Document and Entity Information
Document and Entity Information Document - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 28, 2021 | Jun. 30, 2020 | |
Cover [Abstract] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2020 | ||
Document Transition Report | false | ||
Entity File Number | 000-51399 | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF CINCINNATI | ||
Entity Tax Identification Number | 31-6000228 | ||
Entity Address, Address Line One | 600 Atrium Two, P.O. Box 598, | ||
Entity Address, City or Town | Cincinnati, | ||
Entity Address, State or Province | OH | ||
Entity Address, Postal Zip Code | 45201-0598 | ||
City Area Code | 513 | ||
Local Phone Number | 852-7500 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Common Stock, Shares Outstanding | 24,788,058 | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Central Index Key | 0001326771 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Incorporation, State or Country Code | X1 | ||
Entity Public Float | $ 0 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 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) | [1] | 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) | [2] | 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) | |||
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 | |
[1] | Fair values: $9,792,136 and $13,501,207 at December 31, 2020 and 2019, respectively. | ||
[2] | Carrying values exclude accrued interest receivable of (in thousands) $26,426 and $60,682 as of December 31, 2020 and 2019. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 286,869 | $ 1,541,815 | ||
Debt Securities, Held-to-maturity, Restricted | 0 | 0 | |||
Allowance for credit losses on mortgage loans | $ 248 | $ 711 | |||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 | |||
Common Stock, Shares, Issued | 26,409 | 33,664 | |||
Common Stock, Shares, Outstanding | 26,409 | 33,664 | |||
Debt Securities, Held-to-maturity, Fair Value | $ 9,792,136 | $ 13,501,207 | |||
Debt Securities, Held-to-maturity, Restricted [Extensible List] | us-gaap:CollateralPledgedMember | us-gaap:CollateralPledgedMember | |||
Fair Value Option Election | |||||
Advances, Fair Value Disclosure | $ 27,202 | $ 5,238 | |||
Fair Value Option Election | Consolidated Obligation Bonds [Member] | |||||
Consolidated Obligations, Bonds | 2,262,388 | 4,757,177 | |||
Fair Value Option Election | Discount Notes [Member] | |||||
Consolidated Obligations, Discount Notes | 0 | 12,386,974 | |||
Estimate of Fair Value Measurement [Member] | |||||
Debt Securities, Held-to-maturity, Fair Value | 9,792,136 | 13,501,207 | |||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||||
Consolidated Obligations, Bonds | 32,785,647 | [2] | 38,832,230 | [3] | |
Estimate of Fair Value Measurement [Member] | Discount Notes [Member] | |||||
Consolidated Obligations, Discount Notes | $ 27,501,296 | $ 49,086,723 | [4] | ||
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $1,242 and $5,149 at December 31, 2020 and 2019. | ||||
[2] | Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. | ||||
[3] | Includes (in thousands) $4,757,177 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2019. | ||||
[4] | Includes (in thousands) $12,386,974 of Consolidated Obligation Discount Notes recorded under the fair value option at December 31, 2019. |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
INTEREST INCOME: | |||
Advances | $ 434,815 | $ 1,195,128 | $ 1,407,702 |
Prepayment fees on Advances, net | 34,583 | 8,421 | 679 |
Interest-bearing deposits | 4,467 | 13,453 | 704 |
Securities purchased under agreements to resell | 11,124 | 64,336 | 48,454 |
Federal funds sold | 32,051 | 228,761 | 179,552 |
Investment securities: | |||
Trading securities | 263,847 | 180,506 | 1,535 |
Available-for-sale securities | 4,782 | 27,691 | 40,444 |
Held-to-maturity securities | 186,363 | 386,526 | 380,304 |
Total investment securities | 454,992 | 594,723 | 422,283 |
Mortgage loans held for portfolio | 275,600 | 340,025 | 321,328 |
Loans to other FHLBanks | 60 | 70 | 20 |
Total interest income | 1,247,692 | 2,444,917 | 2,380,722 |
Consolidated Obligations: | |||
Discount Notes | 294,573 | 988,600 | 915,032 |
Bonds | 541,996 | 1,033,508 | 951,298 |
Total Consolidated Obligations | 836,569 | 2,022,108 | 1,866,330 |
Deposits | 3,525 | 15,861 | 14,009 |
Loans from other FHLBanks | 0 | 3 | 5 |
Mandatorily redeemable capital stock | 1,068 | 1,113 | 1,806 |
Total interest expense | 841,162 | 2,039,085 | 1,882,150 |
NET INTEREST INCOME | 406,530 | 405,832 | 498,572 |
NON-INTEREST INCOME (LOSS): | |||
Net gains (losses) on investment securities | 257,566 | 210,207 | 7,086 |
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 | (273,253) | (177,912) | |
Net gains (losses) on derivatives and hedging activities | (40,398) | ||
Standby Letters of Credit fees | 13,936 | 9,429 | 8,753 |
Other, net | 1,976 | 1,909 | 1,925 |
Total non-interest income (loss) | (7,068) | (10,219) | (36,818) |
NON-INTEREST EXPENSE: | |||
Compensation and benefits | 50,242 | 46,077 | 46,317 |
Other operating expenses | 20,901 | 21,629 | 20,019 |
Finance Agency | 6,765 | 6,715 | 6,389 |
Office of Finance | 5,119 | 4,930 | 4,984 |
Other | 9,246 | 9,367 | 7,010 |
Total non-interest expense | 92,273 | 88,718 | 84,719 |
INCOME BEFORE ASSESSMENTS | 307,189 | 306,895 | 377,035 |
Affordable Housing Program assessments | 30,826 | 30,801 | 37,884 |
NET INCOME | $ 276,363 | $ 276,094 | $ 339,151 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 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 |
Statements of Capital
Statements of Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance | $ 4,444,456 | $ 5,330,216 | $ 5,164,513 |
Comprehensive Income (loss) | 277,772 | 272,743 | 342,768 |
Proceeds from sale of capital stock, par value | 2,135,091 | 591,762 | 439,157 |
Repurchase of capital stock, par value | (2,300,000) | (1,538,544) | (297,252) |
Net shares reclassified to mandatorily redeemable capital stock, par value | (560,656) | (7,249) | (62,586) |
Partial recovery of prior capital distribution to Financing Corporation | 16,533 | 0 | 0 |
Cash dividends on capital stock | (83,648) | (204,472) | (256,384) |
Ending balance | 3,929,914 | 4,444,456 | $ 5,330,216 |
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance | $ 366 | ||
Ending balance | $ 366 | ||
Capital Stock Class B - Putable [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Shares, Issued beginning balance | 33,664 | 43,205 | 42,411 |
Proceeds from sale of capital stock, shares | 21,351 | 5,918 | 4,392 |
Repurchase of capital stock, shares | (23,000) | (15,386) | (2,972) |
Net shares reclassified to mandatorily redeemable capital stock, shares | (5,606) | (73) | (626) |
Shares, Issued ending balance | 26,409 | 33,664 | 43,205 |
Beginning balance | $ 3,366,428 | $ 4,320,459 | $ 4,241,140 |
Proceeds from sale of capital stock, par value | 2,135,091 | 591,762 | 439,157 |
Repurchase of capital stock, par value | (2,300,000) | (1,538,544) | (297,252) |
Net shares reclassified to mandatorily redeemable capital stock, par value | (560,656) | (7,249) | (62,586) |
Ending balance | 2,640,863 | 3,366,428 | 4,320,459 |
Retained Earnings, Unrestricted [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance | 648,374 | 631,971 | 617,034 |
Comprehensive Income (loss) | 221,090 | 220,875 | 271,321 |
Partial recovery of prior capital distribution to Financing Corporation | 16,533 | ||
Cash dividends on capital stock | (83,648) | (204,472) | (256,384) |
Ending balance | 802,715 | 648,374 | 631,971 |
Retained Earnings, Unrestricted [Member] | Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance | 366 | ||
Ending balance | 366 | ||
Retained Earnings, Restricted [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance | 446,048 | 390,829 | 322,999 |
Comprehensive Income (loss) | 55,273 | 55,219 | 67,830 |
Ending balance | 501,321 | 446,048 | 390,829 |
Retained Earnings, Total [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance | 1,094,422 | 1,022,800 | 940,033 |
Comprehensive Income (loss) | 276,363 | 276,094 | 339,151 |
Partial recovery of prior capital distribution to Financing Corporation | 16,533 | ||
Cash dividends on capital stock | (83,648) | (204,472) | (256,384) |
Ending balance | 1,304,036 | 1,094,422 | 1,022,800 |
Retained Earnings, Total [Member] | Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance | 366 | ||
Ending balance | 366 | ||
Accumulated Other Comprehensive Loss [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning balance | (16,394) | (13,043) | (16,660) |
Comprehensive Income (loss) | 1,409 | (3,351) | 3,617 |
Ending balance | $ (14,985) | $ (16,394) | $ (13,043) |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 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 |
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 |
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 |
Background Information
Background Information | 12 Months Ended |
Dec. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Operations [Text Block] | Background Information The Federal Home Loan Bank of Cincinnati (the FHLB), a federally chartered corporation, is one of 11 District Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by enhancing the availability of credit for residential mortgages and targeted community development. The FHLB provides a readily available, competitively-priced source of funds to its member institutions. The FHLB is a cooperative whose member institutions own nearly all of the capital stock of the FHLB and may receive dividends on their investment to the extent declared by the FHLB's Board of Directors. Former members own the remaining capital stock to support business transactions still carried on the FHLB's Statements of Condition. Regulated financial depositories and insurance companies engaged in residential housing finance may apply for membership. Housing associates, including state and local housing authorities, may also borrow from the FHLB; while eligible to borrow, housing authorities are not members of the FHLB and, therefore, are not allowed to hold capital stock. A housing authority is eligible to utilize the Advance programs of the FHLB if it meets applicable statutory requirements. It must be a U.S. Department of Housing and Urban Development approved mortgagee and must also meet applicable mortgage lending, financial condition, as well as charter, inspection and supervision requirements. All members must purchase stock in the FHLB. Members must own capital stock in the FHLB based on the amount of their total assets. Each member also may be required to purchase activity-based capital stock as it engages in certain business activities with the FHLB. As a result of these requirements, the FHLB conducts business with stockholders in the normal course of business. For financial statement purposes, the FHLB defines related parties as those members with more than 10 percent of the voting interests of the FHLB's outstanding capital stock. See Note 18 for more information relating to transactions with stockholders. The Federal Housing Finance Agency (Finance Agency) is the independent Federal regulator of the FHLBanks, Federal Home Loan Mortgage Corporation (Freddie Mac) and Federal National Mortgage Association (Fannie Mae). The Finance Agency's stated mission is to ensure that the housing government-sponsored enterprises operate in a safe and sound manner so that they serve as a reliable source of liquidity and funding for housing finance and community investment. Each FHLBank operates as a separate entity with its own management, employees, and board of directors. The FHLB does not have any special purpose entities or any other type of off-balance sheet conduits. The Office of Finance is a joint office of the FHLBanks established to facilitate the issuance and servicing of the debt instruments of the FHLBanks, known as Consolidated Obligations, and to prepare combined quarterly and annual financial reports of all FHLBanks. As provided by the Federal Home Loan Bank Act of 1932, as amended (the FHLBank Act), or by Finance Agency regulation, the FHLBanks' Consolidated Obligations are backed only by the financial resources of the FHLBanks and are the primary source of funds for the FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The FHLB primarily uses its funds to provide Advances to members and to purchase loans from members through its Mortgage Purchase Program (MPP). The FHLB also provides member institutions with correspondent services, such as wire transfer, security safekeeping, and settlement services. