | ||||||||||||||
Bonds | (44,193,670) | (35,191,800) | (37,565,265) | ||||||||||||||
Proceeds from issuance of capital stock | 2,135,091 | 591,762 | 439,157 | ||||||||||||||
Payments for repurchase of capital stock | (2,300,000) | (1,538,544) | (297,252) | ||||||||||||||
Payments for repurchase/redemption of mandatorily redeemable capital stock | (562,871) | (8,764) | (69,433) | ||||||||||||||
Cash dividends paid | (83,648) | (204,472) | (256,384) | ||||||||||||||
Partial recovery of prior capital distribution to Financing Corporation | 16,533 | 0 | 0 | ||||||||||||||
Net cash provided by (used in) financing activities | (28,411,276) | (5,970,828) | (7,965,740) | ||||||||||||||
Net increase (decrease) in cash and due from banks | 2,963,465 | 10,571 | (16,513) | ||||||||||||||
Cash and due from banks at beginning of the period | 20,608 | 10,037 | 26,550 | ||||||||||||||
Cash and due from banks at end of the period | $ | 2,984,073 | $ | 20,608 | $ | 10,037 | |||||||||||
Supplemental Disclosures: | |||||||||||||||||
Interest paid | $ | 955,423 | $ | 2,116,628 | $ | 1,851,838 | |||||||||||
Affordable Housing Program payments, net | $ | 35,349 | $ | 32,842 | $ | 30,425 | |||||||||||
(continued from previous page) | |||||||||||
FEDERAL HOME LOAN BANK OF CINCINNATI | |||||||||||
STATEMENTS OF CASH FLOWS | |||||||||||
(In thousands) | For the Years Ended December 31, | ||||||||||
2017 | 2016 | 2015 | |||||||||
FINANCING ACTIVITIES: | |||||||||||
Net change in deposits and pass-through reserves | $ | (99,633 | ) | $ | 3,567 | $ | 74,725 | ||||
Net payments on derivative contracts with financing elements | (4,210 | ) | (23,185 | ) | (28,458 | ) | |||||
Net proceeds from issuance of Consolidated Obligations: | |||||||||||
Discount Notes | 449,775,543 | 325,535,819 | 305,975,240 | ||||||||
Bonds | 27,080,080 | 50,922,924 | 19,042,816 | ||||||||
Payments for maturing and retiring Consolidated Obligations: | |||||||||||
Discount Notes | (448,296,555 | ) | (358,051,273 | ) | (270,027,809 | ) | |||||
Bonds | (26,065,750 | ) | (32,787,008 | ) | (43,118,354 | ) | |||||
Proceeds from issuance of capital stock | 354,654 | 92,027 | 191,132 | ||||||||
Payments for repurchase/redemption of mandatorily redeemable capital stock | (275,209 | ) | (366,952 | ) | (53,987 | ) | |||||
Cash dividends paid | (207,942 | ) | (171,422 | ) | (172,202 | ) | |||||
Net cash provided by (used in) financing activities | 2,260,978 | (14,845,503 | ) | 11,883,103 | |||||||
Net increase (decrease) in cash and cash equivalents | 17,813 | (1,399 | ) | (3,099,834 | ) | ||||||
Cash and cash equivalents at beginning of the period | 8,737 | 10,136 | 3,109,970 | ||||||||
Cash and cash equivalents at end of the period | $ | 26,550 | $ | 8,737 | $ | 10,136 | |||||
Supplemental Disclosures: | |||||||||||
Interest paid | $ | 1,157,662 | $ | 858,401 | $ | 642,179 | |||||
Affordable Housing Program payments, net | $ | 30,126 | $ | 32,658 | $ | 18,657 |
Fair Value | December 31, 2017 | December 31, 2016 | Fair Value | December 31, 2020 | December 31, 2019 | |||||||||||||
Mortgage-backed securities: | ||||||||||||||||||
U.S. obligation single-family mortgage-backed securities | $ | 781 | $ | 970 | ||||||||||||||
Non-mortgage-backed securities (non-MBS): | Non-mortgage-backed securities (non-MBS): | |||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | $ | 8,362,211 | $ | 9,626,964 | |||||||||||||
GSE obligations | GSE obligations | 2,125,580 | 1,988,259 | |||||||||||||||
Total non-MBS | Total non-MBS | 10,487,791 | 11,615,223 | |||||||||||||||
Mortgage-backed securities (MBS): | Mortgage-backed securities (MBS): | |||||||||||||||||
U.S. obligation single-family MBS | U.S. obligation single-family MBS | 333 | 470 | |||||||||||||||
Total | $ | 781 | $ | 970 | Total | $ | 10,488,124 | $ | 11,615,693 |
For the Years Ended December 31, | |||||||||||||||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||||||||||||||
Net gains (losses) on trading securities held at period end | $ | 268,392 | $ | 210,207 | $ | 7,086 | |||||||||||||||||||||||
Net gains (losses) on trading securities matured during the period | (10,826) | 0 | 0 | ||||||||||||||||||||||||||
Net gains (losses) on trading securities | $ | 257,566 | $ | 210,207 | $ | 7,086 |
For the Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
Net losses on trading securities held at period end | $ | (6 | ) | $ | (5 | ) | $ | (18 | ) | ||
Net losses on trading securities | $ | (6 | ) | $ | (5 | ) | $ | (18 | ) |
December 31, 2020 | |||||||||||||||||||||||
Amortized Cost (1) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||
GSE obligations | $ | 140,600 | $ | 1,802 | $ | 0 | $ | 142,402 | |||||||||||||||
Total non-MBS | 140,600 | 1,802 | 0 | 142,402 | |||||||||||||||||||
MBS: | |||||||||||||||||||||||
GSE multi-family MBS | 146,269 | 2,916 | 0 | 149,185 | |||||||||||||||||||
Total MBS | 146,269 | 2,916 | 0 | 149,185 | |||||||||||||||||||
Total | $ | 286,869 | $ | 4,718 | $ | 0 | $ | 291,587 | |||||||||||||||
December 31, 2019 | |||||||||||||||||||||||
Amortized Cost (1) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Certificates of deposit | $ | 1,410,000 | $ | 111 | $ | 0 | $ | 1,410,111 | |||||||||||||||
GSE obligations | 131,815 | 601 | (342) | 132,074 | |||||||||||||||||||
Total | $ | 1,541,815 | $ | 712 | $ | (342) | $ | 1,542,185 |
December 31, 2017 | |||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Certificates of deposit | $ | 900,000 | $ | — | $ | (124 | ) | $ | 899,876 | ||||||
Total | $ | 900,000 | $ | — | $ | (124 | ) | $ | 899,876 | ||||||
December 31, 2016 | |||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Certificates of deposit | $ | 1,300,000 | $ | 38 | $ | (15 | ) | $ | 1,300,023 | ||||||
Total | $ | 1,300,000 | $ | 38 | $ | (15 | ) | $ | 1,300,023 |
December 31, 2017 | December 31, 2016 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Due in one year or less | $ | 900,000 | $ | 899,876 | $ | 1,300,000 | $ | 1,300,023 |
December 31, 2017 | December 31, 2016 | ||||||
Amortized cost of available-for-sale securities: | |||||||
Fixed-rate | $ | 900,000 | $ | 1,300,000 |
December 31, 2017 | |||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities: | |||||||||||||||
U.S. Treasury obligations | $ | 34,033 | $ | — | $ | (6 | ) | $ | 34,027 | ||||||
Total non-mortgage-backed securities | 34,033 | — | (6 | ) | 34,027 | ||||||||||
Mortgage-backed securities: | |||||||||||||||
U.S. obligation single-family mortgage-backed securities | 2,483,446 | 1,974 | (23,547 | ) | 2,461,873 | ||||||||||
Government-sponsored enterprises (GSE) single-family mortgage-backed securities | 6,703,367 | 37,265 | (138,960 | ) | 6,601,672 | ||||||||||
GSE multi-family mortgage-backed securities | 5,584,124 | 4,956 | (4,323 | ) | 5,584,757 | ||||||||||
Total mortgage-backed securities | 14,770,937 | 44,195 | (166,830 | ) | 14,648,302 | ||||||||||
Total | $ | 14,804,970 | $ | 44,195 | $ | (166,836 | ) | $ | 14,682,329 | ||||||
December 31, 2016 | |||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities: | |||||||||||||||
GSE | $ | 31,279 | $ | 1 | $ | — | $ | 31,280 | |||||||
Total non-mortgage-backed securities | 31,279 | 1 | — | 31,280 | |||||||||||
Mortgage-backed securities: | |||||||||||||||
U.S. obligation single-family mortgage-backed securities | 3,183,219 | 3,653 | (23,151 | ) | 3,163,721 | ||||||||||
GSE single-family mortgage-backed securities | 8,186,733 | 36,161 | (147,494 | ) | 8,075,400 | ||||||||||
GSE multi-family mortgage-backed securities | 3,145,748 | 988 | (3,906 | ) | 3,142,830 | ||||||||||
Total mortgage-backed securities | 14,515,700 | 40,802 | (174,551 | ) | 14,381,951 | ||||||||||
Total | $ | 14,546,979 | $ | 40,803 | $ | (174,551 | ) | $ | 14,413,231 |
December 31, 2017 | December 31, 2016 | ||||||
Premiums | $ | 49,713 | $ | 60,519 | |||
Discounts | (24,243 | ) | (31,474 | ) | |||
Net purchased premiums | $ | 25,470 | $ | 29,045 |
December 31, 2019 | |||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||||||||
GSE obligations | $ | 17,071 | $ | (126) | $ | 21,574 | $ | (216) | $ | 38,645 | $ | (342) | |||||||||||||||||||||||
Total | $ | 17,071 | $ | (126) | $ | 21,574 | $ | (216) | $ | 38,645 | $ | (342) |
December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||
Due in 1 year or less | $ | 0 | $ | 0 | $ | 1,410,000 | $ | 1,410,111 | |||||||||||||||
Due after 1 year through 5 years | 11,248 | 11,309 | 0 | 0 | |||||||||||||||||||
Due after 5 years through 10 years | 116,096 | 117,507 | 119,771 | 119,870 | |||||||||||||||||||
Due after 10 years | 13,256 | 13,586 | 12,044 | 12,204 | |||||||||||||||||||
Total non-MBS | 140,600 | 142,402 | 1,541,815 | 1,542,185 | |||||||||||||||||||
MBS (1) | 146,269 | 149,185 | 0 | 0 | |||||||||||||||||||
Total | $ | 286,869 | $ | 291,587 | $ | 1,541,815 | $ | 1,542,185 |
December 31, 2020 | December 31, 2019 | ||||||||||
Amortized cost of non-MBS: | |||||||||||
Fixed-rate | $ | 140,600 | $ | 1,541,815 | |||||||
Total amortized cost of non-MBS | 140,600 | 1,541,815 | |||||||||
Amortized cost of MBS: | |||||||||||
Fixed-rate | 146,269 | 0 | |||||||||
Total amortized cost of MBS | 146,269 | 0 | |||||||||
Total | $ | 286,869 | $ | 1,541,815 |
December 31, 2020 | |||||||||||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||
U.S. Treasury obligations | $ | 41,398 | $ | 1 | $ | 0 | $ | 41,399 | |||||||||||||||
Total non-MBS | 41,398 | 1 | 0 | 41,399 | |||||||||||||||||||
MBS: | |||||||||||||||||||||||
U.S. obligation single-family MBS | 986,399 | 41,218 | 0 | 1,027,617 | |||||||||||||||||||
GSE single-family MBS | 3,013,326 | 105,657 | (2) | 3,118,981 | |||||||||||||||||||
GSE multi-family MBS | 5,607,048 | 5,146 | (8,055) | 5,604,139 | |||||||||||||||||||
Total MBS | 9,606,773 | 152,021 | (8,057) | 9,750,737 | |||||||||||||||||||
Total | $ | 9,648,171 | $ | 152,022 | $ | (8,057) | $ | 9,792,136 | |||||||||||||||
December 31, 2019 | |||||||||||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||
U.S. Treasury obligations | $ | 35,171 | $ | 5 | $ | 0 | $ | 35,176 | |||||||||||||||
Total non-MBS | 35,171 | 5 | 0 | 35,176 | |||||||||||||||||||
MBS: | |||||||||||||||||||||||
U.S. obligation single-family MBS | 1,670,783 | 13,499 | (239) | 1,684,043 | |||||||||||||||||||
GSE single-family MBS | 4,500,471 | 40,386 | (24,072) | 4,516,785 | |||||||||||||||||||
GSE multi-family MBS | 7,292,894 | 54 | (27,745) | 7,265,203 | |||||||||||||||||||
Total MBS | 13,464,148 | 53,939 | (52,056) | 13,466,031 | |||||||||||||||||||
Total | $ | 13,499,319 | $ | 53,944 | $ | (52,056) | $ | 13,501,207 |
December 31, 2020 | December 31, 2019 | ||||||||||
Premiums | $ | 18,299 | $ | 32,071 | |||||||
Discounts | (7,269) | (13,996) | |||||||||
Net purchased premiums | $ | 11,030 | $ | 18,075 |
December 31, 2019 | |||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||||||||
U.S. obligation single-family MBS | $ | 148,586 | $ | (239) | $ | 0 | $ | 0 | $ | 148,586 | $ | (239) | |||||||||||||||||||||||
GSE single-family MBS | 702,730 | (2,682) | 1,921,576 | (21,390) | 2,624,306 | (24,072) | |||||||||||||||||||||||||||||
GSE multi-family MBS | 3,385,731 | (7,704) | 3,735,950 | (20,041) | 7,121,681 | (27,745) | |||||||||||||||||||||||||||||
Total MBS | $ | 4,237,047 | $ | (10,625) | $ | 5,657,526 | $ | (41,431) | $ | 9,894,573 | $ | (52,056) |
December 31, 2017 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||
Non-mortgage-backed securities: | |||||||||||||||||||||||
U.S. Treasury obligations | $ | 34,027 | $ | (6 | ) | $ | — | $ | — | $ | 34,027 | $ | (6 | ) | |||||||||
Total non-mortgage-backed securities | 34,027 | (6 | ) | — | — | 34,027 | (6 | ) | |||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||
U.S. obligation single-family mortgage-backed securities | 1,193,566 | (10,455 | ) | 657,209 | (13,092 | ) | 1,850,775 | (23,547 | ) | ||||||||||||||
GSE single-family mortgage-backed securities | 1,169,590 | (14,171 | ) | 3,578,537 | (124,789 | ) | 4,748,127 | (138,960 | ) | ||||||||||||||
GSE multi-family mortgage-backed securities | 1,133,452 | (4,307 | ) | 136,051 | (16 | ) | 1,269,503 | (4,323 | ) | ||||||||||||||
Total mortgage-backed securities | 3,496,608 | (28,933 | ) | 4,371,797 | (137,897 | ) | 7,868,405 | (166,830 | ) | ||||||||||||||
Total | $ | 3,530,635 | $ | (28,939 | ) | $ | 4,371,797 | $ | (137,897 | ) | $ | 7,902,432 | $ | (166,836 | ) | ||||||||
December 31, 2016 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||
U.S. obligation single-family mortgage-backed securities | $ | 2,151,584 | $ | (23,151 | ) | $ | — | $ | — | $ | 2,151,584 | $ | (23,151 | ) | |||||||||
GSE single-family mortgage-backed securities | 4,548,897 | (90,119 | ) | 1,193,241 | (57,375 | ) | 5,742,138 | (147,494 | ) | ||||||||||||||
GSE multi-family mortgage-backed securities | 1,897,043 | (3,906 | ) | — | — | 1,897,043 | (3,906 | ) | |||||||||||||||
Total | $ | 8,597,524 | $ | (117,176 | ) | $ | 1,193,241 | $ | (57,375 | ) | $ | 9,790,765 | $ | (174,551 | ) |
December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||
Year of Maturity | Amortized Cost (1) | Fair Value | Amortized Cost (1) | Fair Value | |||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||
Due in 1 year or less | $ | 41,398 | $ | 41,399 | $ | 35,171 | $ | 35,176 | |||||||||||||||
Due after 1 year through 5 years | 0 | 0 | 0 | 0 | |||||||||||||||||||
Due after 5 years through 10 years | 0 | 0 | 0 | 0 | |||||||||||||||||||
Due after 10 years | 0 | 0 | 0 | 0 | |||||||||||||||||||
Total non-MBS | 41,398 | 41,399 | 35,171 | 35,176 | |||||||||||||||||||
MBS (2) | 9,606,773 | 9,750,737 | 13,464,148 | 13,466,031 | |||||||||||||||||||
Total | $ | 9,648,171 | $ | 9,792,136 | $ | 13,499,319 | $ | 13,501,207 |
December 31, 2017 | December 31, 2016 | ||||||||||||||
Year of Maturity | Amortized Cost (1) | Fair Value | Amortized Cost (1) | Fair Value | |||||||||||
Non-mortgage-backed securities: | |||||||||||||||
Due in 1 year or less | $ | 34,033 | $ | 34,027 | $ | 31,279 | $ | 31,280 | |||||||
Due after 1 year through 5 years | — | — | — | — | |||||||||||
Due after 5 years through 10 years | — | — | — | — | |||||||||||
Due after 10 years | — | — | — | — | |||||||||||
Total non-mortgage-backed securities | 34,033 | 34,027 | 31,279 | 31,280 | |||||||||||
Mortgage-backed securities (2) | 14,770,937 | 14,648,302 | 14,515,700 | 14,381,951 | |||||||||||
Total | $ | 14,804,970 | $ | 14,682,329 | $ | 14,546,979 | $ | 14,413,231 |
December 31, 2020 | December 31, 2019 | ||||||||||
Amortized cost of non-MBS: | |||||||||||
Fixed-rate | $ | 41,398 | $ | 35,171 | |||||||
Total amortized cost of non-MBS | 41,398 | 35,171 | |||||||||
Amortized cost of MBS: | |||||||||||
Fixed-rate | 3,677,199 | 5,438,532 | |||||||||
Variable-rate | 5,929,574 | 8,025,616 | |||||||||
Total amortized cost of MBS | 9,606,773 | 13,464,148 | |||||||||
Total | $ | 9,648,171 | $ | 13,499,319 |
December 31, 2017 | December 31, 2016 | ||||||