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation The FHLB's accounting and financial reporting policies conform to accounting principles generally accepted in the United States of America (GAAP). Significant Accounting Policies Beginning January 1, 2020, the FHLB adopted new accounting guidance related to the measurement of credit losses on financial instruments (the CECL accounting guidance), which requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments and available-for-sale securities to be recorded through the allowance for credit losses. Consistent with the modified retrospective method of adoption, the FHLB recorded an immaterial cumulative adjustment to the opening balance of retained earnings as of January 1, 2020, and the prior periods were not revised to conform to the new basis of accounting. Key changes from prior accounting guidance are detailed below. Cash Flows. In the Statements of Cash Flows, the FHLB considers non-interest bearing cash and due from banks as cash and cash equivalents. Federal funds sold are not treated as cash equivalents for purposes of the Statements of Cash Flows, but are instead treated as short-term investments and are reflected in the investing activities section of the Statements of Cash Flows. Subsequent Events. The FHLB has evaluated subsequent events for potential recognition or disclosure through the issuance of these financial statements and believes there have been no material subsequent events requiring additional disclosure or recognition in these financial statements. Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates. These assumptions and estimates affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Actual results could differ from these estimates. Fair Values. Some of the FHLB's financial instruments lack an available trading market with prices characterized as those that would be received to sell an asset, or paid to transfer a liability, in an orderly transaction between market participants at the measurement date. Therefore, the FHLB uses pricing services and/or internal models employing significant estimates and present value calculations when disclosing fair values. See Note 15 for more information. Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold. These investments provide short-term liquidity and are carried at amortized cost; however, accrued interest receivable is recorded separately on the Statement of Condition. Interest-bearing deposits include certificates of deposits not meeting the definition of an investment security. The FHLB treats securities purchased under agreements to resell as short-term collateralized loans. Federal funds sold are unsecured loans that are generally transacted on an overnight term. Interest-bearing deposits and federal funds sold are evaluated quarterly for expected credit losses if they are not expected to be repaid according to the relevant contractual terms. If applicable, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Securities purchased under agreements to resell are evaluated quarterly for expected credit losses. The FHLB applies the collateral maintenance provision practical expedient, which allows expected credit losses to be measured based on the difference between the fair value of the collateral and the investment's amortized cost, for securities purchased under agreements to resell. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Prior to January 1, 2020, securities purchased under agreements to resell were evaluated for credit losses if there was a collateral shortfall which the FHLB did not believe the counterparty would replenish in accordance with the relevant contractual terms. Debt Securities. The FHLB classifies investment securities as trading, available-for-sale and held-to-maturity at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are acquired for liquidity purposes and asset/liability management and carried at fair value. The FHLB records changes in the fair value of these securities through non-interest income (loss) as a net gain or loss on trading securities. Finance Agency regulations and the FHLB's risk management policies prohibit the speculative trading of these instruments and limit credit risk arising from them. Available-for-Sale. Securities that are not classified as held-to-maturity or trading are classified as available-for-sale and are carried at fair value. The change in fair value of available-for-sale securities is recorded in other comprehensive income as net unrealized gains (losses) on available-for-sale securities. Beginning January 1, 2019, the FHLB adopted new hedge accounting guidance, which, among other things, impacts the income statement presentation of gains (losses) on derivatives and hedging activities for qualifying hedges, including hedges on available-for-sale securities. For available-for-sale securities that have been hedged and qualify as a fair value hedge, the FHLB records the portion of the change in the fair value of the investment related to the risk being hedged in interest income on available-for-sale securities together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in other comprehensive income as net unrealized gains (losses) on available-for-sale securities. Prior to January 1, 2019, for available-for-sale securities that had been hedged and qualified as a fair value hedge, the FHLB recorded the portion of the change in the fair value of the investment related to the risk being hedged in non-interest income (loss) as net gains (losses) on derivatives and hedging activities together with the related change in the fair value of the derivative, and recorded the remainder of the change in the fair value of the investment in other comprehensive income as net unrealized gains (losses) on available-for-sale securities. Additionally, beginning January 1, 2020, the FHLB adopted the CECL accounting guidance. For securities classified as available-for-sale, the FHLB evaluates an individual security for impairment on a quarterly basis by comparing the security’s fair value to its amortized cost. Accrued interest receivable is recorded separately on the Statements of Condition. Impairment exists when the fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, the FHLB considers whether there would be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, the FHLB compares the present value of cash flows to be collected from the security with the amortized cost basis of the security. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. The allowance is limited by the amount of the unrealized loss. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. If management intends to sell an impaired security classified as available-for-sale, or more likely than not will be required to sell the security before expected recovery of its amortized cost basis, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date with any incremental impairment reported in earnings as net gains (losses) on investment securities. If management does not intend to sell an impaired security classified as available-for-sale and it is not more likely than not that management will be required to sell the debt security, then the credit portion of the difference is recognized as an allowance for credit losses and any remaining difference between the security’s fair value and amortized cost is recorded to net unrealized gains (losses) on available-for-sale securities within other comprehensive income (loss). Prior to January 1, 2020, credit losses were recorded as a direct write-down of the available-for-sale security carrying value. As of December 31, 2019, the FHLB had not recorded any direct write-downs to the carrying value of its available-for-sale securities. Held-to-Maturity. Securities that the FHLB has both the ability and intent to hold to maturity are classified as held-to-maturity and are carried at amortized cost, which is original cost net of periodic principal repayments and amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statements of Condition. Certain changes in circumstances may cause the FHLB to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of a held-to-maturity security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the FHLB that could not have been reasonably anticipated may cause the FHLB to sell or transfer a held-to-maturity security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of held-to-maturity debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (1) the sale occurs near enough to the security's maturity date (for example, within three months of maturity), or call date if exercise of the call is probable, that interest rate risk is substantially eliminated as a pricing factor and changes in market interest rates would not have a significant effect on the security's fair value, or (2) the sale of the security occurs after the FHLB has already collected a substantial portion (at least 85 percent) of the principal outstanding at acquisition due either to prepayments on the security or to scheduled payments on the security payable in equal installments (both principal and interest) over its term. Beginning January 1, 2020, the FHLB adopted the CECL accounting guidance. Held-to-maturity securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the held-to-maturity security carrying value. As of December 31, 2019, the FHLB had not recorded any direct write-downs to the carrying value of its held-to-maturity securities. Premiums and Discounts. The FHLB amortizes purchased premiums and accretes purchased discounts on mortgage-backed securities (MBS) classified as available-for-sale or held-to-maturity using the retrospective interest method (retrospective method). The retrospective method requires that the FHLB estimate prepayments over the estimated life of the securities and make a retrospective adjustment of the effective yield each time that the FHLB changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The FHLB uses nationally recognized third-party prepayment models to project estimated cash flows. Due to their short term nature, the FHLB amortizes premiums and accretes discounts on other investment categories with a term of one year or less using a straight-line methodology based on the contractual maturity of the securities. Analyses of the straight-line compared to the interest, or level-yield, methodology have been performed by the FHLB, and it has determined that the impact of the difference on the financial statements for each period reported, taken individually and as a whole, is not material. Gains and Losses on Sales. The FHLB computes gains and losses on sales of investment securities using the specific identification method and includes these gains and losses in other income. Debt Securities - Other-than-Temporary Impairment. Beginning January 1, 2020, the FHLB adopted the CECL accounting guidance. As a result, the accounting guidance related to other-than-temporary impairment accounting for investments was superseded as of that date. Prior to January 1, 2020, the FHLB evaluated its individual available-for-sale and held-to-maturity securities in an unrealized loss position for other-than-temporary impairment on a quarterly basis. A security was considered impaired when its fair value was less than its amortized cost. The FHLB considered an other-than-temporary impairment to have occurred under any of the following conditions: ▪ if the FHLB had an intent to sell the impaired debt security; ▪ if, based on available evidence, the FHLB believed it was more likely than not that it would be required to sell the impaired debt security before the recovery of its amortized cost basis; or ▪ if the FHLB did not expect to recover the entire amortized cost basis of the debt security. If either of the first two conditions above was met, the FHLB would have recognized an other-than-temporary impairment charge in earnings equal to the entire difference between the security's amortized cost basis and its fair value as of the Statement of Condition date. For securities in an unrealized loss position that did not meet either of the first two conditions, the entire loss position, or total other-than-temporary impairment, was evaluated to determine the extent and amount of credit loss. Advances. The FHLB records Advances (loans to members, former members or housing associates) either at amortized cost or at fair value when the fair value option has been elected. Advances recorded at amortized cost are carried at original cost net of periodic principal repayments and amortization of premiums and accretion of discounts (including discounts related to the Affordable Housing Program), unearned commitment fees, and fair value hedge adjustments. The FHLB amortizes or accretes premiums and discounts, and recognizes unearned commitment fees and hedging adjustments on Advances to interest income using a level-yield methodology. For Advances recorded at amortized cost, accrued interest receivable is recorded separately on the Statements of Condition. Beginning January 1, 2020, the FHLB adopted the CECL accounting guidance. The Advances carried at amortized cost are evaluated quarterly for expected credit losses. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Prior to January 1, 2020, the FHLB evaluated Advances to determine if an allowance for credit losses was necessary if it was probable an impairment occurred in the FHLB’s Advance portfolio as of the Statement of Condition date and the amount of loss could be reasonably estimated. Advance Modifications. In cases in which the FHLB funds a new Advance concurrent with or within a short period of time before or after the prepayment of an existing Advance by the same borrower, the FHLB evaluates whether the new Advance meets the accounting criteria to qualify as a modification of an existing Advance or whether it constitutes a new Advance. The FHLB compares the present value of cash flows on the new Advance to the present value of cash flows remaining on the existing Advance. If there is at least a 10 percent difference in the cash flows, or if the FHLB concludes the differences between the Advances are more than minor based on qualitative factors, the Advance is accounted for as a new Advance. In all other instances, the new Advance is accounted for as a modification. Prepayment Fees. The FHLB charges a borrower a prepayment fee when the borrower prepays certain Advances before the original maturity. The recognition of prepayment fees is dependent on whether a new Advance was funded. If there were no new Advances funded, the FHLB records prepayment fees, net of basis adjustments related to hedging activities included in the carrying value of the Advances, as “Prepayment fees on Advances, net” in the interest income section of the Statements of Income. If a new Advance was funded, but does not qualify as a modification of a prepaid Advance, the prepaid Advance is treated as an Advance termination with subsequent funding of a new Advance and the fees on the prepaid Advance, net of related hedging adjustments, are recorded in interest income as “Prepayment fees on Advances, net.” If a new Advance is funded and qualifies as a modification of the original Advance, the net prepayment fee is deferred, recorded in the basis of the modified Advance, and amortized/accreted using a level-yield methodology over the life of the modified Advance to Advance interest income. If the modified Advance is hedged and meets the hedge accounting requirements, the associated fair value gains or losses of the Advance and the prepayment fees are included in the basis of the modified Advance. Such gains or losses and prepayment fees are then amortized in interest income over the life of the modified Advance using a level-yield methodology. Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are recorded at amortized cost, which is original cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging basis adjustments on loans initially classified as mortgage loan commitments, and direct write-downs. The FHLB has the intent and ability to hold these mortgage loans to maturity. Accrued interest receivable is recorded separately on the Statements of Condition. An allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. The FHLB does not purchase mortgage loans with credit deterioration present at the time of purchase. Beginning January 1, 2020, the FHLB adopted the CECL accounting guidance. The FHLB performs a quarterly assessment of its mortgage loans held for portfolio to estimate expected credit losses. The FHLB measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the allowance for credit losses, the FHLB measures the expected loss over the estimated remaining life of a mortgage loan, which also considers how the FHLB’s credit enhancements mitigate credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The FHLB includes estimates of expected recoveries within the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as the FHLB writes off accrued interest receivable by reversing interest income if a mortgage loan is placed on non-accrual status. Prior to January 1, 2020, the FHLB recorded an allowance for credit losses on mortgage loans if it was probable an impairment occurred in the FHLB’s mortgage loans held for portfolio as of the Statement of Condition date and the amount of loss could be reasonably estimated. A loan was considered impaired when, based on current information and events, it was probable that an FHLB would be unable to collect all amounts due according to the contractual terms of the loan agreement. Premiums and Discounts. The FHLB defers and amortizes premiums and accretes discounts paid to and received by the FHLB's participating members (Participating Financial Institutions, or PFIs) and hedging basis adjustments, as interest income using the contractual interest method (contractual method). Other Fees. The FHLB may receive non-origination fees, called pair-off fees. Pair-off fees represent a make-whole provision and are assessed when a member fails to deliver the quantity of loans committed to in a Mandatory Delivery Contract. Pair-off fees are recorded in non-interest income (loss). A Mandatory Delivery Contract is a legal commitment the FHLB makes to purchase, and a PFI makes to deliver, a specified dollar amount of mortgage loans, with a forward settlement date, at a specified range of mortgage note rates and prices. Collateral-dependent Loans. An impaired loan is considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. A loan that is considered collateral-dependent is measured for impairment based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as an allowance for loan loss or charged-off. Interest income on impaired loans is recognized in the same manner as non-accrual loans noted below. Non-accrual Loans. The FHLB places a conventional mortgage loan on non-accrual status if it is determined that either (1) the collection of interest or principal is doubtful (e.g., when a related charge-off is recorded on a loan), or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured and in the process of collection (e.g., through credit enhancements and with monthly remittances on a schedule/scheduled basis). Past due loans are those where the borrower has failed to make a full payment of principal and interest within one month of its due date. Loans with remittances on a schedule/scheduled basis means the FHLB receives monthly principal and interest payments from the servicer regardless of whether the mortgagee is making payments to the servicer. Loans with monthly remittances on an actual/actual basis are considered well-secured; however, servicers of actual/actual remittance types contractually do not advance principal and interest regardless of borrower creditworthiness. As a result, these loans are placed on non-accrual status once they become 90 days delinquent. For those mortgage loans placed on non-accrual status, accrued but uncollected interest is reversed against interest income. The FHLB records cash payments received on non-accrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. If the collection of the remaining principal amount due is considered doubtful, cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual status when (1) none of its contractual principal and interest is due and unpaid, and the FHLB expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. Charge-off Policy. A charge-off is recorded if it is estimated that the amortized cost and any applicable accrued interest in a loan will not be recovered. The FHLB evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event, such as notification of a claim against any of the credit enhancements. The FHLB also charges off the portion of outstanding conventional mortgage loan balances in excess of fair value of the underlying property, less cost to sell and adjusted for any available credit enhancements, for loans that are 180 days or more delinquent and/or certain loans where the borrower has filed for bankruptcy. Premises, Software and Equipment, Net. Premises, software and equipment are included in other assets on the Statements of Condition. The FHLB records premises, software and equipment at cost less accumulated depreciation and amortization. The FHLB computes depreciation on a straight-line methodology over the estimated useful lives of assets ranging from three to ten years. Leasehold improvements are amortized on a straight-line basis over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The FHLB capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. The FHLB capitalizes and amortizes the cost of computer software developed or obtained for internal use over future periods. In addition, the FHLB includes gains and losses on the disposal of premises, software and equipment in other non-interest income (loss) in the Statements of Income. Premises, software and equipment were $7,905,000 and $8,399,000, which was net of accumulated depreciation and amortization of $33,439,000 and $31,106,000 as of December 31, 2020 and 2019, respectively. For the years ended December 31, 2020, 2019, and 2018, the depreciation and amortization expense for premises, software and equipment was $2,367,000, $2,257,000, and $2,889,000, respectively. Leases. The FHLB leases office space and office equipment to run its business operations. Beginning January 1, 2019, the FHLB adopted new lease accounting guidance. At December 31, 2020 and 2019, the FHLB included in the Statement of Condition $4,980,000 and $5,816,000 of operating lease right-of-use assets in other assets, net, and $5,500,000 and $6,417,000 of operating lease liabilities in other liabilities. The FHLB recognized operating lease costs in the other operating expenses line of the Statement of Income of $1,832,000 and $1,842,000 for the years ended December 31, 2020 and 2019. Derivatives and Hedging Activities. All derivatives are recognized on the Statements of Condition at their fair values and are reported as either derivative assets or derivative liabilities, net of cash collateral, and accrued interest from counterparties. The fair values of derivatives are netted by counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with a derivative are reflected as cash flows from operating activities in the Statement of Cash Flows unless the derivative meets the criteria to be a financing derivative. The FHLB utilizes two Derivative Clearing Organizations (Clearinghouses), for all cleared derivative transactions, LCH Ltd. and CME Clearing. At both Clearinghouses, variation margin is characterized as daily settlement payments and initial margin is considered cash collateral. Derivative Designations. Each derivative is designated as one of the following: a. a qualifying hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a "fair value" hedge); or b. a non-qualifying hedge (“economic hedge”) for asset/liability management purposes. Accounting for Fair Value Hedges. If hedging relationships meet certain criteria including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective, they are eligible for fair value hedge accounting and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The application of fair value hedge accounting generally requires the FHLB to evaluate the effectiveness of the hedging relationships at inception and on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is known as the “long-haul” method of accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. Derivatives are typically executed at the same time as the hedged item, and the FHLB designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the FHLB may designate the hedging relationship upon its commitment to disburse an Advance, trade a Consolidated Obligation or purchase an investment security in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The FHLB records the changes in fair value of the derivative and the hedged item beginning on the trade date. Beginning January 1, 2019, the FHLB adopted new hedge accounting guidance, which, among other things, impacts the presentation of gains (losses) on derivatives and hedging activities for qualifying hedges. Changes in the fair value of a derivative that is designated and qualifies as a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. Prior to January 1, 2019, changes in the fair value of a derivative that was designated and qualified as a fair value hedge, along with changes in the fair value of the hedged asset or liability that were attributable to the hedged risk, were recorded in non-interest income (loss) as “Net gains (losses) on derivatives and hedging activities.” Accounting for Economic Hedges. An economic hedge is defined as a derivative hedging specific or non-specific underlying assets, liabilities, or firm commitments that does not qualify, or was not designated, for hedge accounting, but is an acceptable hedging strategy under the FHLB's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the FHLB's income but that are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. The FHLB recognizes the net interest and the change in fair value of these derivatives in non-interest income (loss) as “Net gains (losses) on derivatives and hedging activities.” Accrued Interest Receivables and Payables. The difference between accruals of interest receivables and payables on derivatives that are designated as fair value hedge relationships is recognized as adjustments to the interest income or expense of the designated hedged item. The difference between accruals of interest receivables and payables on economic hedges are recognized in non-interest income (loss) as “Net gains (losses) on derivatives and hedging activities.” Discontinuance of Hedge Accounting. The FHLB discontinues hedge accounting prospectively when: (1) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; or (3) management determines that designating the derivative as a hedging instrument is no longer appropriate. When hedge accounting is discontinued because the FHLB determines that the derivative no longer qualifies as an effective fair value hedge of an existing hedged item, the FHLB continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology. Embedded Derivatives. The FHLB may issue debt, make Advances, or purchase financial instruments in which a derivative instrument |