Amortized cost of non-mortgage-backed securities: | |||||||
Fixed-rate | $ | 34,033 | $ | 31,279 | |||
Total amortized cost of non-mortgage-backed securities | 34,033 | 31,279 | |||||
Amortized cost of mortgage-backed securities: | |||||||
Fixed-rate | 8,003,906 | 9,706,072 | |||||
Variable-rate | 6,767,031 | 4,809,628 | |||||
Total amortized cost of mortgage-backed securities | 14,770,937 | 14,515,700 | |||||
Total | $ | 14,804,970 | $ | 14,546,979 |
For the Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
Proceeds from sale of held-to-maturity securities | $ | — | $ | 852,199 | $ | — | |||||
Gross gains from sale of held-to-maturity securities | — | 38,763 | — |
December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||
Redemption Term | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | |||||||||||||||||||
Due in 1 year or less | $ | 12,064,753 | 0.75 | % | $ | 32,342,198 | 1.78 | % | |||||||||||||||
Due after 1 year through 2 years | 1,986,446 | 1.88 | 4,477,497 | 2.19 | |||||||||||||||||||
Due after 2 years through 3 years | 1,445,139 | 2.15 | 1,996,647 | 2.30 | |||||||||||||||||||
Due after 3 years through 4 years | 1,809,523 | 1.97 | 1,408,948 | 2.50 | |||||||||||||||||||
Due after 4 years through 5 years | 2,361,604 | 1.02 | 1,765,323 | 2.08 | |||||||||||||||||||
Thereafter | 5,339,932 | 1.34 | 5,273,531 | 2.35 | |||||||||||||||||||
Total principal amount | 25,007,397 | 1.16 | 47,264,144 | 1.94 | |||||||||||||||||||
Commitment fees | (170) | (281) | |||||||||||||||||||||
Discount on Affordable Housing Program (AHP) Advances | (2,053) | (3,148) | |||||||||||||||||||||
Premiums | 0 | 1,221 | |||||||||||||||||||||
Discounts | (2,046) | (2,530) | |||||||||||||||||||||
Hedging adjustments | 358,173 | 109,929 | |||||||||||||||||||||
Fair value option valuation adjustments and accrued interest | 702 | 238 | |||||||||||||||||||||
Total (1) | $ | 25,362,003 | $ | 47,369,573 |
December 31, 2017 | December 31, 2016 | ||||||||||||
Redemption Term | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | |||||||||
Overdrawn demand deposit accounts | $ | 1,302 | 1.55 | % | $ | — | — | % | |||||
Due in 1 year or less | 40,473,141 | 1.55 | 23,129,060 | 0.85 | |||||||||
Due after 1 year through 2 years | 15,655,118 | 1.69 | 21,503,138 | 1.06 | |||||||||
Due after 2 years through 3 years | 6,537,170 | 1.74 | 14,292,353 | 1.12 | |||||||||
Due after 3 years through 4 years | 1,980,655 | 2.00 | 5,322,050 | 1.26 | |||||||||
Due after 4 years through 5 years | 893,283 | 2.07 | 963,105 | 1.78 | |||||||||
Thereafter | 4,437,731 | 2.17 | 4,697,315 | 1.75 | |||||||||
Total par value | 69,978,400 | 1.66 | 69,907,021 | 1.07 | |||||||||
Commitment fees | (510 | ) | (534 | ) | |||||||||
Discount on Affordable Housing Program (AHP) Advances | (5,795 | ) | (7,435 | ) | |||||||||
Premiums | 1,789 | 2,061 | |||||||||||
Discounts | (4,252 | ) | (5,994 | ) | |||||||||
Hedging adjustments | (51,421 | ) | (13,138 | ) | |||||||||
Fair value option valuation adjustments and accrued interest | 13 | 93 | |||||||||||
Total | $ | 69,918,224 | $ | 69,882,074 |
Redemption Term or Next Call Date | December 31, 2020 | December 31, 2019 | |||||||||
Due in 1 year or less | $ | 15,375,354 | $ | 35,366,608 | |||||||
Due after 1 year through 2 years | 1,716,058 | 4,982,222 | |||||||||
Due after 2 years through 3 years | 1,434,377 | 1,724,647 | |||||||||
Due after 3 years through 4 years | 1,785,672 | 1,381,718 | |||||||||
Due after 4 years through 5 years | 877,504 | 1,535,418 | |||||||||
Thereafter | 3,818,432 | 2,273,531 | |||||||||
Total principal amount | $ | 25,007,397 | $ | 47,264,144 |
Year of Contractual Maturity or Next Call Date | December 31, 2017 | December 31, 2016 | |||||
Overdrawn demand deposit accounts | $ | 1,302 | $ | — | |||
Due in 1 year or less | 46,390,733 | 33,831,156 | |||||
Due after 1 year through 2 years | 15,054,889 | 15,901,805 | |||||
Due after 2 years through 3 years | 3,768,534 | 13,608,214 | |||||
Due after 3 years through 4 years | 2,903,655 | 2,982,425 | |||||
Due after 4 years through 5 years | 506,557 | 2,243,105 | |||||
Thereafter | 1,352,730 | 1,340,316 | |||||
Total par value | $ | 69,978,400 | $ | 69,907,021 |
Redemption Term or Next Put Date | December 31, 2020 | December 31, 2019 | |||||||||
Due in 1 year or less | $ | 14,407,003 | $ | 33,451,448 | |||||||
Due after 1 year through 2 years | 2,146,446 | 4,777,497 | |||||||||
Due after 2 years through 3 years | 1,485,139 | 2,129,647 | |||||||||
Due after 3 years through 4 years | 1,855,273 | 1,238,948 | |||||||||
Due after 4 years through 5 years | 2,346,604 | 1,611,073 | |||||||||
Thereafter | 2,766,932 | 4,055,531 | |||||||||
Total principal amount | $ | 25,007,397 | $ | 47,264,144 |
Year of Contractual Maturity or Next Put Date | December 31, 2017 | December 31, 2016 | |||||
Overdrawn demand deposit accounts | $ | 1,302 | $ | — | |||
Due in 1 year or less | 40,588,641 | 23,499,560 | |||||
Due after 1 year through 2 years | 15,649,618 | 21,248,138 | |||||
Due after 2 years through 3 years | 6,537,170 | 14,286,853 | |||||
Due after 3 years through 4 years | 1,980,655 | 5,322,050 | |||||
Due after 4 years through 5 years | 893,283 | 963,105 | |||||
Thereafter | 4,327,731 | 4,587,315 | |||||
Total par value | $ | 69,978,400 | $ | 69,907,021 |
December 31, 2020 | December 31, 2019 | ||||||||||
Fixed-rate (1) | |||||||||||
Due in one year or less | $ | 9,681,997 | $ | 25,918,472 | |||||||
Due after one year | 9,513,793 | 10,194,636 | |||||||||
Total fixed-rate (1) | 19,195,790 | 36,113,108 | |||||||||
Variable-rate (1) | |||||||||||
Due in one year or less | 2,382,756 | 6,423,726 | |||||||||
Due after one year | 3,428,851 | 4,727,310 | |||||||||
Total variable-rate (1) | 5,811,607 | 11,151,036 | |||||||||
Total principal amount | $ | 25,007,397 | $ | 47,264,144 |
December 31, 2017 | December 31, 2016 | ||||||
Fixed-rate (1) | |||||||
Due in one year or less | $ | 26,505,900 | $ | 16,330,685 | |||
Due after one year | 10,109,877 | 8,369,765 | |||||
Total fixed-rate (1) | 36,615,777 | 24,700,450 | |||||
Variable-rate (1) | |||||||
Due in one year or less | 13,968,543 | 6,798,375 | |||||
Due after one year | 19,394,080 | 38,408,196 | |||||
Total variable-rate (1) | 33,362,623 | 45,206,571 | |||||
Total par value | $ | 69,978,400 | $ | 69,907,021 |
December 31, 2017 | December 31, 2016 | |||||||||||||
Principal | % of Total Par Value of Advances | Principal | % of Total Par Value of Advances | |||||||||||
JPMorgan Chase Bank, N.A. | $ | 23,950 | 34 | % | JPMorgan Chase Bank, N.A. | $ | 32,300 | 46 | % | |||||
U.S. Bank, N.A. | 8,975 | 13 | U.S. Bank, N.A. | 8,563 | 12 | |||||||||
Third Federal Savings and Loan Association | 3,756 | 5 | Total | $ | 40,863 | 58 | % | |||||||
The Huntington National Bank | 3,732 | 5 | ||||||||||||
Total | $ | 40,413 | 57 | % |
December 31, 2017 | December 31, 2016 | ||||||
Unpaid principal balance: | |||||||
Fixed rate medium-term single-family mortgage loans (1) | $ | 1,128,749 | $ | 1,320,585 | |||
Fixed rate long-term single-family mortgage loans | 8,325,465 | 7,605,088 | |||||
Total unpaid principal balance | 9,454,214 | 8,925,673 | |||||
Premiums | 217,716 | 211,058 | |||||
Discounts | (3,173 | ) | (3,740 | ) | |||
Hedging basis adjustments (2) | 13,373 | 16,869 | |||||
Total mortgage loans held for portfolio | $ | 9,682,130 | $ | 9,149,860 |
December 31, 2017 | December 31, 2016 | ||||||
Unpaid principal balance: | |||||||
Conventional mortgage loans | $ | 9,129,003 | $ | 8,534,542 | |||
FHA mortgage loans | 325,211 | 391,131 | |||||
Total unpaid principal balance | $ | 9,454,214 | $ | 8,925,673 |
December 31, 2017 | December 31, 2016 | |||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||
Union Savings Bank | $ | 3,247 | 34 | % | Union Savings Bank | $ | 2,886 | 32 | % | |||||
Guardian Savings Bank FSB | 933 | 10 | Guardian Savings Bank FSB | 855 | 10 | |||||||||
PNC Bank, N.A. (1) | 516 | 5 | PNC Bank, N.A. (1) | 660 | 7 |
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||
Principal | % of Total Principal Amount of Advances | Principal | % of Total Principal Amount of Advances | |||||||||||||||||||||||
U.S. Bank, N.A. | $ | 4,273 | 17 | % | U.S. Bank, N.A. | $ | 13,874 | 29 | % | |||||||||||||||||
Third Federal Savings and Loan Association | 3,443 | 14 | JPMorgan Chase Bank, N.A. | 4,500 | 10 | |||||||||||||||||||||
Nationwide Life Insurance Company | 2,062 | 8 | Third Federal Savings and Loan Association | 3,883 | 8 | |||||||||||||||||||||
Protective Life Insurance Company | 1,955 | 8 | Total | $ | 22,257 | 47 | % | |||||||||||||||||||
Western-Southern Life Assurance Co. | 1,344 | 5 | ||||||||||||||||||||||||
Total | $ | 13,077 | 52 | % |
December 31, 2020 | December 31, 2019 | ||||||||||
Fixed rate medium-term single-family mortgage loans (1) | $ | 731,756 | $ | 773,575 | |||||||
Fixed rate long-term single-family mortgage loans | 8,584,239 | 10,207,367 | |||||||||
Total unpaid principal balance | 9,315,995 | 10,980,942 | |||||||||
Premiums | 208,281 | 241,356 | |||||||||
Discounts | (1,636) | (2,166) | |||||||||
Hedging basis adjustments (2) | 26,114 | 15,932 | |||||||||
Total mortgage loans held for portfolio (3) | 9,548,754 | 11,236,064 | |||||||||
Allowance for credit losses on mortgage loans | (248) | (711) | |||||||||
Mortgage loans held for portfolio, net | $ | 9,548,506 | $ | 11,235,353 |
December 31, 2020 | December 31, 2019 | ||||||||||
Conventional mortgage loans | $ | 9,133,942 | $ | 10,750,526 | |||||||
FHA mortgage loans | 182,053 | 230,416 | |||||||||
Total unpaid principal balance | $ | 9,315,995 | $ | 10,980,942 |
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||||||||||||||
Union Savings Bank | $ | 2,826 | 30 | % | Union Savings Bank | $ | 3,574 | 33 | % | |||||||||||||||||
Guardian Savings Bank FSB | 796 | 9 | Guardian Savings Bank FSB | 1,004 | 9 | |||||||||||||||||||||
FirstBank | 714 | 7 |
For the Years Ended December 31, | |||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||
LRA at beginning of year | $ | 233,476 | $ | 213,260 | $ | 200,745 | |||||||||||
Additions | 28,795 | 29,558 | 24,784 | ||||||||||||||
Claims | (101) | (113) | (492) | ||||||||||||||
Scheduled distributions | (15,735) | (9,229) | (11,777) | ||||||||||||||
LRA at end of period | $ | 246,435 | $ | 233,476 | $ | 213,260 |
December 31, 2020 | |||||||||||||||||
Origination Year | |||||||||||||||||
Payment status, at amortized cost (1): | Prior to 2016 | 2016 to 2020 | Total | ||||||||||||||
Past due 30-59 days | $ | 16,812 | $ | 19,036 | $ | 35,848 | |||||||||||
Past due 60-89 days | 7,245 | 7,553 | 14,798 | ||||||||||||||
Past due 90 days or more | 24,651 | 39,921 | 64,572 | ||||||||||||||
Total past due mortgage loans | 48,708 | 66,510 | 115,218 | ||||||||||||||
Current mortgage loans | 2,555,139 | 6,694,837 | 9,249,976 | ||||||||||||||
Total conventional mortgage loans | $ | 2,603,847 | $ | 6,761,347 | $ | 9,365,194 | |||||||||||
December 31, 2019 | |||||
Payment status, at recorded investment (1): | Conventional Loans | ||||
Past due 30-59 days | $ | 35,416 | |||
Past due 60-89 days | 5,572 | ||||
Past due 90 days or more | 12,421 | ||||
Total past due mortgage loans | 53,409 | ||||
Current mortgage loans | 10,985,818 | ||||
Total conventional mortgage loans | $ | 11,039,227 |
December 31, 2020 | |||||||||||||||||
Amortized Cost: | Conventional MPP Loans | FHA Loans | Total | ||||||||||||||
In process of foreclosure (1) | $ | 5,031 | $ | 617 | $ | 5,648 | |||||||||||
Serious delinquency rate (2) | 0.69 | % | 3.28 | % | 0.74 | % | |||||||||||
Past due 90 days or more still accruing interest (3) | $ | 58,881 | $ | 5,961 | $ | 64,842 | |||||||||||
Loans on non-accrual status | $ | 6,721 | $ | 0 | $ | 6,721 | |||||||||||
December 31, 2019 | |||||||||||||||||
Recorded Investment: | Conventional MPP Loans | FHA Loans | Total | ||||||||||||||
In process of foreclosure (1) | $ | 8,311 | $ | 2,515 | $ | 10,826 | |||||||||||
Serious delinquency rate (2) | 0.11 | % | 2.49 | % | 0.16 | % | |||||||||||
Past due 90 days or more still accruing interest (3) | $ | 11,935 | $ | 5,805 | $ | 17,740 | |||||||||||
Loans on non-accrual status | $ | 1,902 | $ | 0 | $ | 1,902 |
For the Years Ended December 31, | |||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||
Balance, beginning of period | $ | 711 | $ | 840 | $ | 1,190 | |||||||||||
Adjustment for cumulative effect of accounting change | (366) | 0 | 0 | ||||||||||||||
Net charge offs | (97) | (129) | (350) | ||||||||||||||
Balance, end of period | $ | 248 | $ | 711 | $ | 840 | |||||||||||
For the Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
Balance, beginning of period | $ | 1,142 | $ | 1,686 | $ | 4,919 | |||||
Net charge offs | (452 | ) | (544 | ) | (3,233 | ) | |||||
Provision for credit losses | 500 | — | — | ||||||||
Balance, end of period | $ | 1,190 | $ | 1,142 | $ | 1,686 |
December 31, 2017 | December 31, 2016 | ||||||
Allowance for credit losses: | |||||||
Collectively evaluated for impairment | $ | 1,190 | $ | 1,142 | |||
Individually evaluated for impairment | — | — | |||||
Total allowance for credit losses | $ | 1,190 | $ | 1,142 | |||
Recorded investment: | |||||||
Collectively evaluated for impairment | $ | 9,373,393 | $ | 8,772,681 | |||
Individually evaluated for impairment | 10,109 | 9,889 | |||||
Total recorded investment | $ | 9,383,502 | $ | 8,782,570 |
For the Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
LRA at beginning of year | $ | 187,684 | $ | 158,010 | $ | 129,213 | |||||
Additions | 20,677 | 34,338 | 33,100 | ||||||||
Claims | (506 | ) | (885 | ) | (1,747 | ) | |||||
Scheduled distributions | (7,110 | ) | (3,779 | ) | (2,556 | ) | |||||
LRA at end of period | $ | 200,745 | $ | 187,684 | $ | 158,010 |
December 31, 2017 | |||||||||||
Conventional MPP Loans | FHA Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 36,662 | $ | 20,992 | $ | 57,654 | |||||
Past due 60-89 days delinquent | 8,040 | 6,974 | 15,014 | ||||||||
Past due 90 days or more delinquent | 16,702 | 10,484 | 27,186 | ||||||||
Total past due | 61,404 | 38,450 | 99,854 | ||||||||
Total current mortgage loans | 9,322,098 | 291,371 | 9,613,469 | ||||||||
Total mortgage loans | $ | 9,383,502 | $ | 329,821 | $ | 9,713,323 | |||||
Other delinquency statistics: | |||||||||||
In process of foreclosure, included above (1) | $ | 10,039 | $ | 4,767 | $ | 14,806 | |||||
Serious delinquency rate (2) | 0.19 | % | 3.19 | % | 0.29 | % | |||||
Past due 90 days or more still accruing interest (3) | $ | 15,431 | $ | 10,484 | $ | 25,915 | |||||
Loans on non-accrual status, included above | $ | 2,713 | $ | — | $ | 2,713 | |||||
December 31, 2016 | |||||||||||
Conventional MPP Loans | FHA Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 39,409 | $ | 23,206 | $ | 62,615 | |||||
Past due 60-89 days delinquent | 9,350 | 8,275 | 17,625 | ||||||||