Recently Issued Accounting Stan
Recently Issued Accounting Standards and Interpretations | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Issued Accounting Standards and Interpretations [Text Block] | Recently Issued and Adopted Accounting Guidance Troubled Debt Restructuring Relief . On March 27, 2020, the Coronavirus Aid, Relief, and Economic Security (CARES) Act providing optional, temporary relief from accounting for certain loan modifications as troubled debt restructurings (TDRs) was signed into law. Under the CARES Act, TDR relief is available to banks for loan modifications related to the adverse effects of the coronavirus pandemic (COVID-19) granted to borrowers that were current as of December 31, 2019. TDR relief, as amended by the Consolidated Appropriations Act, 2021, applies to COVID-19 related modifications made from March 1, 2020, until the earlier of January 1, 2022, or 60 days following the termination of the national emergency declared on March 13, 2020. The FHLB elected to apply the TDR relief provided by the CARES Act. Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended. On March 12, 2020, the Financial Accounting Standards Board (FASB) issued temporary, optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying GAAP to transactions affected by reference rate reform if certain criteria are met. The transactions primarily include (1) contract modifications, (2) hedging relationships, and (3) sale and/or transfer of debt securities classified as held-to-maturity. This guidance became effective immediately for the FHLB, and the amendments may be applied prospectively through December 31, 2022. The FHLB either elected or plans to elect the majority of the optional expedients and exceptions provided; however, the full effect on the FHLB's financial condition, results of operations and cash flows has not yet been determined. In particular, during the fourth quarter of 2020, the FHLB elected optional practical expedients specific to the discounting transition on a retrospective basis, which did not have a material effect. Changes to the Disclosure Requirements for Defined Benefit Plans. On August 28, 2018, the FASB issued amended guidance that modifies the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans to improve disclosure effectiveness. This guidance became effective for the annual period ending after December 15, 2020 (December 31, 2020 for the FHLB) and will be applied retrospectively for all comparative periods presented. The FHLB adopted this guidance for the year ending December 31, 2020. The adoption of this guidance affected the FHLB's disclosures, but did not have any effect on the FHLB's financial condition, results of operations, or cash flows. |
Cash and Cash Equivalents
Cash and Cash Equivalents | 12 Months Ended |
Dec. 31, 2020 | |
Cash and Cash Equivalents [Abstract] | |
Cash and Cash Equivalents Disclosure | Cash and Due from Banks Cash and due from banks on the Statement of Condition includes cash on hand, cash items in the process of collection, compensating balances, and amounts due from correspondent banks and the Federal Reserve Bank. Compensating Balances. The FHLB maintains collected cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions on the withdrawal of funds. The average collected cash balances for the years ended December 31, 2020 and 2019 were approximately $260,000 and $133,000. Pass-through Deposit Reserves. The FHLB acts as a pass-through correspondent for member institutions required to deposit reserves with the Federal Reserve Banks. There were no pass-through deposit reserves as of December 31, 2020. The amount shown as “Cash and due from banks” includes pass-through reserves deposited with Federal Reserve Banks of approximately $10,239,000 as of December 31, 2019. |
Investments
Investments | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Investments The FHLB makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold and may make other investments in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold The FHLB invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are transacted with counterparties that have received a credit rating of single-A or greater by a nationally recognized statistical rating organization (NRSRO). The FHLB’s internal ratings of these counterparties may differ from those issued by an NRSRO. Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the FHLB may extend to a counterparty. At December 31, 2020 and 2019, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at December 31, 2020 and 2019. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of (in thousands) $72 and $10 as of December 31, 2020, and $1,162 and $210 as of December 31, 2019. Securities purchased under agreements to resell are short-term and are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e., subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with counterparties, the FHLB determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at December 31, 2020 and 2019. The carrying value of securities purchased under agreements to resell excludes accrued interest receivable of (in thousands) $13 and $3,503 as of December 31, 2020 and 2019. Debt Securities The FHLB invests in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. The FHLB is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities and instruments that experienced credit deterioration after their purchase by the FHLB. Trading Securities Table 4.1 - Trading Securities by Major Security Types (in thousands) Fair Value December 31, 2020 December 31, 2019 Non-mortgage-backed securities (non-MBS): U.S. Treasury obligations $ 8,362,211 $ 9,626,964 GSE obligations 2,125,580 1,988,259 Total non-MBS 10,487,791 11,615,223 Mortgage-backed securities (MBS): U.S. obligation single-family MBS 333 470 Total $ 10,488,124 $ 11,615,693 Table 4.2 - Net Gains (Losses) on Trading Securities (in thousands) 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) — — Net gains (losses) on trading securities $ 257,566 $ 210,207 $ 7,086 Available-for-Sale Securities Table 4.3 - Available-for-Sale Securities by Major Security Types (in thousands) December 31, 2020 Amortized Cost (1) Gross Gross Fair Non-MBS: GSE obligations $ 140,600 $ 1,802 $ — $ 142,402 Total non-MBS 140,600 1,802 — 142,402 MBS: GSE multi-family MBS 146,269 2,916 — 149,185 Total MBS 146,269 2,916 — 149,185 Total $ 286,869 $ 4,718 $ — $ 291,587 December 31, 2019 Amortized Cost (1) Gross Gross Fair Certificates of deposit $ 1,410,000 $ 111 $ — $ 1,410,111 GSE obligations 131,815 601 (342) 132,074 Total $ 1,541,815 $ 712 $ (342) $ 1,542,185 (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $1,242 and $5,149 at December 31, 2020 and 2019. Table 4.4 summarizes the available-for-sale securities with unrealized losses, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. All securities outstanding at December 31, 2020 had gross unrealized gains. Table 4.4 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (in thousands) 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) Table 4.5 - Available-for-Sale Securities by Contractual Maturity (in thousands) December 31, 2020 December 31, 2019 Year of Maturity Amortized Fair Amortized Fair Non-MBS: Due in 1 year or less $ — $ — $ 1,410,000 $ 1,410,111 Due after 1 year through 5 years 11,248 11,309 — — 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 — — Total $ 286,869 $ 291,587 $ 1,541,815 $ 1,542,185 (1) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. Table 4.6 - Interest Rate Payment Terms of Available-for-Sale Securities (in thousands) 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 — Total amortized cost of MBS 146,269 — Total $ 286,869 $ 1,541,815 The FHLB had no sales of securities out of its available-for-sale portfolio for the years ended December 31, 2020, 2019 or 2018. Held-to-Maturity Securities Table 4.7 - Held-to-Maturity Securities by Major Security Types (in thousands) December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gross Unrecognized Holding Losses Fair Value Non-MBS: U.S. Treasury obligations $ 41,398 $ 1 $ — $ 41,399 Total non-MBS 41,398 1 — 41,399 MBS: U.S. obligation single-family MBS 986,399 41,218 — 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 Gross Unrecognized Holding Losses Fair Value Non-MBS: U.S. Treasury obligations $ 35,171 $ 5 $ — $ 35,176 Total non-MBS 35,171 5 — 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 (1) Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $9,609 and $20,365 as of December 31, 2020 and 2019. Table 4.8 - Net Purchased Premiums Included in the Amortized Cost of MBS Classified as Held-to-Maturity (in thousands) December 31, 2020 December 31, 2019 Premiums $ 18,299 $ 32,071 Discounts (7,269) (13,996) Net purchased premiums $ 11,030 $ 18,075 As required prior to adoption of the CECL accounting standard, Table 4.9 presents the HTM securities with unrealized losses, which are aggregated by major security type and length of time that individual securities had been in a continuous unrealized loss position as of December 31, 2019. Table 4.9 - Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands) 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) $ — $ — $ 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) Table 4.10 - Held-to-Maturity Securities by Contractual Maturity (in thousands) 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 — — — — Due after 5 years through 10 years — — — — Due after 10 years — — — — 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 (1) Carrying value equals amortized cost. (2) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. Table 4.11 - Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands) 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 From time to time the FHLB may sell securities out of its held-to-maturity portfolio. These securities, generally, have less than 15 percent of the acquired principal outstanding at the time of the sale. These sales are considered maturities for the purposes of security classification. For the years ended December 31, 2020, 2019 and 2018, the FHLB did not sell any held-to-maturity securities. Allowance for Credit Losses and Other-than-Temporary Impairment on Available-for-Sale and Held-to-Maturity Securities The FHLB evaluates available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. The FHLB adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. Prior to the adoption of CECL accounting guidance, the FHLB evaluated these securities for other-than-temporary impairment. See Note 1 - Summary of Significant Accounting Policies for additional information. The FHLB’s available-for-sale and held-to-maturity securities are certificates of deposit, U.S. Treasury obligations, GSE obligations, and MBS issued by Fannie Mae, Freddie Mac, Ginnie Mae and the National Credit Union Administration (NCUA) that are backed by single-family or multi-family mortgage loans. The FHLB only purchases securities considered investment quality. At December 31, 2020, all available-for-sale and held-to-maturity securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security used by the FHLB. The FHLB’s internal ratings of these securities may differ from those obtained from an NRSRO. The FHLB evaluates individual available-for-sale securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). At December 31, 2020, no available-for-sale securities were in an unrealized loss position. As a result, no allowance for credit losses was recorded on these available-for-sale securities at December 31, 2020, and the FHLB did not consider any of these available-for-sale securities to be other-than-temporarily impaired at December 31, 2019. The FHLB evaluates its held-to-maturity securities for impairment on a collective, or pooled basis, unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. As of December 31, 2020, the FHLB had not established an allowance for credit loss on any held-to-maturity securities because the securities: (1) were all highly-rated and/or had short remaining terms to maturity, (2) had not experienced, nor did the FHLB expect, any payment default on the instruments, and (3) in the case of U.S., GSE, or other agency obligations, carry an implicit or explicit government guarantee such that the FHLB considered the risk of nonpayment to be zero. Using the prior accounting methodology of other-than-temporary impairment for credit impairment, none of the FHLB's held-to-maturity securities were other-than-temporarily impaired at December 31, 2019. |
Advances
Advances | 12 Months Ended |
Dec. 31, 2020 | |
Advances [Abstract] | |
Advances [Text Block] | AdvancesThe FHLB offers a wide range of fixed- and variable-rate Advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate Advances generally have maturities ranging from one day to 30 years. Variable-rate Advances generally have maturities ranging from less than 30 days to 10 years, where the interest rates reset periodically at a fixed spread to a specified index. The following table presents Advance redemptions by contractual maturity, including index-amortizing Advances, which are presented according to their predetermined amortization schedules. Table 5.1 - Advances by Redemption Term (dollars in thousands) December 31, 2020 December 31, 2019 Redemption Term Amount Weighted Average Interest Amount Weighted Average Interest 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 — 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 (1) Carrying values exclude accrued interest receivable of (in thousands) $26,426 and $60,682 as of December 31, 2020 and 2019. The FHLB offers certain fixed and variable-rate Advances to members that may be prepaid on specified dates (call dates) without incurring prepayment or termination fees (callable Advances). If the call option is exercised, replacement funding may be available to members. Other Advances may only be prepaid subject to a prepayment fee paid to the FHLB that makes the FHLB financially indifferent to the prepayment of the Advance. Table 5.2 - Advances by Redemption Term or Next Call Date (in thousands) 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 The FHLB also offers putable Advances. With a putable Advance, the FHLB effectively purchases put options from the member that allows the FHLB to terminate the Advance at predetermined dates. The FHLB normally would exercise its put option when interest rates increase relative to contractual rates. Table 5.3 - Advances by Redemption Term or Next Put Date for Putable Advances (in thousands) 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 Table 5.4 - Advances by Interest Rate Payment Terms (in thousands) 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 (1) Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance. Credit Risk Exposure and Security Terms The FHLB's Advances are made to member financial institutions. The FHLB manages its credit exposure to Advances through an integrated approach that includes establishing a credit limit for each borrower and ongoing review of each borrower's financial condition, coupled with collateral and lending policies to limit risk of loss while balancing borrowers' needs for a reliable source of funding. In addition, the FHLB lends to eligible borrowers in accordance with federal law and Finance Agency regulations, which require the FHLB to obtain sufficient collateral to fully secure credit products. Collateral eligible to secure new or renewed Advances includes: ▪ one-to-four family and multi-family mortgage loans (delinquent for no more than 90 days) and securities representing such mortgages; ▪ loans and securities issued, insured, or guaranteed by the U.S. government or any U.S. government agency (for example, mortgage-backed securities issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae); ▪ cash or deposits in the FHLB; ▪ certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value and that the FHLB can perfect a security interest in it; and ▪ certain qualifying securities representing undivided equity interests in eligible Advance collateral. Residential mortgage loans are the principal form of collateral for Advances. The estimated value of the collateral required to secure each member's credit products is calculated by applying collateral discounts, or haircuts, to the value of the collateral. In addition, community financial institutions are eligible to utilize expanded statutory collateral provisions for small business and agribusiness loans. The FHLB's capital stock owned by its member borrowers is also pledged as collateral. Collateral arrangements and a member’s borrowing capacity vary based on the financial condition and performance of the institution, the types of collateral pledged and the overall quality of those assets. The FHLB can also require additional or substitute collateral to protect its security interest. The FHLB also has policies and procedures for validating the reasonableness of its collateral valuations and makes changes to its collateral guidelines, as necessary, based on current market conditions. In addition, collateral verifications and reviews are performed by the FHLB based on the risk profile of the borrower. Management of the FHLB believes that these policies effectively manage the FHLB's credit risk from Advances. Members experiencing financial difficulties are subject to FHLB-performed “stress tests” of the impact of poorly performing assets on the member’s capital and loss reserve positions. Depending on the results of these tests and the level of over-collateralization, a member may be allowed to maintain pledged loan assets in its custody, may be required to deliver those loans into the custody of the FHLB or its agent, or may be required to provide details on those loans to facilitate an estimate of their fair value. The FHLB perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the FHLB by a member priority over the claims or rights of any other party except for claims or rights of a third party that would otherwise be entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the FHLB considers the payment status, collateralization levels, and borrower's financial condition to be indicators of credit quality for its credit products. At December 31, 2020 and 2019, the FHLB did not have any Advances that were past due, in non-accrual status or considered impaired. In addition, there were no troubled debt restructurings related to Advances of the FHLB during 2020 or 2019. At December 31, 2020 and 2019, the FHLB had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit. Based upon the collateral held as security, its credit extension and collateral policies and the repayment history on Advances, the FHLB did not expect any credit losses on Advances as of December 31, 2020 and, therefore, no allowance for credit losses on Advances was recorded. For the same reasons, the FHLB did not record any allowance for credit losses on Advances at December 31, 2019. Advance Concentrations The FHLB's Advances are concentrated in commercial banks, savings institutions, and insurance companies. Advance borrower concentrations can change significantly due to members' ability to quickly increase or decrease their amount of Advances based on their current funding needs. Table 5.5 - Borrowers Holding Five Percent or more of Total Advances, Including Any Known Affiliates that are Members of the FHLB (dollars in millions) 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 % |
Mortgage Loans
Mortgage Loans | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Financing Receivables [Text Block] | Mortgage Loans Total mortgage loans held for portfolio represent residential mortgage loans under the Mortgage Purchase Program (MPP) that the FHLB's members originate, credit enhance, and then sell to the FHLB. The FHLB does not service any of these loans. The FHLB plans to retain its existing portfolio of mortgage loans. Table 6.1 - Mortgage Loans Held for Portfolio (in thousands) 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 (1) Medium-term is defined as a term of 15 years or less. (2) Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. (3) Excludes accrued interest receivable of (in thousands) $30,109 and $36,739 at December 31, 2020 and 2019. Table 6.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (in thousands) 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 Table 6.3 - Members, Including Any Known Affiliates that are Members of the FHLB, and Former Members Selling Five Percent or more of Total Unpaid Principal (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 FirstBank 714 7 Credit Risk Exposure The FHLB manages credit risk exposure for conventional mortgage loans primarily though conservative underwriting and purchasing loans with characteristics consistent with favorable expected credit performance and by applying various credit enhancements. Credit Enhancements. The conventional mortgage loans under the MPP are supported by some combination of credit enhancements (primary mortgage insurance (PMI), supplemental mortgage insurance (SMI) and the Lender Risk Account (LRA), including pooled LRA for those members participating in an aggregated MPP pool). These credit enhancements apply after a homeowner’s equity is exhausted. Beginning in February 2011, the FHLB discontinued the use of SMI for all new loan purchases and replaced it with expanded use of the LRA. The LRA is funded by the FHLB upfront as a portion of the purchase proceeds. The LRA is recorded in other liabilities in the Statement of Condition. Excess funds from the LRA are released to the member in accordance with the terms of the Master Commitment Contract, which is typically after five years, subject to performance of the related loan pool. The LRA established for a pool of loans is limited to only covering losses of that specific pool of loans. Because the FHA makes an explicit guarantee on FHA mortgage loans, the FHLB does not require any credit enhancements on these loans beyond primary mortgage insurance. Table 6.4 - Changes in the LRA (in thousands) 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 Mortgage Loans Forbearance Plans. In response to the COVID-19 pandemic, which has caused economic strain on many home loan borrowers, the FHLB’s mortgage loan servicers may grant a forbearance period to borrowers who have had COVID-19 related hardships regardless of the payment status of the loan at the time of the request. Based on the most recent information received from mortgage servicers, as of December 31, 2020, there was approximately (in thousands) $77,207 in unpaid principal balance of conventional mortgage loans under a forbearance plan as a result of COVID-19, which represented one percent of conventional mortgage loans held for portfolio. Payment Status of Mortgage Loans. The key credit quality indicator for conventional mortgage loans is payment status, which allows the FHLB to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make a full payment of principal and interest within one month of its due date. Although certain loans have been granted a forbearance period as noted above, there has been no change in the terms of the loan. Accordingly, when a borrower fails to make timely payments of principal and/or interest for loans under forbearance, they are considered past due. Table 6.5 presents the payment status of conventional mortgage loans. As of December 31, 2020, (in thousands) $11,381 in unpaid principal balance of conventional loans under forbearance had a current payment status, (in thousands) $5,933 was 30 to 59 days past due, (in thousands) $9,190 was 60 to 89 days past due, and (in thousands) $50,703 was greater than 90 days past due. Table 6.5 - Credit Quality Indicator of Conventional Mortgage Loans (in thousands) 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 (1) The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at December 31, 2020 excludes accrued interest receivable. Other delinquency statistics include loans in process of foreclosure, serious delinquency rates, loans past due 90 days or more and still accruing interest, and non-accrual loans. Table 6.6 presents other delinquency statistics of mortgage loans. Table 6.6 - Other Delinquency Statistics (dollars in thousands) 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 $ — $ 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 $ — $ 1,902 (1) Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. During the year ended December 31, 2020, there were foreclosure moratoriums enacted in response to the COVID-19 pandemic. (2) Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class. (3) Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status. The FHLB did not have any real estate owned at December 31, 2020 or 2019. Troubled Debt Restructurings . A troubled debt restructuring is considered to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties and that concession would not have been considered otherwise. The FHLB's troubled debt restructurings primarily involve loans where an agreement permits the recapitalization of past due amounts up to the original loan amount and certain loans discharged in Chapter 7 bankruptcy. The FHLB's amortized cost in modified loans considered troubled debt restructurings was (in thousands) $18,888 at December 31, 2020. The FHLB's recorded investment in loans considered troubled debt restructurings was (in thousands) $13,514 at December 31, 2019. As noted above, amortized cost excludes accrued interest receivable whereas recorded investment includes accrued interest receivable. The amount of troubled debt restructurings is not considered material to the FHLB's financial condition, results of operations, or cash flows. Evaluation of Credit Losses The current methodology used to develop the allowance for credit losses on mortgage loans is described below. Mortgage Loans - FHA. The FHLB invests in fixed-rate mortgage loans secured by one-to-four family residential properties insured by the FHA. The FHLB expects to recover any losses from such loans from the FHA. Any losses from these loans that are not recovered from the FHA would be due to a claim rejection by the FHA and, as such, would be recoverable from the selling participating financial institutions. Therefore, the FHLB only has credit risk for these loans if the seller or servicer fails to pay for losses not covered by the FHA insurance. As a result, the FHLB did not record an allowance for credit losses on its FHA insured mortgage loans at December 31, 