Past due 90 days or more delinquent | 21,773 | 14,054 | 35,827 | ||||||||
Total past due | 70,532 | 45,535 | 116,067 | ||||||||
Total current mortgage loans | 8,712,038 | 351,299 | 9,063,337 | ||||||||
Total mortgage loans | $ | 8,782,570 | $ | 396,834 | $ | 9,179,404 | |||||
Other delinquency statistics: | |||||||||||
In process of foreclosure, included above (1) | $ | 15,412 | $ | 5,841 | $ | 21,253 | |||||
Serious delinquency rate (2) | 0.26 | % | 3.59 | % | 0.40 | % | |||||
Past due 90 days or more still accruing interest (3) | $ | 19,408 | $ | 14,054 | $ | 33,462 | |||||
Loans on non-accrual status, included above | $ | 3,908 | $ | — | $ | 3,908 |
December 31, 2017 | December 31, 2016 | ||||||||||||||||||||||
Conventional MPP loans | Recorded Investment | Unpaid Principal Balance | Related Allowance | Recorded Investment | Unpaid Principal Balance | Related Allowance | |||||||||||||||||
With no related allowance | $ | 10,109 | $ | 9,912 | $ | — | $ | 9,889 | $ | 9,708 | $ | — | |||||||||||
With an allowance | — | — | — | — | — | — | |||||||||||||||||
Total | $ | 10,109 | $ | 9,912 | $ | — | $ | 9,889 | $ | 9,708 | $ | — |
For the Years Ended December 31, | |||||||||||||||||||||||
2017 | 2016 | 2015 | |||||||||||||||||||||
Individually impaired loans | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||||||||
Conventional MPP Loans | $ | 8,950 | $ | 418 | $ | 9,440 | $ | 466 | $ | 8,433 | $ | 438 |
December 31, 2019 | |||||||||||
Allowance for credit losses: | |||||||||||
Collectively evaluated for impairment | $ | 711 | |||||||||
Individually evaluated for impairment | 0 | ||||||||||
Total allowance for credit losses | $ | 711 | |||||||||
Recorded investment: | |||||||||||
Collectively evaluated for impairment | $ | 11,025,713 | |||||||||
Individually evaluated for impairment | 13,514 | ||||||||||
Total recorded investment | $ | 11,039,227 |
December 31, 2017 | December 31, 2020 | |||||||||||||||||||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||
Derivatives designated as fair value hedging instruments: | Derivatives designated as fair value hedging instruments: | |||||||||||||||||||||||||||
Interest rate swaps | $ | 5,992,762 | $ | 59,389 | $ | 10,771 | Interest rate swaps | $ | 10,477,703 | $ | 272 | $ | 163,174 | |||||||||||||||
Derivatives not designated as hedging instruments: | Derivatives not designated as hedging instruments: | |||||||||||||||||||||||||||
Interest rate swaps | 5,789,265 | 1,040 | 72,976 | Interest rate swaps | 13,267,539 | 691 | 2,563 | |||||||||||||||||||||
Interest rate swaptions | 2,316,000 | 3,171 | — | Interest rate swaptions | 2,175,000 | 713 | 0 | |||||||||||||||||||||
Forward rate agreements | 212,000 | 27 | 230 | |||||||||||||||||||||||||
Mortgage delivery commitments | 218,651 | 453 | 17 | Mortgage delivery commitments | 137,352 | 1,056 | 0 | |||||||||||||||||||||
Total derivatives not designated as hedging instruments | 8,535,916 | 4,691 | 73,223 | Total derivatives not designated as hedging instruments | 15,579,891 | 2,460 | 2,563 | |||||||||||||||||||||
Total derivatives before adjustments | $ | 14,528,678 | 64,080 | 83,994 | Total derivatives before adjustments | $ | 26,057,594 | 2,732 | 165,737 | |||||||||||||||||||
Netting adjustments, cash collateral and variation margin for daily settled contracts (1) | (3,385 | ) | (81,101 | ) | ||||||||||||||||||||||||
Netting adjustments and cash collateral (1) | Netting adjustments and cash collateral (1) | 213,156 | (161,924) | |||||||||||||||||||||||||
Total derivative assets and total derivative liabilities | $ | 60,695 | $ | 2,893 | Total derivative assets and total derivative liabilities | $ | 215,888 | $ | 3,813 | |||||||||||||||||||
December 31, 2016 | December 31, 2019 | |||||||||||||||||||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||
Derivatives designated as fair value hedging instruments: | Derivatives designated as fair value hedging instruments: | |||||||||||||||||||||||||||
Interest rate swaps | $ | 5,660,420 | $ | 37,379 | $ | 26,610 | Interest rate swaps | $ | 9,310,089 | $ | 7,227 | $ | 53,641 | |||||||||||||||
Derivatives not designated as hedging instruments: | Derivatives not designated as hedging instruments: | |||||||||||||||||||||||||||
Interest rate swaps | 8,199,000 | 2,135 | 64,661 | Interest rate swaps | 28,501,469 | 9,685 | 363 | |||||||||||||||||||||
Interest rate swaptions | 2,346,000 | 13,335 | — | Interest rate swaptions | 6,000,000 | 12,464 | 0 | |||||||||||||||||||||
Forward rate agreements | 511,000 | 681 | 166 | Forward rate agreements | 849,000 | 21 | 782 | |||||||||||||||||||||
Mortgage delivery commitments | 440,849 | 319 | 10,628 | Mortgage delivery commitments | 936,269 | 2,798 | 64 | |||||||||||||||||||||
Total derivatives not designated as hedging instruments | 11,496,849 | 16,470 | 75,455 | Total derivatives not designated as hedging instruments | 36,286,738 | 24,968 | 1,209 | |||||||||||||||||||||
Total derivatives before adjustments | $ | 17,157,269 | 53,849 | 102,065 | Total derivatives before adjustments | $ | 45,596,827 | 32,195 | 54,850 | |||||||||||||||||||
Netting adjustments and cash collateral (1) | 50,904 | (84,191 | ) | Netting adjustments and cash collateral (1) | 234,970 | (53,540) | ||||||||||||||||||||||
Total derivative assets and total derivative liabilities | $ | 104,753 | $ | 17,874 | Total derivative assets and total derivative liabilities | $ | 267,165 | $ | 1,310 |
For the Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
Derivatives and hedged items in fair value hedging relationships: | |||||||||||
Interest rate swaps | $ | (60 | ) | $ | 697 | $ | 2,762 | ||||
Derivatives not designated as hedging instruments: | |||||||||||
Economic hedges: | |||||||||||
Interest rate swaps | (4,067 | ) | (69,266 | ) | 2,515 | ||||||
Interest rate swaptions | (17,016 | ) | 6,229 | (274 | ) | ||||||
Forward rate agreements | (6,054 | ) | 2,794 | (1,090 | ) | ||||||
Net interest settlements | (8,298 | ) | 12,009 | 6,623 | |||||||
Mortgage delivery commitments | 10,424 | 106 | 2,501 | ||||||||
Total net (losses) gains related to derivatives not designated as hedging instruments | (25,011 | ) | (48,128 | ) | 10,275 | ||||||
Other (1) | 607 | — | — | ||||||||
Net (losses) gains on derivatives and hedging activities | $ | (24,464 | ) | $ | (47,431 | ) | $ | 13,037 |
For the Year Ended December 31, 2020 | |||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Bonds | |||||||||||||||
Total interest income (expense) recorded in the Statements of Income | $ | 434,815 | $ | 4,782 | $ | (541,996) | |||||||||||
Impact of Fair Value Hedging Relationships (1) | |||||||||||||||||
Interest income/expense: | |||||||||||||||||
Net interest settlements | $ | (90,959) | $ | (2,484) | $ | 1,652 | |||||||||||
Gain (loss) on derivatives | (263,046) | (5,209) | 1,477 | ||||||||||||||
Gain (loss) on hedged items | 247,059 | 4,826 | (1,377) | ||||||||||||||
Effect on net interest income | $ | (106,946) | $ | (2,867) | $ | 1,752 |
For the Year Ended December 31, 2019 | |||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Bonds | |||||||||||||||
Total interest income (expense) recorded in the Statements of Income | $ | 1,195,128 | $ | 27,691 | $ | (1,033,508) | |||||||||||
Impact of Fair Value Hedging Relationships (1) | |||||||||||||||||
Interest income/expense: | |||||||||||||||||
Net interest settlements | $ | 36,052 | $ | (311) | $ | 1,637 | |||||||||||
Gain (loss) on derivatives | (160,006) | (6,402) | 945 | ||||||||||||||
Gain (loss) on hedged items | 153,435 | 6,307 | (905) | ||||||||||||||
Effect on net interest income | $ | 29,481 | $ | (406) | $ | 1,677 |
For the Year Ended December 31, 2018 (2) | |||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Bonds | |||||||||||||||
Impact of Fair Value Hedging Relationships (1) | |||||||||||||||||
Interest income/expense: | |||||||||||||||||
Net interest settlements (3) | $ | 24,006 | $ | (44) | $ | (3,215) | |||||||||||
Effect on net interest income | $ | 24,006 | $ | (44) | $ | (3,215) | |||||||||||
Non-interest income (loss): | |||||||||||||||||
Gain (loss) on derivatives | $ | (6,443) | $ | (1,015) | $ | 2,758 | |||||||||||
Gain (loss) on hedged items | 8,517 | 1,008 | (2,950) | ||||||||||||||
Effect on non-interest income (loss) | $ | 2,074 | $ | (7) | $ | (192) |
December 31, 2020 | ||||||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Bonds | ||||||||||||||||||
Amortized cost of hedged asset or liability (1) | $ | 10,483,218 | $ | 286,869 | $ | 132,852 | ||||||||||||||
Fair value hedging adjustments | ||||||||||||||||||||
Basis adjustments for active hedging relationships included in amortized cost | $ | 356,624 | $ | 11,751 | $ | 2,086 | ||||||||||||||
Basis adjustments for discontinued hedging relationships included in amortized cost | 1,549 | 389 | 0 | |||||||||||||||||
Total amount of fair value hedging basis adjustments | $ | 358,173 | $ | 12,140 | $ | 2,086 | ||||||||||||||
December 31, 2019 | ||||||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Bonds | ||||||||||||||||||
Amortized cost of hedged asset or liability (1) | $ | 9,160,841 | $ | 131,814 | $ | 210,696 | ||||||||||||||
Fair value hedging adjustments | ||||||||||||||||||||
Basis adjustments for active hedging relationships included in amortized cost | $ | 109,078 | $ | 7,314 | $ | 708 | ||||||||||||||
Basis adjustments for discontinued hedging relationships included in amortized cost | 851 | 0 | 0 | |||||||||||||||||
Total amount of fair value hedging basis adjustments | $ | 109,929 | $ | 7,314 | $ | 708 |
For the Years Ended December 31, | |||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||
Derivatives designated as fair value hedging relationships: | |||||||||||||||||
Interest rate swaps | N/A | N/A | $ | 1,875 | |||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||
Economic hedges: | |||||||||||||||||
Interest rate swaps | $ | (227,781) | $ | (142,193) | 10,722 | ||||||||||||
Interest rate swaptions | 90,594 | (19,019) | (5,725) | ||||||||||||||
Forward rate agreements | (31,935) | (10,619) | 4,446 | ||||||||||||||
Net interest settlements | (127,098) | (24,363) | (46,093) | ||||||||||||||
Mortgage delivery commitments | 21,549 | 14,904 | (5,349) | ||||||||||||||
Total net gains (losses) related to derivatives not designated as hedging instruments | (274,671) | (181,290) | (41,999) | ||||||||||||||
Price alignment amount (1) | 1,418 | 3,378 | (274) | ||||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | (273,253) | $ | (177,912) | $ | (40,398) | |||||||||||
For the Years Ended December 31, | |||||||||||||||
2017 | Gain/(Loss) on Derivative | Gain/(Loss) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income(1) | |||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | 35,570 | $ | (36,152 | ) | $ | (582 | ) | $ | (17,907 | ) | ||||
Consolidated Bonds | 240 | 282 | 522 | (1,101 | ) | ||||||||||
Total | $ | 35,810 | $ | (35,870 | ) | $ | (60 | ) | $ | (19,008 | ) | ||||
2016 | |||||||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | 76,401 | $ | (75,744 | ) | $ | 657 | $ | (59,560 | ) | |||||
Consolidated Bonds | (6,641 | ) | 6,681 | 40 | 7,624 | ||||||||||
Total | $ | 69,760 | $ | (69,063 | ) | $ | 697 | $ | (51,936 | ) | |||||
2015 | |||||||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | 62,657 | $ | (60,453 | ) | $ | 2,204 | $ | (83,571 | ) | |||||
Consolidated Bonds | (10,930 | ) | 11,488 | 558 | 19,787 | ||||||||||
Total | $ | 51,727 | $ | (48,965 | ) | $ | 2,762 | $ | (63,784 | ) |
December 31, 2017 | |||||||||||||||
Derivative Instruments Meeting Netting Requirements | |||||||||||||||
Gross Recognized Amount | Gross Amounts of Netting Adjustments, Cash Collateral and Variation Margin for Daily Settled Contracts(1) | Derivative Instruments Not Meeting Netting Requirements(2) | Total Derivative Assets and Total Derivative Liabilities | ||||||||||||
Derivative Assets: | |||||||||||||||
Uncleared | $ | 5,239 | $ | (5,215 | ) | $ | 480 | $ | 504 | ||||||
Cleared | 58,361 | 1,830 | — | 60,191 | |||||||||||
Total | $ | 60,695 | |||||||||||||
Derivative Liabilities: | |||||||||||||||
Uncleared | $ | 8,773 | $ | (6,127 | ) | $ | 247 | $ | 2,893 | ||||||
Cleared | 74,974 | (74,974 | ) | — | — | ||||||||||
Total | $ | 2,893 | |||||||||||||
December 31, 2016 | |||||||||||||||
Derivative Instruments Meeting Netting Requirements | |||||||||||||||
Gross Recognized Amount | Gross Amounts of Netting Adjustments, Cash Collateral | Derivative Instruments Not Meeting Netting Requirements(2) | Total Derivative Assets and Total Derivative Liabilities | ||||||||||||
Derivative Assets: | |||||||||||||||
Uncleared | $ | 15,506 | $ | (14,737 | ) | $ | 1,000 | $ | 1,769 | ||||||
Cleared | 37,343 | 65,641 | — | 102,984 | |||||||||||
Total | $ | 104,753 | |||||||||||||
Derivative Liabilities: | |||||||||||||||
Uncleared | $ | 21,378 | $ | (14,298 | ) | $ | 10,794 | $ | 17,874 | ||||||
Cleared | 69,893 | (69,893 | ) | — | — | ||||||||||
Total | $ | 17,874 |
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||
Derivative Instruments Meeting Netting Requirements | |||||||||||||||||||||||||||||||||||||||||
Gross Recognized Amount | Gross Amount of Netting Adjustments and Cash Collateral | Derivative Instruments Not Meeting Netting Requirements (1) | Total Derivative Assets and Total Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||
Derivative Assets: | |||||||||||||||||||||||||||||||||||||||||
Uncleared | $ | 1,047 | $ | (1,047) | $ | 1,056 | $ | 1,056 | |||||||||||||||||||||||||||||||||
Cleared | 629 | 214,203 | 0 | 214,832 | |||||||||||||||||||||||||||||||||||||
Total | $ | 215,888 | |||||||||||||||||||||||||||||||||||||||
Derivative Liabilities: | |||||||||||||||||||||||||||||||||||||||||
Uncleared | $ | 161,633 | $ | (157,820) | $ | 0 | $ | 3,813 | |||||||||||||||||||||||||||||||||
Cleared | 4,104 | (4,104) | 0 | 0 | |||||||||||||||||||||||||||||||||||||
Total | $ | 3,813 | |||||||||||||||||||||||||||||||||||||||
December 31, 2019 | |||||||||||||||||||||||||||||||||||||||||
Derivative Instruments Meeting Netting Requirements | |||||||||||||||||||||||||||||||||||||||||
Gross Recognized Amount | Gross Amount of Netting Adjustments and Cash Collateral | Derivative Instruments Not Meeting Netting Requirements (1) | Total Derivative Assets and Total Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||
Derivative Assets: | |||||||||||||||||||||||||||||||||||||||||
Uncleared | $ | 16,637 | $ | (13,903) | $ | 2,819 | $ | 5,553 | |||||||||||||||||||||||||||||||||
Cleared | 12,739 | 248,873 | 0 | 261,612 | |||||||||||||||||||||||||||||||||||||
Total | $ | 267,165 | |||||||||||||||||||||||||||||||||||||||
Derivative Liabilities: | |||||||||||||||||||||||||||||||||||||||||
Uncleared | $ | 53,533 | $ | (53,069) | $ | 846 | $ | 1,310 | |||||||||||||||||||||||||||||||||
Cleared | 471 | (471) | 0 | 0 | |||||||||||||||||||||||||||||||||||||
Total | $ | 1,310 |