2020. Furthermore, due to the insurance, none of these mortgage loans have been placed on non-accrual status. Mortgage Loans - Conventional MPP. Conventional loans are evaluated collectively when similar risk characteristics exist; loans that do not share risk characteristics with other pools are removed from the collective evaluation and evaluated for expected credit losses on an individual basis. For loans with similar risk characteristics, the FHLB determines the allowance for credit losses through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The FHLB uses a model that employs a variety of methods, such as projected cash flows to estimate expected credit losses over the life of the loans. This model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior experience. The FHLB’s calculation of expected credit losses includes a forecast of home prices over the entire contractual terms of its conventional loans rather than a reversion to historical home price trends after an initial forecast period. The FHLB also incorporates associated credit enhancements to determine estimated expected credit losses. If a loan is required to be evaluated on an individual basis, the FHLB estimates the present value of expected cash flows, the loan's observable market price, or the fair value of the collateral if the loan is collateral dependent. Certain conventional loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The FHLB may estimate the fair value of this collateral by either applying an appropriate loss severity rate, using third-party estimates, or using a property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The FHLB will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit losses. The FHLB also assesses other qualitative factors in its estimation of loan losses for the collectively evaluated population. This amount represents a subjective management judgment, based on facts and circumstances that exist as of the reporting date, which is intended to cover other expected losses that may not otherwise be captured in the methodology described above. Prior to the adoption of the CECL accounting guidance, the methodology used to develop the allowance for credit losses for mortgage loans is described below. Mortgage Loans Held for Portfolio - FHA. The FHLB's prior methodology for evaluating FHA loans for credit losses is consistent with the FHLB's current methodology described above. As a result, the FHLB did not establish an allowance for credit losses on its FHA insured mortgage loans at December 31, 2019. Mortgage Loans Held for Portfolio - Conventional MPP . The FHLB determined the allowance for conventional loans through analyses that included consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses consisted of: (1) collectively evaluating homogeneous pools of residential mortgage loans; (2) reviewing specifically identified loans for impairment; and (3) considering other relevant qualitative factors. Collectively Evaluated Mortgage Loans: The credit risk analysis of conventional loans evaluated collectively for impairment considered historical delinquency migration, applied estimated loss severities, and incorporated the associated credit enhancements in order to determine the FHLB's best estimate of probable incurred losses at the reporting date. Migration analysis is a methodology for determining, through the FHLB's experience over a historical period, the rate of default on loans. The FHLB applied migration analysis to loans based on payment status categories such as current, 30, 60, and 90 days past due. The FHLB then estimated how many loans in these categories may migrate to a loss realization event and applied a current loss severity to estimate losses. The estimated losses were then reduced by the probable cash flows resulting from available credit enhancements. To properly determine the credit enhancements available to recover estimated losses, the FHLB performed the credit risk analysis of all conventional mortgage loans at the individual Master Commitment Contract level. The Master Commitment Contract is an agreement with a member in which the member agrees to make a best efforts attempt to sell a specific dollar amount of loans to the FHLB, generally over a one-year period. Any credit enhancement cash flows that were projected and assessed as not probable of receipt did not reduce estimated losses. Individually Evaluated Mortgage Loans: Conventional mortgage loans that were considered troubled debt restructurings were specifically identified for purposes of calculating the allowance for credit losses. The FHLB measured impairment of these specifically identified loans by either estimating the present value of expected cash flows, estimating the loan's observable market price, or estimating the fair value of the collateral if the loan is collateral dependent. The FHLB removed specifically identified loans evaluated for impairment from the collectively evaluated mortgage loan population. Qualitative Factors: The FHLB also assessed other qualitative factors in its estimation of loan losses for the collectively evaluated population. This amount represented a subjective management judgment, based on facts and circumstances that existed as of the reporting date, which was intended to cover other incurred losses that may not otherwise have been captured in the methodology described above. Allowance for Credit Losses on Conventional Mortgage Loans. The FHLB established an allowance for credit losses on its conventional mortgage loans held for portfolio. The following table presents a rollforward of the allowance for credit losses on conventional mortgage loans. Table 6.7 - Allowance for Credit Losses on Conventional Mortgage Loans (in thousands) 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) — — Net charge offs (97) (129) (350) Balance, end of period $ 248 $ 711 $ 840 As required by prior accounting guidance for determining the allowance for credit losses on mortgage loans, Table 6.8 presents the recorded investment in mortgage loans by impairment methodology at December 31, 2019. The recorded investment in a loan is the unpaid principal balance of the loan adjusted for accrued interest, unamortized premiums or discounts, hedging basis adjustments and direct write-downs. The recorded investment is not net of any allowance. Table 6.8 - Allowance for Credit Losses and Recorded Investment on Conventional Mortgage Loans by Impairment Methodology (in thousands) December 31, 2019 Allowance for credit losses: Collectively evaluated for impairment $ 711 Individually evaluated for impairment — 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 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Nature of Business Activity The FHLB is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and on the interest-bearing liabilities that finance these assets. The goal of the FHLB's interest-rate risk management strategy is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the FHLB has established policies and procedures, which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the FHLB monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. The FHLB uses derivatives when they are considered to be the most cost-effective alternative to achieve the FHLB's financial and risk management objectives. The FHLB transacts its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute Consolidated Obligations. Derivative transactions may be executed either with a counterparty, referred to as uncleared derivatives, or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Derivative Clearing Organization, referred to as cleared derivatives. Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearinghouse), the executing counterparty is replaced with the Clearinghouse. The FHLB is not a derivative dealer and does not trade derivatives for short-term profit. Consistent with Finance Agency regulations, the FHLB enters into derivatives to manage the interest rate risk exposures inherent in otherwise unhedged assets and funding positions, to achieve the FHLB's risk management objectives and to act as an intermediary between its members and counterparties. The use of derivatives is an integral part of the FHLB's financial management strategy. However, Finance Agency regulations and the FHLB's financial management policy prohibit trading in, or the speculative use of, derivative instruments and limit credit risk arising from them. The most common ways in which the FHLB uses derivatives are to: ▪ reduce the interest rate sensitivity and repricing gaps of assets and liabilities; ▪ preserve a favorable interest rate spread between the yield of an asset (e.g., an Advance) and the cost of the related liability (e.g., the Consolidated Obligation used to fund the Advance); ▪ manage embedded options in assets and liabilities; ▪ reduce funding costs by combining a derivative with a Consolidated Obligation, as the cost of a combined funding structure can be lower than the cost of a comparable Consolidated Obligation; and ▪ protect the value of existing asset or liability positions. Types of Derivatives The FHLB primarily uses the following derivative instruments: Interest rate swaps - An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be exchanged and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional principal amount at a predetermined fixed rate for a given period of time. In return for this promise, this party receives cash flows equivalent to the interest on the same notional principal amount at a variable-rate index for the same period of time. As of December 31, 2020, the variable-rates transacted by the FHLB in its derivatives include the Federal Funds Overnight Index Swap (OIS), Secured Overnight Financing Rate (SOFR), and London InterBank Offering Rate (LIBOR). Swaptions - A swaption is an option on a swap that gives the buyer the right to enter into a specified interest rate swap at a certain time in the future. The FHLB may enter into both payer swaptions and receiver swaptions. A payer swaption is the option to make fixed interest payments at a later date and a receiver swaption is the option to receive fixed interest payments at a later date. Forwards Contracts - Forwards contracts gives the buyer the right to buy or sell a specific type of asset at a specific time at a given price. For example, certain mortgage purchase commitments entered into by the FHLB are considered derivatives. The FHLB may hedge these commitments by selling to-be-announced (TBA) mortgage-backed securities for forward settlement. A TBA represents a forward contract for the sale of mortgage-backed securities at a future agreed upon date for an established price. Application of Derivatives The FHLB documents at inception all relationships between derivatives designated as hedging instruments and the hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing effectiveness. This process includes linking all derivatives that are designated as fair value hedges to assets and liabilities on the Statements of Condition. The FHLB may use certain derivatives as fair value hedges of associated financial instruments. However, because the FHLB uses derivatives when they are considered to be the most cost-effective alternative to achieve the FHLB's financial and risk management objectives, it may enter into derivatives that do not necessarily qualify for hedge accounting (economic hedges). The FHLB re-evaluates its hedging strategies from time to time and may change the hedging techniques it uses or adopt new strategies. Types of Hedged Items The types of assets and liabilities currently hedged with derivatives are: Investments - The interest rate and prepayment risks associated with the FHLB's investment securities are managed through a combination of debt issuance and derivatives. The FHLB may manage the prepayment and interest rate risk by funding investment securities with Consolidated Obligations that have call features or by hedging these risks with interest rate swaps, caps or floors, or swaptions. The FHLB may also manage the risk arising from changing market prices and volatility of investment securities by entering into economic derivatives that generally offset the changes in fair value of the securities. Derivatives held by the FHLB that are associated with trading and held-to-maturity securities are designated as economic hedges, and derivatives specifically linked to individual available-for-sale securities may qualify as fair value hedges or be designated as economic hedges. Advances - The FHLB offers a wide range of fixed- and variable-rate Advance products with different maturities, interest rates, payment characteristics, and optionality. The FHLB may use derivatives to manage the repricing and/or option characteristics of Advances in order to more closely match the characteristics of the FHLB's funding liabilities. In general, whenever a member executes a fixed-rate Advance or a variable-rate Advance with embedded options, the FHLB may simultaneously execute a derivative with terms that offset the terms and embedded options in the Advance. For example, the FHLB may hedge a fixed-rate Advance with an interest rate swap where the FHLB pays a fixed-rate and receives a variable-rate, effectively converting the fixed-rate Advance to a variable-rate Advance. These types of hedges are typically treated as fair value hedges. When issuing a putable Advance, the FHLB effectively purchases a put option from the member that allows the FHLB to put or extinguish the fixed-rate Advance, which the FHLB normally would exercise when interest rates increase. The FHLB may hedge these Advances by entering into a cancelable derivative. Mortgage Loans - The FHLB invests in fixed-rate mortgage loans. The prepayment options embedded in mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in actual and estimated prepayment speeds. The FHLB may manage the interest rate and prepayment risks associated with mortgage loans through a combination of debt issuance and derivatives. The FHLB issues both callable and non-callable debt and prepayment linked Consolidated Obligations to achieve cash flow patterns and liability durations similar to those expected on the mortgage loans. The FHLB may purchase swaptions to minimize the prepayment risk embedded in mortgage loans. Although these derivatives are valid economic hedges against the prepayment risk of the loans, they are not specifically linked to individual loans and therefore do not receive fair value hedge accounting. These derivatives are marked-to-market through earnings. Consolidated Obligations - The FHLB may enter into derivatives to hedge the interest rate risk associated with its debt issuances. The FHLB manages the risk arising from changing market prices and volatility of a Consolidated Obligation by matching the cash inflow on a derivative with the cash outflow on the Consolidated Obligation. For example, fixed-rate Consolidated Obligations are issued and the FHLB may simultaneously enter into a matching interest rate swap in which the counterparty pays fixed cash flows to the FHLB designed to mirror in timing and amount the cash outflows the FHLB pays on the Consolidated Obligation. The FHLB pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate Advances. These transactions are treated as fair value hedges. This strategy of issuing Consolidated Obligations while simultaneously entering into derivatives enables the FHLB to offer a wider range of attractively priced Advances to its members and may allow the FHLB to reduce its funding costs. The continued attractiveness of such debt depends on yield relationships between the FHLB's Consolidated Obligations and the derivative markets. If conditions in these markets change, the FHLB may alter the types or terms of the Consolidated Obligations. Firm Commitments - Certain mortgage loan purchase commitments, such as mortgage delivery commitments, are considered derivatives. The FHLB may hedge these commitments by selling TBA mortgage-backed securities for forward settlement. The mortgage loan purchase commitment and the TBA used in the firm commitment hedging strategy are treated as an economic hedge and are marked-to-market through earnings. When the mortgage loan purchase commitment derivative settles, the current market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. Financial Statement Effect and Additional Financial Information The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. The notional amount reflects the FHLB's involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the FHLB to credit and market risk; the overall risk is much smaller. The risks of derivatives only can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the items being hedged. Table 7.1 summarizes the notional amount and fair value of derivative instruments and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. Table 7.1 - Fair Value of Derivative Instruments (in thousands) December 31, 2020 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 10,477,703 $ 272 $ 163,174 Derivatives not designated as hedging instruments: Interest rate swaps 13,267,539 691 2,563 Interest rate swaptions 2,175,000 713 — Mortgage delivery commitments 137,352 1,056 — Total derivatives not designated as hedging instruments 15,579,891 2,460 2,563 Total derivatives before adjustments $ 26,057,594 2,732 165,737 Netting adjustments and cash collateral (1) 213,156 (161,924) Total derivative assets and total derivative liabilities $ 215,888 $ 3,813 December 31, 2019 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 9,310,089 $ 7,227 $ 53,641 Derivatives not designated as hedging instruments: Interest rate swaps 28,501,469 9,685 363 Interest rate swaptions 6,000,000 12,464 — Forward rate agreements 849,000 21 782 Mortgage delivery commitments 936,269 2,798 64 Total derivatives not designated as hedging instruments 36,286,738 24,968 1,209 Total derivatives before adjustments $ 45,596,827 32,195 54,850 Netting adjustments and cash collateral (1) 234,970 (53,540) Total derivative assets and total derivative liabilities $ 267,165 $ 1,310 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $375,390 and $293,148 at December 31, 2020 and 2019. Cash collateral received, including accrued interest, was (in thousands) $310 and $4,638 at December 31, 2020 and 2019. With the adoption of the hedge accounting guidance on January 1, 2019, changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Prior to January 1, 2019, for designated fair value hedges, any hedge ineffectiveness (which represented the amount by which the change in the fair value of the derivative differed from the change in the fair value of the hedge item) was recorded in non-interest income (loss) as net gains (losses) on derivatives and hedging activities. Table 7.2 presents the impact of qualifying fair value hedging relationships on the Statements of Income as well as the total interest income (expense) by product. Table 7.2 - Impact of Fair Value Hedging Relationships on the Statements of Income (in thousands) 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) (1) Includes interest rate swaps. (2) Prior period amounts were not conformed to new hedge accounting guidance adopted January 1, 2019. (3) Excludes (amortization)/accretion on closed fair value hedge relationships of (in thousands) $(602) for the year ended December 31, 2018. Table 7.3 presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items. Table 7.3 - Cumulative Basis Adjustments for Fair Value Hedges (in thousands) 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 — 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 — — Total amount of fair value hedging basis adjustments $ 109,929 $ 7,314 $ 708 (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. Table 7.4 presents net gains (losses) recorded in non-interest income (loss) on derivatives not designated as hedging instruments. For fair value hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness were recorded in non-interest income (loss) for periods prior to January 1, 2019. Table 7.4 - Net Gains (Losses) on Derivatives and Hedging Activities Recorded in Non-interest Income (Loss) (in thousands) 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) (1) This amount is for derivatives for which variation margin is characterized as a daily settled contract. Credit Risk on Derivatives The FHLB is subject to credit risk due to the risk of non-performance by counterparties to its derivative transactions, and manages credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in these contracts to mitigate the risk. The FHLB requires collateral agreements on its uncleared derivatives with the collateral delivery threshold set to zero. For cleared derivatives, the Clearinghouse is the FHLB's counterparty. The Clearinghouse notifies the clearing agent of the required initial and variation margin and the clearing agent in turn notifies the FHLB. The FHLB utilizes two Clearinghouses for all cleared derivative transactions, LCH Ltd. and CME Clearing. At both Clearinghouses, variation margin is characterized as daily settlement payments, while initial margin is considered to be collateral. The requirement that the FHLB post initial and variation margin through the clearing agent, to the Clearinghouse, exposes the FHLB to credit risk if the clearing agent or the Clearinghouse fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral/payments for changes in the value of cleared derivatives is posted daily through a clearing agent. On the Statements of Cash Flows, the variation margin cash payments, or daily settlement payments, are included in net change in derivative and hedging activities, as an operating activity. For cleared derivatives, the Clearinghouse determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including, but not limited to, credit rating downgrades. At December 31, 2020, the FHLB was not required to post additional initial margin by its clearing agents based on credit considerations. Offsetting of Derivative Assets and Derivative Liabilities The FHLB presents derivative instruments, related cash collateral received or pledged, and associated accrued interest, on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The FHLB has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions, and it expects that the exercise of those offsetting rights by a non-defaulting party under these transactions would be upheld under applicable law upon an event of default including bankruptcy, insolvency, or similar proceeding involving the Clearinghouse or the FHLB's clearing agent, or both. Based on this analysis, the FHLB presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearinghouse. Table 7.5 presents separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral. At December 31, 2020 and 2019, the FHLB did not receive or pledge any non-cash collateral. Any over-collateralization under an individual clearing agent and/or counterparty level is not included in the determination of the net unsecured amount. Table 7.5 - Offsetting of Derivative Assets and Derivative Liabilities (in thousands) 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 — 214,832 Total $ 215,888 Derivative Liabilities: Uncleared $ 161,633 $ (157,820) $ — $ 3,813 Cleared 4,104 (4,104) — — 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 — 261,612 Total $ 267,165 Derivative Liabilities: Uncleared $ 53,533 $ (53,069) $ 846 $ 1,310 Cleared 471 (471) — — Total $ 1,310 (1) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits
Deposits | 12 Months Ended |
Dec. 31, 2020 | |
Deposits [Abstract] | |
Deposit [Text Block] | Deposits The FHLB offers demand and overnight deposits to members and to qualifying nonmembers. In addition, the FHLB offers short-term interest-bearing deposit programs to members, and in certain cases, to qualifying nonmembers. A member that services mortgage loans may deposit funds collected in connection with the mortgage loans at the FHLB, pending disbursement of such funds to the owners of the mortgage loans. The FHLB classifies these funds as other interest-bearing deposits. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Certain financial institutions have agreed to maintain compensating balances in consideration for correspondent and other non-credit services. These balances are included in interest-bearing deposits on the accompanying financial statements. The compensating balances required to be held by the FHLB averaged (in thousands) $271,195 and $6,178 during 2020 and 2019. Non-interest bearing deposits represent funds for which the FHLB acts as a pass-through correspondent for member institutions required to deposit reserves with the Federal Reserve Banks. Table 8.1 - Deposits (in thousands) 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 — 10,239 Total non-interest bearing — 10,239 Total deposits $ 1,327,202 $ 951,296 |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations Consolidated Obligations consist of Consolidated Bonds and Discount Notes. The FHLBanks issue Consolidated Obligations through the Office of Finance as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the FHLBank records as a liability its specific portion of Consolidated Obligations for which it is the primary obligor. The Finance Agency and the U.S. Secretary of the Treasury oversee the issuance of FHLBank debt through the Office of Finance. Consolidated Bonds may be issued to raise short-, intermediate-, and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated Discount Notes are issued primarily to raise short-term funds and have original maturities up to one year. These notes generally sell at less than their face amount and are redeemed at par value when they mature. Although the FHLB is primarily liable for its portion of Consolidated Obligations, the FHLB is also jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all Consolidated Obligations of each of the other FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any Consolidated Obligation whether or not the Consolidated Obligation represents a primary liability of such FHLBank. Although an FHLBank has never paid the principal or interest payments due on a Consolidated Obligation on behalf of another FHLBank, if that event should occur, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the FHLBank that is primarily liable for that Consolidated Obligation for any payments and other associated costs, including interest to be determined by the Finance Agency. If, however, that FHLBank is unable to satisfy its repayment obligations, the Finance