December 31, 2020 | December 31, 2019 | ||||||||||
Interest-bearing: | |||||||||||
Demand and overnight | $ | 1,190,508 | $ | 906,028 | |||||||
Term | 123,675 | 27,850 | |||||||||
Other | 13,019 | 7,179 | |||||||||
Total interest-bearing | 1,327,202 | 941,057 | |||||||||
Non-interest bearing: | |||||||||||
Other | 0 | 10,239 | |||||||||
Total non-interest bearing | 0 | 10,239 | |||||||||
Total deposits | $ | 1,327,202 | $ | 951,296 |
December 31, 2017 | December 31, 2016 | ||||||
Interest bearing: | |||||||
Demand and overnight | $ | 590,617 | $ | 611,432 | |||
Term | 52,600 | 149,350 | |||||
Other | 5,509 | 4,521 | |||||
Total interest bearing | 648,726 | 765,303 | |||||
Non-interest bearing: | |||||||
Other | 1,805 | 576 | |||||
Total non-interest bearing | 1,805 | 576 | |||||
Total deposits | $ | 650,531 | $ | 765,879 |
Book Value | Principal Amount | Weighted Average Interest Rate (1) | |||||||||||||||
December 31, 2020 | $ | 27,500,244 | $ | 27,502,730 | 0.11 | % | |||||||||||
December 31, 2019 | $ | 49,084,219 | $ | 49,176,985 | 1.56 | % |
Book Value | Par Value | Weighted Average Interest Rate (1) | ||||||||
December 31, 2017 | $ | 46,210,458 | $ | 46,258,644 | 1.23 | % | ||||
December 31, 2016 | $ | 44,689,662 | $ | 44,710,521 | 0.46 | % |
December 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||
Year of Original Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||||||||||||||
Due in 1 year or less | $ | 18,676,595 | 0.72 | % | $ | 18,259,565 | 1.77 | % | ||||||||||||||||||
Due after 1 year through 2 years | 2,728,885 | 2.38 | 8,293,595 | 1.96 | ||||||||||||||||||||||
Due after 2 years through 3 years | 3,388,120 | 2.09 | 3,024,885 | 2.41 | ||||||||||||||||||||||
Due after 3 years through 4 years | 1,793,405 | 2.21 | 3,123,120 | 2.62 | ||||||||||||||||||||||
Due after 4 years through 5 years | 1,910,000 | 1.45 | 1,540,405 | 2.73 | ||||||||||||||||||||||
Thereafter | 3,454,000 | 2.39 | 4,139,000 | 2.97 | ||||||||||||||||||||||
Total principal amount | 31,951,005 | 1.32 | 38,380,570 | 2.10 | ||||||||||||||||||||||
Premiums | 43,235 | 64,604 | ||||||||||||||||||||||||
Discounts | (21,403) | (24,335) | ||||||||||||||||||||||||
Hedging adjustments | 2,086 | 708 | ||||||||||||||||||||||||
Fair value option valuation adjustment and accrued interest | 21,388 | 18,177 | ||||||||||||||||||||||||
Total | $ | 31,996,311 | $ | 38,439,724 |
December 31, 2017 | December 31, 2016 | |||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | 28,940,265 | 1.34 | % | $ | 20,970,750 | 0.87 | % | ||||||
Due after 1 year through 2 years | 5,841,800 | 1.74 | 12,811,000 | 1.12 | ||||||||||
Due after 2 years through 3 years | 4,770,565 | 1.89 | 4,359,000 | 1.81 | ||||||||||
Due after 3 years through 4 years | 6,017,000 | 1.92 | 3,566,000 | 1.95 | ||||||||||
Due after 4 years through 5 years | 2,244,620 | 2.24 | 4,970,000 | 1.87 | ||||||||||
Thereafter | 6,343,055 | 2.72 | 6,496,000 | 2.65 | ||||||||||
Total par value | 54,157,305 | 1.69 | 53,172,750 | 1.39 | ||||||||||
Premiums | 86,521 | 84,275 | ||||||||||||
Discounts | (30,669 | ) | (32,804 | ) | ||||||||||
Hedging adjustments | (3,146 | ) | (2,865 | ) | ||||||||||
Fair value option valuation adjustment and accrued interest | (46,950 | ) | (30,490 | ) | ||||||||||
Total | $ | 54,163,061 | $ | 53,190,866 |
December 31, 2020 | December 31, 2019 | ||||||||||
Principal Amount of Consolidated Bonds: | |||||||||||
Non-callable | $ | 26,539,005 | $ | 32,953,570 | |||||||
Callable | 5,412,000 | 5,427,000 | |||||||||
Total principal amount | $ | 31,951,005 | $ | 38,380,570 |
December 31, 2017 | December 31, 2016 | ||||||
Par value of Consolidated Bonds: | |||||||
Non-callable | $ | 47,155,305 | $ | 46,007,750 | |||
Callable | 7,002,000 | 7,165,000 | |||||
Total par value | $ | 54,157,305 | $ | 53,172,750 |
Year of Original Contractual Maturity or Next Call Date | December 31, 2020 | December 31, 2019 | ||||||||||||
Due in 1 year or less | $ | 22,968,595 | $ | 22,631,565 | ||||||||||
Due after 1 year through 2 years | 2,823,885 | 7,130,595 | ||||||||||||
Due after 2 years through 3 years | 2,452,120 | 2,662,885 | ||||||||||||
Due after 3 years through 4 years | 1,253,405 | 2,343,120 | ||||||||||||
Due after 4 years through 5 years | 728,000 | 1,253,405 | ||||||||||||
Thereafter | 1,725,000 | 2,359,000 | ||||||||||||
Total principal amount | $ | 31,951,005 | $ | 38,380,570 |
Year of Contractual Maturity or Next Call Date | December 31, 2017 | December 31, 2016 | ||||||
Due in 1 year or less | $ | 35,029,265 | $ | 26,489,750 | ||||
Due after 1 year through 2 years | 5,369,800 | 12,006,000 | ||||||
Due after 2 years through 3 years | 3,715,565 | 3,894,000 | ||||||
Due after 3 years through 4 years | 4,388,000 | 2,805,000 | ||||||
Due after 4 years through 5 years | 1,823,620 | 3,964,000 | ||||||
Thereafter | 3,831,055 | 4,014,000 | ||||||
Total par value | $ | 54,157,305 | $ | 53,172,750 |
December 31, 2020 | December 31, 2019 | ||||||||||
Principal Amount of Consolidated Bonds: | |||||||||||
Fixed-rate | $ | 21,312,005 | $ | 27,368,570 | |||||||
Variable-rate | 10,639,000 | 11,012,000 | |||||||||
Total principal amount | $ | 31,951,005 | $ | 38,380,570 |
December 31, 2017 | December 31, 2016 | ||||||
Par value of Consolidated Bonds: | |||||||
Fixed-rate | $ | 33,252,305 | $ | 34,682,750 | |||
Variable-rate | 20,895,000 | 18,290,000 | |||||
Step-up | 10,000 | 200,000 | |||||
Total par value | $ | 54,157,305 | $ | 53,172,750 |
2020 | 2019 | ||||||||||
Balance at beginning of year | $ | 115,295 | $ | 117,336 | |||||||
Assessments (current year additions) | 30,826 | 30,801 | |||||||||
Subsidy uses, net | (35,349) | (32,842) | |||||||||
Balance at end of year | $ | 110,772 | $ | 115,295 |
2017 | 2016 | ||||||
Balance at beginning of year | $ | 104,883 | $ | 107,352 | |||
Assessments (current year additions) | 35,120 | 30,189 | |||||
Subsidy uses, net | (30,126 | ) | (32,658 | ) | |||
Balance at end of year | $ | 109,877 | $ | 104,883 |
December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||
Minimum Requirement | Actual | Minimum Requirement | Actual | ||||||||||||||||||||
Risk-based capital | $ | 539,321 | $ | 3,964,353 | $ | 820,635 | $ | 4,482,519 | |||||||||||||||
Capital-to-assets ratio (regulatory) | 4.00 | % | 6.07 | % | 4.00 | % | 4.79 | % | |||||||||||||||
Regulatory capital | $ | 2,611,850 | $ | 3,964,353 | $ | 3,739,662 | $ | 4,482,519 | |||||||||||||||
Leverage capital-to-assets ratio (regulatory) | 5.00 | % | 9.11 | % | 5.00 | % | 7.19 | % | |||||||||||||||
Leverage capital | $ | 3,264,812 | $ | 5,946,530 | $ | 4,674,578 | $ | 6,723,779 |
December 31, 2017 | December 31, 2016 | ||||||||||||||
Minimum Requirement | Actual | Minimum Requirement | Actual | ||||||||||||
Risk-based capital | $ | 886,033 | $ | 5,211,204 | $ | 579,629 | $ | 5,026,133 | |||||||
Capital-to-assets ratio (regulatory) | 4.00 | % | 4.88 | % | 4.00 | % | 4.80 | % | |||||||
Regulatory capital | $ | 4,275,809 | $ | 5,211,204 | $ | 4,185,411 | $ | 5,026,133 | |||||||
Leverage capital-to-assets ratio (regulatory) | 5.00 | % | 7.31 | % | 5.00 | % | 7.21 | % | |||||||
Leverage capital | $ | 5,344,761 | $ | 7,816,806 | $ | 5,231,764 | $ | 7,539,200 |
2020 | 2019 | 2018 | |||||||||
Balance, beginning of year | $ | 21,669 | $ | 23,184 | $ | 30,031 | |||||
Capital stock subject to mandatory redemption reclassified from equity | 560,779 | 8,269 | 68,185 | ||||||||
Capital stock previously subject to mandatory redemption reclassified to capital | (123) | (1,020) | (5,599) | ||||||||
Repurchase/redemption of mandatorily redeemable capital stock | (562,871) | (8,764) | (69,433) | ||||||||
Balance, end of year | $ | 19,454 | $ | 21,669 | $ | 23,184 |
2017 | 2016 | 2015 | |||||||
Balance, beginning of year | $ | 34,782 | $ | 37,895 | $ | 62,963 | |||
Capital stock subject to mandatory redemption reclassified from equity | 270,458 | 363,839 | 28,919 | ||||||
Redemption (or other reduction) of mandatorily redeemable capital stock | (275,209 | ) | (366,952 | ) | (53,987 | ) | |||
Balance, end of year | $ | 30,031 | $ | 34,782 | $ | 37,895 |
Contractual Year of Redemption | December 31, 2020 | December 31, 2019 | ||||||||||||
Year 1 | $ | 156 | $ | 371 | ||||||||||
Year 2 | 1,124 | 298 | ||||||||||||
Year 3 | 2,167 | 1,129 | ||||||||||||
Year 4 | 391 | 2,955 | ||||||||||||
Year 5 | 3,142 | 1,931 | ||||||||||||
Thereafter (1) | 650 | 650 | ||||||||||||
Past contractual redemption date due to remaining activity (2) | 11,824 | 14,335 | ||||||||||||
Total | $ | 19,454 | $ | 21,669 |
Contractual Year of Redemption | December 31, 2017 | December 31, 2016 | ||||||
Year 1 | $ | 20 | $ | — | ||||
Year 2 | 1,811 | 29 | ||||||
Year 3 | 439 | 2,264 | ||||||
Year 4 | 2,912 | 865 | ||||||
Year 5 | 5,257 | 6,307 | ||||||
Thereafter (1) | 610 | 623 | ||||||
Past contractual redemption date due to remaining activity (2) | 18,982 | 24,694 | ||||||
Total | $ | 30,031 | $ | 34,782 |
Net unrealized gains (losses) on available-for-sale securities | Pension and postretirement benefits | Total accumulated other comprehensive income (loss) | |||||||||||||||
BALANCE, DECEMBER 31, 2017 | $ | (124) | $ | (16,536) | $ | (16,660) | |||||||||||
Other comprehensive income before reclassification: | |||||||||||||||||
Net unrealized gains (losses) | 14 | 0 | 14 | ||||||||||||||
Net actuarial gains (losses) | 0 | 1,403 | 1,403 | ||||||||||||||
Reclassifications from other comprehensive income (loss) to net income: | |||||||||||||||||
Amortization - pension and postretirement benefits | 0 | 2,200 | 2,200 | ||||||||||||||
Net current period other comprehensive income (loss) | 14 | 3,603 | 3,617 | ||||||||||||||
BALANCE, DECEMBER 31, 2018 | (110) | (12,933) | (13,043) | ||||||||||||||
Other comprehensive income before reclassification: | |||||||||||||||||
Net unrealized gains (losses) | 480 | 0 | 480 | ||||||||||||||
Net actuarial gains (losses) | 0 | (5,665) | (5,665) | ||||||||||||||
Reclassifications from other comprehensive income (loss) to net income: | |||||||||||||||||
Amortization - pension and postretirement benefits | 0 | 1,834 | 1,834 | ||||||||||||||
Net current period other comprehensive income (loss) | 480 | (3,831) | (3,351) | ||||||||||||||
BALANCE, DECEMBER 31, 2019 | 370 | (16,764) | (16,394) | ||||||||||||||
Other comprehensive income before reclassification: | |||||||||||||||||
Net unrealized gains (losses) | 4,348 | 0 | 4,348 | ||||||||||||||
Net actuarial gains (losses) | 0 | (5,227) | (5,227) | ||||||||||||||
Reclassifications from other comprehensive income (loss) to net income: | |||||||||||||||||
Amortization - pension and postretirement benefits | 0 | 2,288 | 2,288 | ||||||||||||||
Net current period other comprehensive income (loss) | 4,348 | (2,939) | 1,409 | ||||||||||||||
BALANCE, DECEMBER 31, 2020 | $ | 4,718 | $ | (19,703) | $ | (14,985) |
Net unrealized (losses) gains on available-for-sale securities | Pension and postretirement benefits | Total accumulated other comprehensive (loss) income | |||||||||
BALANCE, DECEMBER 31, 2014 | $ | (24 | ) | $ | (16,572 | ) | $ | (16,596 | ) | ||
Other comprehensive income before reclassification: | |||||||||||
Net unrealized gains | 105 | — | 105 | ||||||||
Net actuarial gains | — | 598 | 598 | ||||||||
Reclassifications from other comprehensive income to net income: | |||||||||||
Amortization - pension and postretirement benefits | — | 2,616 | 2,616 | ||||||||
Net current period other comprehensive income | 105 | 3,214 | 3,319 | ||||||||
BALANCE, DECEMBER 31, 2015 | 81 | (13,358 | ) | (13,277 | ) | ||||||
Other comprehensive income before reclassification: | |||||||||||
Net unrealized losses | (58 | ) | — | (58 | ) | ||||||
Net actuarial losses | — | (2,283 | ) | (2,283 | ) | ||||||
Reclassifications from other comprehensive income to net income: | |||||||||||
Amortization - pension and postretirement benefits | — | 2,362 | 2,362 | ||||||||
Net current period other comprehensive (loss) income | (58 | ) | 79 | 21 | |||||||
BALANCE, DECEMBER 31, 2016 | 23 | (13,279 | ) | (13,256 | ) | ||||||
Other comprehensive income before reclassification: | |||||||||||
Net unrealized losses | (147 | ) | — | (147 | ) | ||||||
Net actuarial losses | — | (4,964 | ) | (4,964 | ) | ||||||
Reclassifications from other comprehensive income to net income: | |||||||||||
Amortization - pension and postretirement benefits | — | 1,707 | 1,707 | ||||||||
Net current period other comprehensive loss | (147 | ) | (3,257 | ) | (3,404 | ) | |||||
BALANCE, DECEMBER 31, 2017 | $ | (124 | ) | $ | (16,536 | ) | $ | (16,660 | ) |
2020 | 2019 | 2018 | |||||||||||||||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ | 6,429 | $ | 6,973 | $ | 8,988 | |||||||||||
Pentegra Defined Benefit Plan funded status as of July 1 | 108.20 | % | (a) | 108.62 | % | (b) | 110.96 | % | |||||||||
FHLB's funded status as of July 1 | 122.36 | % | 125.76 | % | 124.65 | % |
2017 | 2016 | 2015 | |||||||||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ | 8,340 | $ | 6,659 | $ | 6,348 | |||||
Pentegra Defined Benefit Plan funded status as of July 1 | 111.30 | % | (a) | 104.72 | % | (b) | 107.01 | % | |||
FHLB's funded status as of July 1 | 124.35 | % | 118.53 | % | 124.97 | % |
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||||
Change in benefit obligation: | 2020 | 2019 | 2020 | 2019 | |||||||||||||
Benefit obligation at beginning of year | $ | 44,246 | $ | 38,687 | $ | 4,638 | $ | 4,481 | |||||||||
Service cost | 1,129 | 902 | 9 | 14 | |||||||||||||
Interest cost | 1,324 | 1,550 | 141 | 181 | |||||||||||||
Actuarial loss (gain) | 4,749 | 5,496 | 478 | 169 | |||||||||||||
Benefits paid | (1,910) | (2,389) | (220) | (207) | |||||||||||||
Benefit obligation at end of year | 49,538 | 44,246 | 5,046 | 4,638 | |||||||||||||
Change in plan assets: | |||||||||||||||||
Fair value of plan assets at beginning of year | 0 | 0 | 0 | 0 | |||||||||||||
Employer contribution | 1,910 | 2,389 | 220 | 207 | |||||||||||||
Benefits paid | (1,910) | (2,389) | (220) | (207) | |||||||||||||
Fair value of plan assets at end of year | 0 | 0 | 0 | 0 | |||||||||||||
Funded status at end of year | $ | (49,538) | $ | (44,246) | $ | (5,046) | $ | (4,638) |
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||
Change in benefit obligation: | 2017 | 2016 | 2017 | 2016 | |||||||||
Benefit obligation at beginning of year | $ | 34,303 | $ | 32,540 | $ | 4,867 | $ | 5,116 | |||||
Service cost | 882 | 730 | 28 | 50 | |||||||||
Interest cost | 1,367 | 1,317 | 197 | 219 | |||||||||
Actuarial loss (gain) | 5,060 | 2,617 | (96 | ) | (334 | ) | |||||||
Benefits paid | (2,067 | ) | (2,901 | ) | (201 | ) | (184 | ) | |||||
Benefit obligation at end of year | 39,545 | 34,303 | 4,795 | 4,867 | |||||||||
Change in plan assets: | |||||||||||||
Fair value of plan assets at beginning of year | — | — | — | — | |||||||||
Employer contribution | 2,067 | 2,901 | 201 | 184 | |||||||||
Benefits paid | (2,067 | ) | (2,901 | ) | (201 | ) | (184 | ) | |||||
Fair value of plan assets at end of year | — | — | — | — | |||||||||
Funded status at end of year | $ | (39,545 | ) | $ | (34,303 | ) | $ | (4,795 | ) | $ | (4,867 | ) |
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Net actuarial loss | $ | 18,901 | $ | 16,440 | $ | 802 | $ | 324 | |||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Net actuarial loss | $ | 16,106 | $ | 12,748 | $ | 430 | $ | 531 |
For the Years Ended December 31, | |||||||||||||||||||||||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||
Net Periodic Benefit Cost | |||||||||||||||||||||||||||||||||||
Service cost | $ | 1,129 | $ | 902 | $ | 1,129 | $ | 9 | $ | 14 | $ | 19 | |||||||||||||||||||||||
Interest cost | 1,324 | 1,550 | 1,353 | 141 | 181 | 166 | |||||||||||||||||||||||||||||
Amortization of net loss | 2,288 | 1,834 | 2,200 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
Net periodic benefit cost | $ | 4,741 | $ | 4,286 | $ | 4,682 | $ | 150 | $ | 195 | $ | 185 | |||||||||||||||||||||||
Other Changes in Benefit Obligations Recognized in Other Comprehensive Income | |||||||||||||||||||||||||||||||||||
Net loss (gain) | $ | 4,749 | $ | 5,496 | $ | (1,127) | $ | 478 | $ | 169 | $ | (276) | |||||||||||||||||||||||
Amortization of net loss | (2,288) | (1,834) | (2,200) | 0 | 0 | 0 | |||||||||||||||||||||||||||||
Total recognized in other comprehensive income | 2,461 | 3,662 | (3,327) | 478 | 169 | (276) | |||||||||||||||||||||||||||||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 7,202 | $ | 7,948 | $ | 1,355 | $ | 628 | $ | 364 | $ | (91) |
For the Years Ended December 31, | |||||||||||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||||||||||
2017 | 2016 | 2015 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net Periodic Benefit Cost | |||||||||||||||||||||||
Service cost | $ | 882 | $ | 730 | $ | 668 | $ | 28 | $ | 50 | $ | 74 | |||||||||||
Interest cost | 1,367 | 1,317 | 1,222 | 197 | 219 | 203 | |||||||||||||||||
Amortization of net loss | 1,702 | 2,316 | 2,549 | 5 | 46 | 67 | |||||||||||||||||
Net periodic benefit cost | $ | 3,951 | $ | 4,363 | $ | 4,439 | $ | 230 | $ | 315 | $ | 344 | |||||||||||
Other Changes in Benefit Obligations Recognized in Other Comprehensive Income | |||||||||||||||||||||||
Net loss (gain) | $ | 5,060 | $ | 2,617 | $ | (413 | ) | $ | (96 | ) | $ | (334 | ) | $ | (185 | ) | |||||||
Amortization of net loss | (1,702 | ) | (2,316 | ) | (2,549 | ) | (5 | ) | (46 | ) | (67 | ) | |||||||||||
Total recognized in other comprehensive income | 3,358 | 301 | (2,962 | ) | (101 | ) | (380 | ) | (252 | ) | |||||||||||||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 7,309 | $ | 4,664 | $ | 1,477 | $ | 129 | $ | (65 | ) | $ | 92 |
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||
Net actuarial loss | $ | 1,944 | $ | — |
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Discount rate | 2.26 | % | 3.06 | % | 2.33 | % | 3.12 | % | |||||||||||||||
Salary increases | 5.00 | % | 5.00 | % | N/A | N/A |
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||
Discount rate | 3.45 | % | 3.91 | % | 3.53 | % | 4.10 | % | |||
Salary increases | 5.00 | % | 4.50 | % | N/A | N/A |
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||||||
Discount rate | 3.06 | % | 4.10 | % | 3.45 | % | 3.12 | % | 4.15 | % | 3.53 | % | |||||||||||||||||||||||
Salary increases | 5.00 | % | 5.00 | % | 5.00 | % | N/A | N/A | N/A |
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||||
2017 | 2016 | 2015 | 2017 | 2016 | 2015 | ||||||||||||
Discount rate | 3.91 | % | 4.02 | % | 3.67 | % | 4.10 | % | 4.33 | % | 3.96 | % | |||||
Salary increases | 4.50 | % | 4.50 | % | 4.50 | % | N/A | N/A | N/A |
2020 | 2019 | ||||||||||||||||
Assumed for next year | 5.50 | % | 6.00 | % | |||||||||||||
Ultimate rate | 5.00 | % | 5.00 | % | |||||||||||||
Year that ultimate rate is reached | 2021 | 2021 |
2017 | 2016 | ||||
Assumed for next year | 7.00 | % | 7.50 | % | |
Ultimate rate | 5.00 | % | 5.50 | % | |
Year that ultimate rate is reached | 2021 | 2020 |
Years | Defined Benefit Retirement Plan | Postretirement Benefit Plan | ||||||||||||
2021 | $ | 2,171 | $ | 237 | ||||||||||
2022 | 2,316 | 239 | ||||||||||||
2023 | 1,839 | 241 | ||||||||||||
2024 | 1,861 | 240 | ||||||||||||
2025 | 2,012 | 246 | ||||||||||||
2026 - 2030 | 12,447 | 1,264 |
Years | Defined Benefit Retirement Plan | Postretirement Benefit Plan | ||||||
2018 | $ | 2,182 | $ | 203 | ||||
2019 | 2,311 | 199 | ||||||
2020 | 1,964 | 207 | ||||||
2021 | 2,111 | 226 | ||||||
2022 | 2,257 | 230 | ||||||
2023 - 2027 | 9,940 | 1,262 |
For the Years Ended December 31, | |||||||||||||||||
Traditional Member Finance | MPP | Total | |||||||||||||||
2020 | |||||||||||||||||
Net interest income | $ | 385,127 | $ | 21,403 | $ | 406,530 | |||||||||||
Non-interest income (loss) | (58,701) | 51,633 | (7,068) | ||||||||||||||
Non-interest expense | 80,569 | 11,704 | 92,273 | ||||||||||||||
Income before assessments | 245,857 | 61,332 | 307,189 | ||||||||||||||
Affordable Housing Program assessments | 24,693 | 6,133 | 30,826 | ||||||||||||||
Net income | $ | 221,164 | $ | 55,199 | $ | 276,363 | |||||||||||
2019 | |||||||||||||||||
Net interest income | $ | 308,585 | $ | 97,247 | $ | 405,832 | |||||||||||
Non-interest income (loss) | (2,252) | (7,967) | (10,219) | ||||||||||||||
Non-interest expense | 77,751 | 10,967 | 88,718 | ||||||||||||||
Income before assessments | 228,582 | 78,313 | 306,895 | ||||||||||||||
Affordable Housing Program assessments | 22,969 | 7,832 | 30,801 | ||||||||||||||
Net income | $ | 205,613 | $ | 70,481 | $ | 276,094 | |||||||||||
2018 | |||||||||||||||||
Net interest income | $ | 389,615 | $ | 108,957 | $ | 498,572 | |||||||||||
Non-interest income (loss) | (32,415) | (4,403) | (36,818) | ||||||||||||||
Non-interest expense | 73,441 | 11,278 | 84,719 | ||||||||||||||
Income before assessments | 283,759 | 93,276 | 377,035 | ||||||||||||||
Affordable Housing Program assessments | 28,556 | 9,328 | 37,884 | ||||||||||||||
Net income | $ | 255,203 | $ | 83,948 | $ | 339,151 |
For the Years Ended December 31, | |||||||||||
Traditional Member Finance | MPP | Total | |||||||||
2017 | |||||||||||
Net interest income | $ | 334,383 | $ | 94,760 | $ | 429,143 | |||||
Provision for credit losses | — | 500 | 500 | ||||||||
Net interest income after provision for credit losses | 334,383 | 94,260 | 428,643 | ||||||||
Non-interest income (loss) | 2,979 | (4,216 | ) | (1,237 | ) | ||||||
Non-interest expense | 67,571 | 11,147 | 78,718 | ||||||||
Income before assessments | 269,791 | 78,897 | 348,688 | ||||||||
Affordable Housing Program assessments | 27,230 | 7,890 | 35,120 | ||||||||
Net income | $ | 242,561 | $ | 71,007 | $ | 313,568 | |||||
2016 | |||||||||||
Net interest income after provision for credit losses | $ | 287,721 | $ | 75,483 | $ | 363,204 | |||||
Non-interest income | 40,423 | 5,808 | 46,231 | ||||||||
Non-interest expense | 99,758 | 11,305 | 111,063 | ||||||||
Income before assessments | 228,386 | 69,986 | 298,372 | ||||||||
Affordable Housing Program assessments | 23,190 | 6,999 | 30,189 | ||||||||
Net income | $ | 205,196 | $ | 62,987 | $ | 268,183 | |||||
2015 | |||||||||||
Net interest income after provision for credit losses | $ | 250,076 | $ | 77,923 | $ | 327,999 | |||||
Non-interest income | 28,586 | 1,308 | 29,894 | ||||||||
Non-interest expense | 64,925 | 10,626 | 75,551 | ||||||||
Income before assessments | 213,737 | 68,605 | 282,342 | ||||||||
Affordable Housing Program assessments | 21,618 | 6,288 | 27,906 | ||||||||
Net income | $ | 192,119 | $ | 62,317 | $ | 254,436 |
Assets | |||||||||||||||||
Traditional Member Finance | MPP | Total | |||||||||||||||
December 31, 2020 | $ | 53,356,209 | $ | 11,940,030 | $ | 65,296,239 | |||||||||||
December 31, 2019 | 81,064,206 | 12,427,353 | 93,491,559 |
Assets | |||||||||||
Traditional Member Finance | MPP | Total | |||||||||
December 31, 2017 | $ | 95,525,754 | $ | 11,369,460 | $ | 106,895,214 | |||||
December 31, 2016 | 95,456,372 | 9,178,909 | 104,635,281 |
December 31, 2020 | |||||||||||||||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||||||||||||||
Financial Instruments | Net Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | 2,984,073 | $ | 2,984,073 | $ | 2,984,073 | $ | 0 | $ | 0 | $ | — | |||||||||||||||||||||||
Interest-bearing deposits | 555,104 | 555,104 | 0 | 555,104 | 0 | — | |||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 1,818,268 | 1,818,268 | 0 | 1,818,268 | 0 | — | |||||||||||||||||||||||||||||
Federal funds sold | 4,240,000 | 4,240,000 | 0 | 4,240,000 | 0 | — | |||||||||||||||||||||||||||||
Trading securities | 10,488,124 | 10,488,124 | 0 | 10,488,124 | 0 | — | |||||||||||||||||||||||||||||
Available-for-sale securities | 291,587 | 291,587 | 0 | 291,587 | 0 | — | |||||||||||||||||||||||||||||
Held-to-maturity securities | 9,648,171 | 9,792,136 | 0 | 9,792,136 | 0 | — | |||||||||||||||||||||||||||||
Advances (2) | 25,362,003 | 25,573,785 | 0 | 25,573,785 | 0 | — | |||||||||||||||||||||||||||||
Mortgage loans held for portfolio | 9,548,506 | 9,861,802 | 0 | 9,798,019 | 63,783 | — | |||||||||||||||||||||||||||||
Accrued interest receivable | 113,701 | 113,701 | 0 | 113,701 | 0 | — | |||||||||||||||||||||||||||||
Derivative assets | 215,888 | 215,888 | 0 | 2,732 | 0 | 213,156 | |||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||
Deposits | 1,327,202 | 1,327,267 | 0 | 1,327,267 | 0 | — | |||||||||||||||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||||||||||||||
Discount Notes | 27,500,244 | 27,501,296 | 0 | 27,501,296 | 0 | — | |||||||||||||||||||||||||||||
Bonds (3) | 31,996,311 | 32,785,647 | 0 | 32,785,647 | 0 | — | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 19,454 | 19,454 | 19,454 | 0 | 0 | — | |||||||||||||||||||||||||||||
Accrued interest payable | 77,521 | 77,521 | 0 | 77,521 | 0 | — | |||||||||||||||||||||||||||||
Derivative liabilities | 3,813 | 3,813 | 0 | 165,737 | 0 | (161,924) |
December 31, 2017 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts(1) | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 26,550 | $ | 26,550 | $ | 26,550 | $ | — | $ | — | $ | — | |||||||||||
Interest-bearing deposits | 140 | 140 | — | 140 | — | — | |||||||||||||||||
Securities purchased under agreements to resell | 7,701,929 | 7,701,934 | — | 7,701,934 | — | — | |||||||||||||||||
Federal funds sold | 3,650,000 | 3,650,000 | — | 3,650,000 | — | — | |||||||||||||||||
Trading securities | 781 | 781 | — | 781 | — | — | |||||||||||||||||
Available-for-sale securities | 899,876 | 899,876 | — | 899,876 | — | — | |||||||||||||||||
Held-to-maturity securities | 14,804,970 | 14,682,329 | — | 14,682,329 | — | — | |||||||||||||||||
Advances (2) | 69,918,224 | 69,894,641 | — | 69,894,641 | — | — | |||||||||||||||||
Mortgage loans held for portfolio, net | 9,680,940 | 9,731,947 | — | 9,714,802 | 17,145 | — | |||||||||||||||||
Accrued interest receivable | 128,561 | 128,561 | — | 128,561 | — | — | |||||||||||||||||
Derivative assets | 60,695 | 60,695 | — | 64,080 | — | (3,385 | ) | ||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | 650,531 | 650,422 | — | 650,422 | — | — | |||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||
Discount Notes | 46,210,458 | 46,209,716 | — | 46,209,716 | — | — | |||||||||||||||||
Bonds (3) | 54,163,061 | 54,095,627 | — | 54,095,627 | — | — | |||||||||||||||||
Mandatorily redeemable capital stock | 30,031 | 30,031 | 30,031 | — | — | — | |||||||||||||||||
Accrued interest payable | 128,652 | 128,652 | — | 128,652 | — | — | |||||||||||||||||
Derivative liabilities | 2,893 | 2,893 | — | 83,994 | — | (81,101 | ) | ||||||||||||||||
Other: | |||||||||||||||||||||||
Commitments to extend credit for Advances | — | 4 | — | 4 | — | — | |||||||||||||||||
Standby bond purchase agreements | — | 354 | — | 354 | — | — |
December 31, 2019 | |||||||||||||||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | 20,608 | $ | 20,608 | $ | 20,608 | $ | 0 | $ | 0 | $ | — | |||||||||||||||||||||||
Interest-bearing deposits | 550,160 | 550,160 | 0 | 550,160 | 0 | — | |||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 2,348,584 | 2,348,607 | 0 | 2,348,607 | 0 | — | |||||||||||||||||||||||||||||
Federal funds sold | 4,833,000 | 4,833,000 | 0 | 4,833,000 | 0 | — | |||||||||||||||||||||||||||||
Trading securities | 11,615,693 | 11,615,693 | 0 | 11,615,693 | 0 | — | |||||||||||||||||||||||||||||
Available-for-sale securities | 1,542,185 | 1,542,185 | 0 | 1,542,185 | 0 | — | |||||||||||||||||||||||||||||
Held-to-maturity securities | 13,499,319 | 13,501,207 | 0 | 13,501,207 | 0 | — | |||||||||||||||||||||||||||||
Advances (2) | 47,369,573 | 47,458,028 | 0 | 47,458,028 | 0 | — | |||||||||||||||||||||||||||||
Mortgage loans held for portfolio | 11,235,353 | 11,437,180 | 0 | 11,424,857 | 12,323 | — | |||||||||||||||||||||||||||||
Accrued interest receivable | 182,252 | 182,252 | 0 | 182,252 | 0 | — | |||||||||||||||||||||||||||||
Derivative assets | 267,165 | 267,165 | 0 | 32,195 | 0 | 234,970 | |||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||
Deposits | 951,296 | 951,343 | 0 | 951,343 | 0 | — | |||||||||||||||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||||||||||||||
Discount Notes (3) | 49,084,219 | 49,086,723 | 0 | 49,086,723 | 0 | — | |||||||||||||||||||||||||||||
Bonds (4) | 38,439,724 | 38,832,230 | 0 | 38,832,230 | 0 | — | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 21,669 | 21,669 | 21,669 | 0 | 0 | — | |||||||||||||||||||||||||||||
Accrued interest payable | 126,091 | 126,091 | 0 | 126,091 | 0 | — | |||||||||||||||||||||||||||||
Derivative liabilities | 1,310 | 1,310 | 0 | 54,850 | 0 | (53,540) |
December 31, 2016 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral(1) | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 8,737 | $ | 8,737 | $ | 8,737 | $ | — | $ | — | $ | — | |||||||||||
Interest-bearing deposits | 129 | 129 | — | 129 | — | — | |||||||||||||||||
Securities purchased under agreements to resell | 5,229,487 | 5,229,487 | — | 5,229,487 | — | — | |||||||||||||||||
Federal funds sold | 4,257,000 | 4,257,000 | — | 4,257,000 | — | — | |||||||||||||||||
Trading securities | 970 | 970 | — | 970 | — | — | |||||||||||||||||
Available-for-sale securities | 1,300,023 | 1,300,023 | — | 1,300,023 | — | — | |||||||||||||||||
Held-to-maturity securities | 14,546,979 | 14,413,231 | — | 14,413,231 | — | — | |||||||||||||||||
Advances (2) | 69,882,074 | 69,842,730 | — | 69,842,730 | — | — | |||||||||||||||||
Mortgage loans held for portfolio, net | 9,148,718 | 9,174,790 | — | 9,152,186 | 22,604 | — | |||||||||||||||||
Accrued interest receivable | 109,886 | 109,886 | — | 109,886 | — | — | |||||||||||||||||
Derivative assets | 104,753 | 104,753 | — | 53,849 | — | 50,904 | |||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | 765,879 | 765,628 | — | 765,628 | — | — | |||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||
Discount Notes | 44,689,662 | 44,689,594 | — | 44,689,594 | — | — | |||||||||||||||||
Bonds (3) | 53,190,866 | 53,278,571 | — | 53,278,571 | — | — | |||||||||||||||||
Mandatorily redeemable capital stock | 34,782 | 34,782 | 34,782 | — | — | — | |||||||||||||||||
Accrued interest payable | 119,322 | 119,322 | — | 119,322 | — | — | |||||||||||||||||
Derivative liabilities | 17,874 | 17,874 | — | 102,065 | — | (84,191 | ) | ||||||||||||||||
Other: | |||||||||||||||||||||||
Standby bond purchase agreements | — | 708 | — | 708 | — | — |
Fair Value Measurements at December 31, 2020 | |||||||||||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||||||||||||
Recurring fair value measurements - Assets | |||||||||||||||||||||||||||||
Trading securities: | |||||||||||||||||||||||||||||
U.S. Treasury obligations | $ | 8,362,211 | $ | 0 | $ | 8,362,211 | $ | 0 | $ | — | |||||||||||||||||||
GSE obligations | 2,125,580 | 0 | 2,125,580 | 0 | — | ||||||||||||||||||||||||
U.S. obligation single-family MBS | 333 | 0 | 333 | 0 | — | ||||||||||||||||||||||||
Total trading securities | 10,488,124 | 0 | 10,488,124 | 0 | — | ||||||||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||||||||||||
GSE obligations | 142,402 | 0 | 142,402 | 0 | — | ||||||||||||||||||||||||
GSE multi-family MBS | 149,185 | 0 | 149,185 | 0 | — | ||||||||||||||||||||||||
Total available-for-sale securities | 291,587 | 0 | 291,587 | 0 | — | ||||||||||||||||||||||||
Advances | 27,202 | 0 | 27,202 | 0 | — | ||||||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||||||
Interest rate related | 214,832 | 0 | 1,676 | 0 | 213,156 | ||||||||||||||||||||||||
Mortgage delivery commitments | 1,056 | 0 | 1,056 | 0 | — | ||||||||||||||||||||||||
Total derivative assets | 215,888 | 0 | 2,732 | 0 | 213,156 | ||||||||||||||||||||||||
Total assets at fair value | $ | 11,022,801 | $ | 0 | $ | 10,809,645 | $ | 0 | $ | 213,156 | |||||||||||||||||||
Recurring fair value measurements - Liabilities | |||||||||||||||||||||||||||||
Consolidated Obligation Bonds | $ | 2,262,388 | $ | 0 | $ | 2,262,388 | $ | 0 | $ | — | |||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Interest rate related | 3,813 | 0 | 165,737 | 0 | (161,924) | ||||||||||||||||||||||||
Total derivative liabilities | 3,813 | 0 | 165,737 | 0 | (161,924) | ||||||||||||||||||||||||
Total liabilities at fair value | $ | 2,266,201 | $ | 0 | $ | 2,428,125 | $ | 0 | $ | (161,924) | |||||||||||||||||||
Nonrecurring fair value measurements - Assets (2) | |||||||||||||||||||||||||||||
Mortgage loans held for portfolio | $ | 108 | $ | 0 | $ | 0 | $ | 108 |
Fair Value Measurements at December 31, 2017 | |||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts(1) | |||||||||||||||
Recurring fair value measurements - Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. obligation single-family mortgage-backed securities | $ | 781 | $ | — | $ | 781 | $ | — | $ | — | |||||||||
Available-for-sale securities: | |||||||||||||||||||
Certificates of deposit | 899,876 | — | 899,876 | — | — | ||||||||||||||
Advances | 15,013 | — | 15,013 | — | — | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest rate related | 60,215 | — | 63,600 | — | (3,385 | ) | |||||||||||||
Forward rate agreements | 27 | — | 27 | — | — | ||||||||||||||
Mortgage delivery commitments | 453 | — | 453 | — | — | ||||||||||||||
Total derivative assets | 60,695 | — | 64,080 | — | (3,385 | ) | |||||||||||||
Total assets at fair value | $ | 976,365 | $ | — | $ | 979,750 | $ | — | $ | (3,385 | ) | ||||||||
Recurring fair value measurements - Liabilities | |||||||||||||||||||
Consolidated Obligation Bonds | $ | 5,577,315 | $ | — | $ | 5,577,315 | $ | — | $ | — | |||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate related | 2,646 | — | 83,747 | — | (81,101 | ) | |||||||||||||
Forward rate agreement | 230 | — | 230 | — | — | ||||||||||||||
Mortgage delivery commitments | 17 | — | 17 | — | — | ||||||||||||||
Total derivative liabilities | 2,893 | — | 83,994 | — | (81,101 | ) | |||||||||||||
Total liabilities at fair value | $ | 5,580,208 | $ | — | $ | 5,661,309 | $ | — | $ | (81,101 | ) | ||||||||
Nonrecurring fair value measurements - Assets (2) | |||||||||||||||||||
Mortgage loans held for portfolio | $ | 598 | $ | — | $ | — | $ | 598 |
Fair Value Measurements at December 31, 2019 | |||||||||||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||||||||||||
Recurring fair value measurements - Assets | |||||||||||||||||||||||||||||
Trading securities: | |||||||||||||||||||||||||||||
U.S. Treasury obligations | $ | 9,626,964 | $ | 0 | $ | 9,626,964 | $ | 0 | $ | — | |||||||||||||||||||
GSE obligations | 1,988,259 | 0 | 1,988,259 | 0 | — | ||||||||||||||||||||||||
U.S. obligation single-family MBS | 470 | 0 | 470 | 0 | — | ||||||||||||||||||||||||
Total trading securities | 11,615,693 | 0 | 11,615,693 | 0 | — | ||||||||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||||||||||||
Certificates of deposit | 1,410,111 | 0 | 1,410,111 | 0 | — | ||||||||||||||||||||||||
GSE obligations | 132,074 | 0 | 132,074 | 0 | — | ||||||||||||||||||||||||
Total available-for-sale securities | 1,542,185 | 0 | 1,542,185 | 0 | — | ||||||||||||||||||||||||
Advances | 5,238 | 0 | 5,238 | 0 | — | ||||||||||||||||||||||||
Derivative assets: | |||||||||||||||||||||||||||||
Interest rate related | 264,346 | 0 | 29,376 | 0 | 234,970 | ||||||||||||||||||||||||
Forward rate agreements | 21 | 0 | 21 | 0 | — | ||||||||||||||||||||||||
Mortgage delivery commitments | 2,798 | 0 | 2,798 | 0 | — | ||||||||||||||||||||||||
Total derivative assets | 267,165 | 0 | 32,195 | 0 | 234,970 | ||||||||||||||||||||||||
Total assets at fair value | $ | 13,430,281 | $ | 0 | $ | 13,195,311 | $ | 0 | $ | 234,970 | |||||||||||||||||||
Recurring fair value measurements - Liabilities | |||||||||||||||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||||||||
Discount Notes | $ | 12,386,974 | $ | 0 | $ | 12,386,974 | $ | 0 | $ | — | |||||||||||||||||||
Bonds | 4,757,177 | 0 | 4,757,177 | 0 | — | ||||||||||||||||||||||||
Total Consolidated Obligations | 17,144,151 | 0 | 17,144,151 | 0 | — | ||||||||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||||||||||||
Interest rate related | 464 | 0 | 54,004 | 0 | (53,540) | ||||||||||||||||||||||||
Forward rate agreements | 782 | 0 | 782 | 0 | — | ||||||||||||||||||||||||
Mortgage delivery commitments | 64 | 0 | 64 | 0 | — | ||||||||||||||||||||||||
Total derivative liabilities | 1,310 | 0 | 54,850 | 0 | (53,540) | ||||||||||||||||||||||||
Total liabilities at fair value | $ | 17,145,461 | $ | 0 | $ | 17,199,001 | $ | 0 | $ | (53,540) | |||||||||||||||||||
Fair Value Measurements at December 31, 2016 | |||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustment and Cash Collateral (1) | |||||||||||||||
Recurring fair value measurements - Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. obligation single-family mortgage-backed securities | $ | 970 | $ | — | $ | 970 | $ | — | $ | — | |||||||||
Available-for-sale securities: | |||||||||||||||||||
Certificates of deposit | 1,300,023 | — | 1,300,023 | — | — | ||||||||||||||
Advances | 15,093 | — | 15,093 | — | — | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest rate related | 103,753 | — | 52,849 | — | 50,904 | ||||||||||||||
Forward rate agreements | 681 | — | 681 | — | — | ||||||||||||||
Mortgage delivery commitments | 319 | — | 319 | — | — | ||||||||||||||
Total derivative assets | 104,753 | — | 53,849 | — | 50,904 | ||||||||||||||
Total assets at fair value | $ | 1,420,839 | $ | — | $ | 1,369,935 | $ | — | $ | 50,904 | |||||||||
Recurring fair value measurements - Liabilities | |||||||||||||||||||
Consolidated Obligation Bonds | $ | 7,895,510 | $ | — | $ | 7,895,510 | $ | — | $ | — | |||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate related | 7,080 | — | 91,271 | — | (84,191 | ) | |||||||||||||
Forward rate agreements | 166 | — | 166 | — | — | ||||||||||||||
Mortgage delivery commitments | 10,628 | — | 10,628 | — | — | ||||||||||||||
Total derivative liabilities | 17,874 | — | 102,065 | — | (84,191 | ) | |||||||||||||
Total liabilities at fair value | $ | 7,913,384 | $ | — | $ | 7,997,575 | $ | — | $ | (84,191 | ) | ||||||||
Nonrecurring fair value measurements - Assets (2) | |||||||||||||||||||
Mortgage loans held for portfolio | $ | 1,388 | $ | — | $ | — | $ | 1,388 |
For the Years Ended December 31, | |||||||||||||||||||||||||||||
Net Gains (Losses) from Changes in Fair Value Recognized in Earnings | 2020 | 2019 | 2018 | ||||||||||||||||||||||||||
Advances | $ | 439 | $ | 238 | $ | (4) | |||||||||||||||||||||||
Consolidated Discount Notes | 1,060 | (1,060) | 0 | ||||||||||||||||||||||||||
Consolidated Bonds | (8,792) | (53,030) | (14,180) | ||||||||||||||||||||||||||
Total net gains (losses) | $ | (7,293) | $ | (53,852) | $ | (14,184) |
For the Years Ended December 31, | |||||||||||
Net Gains on Financial Instruments Held under Fair Value Option | 2017 | 2016 | 2015 | ||||||||
Advances | $ | (81 | ) | $ | 37 | $ | 15 | ||||
Consolidated Bonds | 10,490 | 40,466 | 1,042 | ||||||||
Total net gains | $ | 10,409 | $ | 40,503 | $ | 1,057 |
December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||||||||||||||
Aggregate Unpaid Principal Balance | Aggregate Fair Value | Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance | Aggregate Unpaid Principal Balance | Aggregate Fair Value | Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance | ||||||||||||||||||||||||||||||
Advances | $ | 26,500 | $ | 27,202 | $ | 702 | $ | 5,000 | $ | 5,238 | $ | 238 | |||||||||||||||||||||||
Consolidated Discount Notes | 0 | 0 | 0 | 12,400,865 | 12,386,974 | (13,891) | |||||||||||||||||||||||||||||
Consolidated Bonds | 2,241,000 | 2,262,388 | 21,388 | 4,739,000 | 4,757,177 | 18,177 |
December 31, 2017 | December 31, 2016 | ||||||||||||||||||||||
Aggregate Unpaid Principal Balance | Aggregate Fair Value | Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance | Aggregate Unpaid Principal Balance | Aggregate Fair Value | Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance | ||||||||||||||||||
Advances (1) | $ | 15,000 | $ | 15,013 | $ | 13 | $ | 15,000 | $ | 15,093 | $ | 93 | |||||||||||
Consolidated Bonds | 5,624,265 | 5,577,315 | (46,950 | ) | 7,926,000 | 7,895,510 | (30,490 | ) |
December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||||||||||||||
Notional Amount | Expire within one year | Expire after one year | Total | Expire within one year | Expire after one year | Total | |||||||||||||||||||||||||||||
Standby Letters of Credit | $ | 27,741,220 | $ | 1,071,029 | $ | 28,812,249 | $ | 15,143,075 | $ | 1,062,105 | $ | 16,205,180 | |||||||||||||||||||||||
Commitments for standby bond purchases | 0 | 35,030 | 35,030 | 20,360 | 55,150 | 75,510 | |||||||||||||||||||||||||||||
Commitments to purchase mortgage loans | 137,352 | 0 | 137,352 | 936,269 | 0 | 936,269 | |||||||||||||||||||||||||||||
Unsettled Consolidated Discount Notes, principal amount (1) | 321,551 | 0 | 321,551 | 0 | 0 | 0 |
December 31, 2017 | December 31, 2016 | ||||||||||||||||||||||
Notional Amount | Expire within one year | Expire after one year | Total | Expire within one year | Expire after one year | Total | |||||||||||||||||
Standby Letters of Credit outstanding | $ | 14,388,745 | $ | 302,237 | $ | 14,690,982 | $ | 17,029,024 | $ | 479,119 | $ | 17,508,143 | |||||||||||
Commitments for standby bond purchases | 27,230 | 44,645 | 71,875 | 28,810 | 77,240 | 106,050 | |||||||||||||||||
Commitments to fund additional Advances | 5,000 | — | 5,000 | — | — | — | |||||||||||||||||
Commitments to purchase mortgage loans | 218,651 | — | 218,651 | 440,849 | — | 440,849 | |||||||||||||||||
Unsettled Consolidated Discount Notes, at par (1) | 309,662 | — | 309,662 | 5,500 | — | 5,500 |
Average Daily Balances for the Years Ended December 31, | |||||||||||||||||
2020 | 2019 | 2018 | |||||||||||||||
Loans to other FHLBanks | $ | 4,918 | $ | 2,877 | $ | 1,370 | |||||||||||
Borrowings from other FHLBanks | 137 | 137 | 274 |
Average Daily Balances for the Years Ended December 31, | |||||||||||
2017 | 2016 | 2015 | |||||||||
Loans to other FHLBanks | $ | 14 | $ | 3,142 | $ | — | |||||
Borrowings from other FHLBanks | 959 | 273 | 68 |
December 31, 2020 | December 31, 2019 | ||||||||||||||||||||||
Balance | % of Total (1) | Balance | % of Total (1) | ||||||||||||||||||||
Advances | $ | 7,048 | 28.2 | % | $ | 3,428 | 7.3 | % | |||||||||||||||
MPP | 159 | 1.7 | 122 | 1.1 | |||||||||||||||||||
Regulatory capital stock | 467 | 17.6 | 176 | 5.2 | |||||||||||||||||||
December 31, 2017 | December 31, 2016 | ||||||||||||
Balance | % of Total (1) | Balance | % of Total (1) | ||||||||||
Advances | $ | 3,558 | 5.1 | % | $ | 3,947 | 5.6 | % | |||||
MPP | 112 | 1.2 | 234 | 2.6 | |||||||||
Regulatory capital stock | 187 | 4.4 | 166 | 4.0 |
Regulatory Capital Stock | Advance | MPP Unpaid | |||||||||||||||||||||
December 31, 2020 | Balance | % of Total | Principal | Principal Balance | |||||||||||||||||||
U.S. Bank, N.A. | $ | 288 | 11 | % | $ | 4,273 | $ | 13 | |||||||||||||||
JPMorgan Chase Bank, N.A. | 163 | 6 | 0 | 0 | |||||||||||||||||||
Third Federal Savings & Loan Association | 137 | 5 | 3,443 | 42 | |||||||||||||||||||
Regulatory Capital Stock | Advance | MPP Unpaid | |||||||||||||||||||||
December 31, 2019 | Balance | % of Total | Principal | Principal Balance | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | $ | 675 | 20 | % | $ | 4,500 | $ | 0 | |||||||||||||||
U.S. Bank, N.A. | 485 | 14 | 13,874 | 17 | |||||||||||||||||||
Regulatory Capital Stock | Advance | MPP Unpaid | ||||||||||||
December 31, 2017 | Balance | % of Total | Principal | Principal Balance | ||||||||||
JPMorgan Chase Bank, N.A. | $ | 1,059 | 25 | % | $ | 23,950 | $ | — | ||||||
U.S. Bank, N.A. | 593 | 14 | 8,975 | 23 | ||||||||||
The Huntington National Bank | 282 | 7 | 3,732 | 456 | ||||||||||
Fifth Third Bank | 248 | 6 | 3,140 | 2 |
Regulatory Capital Stock | Advance | MPP Unpaid | ||||||||||||
December 31, 2016 | Balance | % of Total | Principal | Principal Balance | ||||||||||
JPMorgan Chase Bank, N.A. | $ | 1,317 | 31 | % | $ | 32,300 | $ | — | ||||||
U.S. Bank, N.A. | 475 | 11 | 8,563 | 27 | ||||||||||
Fifth Third Bank | 248 | 6 | 2,517 | 2 | ||||||||||
The Huntington National Bank | 244 | 6 | 2,433 | 388 |
Name | Age | Director Since | Expiration of Term as a Director | Independent or Member (State) | ||||||||||
J. Lynn Anderson, Chair | 57 | 2017 (1) | 12/31/24 | Independent (OH) | ||||||||||
Grady P. Appleton | 73 | 2007 | 12/31/21 | Independent (OH) | ||||||||||
April Miller Boise | 52 | 2019 | 12/31/22 | Independent (OH) | ||||||||||
Brady T. Burt | 48 | 2017 | 12/31/24 | Member (OH) | ||||||||||
Greg W. Caudill | 62 | 2014 | 12/31/21 | Member (KY) | ||||||||||
Kristin H. Darby | 46 | 2021 | 12/31/24 | Independent (TN) | ||||||||||
James A. England, Vice Chair | 69 | 2011 | 12/31/22 | Member (TN) | ||||||||||
Robert T. Lameier | 68 | 2016 | 12/31/23 | Member (OH) | ||||||||||
Donald J. Mullineaux | 75 | 2010 | 12/31/23 | Independent (KY) | ||||||||||
Michael P. Pell | 57 | 2019 | 12/31/22 | Member (OH) | ||||||||||
Kathleen A. Rogers (2) | 55 | 2020 | 12/31/21 | Member (OH) | ||||||||||
Charles J. Ruma | 79 | (2002-2004) 2007 | 12/31/23 | Independent (OH) | ||||||||||
David E. Sartore | 60 | 2014 | 12/31/21 | Member (KY) | ||||||||||
William S. Stuard, Jr. | 66 | 2011 | 12/31/22 | Member (TN) | ||||||||||
Nancy E. Uridil | 69 | 2015 | 12/31/22 | Independent (OH) | ||||||||||
James J. Vance | 59 | 2017 | 12/31/24 | Member (OH) | ||||||||||
Jonathan D. Welty | 51 | 2020 | 12/31/23 | Member (OH) |
Name | Age | Director Since | Expiration of Term as a Director | Independent or Member (State) |
J. Lynn Anderson | 54 | 2017 (1) | 12/31/20 | Independent (OH) |
Grady P. Appleton | 70 | 2007 | 12/31/21 | Independent (OH) |
Brady T. Burt | 45 | 2017 | 12/31/20 | Member (OH) |
Greg W. Caudill | 59 | 2014 | 12/31/21 | Member (KY) |
James R. DeRoberts | 61 | 2008 | 12/31/18 | Member (OH) |
Mark N. DuHamel | 60 | (2009-2015) 2018 | 12/31/21 | Member (OH) |
Leslie D. Dunn | 72 | 2007 | 12/31/20 | Independent (OH) |
James A. England, Vice Chair | 66 | 2011 | 12/31/18 | Member (TN) |
Charles J. Koch | 71 | 2008 (2) | 12/31/18 | Independent (OH) |
Robert T. Lameier | 65 | 2016 | 12/31/19 | Member (OH) |
Michael R. Melvin | 73 | (1995-2001) 2006 | 12/31/19 | Member (OH) |
Donald J. Mullineaux, Chair | 72 | 2010 | 12/31/19 | Independent (KY) |
Alvin J. Nance | 60 | 2009 | 12/31/20 | Independent (TN) |
Charles J. Ruma | 76 | (2002-2004) 2007 | 12/31/19 | Independent (OH) |
David E. Sartore | 57 | 2014 | 12/31/21 | Member (KY) |
William S. Stuard, Jr. | 63 | 2011 | 12/31/18 | Member (TN) |
Nancy E. Uridil | 66 | 2015 | 12/31/18 | Independent (OH) |
James J. Vance | 56 | 2017 | 12/31/20 | Member (OH) |
Name | Age | Position | Employee of the FHLB Since | Name | Age | Position | Employee of the FHLB Since | |||||||
Andrew S. Howell | 56 | President and Chief Executive Officer | 1989 | Andrew S. Howell | 59 | President and Chief Executive Officer | 1989 | |||||||
Donald R. Able | 57 | Executive Vice President-Chief Operating Officer | 1981 | |||||||||||
James G. Dooley, Sr. | 64 | Executive Vice President-Chief Risk and Compliance Officer | 2006 | |||||||||||
Stephen J. Sponaugle | Stephen J. Sponaugle | 58 | Executive Vice President, Chief Financial Officer | 1992 | ||||||||||
R. Kyle Lawler | 60 | Executive Vice President-Chief Business Officer | 2000 | R. Kyle Lawler | 63 | Executive Vice President, Chief Business Officer | 2000 | |||||||
Stephen J. Sponaugle | 55 | Executive Vice President-Chief Financial Officer | 1992 | |||||||||||
Roger B. Batsel | Roger B. Batsel | 49 | Executive Vice President, Chief Operating Officer | 2014 | ||||||||||
Damon v. Allen | 47 | Senior Vice President-Community Investment Officer | 1999 | Damon v. Allen | 50 | Senior Vice President, Housing and Community Investment Officer | 1999 | |||||||
J. Christopher Bates | 42 | Senior Vice President-Chief Accounting Officer | 2005 | J. Christopher Bates | 45 | Senior Vice President, Chief Accounting Officer | 2005 | |||||||
Roger B. Batsel | 46 | Senior Vice President-Chief Information Officer | 2014 | |||||||||||
David C. Eastland | 60 | Senior Vice President-Chief Credit Officer | 1999 | David C. Eastland | 63 | Senior Vice President, Chief Credit Officer | 1999 | |||||||
James C. Frondorf | James C. Frondorf | 43 | Senior Vice President, Assistant Chief Credit Officer | 2001 | ||||||||||
Tami L. Hendrickson | 57 | Senior Vice President-Treasurer | 2006 | Tami L. Hendrickson | 60 | Senior Vice President, Treasurer | 2006 | |||||||
Bridget C. Hoffman | Bridget C. Hoffman | 44 | Senior Vice President, General Counsel | 2018 | ||||||||||
Amy L. Konow | Amy L. Konow | 46 | Senior Vice President, Chief Audit Executive | 2020 | ||||||||||
Daniel A. Tully | Daniel A. Tully | 43 | Senior Vice President, Chief Risk and Compliance Officer | 2006 |
Item 11.Executive Compensation. |
Name and Principal Position | Year | Salary(1) | Non-Equity Incentive Plan Compensation(2) | Change in Pension Value & Non-Qualified Deferred Compensation Earnings(3) | All Other Compensation(4) | Total | |||||||||||||||||||||||||||||||||||
Andrew S. Howell | 2020 | $ | 947,115 | $ | 785,578 | $ | 3,225,000 | $ | 36,097 | $ | 4,993,790 | ||||||||||||||||||||||||||||||
President and CEO | 2019 | 939,615 | 779,698 | 3,457,000 | 37,044 | 5,213,357 | |||||||||||||||||||||||||||||||||||
2018 | 901,538 | 722,867 | 192,000 | 34,233 | 1,850,638 | ||||||||||||||||||||||||||||||||||||
Stephen J. Sponaugle | 2020 | 442,475 | 292,190 | 1,435,000 | 17,100 | 2,186,765 | |||||||||||||||||||||||||||||||||||
Executive Vice President- | 2019 | 419,250 | 259,314 | 1,377,000 | 16,800 | 2,072,364 | |||||||||||||||||||||||||||||||||||
Chief Financial Officer | 2018 | 405,231 | 245,058 | 193,000 | 16,500 | 859,789 | |||||||||||||||||||||||||||||||||||
R. Kyle Lawler | 2020 | 467,423 | 304,168 | 994,000 | 17,100 | 1,782,691 | |||||||||||||||||||||||||||||||||||
Executive Vice President- | 2019 | 440,577 | 303,275 | 994,000 | 16,800 | 1,754,652 | |||||||||||||||||||||||||||||||||||
Chief Business Officer | 2018 | 424,250 | 284,925 | 170,000 | 16,500 | 895,675 | |||||||||||||||||||||||||||||||||||
Roger B. Batsel | 2020 | 368,000 | 230,116 | 131,000 | 17,100 | 746,216 | |||||||||||||||||||||||||||||||||||
Executive Vice President- | 2019 | 341,000 | 205,659 | 88,000 | 16,406 | 651,065 | |||||||||||||||||||||||||||||||||||
Chief Operating Officer | 2018 | 316,635 | 190,309 | 26,000 | 12,375 | 545,319 | |||||||||||||||||||||||||||||||||||
Tami L. Hendrickson (5) | 2020 | 322,500 | 182,224 | 254,000 | 10,224 | 768,948 | |||||||||||||||||||||||||||||||||||
Senior Vice President- | |||||||||||||||||||||||||||||||||||||||||
Treasurer |
Name and Principal Position | Year | Salary(1) | Bonus | Non-Equity Incentive Plan Compensation(2) | Change in Pension Value & Non-Qualified Deferred Compensation Earnings(3) | All Other Compensation(4) | Total | ||||||||||||||||||
Andrew S. Howell | 2017 | $ | 854,808 | $ | — | $ | 650,066 | $ | 2,149,000 | $ | 32,837 | $ | 3,686,711 | ||||||||||||
President and CEO | 2016 | 800,625 | — | 648,357 | 1,426,000 | 27,215 | 2,902,197 | ||||||||||||||||||
2015 | 728,482 | — | 544,843 | 889,000 | 29,536 | 2,191,861 | |||||||||||||||||||
Donald R. Able | 2017 | 433,846 | — | 273,250 | 1,559,000 | 16,200 | 2,282,296 | ||||||||||||||||||
Executive Vice President- | 2016 | 418,952 | 50,000 | 278,474 | 943,000 | 15,900 | 1,706,326 | ||||||||||||||||||
Chief Operating Officer | 2015 | 383,125 | — | 242,198 | 465,000 | 15,900 | 1,106,223 | ||||||||||||||||||
R. Kyle Lawler | 2017 | 404,654 | — | 255,349 | 661,000 | 16,200 | 1,337,203 | ||||||||||||||||||
Executive Vice President- | 2016 | 379,385 | — | 261,931 | 438,000 | 15,900 | 1,095,216 | ||||||||||||||||||
Chief Business Officer | 2015 | 357,885 | — | 229,316 | 244,000 | 15,900 | 847,101 | ||||||||||||||||||
Stephen J. Sponaugle | 2017 | 368,750 | — | 215,949 | 777,000 | 16,200 | 1,377,899 | ||||||||||||||||||
Executive Vice President- | 2016 | 337,692 | — | 191,269 | 494,000 | 15,900 | 1,038,861 | ||||||||||||||||||
Chief Financial Officer | 2015 | 306,752 | — | 176,417 | 181,000 | 15,900 | 680,069 | ||||||||||||||||||
Roger B. Batsel (5) | 2017 | 295,000 | — | 168,365 | 38,000 | 11,980 | 513,345 | ||||||||||||||||||
Senior Vice President- | |||||||||||||||||||||||||
Chief Information Officer |
Name | 2017 Incentive Plan (current incentive) | 2014 Incentive Plan (three-year deferred incentive) | Total | |||||||||
Andrew S. Howell | $ | 338,752 | $ | 311,314 | $ | 650,066 | ||||||
Donald R. Able | 142,275 | 130,975 | 273,250 | |||||||||
R. Kyle Lawler | 130,419 | 124,930 | 255,349 | |||||||||
Stephen J. Sponaugle | 124,898 | 91,051 | 215,949 | |||||||||
Roger B. Batsel | 87,394 | 80,971 | 168,365 |
Name | 2020 Incentive Plan (current incentive) | 2017 Incentive Plan (three-year deferred incentive) | Total | |||||||||||||||||
Andrew S. Howell | $ | 397,057 | $ | 388,521 | $ | 785,578 | ||||||||||||||
Stephen J. Sponaugle | 148,941 | 143,249 | 292,190 | |||||||||||||||||
R. Kyle Lawler | 154,588 | 149,580 | 304,168 | |||||||||||||||||
Roger B. Batsel | 129,882 | 100,234 | 230,116 | |||||||||||||||||
Tami L. Hendrickson | 97,280 | 84,944 | 182,224 |
Incentive Opportunity | Incentive Opportunity | ||||||||||||||||||||||||||||
Name | Threshold | Target | Maximum | Name | Threshold | Target | Maximum | ||||||||||||||||||||||
Andrew S. Howell | 50.0 | % | 75.0 | % | 100.0 | % | Andrew S. Howell | 50.0 | % | 75.0 | % | 100.0 | % | ||||||||||||||||
Donald R. Able | 40.0 | 60.0 | 80.0 | ||||||||||||||||||||||||||
Stephen J. Sponaugle | Stephen J. Sponaugle | 40.0 | 60.0 | 80.0 | |||||||||||||||||||||||||
R. Kyle Lawler | 40.0 | 60.0 | 80.0 | R. Kyle Lawler | 40.0 | 60.0 | 80.0 | ||||||||||||||||||||||
Stephen J. Sponaugle | 40.0 | 60.0 | 80.0 | ||||||||||||||||||||||||||
Roger B. Batsel | 30.0 | 50.0 | 70.0 | Roger B. Batsel | 40.0 | 60.0 | 80.0 | ||||||||||||||||||||||
Tami L. Hendrickson | Tami L. Hendrickson | 35.0 | 52.5 | 70.0 |
(Dollars in thousands) | (Dollars in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||
Incentive Weight | Threshold Performance | Target Performance | Maximum Performance | Results Achieved | Incentive Weight | Threshold Performance | Target Performance | Maximum Performance | Results Achieved | ||||||||||||||||||||||||||||||||||||||
Franchise Value Promotion | Franchise Value Promotion | ||||||||||||||||||||||||||||||||||||||||||||||
1) Mission Outreach | 10.0 | % | 86 | 100 | 115 | 115 | 1) Mission Outreach | 10.0 | % | 90 | 100 | 120 | 107 | ||||||||||||||||||||||||||||||||||
2) Mission Asset Participation | 10.0 | 65 | % | 72 | % | 80 | % | 79 | % | 2) Mission Asset Participation | 15.0 | 65 | % | 72 | % | 80 | % | 76 | % | ||||||||||||||||||||||||||||
Mission Asset Activity | Mission Asset Activity | ||||||||||||||||||||||||||||||||||||||||||||||
3) Average Advance Balances for Members with Assets of $50 billion or Less | 15.0 | $ | 18,500,000 | $ | 20,500,000 | $ | 23,000,000 | $ | 23,445,536 | 3) Average Advance Balances for Members with Assets of $50 billion or Less | 15.0 | $ | 19,500,000 | $ | 21,500,000 | $ | 23,500,000 | $ | 20,230,778 | ||||||||||||||||||||||||||||
4) Mortgage Purchase Program New Mandatory Delivery Commitments | 15.0 | 2,000,000 | 2,300,000 | 2,700,000 | 1,592,912 | 4) Mortgage Purchase Program New Mandatory Delivery Commitments | 15.0 | 1,500,000 | 1,800,000 | 2,200,000 | 1,972,266 | ||||||||||||||||||||||||||||||||||||
Stockholder Risk/Return | Stockholder Risk/Return | ||||||||||||||||||||||||||||||||||||||||||||||
5) Decline in Market Value of Equity | 25.0 | < 7% | < 5% | 3% or less | 2.8 | % | 5) Decline in Market Value of Equity | 20.0 | < 7% | < 5% | 3% or less | 2.3 | % | ||||||||||||||||||||||||||||||||||
6) Profitability-Available Earnings vs. Average 3-month LIBOR Rate | 25.0 | 330 bps | 380 bps | 440 bps | 491 bps | ||||||||||||||||||||||||||||||||||||||||||
6) Profitability-Available Earnings vs. Average Short-term Rates (3-month LIBOR and Federal funds effective) | 6) Profitability-Available Earnings vs. Average Short-term Rates (3-month LIBOR and Federal funds effective) | 25.0 | 15 bps | 125 bps | 225 bps | 356 bps |
Franchise Value Promotion | |||||
Mission Outreach | Weight: 10.0% | ||||
Mission Asset Participation | Weight: | ||||
Diversity and Inclusion Strategic Plan Achievement | Weight: 5.0% | ||||
Mission Asset Activity | |||||
Average Advances Balances for Members with Assets of $50 billion or Less | Weight: 15.0% | ||||
Community Financial Institutions Participation in the Mortgage Purchase Program | Weight: 15.0% | ||||
Stockholder Risk/Return | |||||
Decline in Market Value of Equity | Weight: | ||||
Weight: |
Incentive Weight | Threshold Performance | Target Performance | Maximum Performance | Results Achieved | |||||||||||||||||||||||||
Operating Efficiency: | |||||||||||||||||||||||||||||
Ranking of Operating Efficiency Ratio in comparison to other FHLBanks | 25% | 6th | 4th | 1st | 1st | ||||||||||||||||||||||||
Market Capitalization Ratio: | |||||||||||||||||||||||||||||
Ratio of Market Value of Equity to Par Value of Regulatory Capital Stock | 25% | 100% | 105% | 110% | 121% | ||||||||||||||||||||||||
Advance Utilization Ratio: | |||||||||||||||||||||||||||||
Ranking of average of each member's Advances-to-assets ratio multiplied by the average member borrower penetration ratio in comparison to other FHLBanks | 25% | 7th | 4th | 1st | 5th | ||||||||||||||||||||||||
Strategic Business Plan Achievement: | |||||||||||||||||||||||||||||
Percentage of Strategic Business Plan strategies achieved | 25% | 70% | 80% | 100% | 94% |
Incentive Weight | Threshold Performance | Target Performance | Maximum Performance | Results Achieved | |||||
Operating Efficiency: | |||||||||
Ranking of Operating Efficiency Ratio in comparison to other FHLBanks | 20% | 6th | 4th | 1st | 1st | ||||
Risk Adjusted Profitability: | |||||||||
Ranking of Risk Adjusted Profitability in comparison to other FHLBanks | 20% | 8th | 4th | 1st | 5th | ||||
Market Capitalization Ratio: | |||||||||
Ratio of Market Value of Equity to Par Value of Regulatory Capital Stock | 20% | 95% | 100% | 110% | 110% | ||||
Advance Utilization Ratio: | |||||||||
Ranking of average of each Member's Advances-to-Assets ratio multiplied by the average Member borrower penetration ratio in comparison to other FHLBanks | 20% | 8th | 4th | 1st | 5th | ||||
Strategic Business Plan Achievement: | |||||||||
Percentage of Strategic Business Plan strategies achieved | 20% | 70% | 80% | 100% | 91% |
Estimated Future Payouts Under Non-Equity Incentive Plan Awards | ||||||||||||||||||||||||||
Name | Grant Date (1) | Threshold | Target | Maximum | ||||||||||||||||||||||
Andrew S. Howell | December 17, 2020 | $ | 450,000 | $ | 675,000 | $ | 900,000 | |||||||||||||||||||
Stephen J. Sponaugle | December 17, 2020 | 170,400 | 255,600 | 340,800 | ||||||||||||||||||||||
R. Kyle Lawler | December 17, 2020 | 176,800 | 265,200 | 353,600 | ||||||||||||||||||||||
Roger B. Batsel | December 17, 2020 | 149,200 | 223,800 | 298,400 | ||||||||||||||||||||||
Tami L. Hendrickson | December 17, 2020 | 112,000 | 168,000 | 224,000 |
Estimated Future Payouts Under Non-Equity Incentive Plan Awards | ||||||||||||||
Name | Grant Date (1) | Threshold | Target | Maximum | ||||||||||
Andrew S. Howell | November 16, 2017 | $ | 420,000 | $ | 630,000 | $ | 840,000 | |||||||
Donald R. Able | November 16, 2017 | 173,200 | 259,800 | 346,400 | ||||||||||
R. Kyle Lawler | November 16, 2017 | 162,000 | 243,000 | 324,000 | ||||||||||
Stephen J. Sponaugle | November 16, 2017 | 156,000 | 234,000 | 312,000 | ||||||||||
Roger B. Batsel | November 16, 2017 | 93,000 | 155,000 | 217,000 |
Name | Plan Name | Number of Years Credited Service (1) | Present Value (2) of Accumulated Benefits | ||||||||||||||||||||
Andrew S. Howell | Pentegra DB | 30.50 | $ | 2,991,000 | |||||||||||||||||||
DB/BEP | 30.50 | 13,771,000 | |||||||||||||||||||||
Stephen J. Sponaugle | Pentegra DB | 27.33 | 2,936,000 | ||||||||||||||||||||
DB/BEP | 27.33 | 3,281,000 | |||||||||||||||||||||
R. Kyle Lawler | Pentegra DB | 19.50 | 2,439,000 | ||||||||||||||||||||
DB/BEP | 19.50 | 2,743,000 | |||||||||||||||||||||
Roger B. Batsel | Pentegra DB | 5.92 | 234,000 | ||||||||||||||||||||
DB/BEP | 5.92 | 92,000 | |||||||||||||||||||||
Tami L. Hendrickson | Pentegra DB | 13.92 | 703,000 | ||||||||||||||||||||
DB/BEP | 13.92 | 176,000 |
Name | Plan Name | Number of Years Credited Service (1) | Present Value (2) of Accumulated Benefits | ||||||
Andrew S. Howell | Pentegra DB | 27.50 | $ | 2,198,000 | |||||
DB/BEP | 27.50 | 7,690,000 | |||||||
Donald R. Able | Pentegra DB | 36.42 | 2,294,000 | ||||||
DB/BEP | 36.42 | 4,661,000 | |||||||
R. Kyle Lawler | Pentegra DB | 16.50 | 1,562,000 | ||||||
DB/BEP | 16.50 | 1,462,000 | |||||||
Stephen J. Sponaugle | Pentegra DB | 24.33 | 1,943,000 | ||||||
DB/BEP | 24.33 | 1,269,000 | |||||||
Roger B. Batsel | Pentegra DB | 2.92 | 77,000 | ||||||
DB/BEP | 2.92 | 4,000 |
Separation Event | Andrew S. Howell | Stephen J. Sponaugle | R. Kyle Lawler | Roger B. Batsel | Tami L. Hendrickson | |||||||||||||||||||||||||||
Involuntary termination for Cause | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||
Voluntary resignation not due to a Change in Control or resignation without Good Reason due to a Change in Control (2) | 83,077 | 42,200 | 55,592 | 11,128 | 36,346 | |||||||||||||||||||||||||||
Involuntary termination without Cause not due to a Change in Control (3) | 533,077 | 253,200 | 274,592 | 195,128 | 193,846 | |||||||||||||||||||||||||||
Involuntary termination without Cause due to a Change in Control or resignation for Good Reason due to a Change in Control (4) | 4,724,479 | 1,497,552 | 1,565,344 | 1,291,502 | 929,903 |
Component | Andrew S. Howell | Stephen J. Sponaugle | R. Kyle Lawler | Roger B. Batsel | Tami L. Hendrickson | |||||||||||||||||||||||||||
Salary | $ | 2,250,000 | $ | 738,500 | $ | 766,500 | $ | 644,000 | $ | 472,500 | ||||||||||||||||||||||
Incentive compensation | 1,687,500 | 443,100 | 459,900 | 386,400 | 248,062 | |||||||||||||||||||||||||||
Other (a) | 786,979 | 315,952 | 338,944 | 261,102 | 209,341 | |||||||||||||||||||||||||||
Total | $ | 4,724,479 | $ | 1,497,552 | $ | 1,565,344 | $ | 1,291,502 | $ | 929,903 |
Separation Event | Andrew S. Howell | Donald R. Able | R. Kyle Lawler | Stephen J. Sponaugle | Roger B. Batsel | |||||||||||||||
Involuntary termination for Cause | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Voluntary resignation not due to a Change in Control or resignation without Good Reason due to a Change in Control (2) | 85,577 | 30,000 | 34,462 | 22,596 | 6,655 | |||||||||||||||
Involuntary termination without Cause not due to a Change in Control (3) | 485,577 | 240,000 | 226,962 | 202,596 | 104,988 | |||||||||||||||
Involuntary termination without Cause due to a Change in Control or resignation for Good Reason due to a Change in Control (4) | 4,217,333 | 1,480,692 | 1,336,153 | 1,269,288 | 839,755 |
Component | Andrew S. Howell | Donald R. Able | R. Kyle Lawler | Stephen J. Sponaugle | Roger B. Batsel | |||||||||||||||
Salary | $ | 2,000,000 | $ | 735,000 | $ | 673,750 | $ | 630,000 | $ | 442,500 | ||||||||||
Incentive compensation | 1,500,000 | 441,000 | 404,250 | 378,000 | 221,250 | |||||||||||||||
Other (a) | 717,333 | 304,692 | 288,153 | 261,288 | 176,005 | |||||||||||||||
Total | $ | 4,217,333 | $ | 1,480,692 | $ | 1,366,153 | $ | 1,269,288 | $ | 839,755 |
Donald J. Mullineaux (Chair) | ||
Grady P. Appleton | ||
James A. England | ||
Nancy E. Uridil | ||
2017 | |||||||||||
Quarterly Retainer Fee | Per Meeting Fee | Maximum Base Fees | |||||||||
Chair | $ | 16,875 | $ | 9,650 | $ | 135,000 | |||||
Vice Chair | 15,000 | 8,580 | 120,000 | ||||||||
Other Directors | 12,500 | 7,150 | 100,000 |
2020 | 2021 | ||||||||||||||||||||||
Maximum Base Fees | Maximum Base Fees | ||||||||||||||||||||||
Chair | $ | 145,000 | $ | 145,000 | |||||||||||||||||||
Vice Chair | 125,500 | 125,500 | |||||||||||||||||||||
Other members | 110,000 | 110,000 |
2018 | |||||||
Per Meeting Fee | Maximum Base Fees | ||||||
Chair | $ | 20,720 | $ | 145,000 | |||
Vice Chair | 17,930 | 125,500 | |||||
Other Members | 15,720 | 110,000 |
Name | Fees Earned or Paid in Cash | |||
J. Lynn Anderson | $ | 117,000 | ||
Grady P. Appleton | 100,000 | |||
Brady T. Burt | 100,000 | |||
Greg W. Caudill | 100,000 | |||
James R. DeRoberts | 114,000 | |||
Leslie D. Dunn | 114,000 | |||
James A. England | 100,000 | |||
Charles J. Koch | 92,900 | |||
Robert T. Lameier | 100,000 | |||
Michael R. Melvin | 100,000 | |||
Donald J. Mullineaux, Chair | 135,000 | |||
Alvin J. Nance | 100,000 | |||
Charles J. Ruma | 114,000 | |||
David E. Sartore | 100,000 | |||
William J. Small, Vice Chair | 120,000 | |||
William S. Stuard, Jr. | 114,000 | |||
Nancy E. Uridil | 100,000 | |||
James J. Vance | 100,000 | |||
Total | $ | 1,920,900 |
Name | Fees Earned or Paid in Cash | |||||||||||||
J. Lynn Anderson | $ | 125,500 | ||||||||||||
Grady P. Appleton | 110,000 | |||||||||||||
April Miller Boise | 110,000 | |||||||||||||
Brady T. Burt | 110,000 | |||||||||||||
Greg W. Caudill | 110,000 | |||||||||||||
Leslie D. Dunn | 110,000 | |||||||||||||
James A. England, Vice Chair | 125,500 | |||||||||||||
Robert T. Lameier | 110,000 | |||||||||||||
Donald J. Mullineaux, Chair | 145,000 | |||||||||||||
Alvin J. Nance | 110,000 | |||||||||||||
Michael P. Pell | 110,000 | |||||||||||||
Kathleen A. Rogers | 110,000 | |||||||||||||
Charles J. Ruma | 122,500 | |||||||||||||
David E. Sartore | 122,500 | |||||||||||||
William S. Stuard, Jr. | 122,500 | |||||||||||||
Nancy E. Uridil | 122,500 | |||||||||||||
James J. Vance | 110,000 | |||||||||||||
Jonathan D. Welty | 110,000 | |||||||||||||
Total | $ | 2,096,000 |
Number of Meetings Held | ||||||||||||||
Meeting Type | 2019 | 2020 | ||||||||||||
Board Meeting | 9 | 9 | ||||||||||||
Audit Committee | 10 | 11 | ||||||||||||
Risk Committee | 8 | 6 | ||||||||||||
Business and Operations Committee | 5 | 5 | ||||||||||||
Governance | 6 | 6 | ||||||||||||
Housing and Community Development Committee | 3 | 4 | ||||||||||||
Human Resources, Compensation and Inclusion Committee | 7 | 6 | ||||||||||||
Number of Meetings Held | ||||
Meeting Type | 2016 | 2017 | ||
Board Meeting | 9 | 10 | ||
Audit Committee | 10 | 10 | ||
Risk Committee | 7 | 7 | ||
Business and Operations Committee | 6 | 5 | ||
Governance | 6 | 7 | ||
Housing and Community Development Committee | 5 | 6 | ||
Personnel and Compensation Committee | 5 | 6 |
2020 | 2021 | |||||||
Donald J. Mullineaux (Chair) | Donald J. Mullineaux (Chair) | |||||||
Grady P. Appleton | Grady P. Appleton | |||||||
Leslie D. Dunn | James A. England | |||||||
James A. England | Robert T. Lameier | |||||||
Robert T. Lameier | Nancy E. Uridil | |||||||
Nancy E. Uridil | ||||||||
2017 | 2018 | |
Donald J. Mullineaux (Chair) | Donald J. Mullineaux (Chair) | |
Grady P. Appleton | Grady P. Appleton | |
Leslie D. Dunn | Leslie D. Dunn | |
Charles J. Koch | James A. England (Vice Chair) | |
Michael R. Melvin | Charles J. Koch | |
William J. Small (Vice Chair) | Michael R. Melvin | |
Nancy E. Uridil | Nancy E. Uridil |
(Dollars in thousands) | ||||||||||||||
Capital | Percent of Total | Number | ||||||||||||
Name | Address | Stock | Capital Stock | of Shares | ||||||||||
U.S. Bank, N.A. | 425 Walnut Street Cincinnati, OH 45202 | $ | 227,143 | 9 | % | 2,271,432 | ||||||||
Third Federal Savings & Loan Association | 7007 Broadway Avenue Cleveland, OH 44105 | 162,783 | 7 | 1,627,826 | ||||||||||
(Dollars in thousands) | ||||||||
Capital | Percent of Total | Number | ||||||
Name | Address | Stock | Capital Stock | of Shares | ||||
JPMorgan Chase Bank, N.A. | 1111 Polaris Parkway Columbus, OH 43240 | $ | 1,059,000 | 23 | % | 10,590,000 | ||
U.S. Bank, N.A. | 425 Walnut Street Cincinnati, OH 45202 | 836,457 | 18 | 8,364,571 | ||||
The Huntington National Bank | 41 South High Street Columbus, OH 43215 | 282,281 | 6 | 2,822,808 | ||||
Fifth Third Bank | 38 Fountain Square Plaza Cincinnati, OH 45202 | 247,687 | 5 | 2,476,870 |
(Dollars in thousands) | |||||||||||
Capital | Percent of Total | ||||||||||
Name | Address | Stock | Capital Stock | ||||||||
U.S. Bank, N.A. | 425 Walnut Street Cincinnati, OH 45202 | $ | 227,143 | 9.2 | % | ||||||
Western & Southern Financial Group (1) | 400 Broadway Street Cincinnati, OH 45202 | 178,743 | 7.2 | ||||||||
The Park National Bank | 50 North Third Street Newark, OH 43058 | 17,807 | 0.7 | ||||||||
F&M Bank | 50 Franklin Street Clarksville, TN 37040 | 4,998 | 0.2 | ||||||||
Farmers National Bank | 304 West Main Street Danville, KY 40422 | 2,274 | 0.1 | ||||||||
Field & Main Bank | 140 North Main Street Henderson, KY 42420 | 2,258 | 0.1 | ||||||||
First State Bank | 19230 State Route 136 Winchester, OH 45697 | 1,617 | 0.1 | ||||||||
Miami Savings Bank | 8008 Ferry Street Miamitown, OH 45041 | 876 | 0.0 | ||||||||
Decatur County Bank | 56 North Pleasant Street Decaturville, TN 38329 | 646 | 0.0 | ||||||||
Ohio Capital Finance Corporation | 88 East Broad Street, Suite 1800 Columbus, OH 43215 | 155 | 0.0 | ||||||||
(Dollars in thousands) | ||||||
Capital | Percent of Total | |||||
Name | Address | Stock | Capital Stock | |||
The Huntington National Bank | 41 South High Street Columbus, OH 43215 | $ | 282,281 | 6.2 | % | |
The Western & Southern Financial Group (1) | 400 Broadway Street Cincinnati, OH 45202 | 109,912 | 2.4 | |||
The Park National Bank | 50 North Third Street Newark, OH 43058 | 50,086 | 1.1 | |||
F&M Bank | 50 Franklin Street Clarksville, TN 37040 | 4,965 | 0.1 | |||
Perpetual Federal Savings Bank | 120 North Main Street Urbana, OH 43078 | 2,794 | 0.1 | |||
Field & Main Bank | 140 North Main Street Henderson, KY 42420 | 1,810 | 0.0 | |||
Farmers National Bank | 304 West Main Street Danville, KY 40423 | 1,782 | 0.0 | |||
Miami Savings Bank | 8008 Ferry Street Miamitown, OH 45041 | 737 | 0.0 | |||
Decatur County Bank | 56 North Pleasant Street Decaturville, TN 38329 | 646 | 0.0 | |||
The Plateau Group (2) | 2701 North Main Street Crossville, TN 38555 | 95 | 0.0 |
For the Years Ended | For the Years Ended | |||||||||||||||||
(In thousands) | December 31, | (In thousands) | December 31, | |||||||||||||||
2017 | 2016 | 2020 | 2019 | |||||||||||||||
Audit fees | $ | 697 | $ | 689 | Audit fees | $ | 745 | $ | 733 | |||||||||
Audit-related fees | 38 | 125 | Audit-related fees | 98 | 89 | |||||||||||||
Tax fees | — | — | Tax fees | — | — | |||||||||||||
All other fees | — | 6 | All other fees | 2 | 2 | |||||||||||||
Total fees | $ | 735 | $ | 820 | Total fees | $ | 845 | $ | 824 |
Exhibit Number (1) | Description of exhibit | Document filed or furnished, as indicated below | ||||||||||||
3.1 | Form 10, filed December 5, 2005 | |||||||||||||
3.2 | Form 10-K, filed March | |||||||||||||
Form | ||||||||||||||
Form 10-K, filed March 19, 2020 | ||||||||||||||
10.1 | Form 10, filed December 5, 2005 | |||||||||||||
Form 10, filed December 5, 2005 | ||||||||||||||
Form 10, filed December 5, 2005 | ||||||||||||||
Form 10-K, filed March 16, 2017 | ||||||||||||||
Form 8-K, filed August 5, 2011 | ||||||||||||||
Form 10-K, filed March 19, 2020 | ||||||||||||||
10.8 (2) | Filed Herewith | |||||||||||||
10.9 (2) | Form 10-K, filed March 18, 2010 | |||||||||||||
Form 10-K, filed March 18, 2010 | ||||||||||||||
Form 8-K, filed July 30, 2009 | ||||||||||||||
Form 10-K, filed March 16, 2017 | ||||||||||||||
10.13 | Form 10-K, filed March | |||||||||||||
Form 10-Q, filed November 9, 2017 | ||||||||||||||
Filed Herewith | ||||||||||||||
31.1 | Filed Herewith | |||||||||||||
31.2 | Filed Herewith | |||||||||||||
32 | Furnished Herewith |
Furnished Herewith | ||||||||||||||
99.2 | Furnished Herewith | |||||||||||||
101.INS | XBRL Instance Document | |||||||||||||
101.SCH | XBRL Taxonomy Extension Schema Document | Filed Herewith | ||||||||||||
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | Filed Herewith | ||||||||||||
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | Filed Herewith | ||||||||||||
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | Filed Herewith | ||||||||||||
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document | Filed Herewith | ||||||||||||
104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) | Filed Herewith |
By: | /s/ Andrew S. Howell | ||||
Andrew S. Howell | |||||
President and Chief Executive Officer | |||||
Signatures | Title | ||||||||||
/s/ Andrew S. Howell | President and Chief Executive Officer | ||||||||||
Andrew S. Howell | (principal executive officer) | ||||||||||
/s/ Stephen J. Sponaugle | Executive Vice President, Chief Financial Officer | ||||||||||
Stephen J. Sponaugle | (principal financial officer) | ||||||||||
/s/ J. Christopher Bates | Senior Vice President, Chief Accounting Officer | ||||||||||
J. Christopher Bates | (principal accounting officer) | ||||||||||
/s/ J. Lynn Anderson | Director (Chair) | ||||||||||
J. Lynn Anderson, Chair | |||||||||||
/s/ Grady P. Appleton | Director | ||||||||||
Grady P. Appleton | |||||||||||
/s/ April Miller Boise | Director | ||||||||||
April Miller Boise | |||||||||||
/s/ Brady T. Burt | Director | ||||||||||
Brady T. Burt | |||||||||||
Signatures | Title | ||||||||||
/s/ Greg W. Caudill | Director | ||||||||||
Greg W. Caudill | |||||||||||
/s/ Kristin H. Darby | Director | ||||||||||
Kristin H. Darby | |||||||||||
/s/ James A. England | Director (Vice Chair) | ||||||||||
James A. England | |||||||||||
/s/ Robert T. Lameier | Director | ||||||||||
Robert T. Lameier | |||||||||||
/s/ Donald J. Mullineaux | Director | ||||||||||
Donald J. Mullineaux | |||||||||||
/s/ Michael P. Pell | Director | ||||||||||
Michael P. Pell | |||||||||||
/s/ Kathleen A. Rogers | Director | ||||||||||
Kathleen A. Rogers | |||||||||||
/s/ Charles J. Ruma | Director | ||||||||||
Charles J. Ruma | |||||||||||
/s/ David E. Sartore | Director | ||||||||||
David E. Sartore | |||||||||||
/s/ William S. Stuard, Jr. | Director | ||||||||||
William S. Stuard, Jr. | |||||||||||
/s/ Nancy E. Uridil | Director | ||||||||||
Nancy E. Uridil | |||||||||||
/s/ James J. Vance | Director | ||||||||||
James J. Vance | |||||||||||
/s/ Jonathan D. Welty | Director | ||||||||||
Jonathan D. Welty |