Agency may allocate the outstanding liabilities of that FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank's participation in all Consolidated Obligations outstanding or in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par values of the 11 FHLBanks' outstanding Consolidated Obligations were approximately $746.8 billion and $1,025.9 billion at December 31, 2020 and 2019. Finance Agency regulations require the FHLB to maintain unpledged qualifying assets equal to its participation in the Consolidated Obligations outstanding. Qualifying assets are defined as cash; secured Advances; obligations of or fully guaranteed by the United States; and investments (i.e., obligations, participations or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgage, obligations, or other securities which are or ever have been sold by Freddie Mac; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLB is located). Any assets subject to a lien or pledge for the benefit of holders of any issue of Consolidated Obligations are treated as if they were free from lien or pledge for purposes of compliance with these regulations. Table 9.1 - Consolidated Discount Notes Outstanding (dollars in thousands) 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 % (1) Represents an implied rate without consideration of concessions. Table 9.2 - Consolidated Bonds Outstanding by Original Contractual Maturity (dollars in thousands) 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 Consolidated Bonds outstanding were issued with either fixed-rate coupon payment terms or variable-rate coupon payment terms that are indexed to either the SOFR or LIBOR. To meet the expected specific needs of certain investors in Consolidated Obligations, both fixed-rate Bonds and variable-rate Bonds may contain features that result in complex coupon payment terms and call options. When these Consolidated Bonds are issued, the FHLB may enter into derivatives containing features that offset the terms and embedded options, if any, of the Consolidated Bonds. Table 9.3 - Consolidated Bonds Outstanding by Call Features (in thousands) 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 Table 9.4 - Consolidated Bonds Outstanding by Original Contractual Maturity or Next Call Date (in thousands) 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 Table 9.5 - Consolidated Bonds by Interest-rate Payment Type (in thousands) 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 |
Affordable Housing Program (AHP
Affordable Housing Program (AHP) | 12 Months Ended |
Dec. 31, 2020 | |
Affordable Housing Program (AHP) [Abstract] | |
Affordable Housing Program (AHP) [Text Block] | Affordable Housing Program (AHP) The FHLBank Act requires each FHLBank to establish an AHP. Each FHLBank provides subsidies in the form of direct grants and below-market interest rate AHP Advances to members who use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Each FHLBank is required to contribute to its AHP the greater of 10 percent of its previous year's income subject to assessment, or the prorated sum required to ensure the aggregate contribution by the FHLBanks is no less than $100 million for each year. For purposes of the AHP calculation, income subject to assessment is defined as net income before assessments, plus interest expense related to mandatorily redeemable capital stock. The FHLB accrues AHP expense monthly based on its income subject to assessment. The FHLB reduces the AHP liability as members use subsidies. If the FHLB experienced a net loss during a quarter, but still had income subject to assessment for the year, the FHLB's obligation to the AHP would be calculated based on the FHLB's year-to-date income subject to assessment. If the FHLB had income subject to assessment in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the FHLB experienced a net loss for a full year, the FHLB would have no obligation to the AHP for the year, because each FHLBank's required annual AHP contribution is limited to its annual income subject to assessment. If the aggregate 10 percent calculation described above was less than $100 million for the FHLBanks, each FHLBank would be required to contribute a prorated sum to ensure that the aggregate contributions by the FHLBanks equaled $100 million. The proration would be made on the basis of an FHLBank's income in relation to the income of all FHLBanks for the previous year. There was no shortfall, as described above, in 2020, 2019, or 2018. If an FHLBank finds that its required AHP obligations are contributing to its financial instability, it may apply to the Finance Agency for a temporary suspension of its contributions. The FHLB has never made such an application. Table 10.1 - Analysis of AHP Liability (in thousands) 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 |
Capital
Capital | 12 Months Ended |
Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |
Capital [Text Block] | Capital The FHLB is subject to three capital requirements under its Capital Plan and the Finance Agency rules and regulations. Regulatory capital does not include accumulated other comprehensive income, but does include mandatorily redeemable capital stock. 1. Risk-based capital. The FHLB must maintain at all times permanent capital, defined as Class B stock and retained earnings, in an amount at least equal to the sum of its credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. 2. Total regulatory capital. The FHLB must maintain at all times a total regulatory capital-to-assets ratio of at least four percent. Total regulatory capital is the sum of permanent capital, Class A stock, any general loss allowance, if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the Finance Agency as available to absorb losses. 3. Leverage capital. The FHLB must maintain at all times a leverage capital-to-assets ratio of at least five percent. Leverage capital is defined as the sum of permanent capital weighted 1.5 times and all other capital without a weighting factor. The Finance Agency may require the FHLB to maintain greater permanent capital than is required based on Finance Agency rules and regulations. At December 31, 2020 and 2019, the FHLB was in compliance with each of these capital requirements. Table 11.1 - Capital Requirements (dollars in thousands) 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 The FHLB currently offers only Class B stock, which is issued and redeemed at a par value of $100 per share. Class B stock may be issued to meet membership and activity stock purchase requirements, to pay dividends, and to pay interest on mandatorily redeemable capital stock. Membership stock is required to become a member of and maintain membership in the FHLB. The membership stock requirement is based upon a percentage of the member's total assets. At December 31, 2020, the membership stock requirement was determined within a declining range from 0.16 percent to 0.05 percent of each member's total assets, with a minimum of $1 thousand and a maximum of $30 million for each member. In addition to membership stock, a member may be required to hold activity stock to capitalize its Mission Asset Activity with the FHLB. Mission Asset Activity includes Advances, certain funds and rate Advance commitments, Letters of Credit, and MPP activity that occurred after implementation of the Capital Plan on December 30, 2002. Members must maintain an activity stock balance within a range of minimum and maximum activity stock capitalization percentages, which were set to equal each other as of January 1, 2021 and are as follows: 3.00 percent for MPP, 4.50 percent for Advances and Advance commitments, and 0.10 percent for Letters of Credit. During 2020 and 2019, members were required to maintain minimum and maximum activity stock capitalization percentages of zero percent and 4.00 percent for MPP and 2.00 percent and 4.00 percent for Advances and Advance commitments. Prior to January 1, 2021, members were not required to capitalize Letters of Credit. If a member owns more than its required activity stock percentage, the additional stock is that member's excess stock. The FHLB's unrestricted excess stock is defined as total Class B stock minus membership stock, activity stock calculated at the maximum allocation percentage, shares reserved for exclusive use after a stock dividend, and shares subject to redemption and withdrawal notices. The FHLB's excess stock may normally be used by members to support a portion of their activity stock requirement as long as those members maintain at least their minimum activity stock allocation percentage. A member may request redemption of all or part of its Class B stock or may withdraw from membership by giving five years' advance written notice. When the FHLB repurchases capital stock, it must first repurchase shares for which a redemption or withdrawal notice's five-year redemption period or withdrawal period has expired. Since its Capital Plan was implemented, the FHLB has repurchased, at its discretion, all member shares subject to outstanding redemption notices prior to the expiration of the five-year redemption period. Any member that has withdrawn from membership may not be readmitted to membership in any FHLBank until five years from the divestiture date for all capital stock that was held as a condition of membership, unless the institution has canceled its notice of withdrawal prior to the divestiture date. This restriction does not apply if the member is transferring its membership from one FHLBank to another on an uninterrupted basis. Each class of FHLB stock is considered putable by the member and the FHLB may repurchase, in its sole discretion, any member's stock investments that exceed the required minimum amount. However, there are significant statutory and regulatory restrictions on the obligation to redeem, or right to repurchase, the outstanding stock. As a result, whether or not a member may have its capital stock in the FHLB repurchased (at the FHLB's discretion at any time before the end of the redemption period) or redeemed (at a member's request, completed at the end of a redemption period) will depend on whether the FHLB is in compliance with those restrictions. The FHLB's retained earnings are owned proportionately by the current holders of Class B stock. The holders' interest in the retained earnings is realized at the time the FHLB periodically declares dividends or at such time as the FHLB is liquidated. The FHLB's Board of Directors may declare and pay dividends in either cash or capital stock, assuming the FHLB is in compliance with Finance Agency rules and regulations. Restricted Retained Earnings. The Capital Agreement is intended to enhance the capital position of each FHLBank. The Capital Agreement provides that each FHLBank will, on a quarterly basis, allocate 20 percent of its net income to a separate restricted retained earnings account until the balance of that account, calculated as of the last day of each calendar quarter, equals at least one percent of that FHLBank's average balance of outstanding Consolidated Obligations for the calendar quarter. These restricted retained earnings are not available to pay dividends but are available to absorb unexpected losses, if any, that an FHLBank may experience. At December 31, 2020 and 2019 the FHLB had (in thousands) $501,321 and $446,048 in restricted retained earnings. Mandatorily Redeemable Capital Stock. The FHLB is a cooperative whose members own most of the FHLB's capital stock. Former members (including certain nonmembers that own the FHLB's capital stock as a result of a merger or acquisition, relocation, charter termination, or involuntary termination of an FHLB member) own the remaining capital stock to support business transactions still carried on the FHLB's Statements of Condition. Member shares cannot be purchased or sold except between the FHLB and its members at its $100 per share par value, as mandated by the FHLB's Capital Plan. The FHLB reclassifies stock subject to redemption from equity to liability upon expiration of the “grace period” after a member submits a written redemption request or withdrawal notice, or when the member attains nonmember status by merger or acquisition, relocation, charter termination, or involuntary termination of membership. A member may cancel or revoke its written redemption request or its withdrawal notice prior to the end of the five-year redemption period. Under the FHLB's Capital Plan, there is a five calendar day “grace period” for revocation of a redemption request and a 30 calendar day “grace period” for revocation of a withdrawal notice during which the member may cancel the redemption request or withdrawal notice without a penalty or fee. The cancellation fee after the “grace period” is currently two percent of the requested amount in the first year and increases one percent a year until it reaches a maximum of six percent in the fifth year. The cancellation fee can be waived by the FHLB's Board of Directors for a bona fide business purpose. Stock subject to a redemption or withdrawal notice that is within the “grace period” continues to be considered equity because there is no penalty or fee to retract these notices. Expiration of the “grace period” triggers the reclassification from equity to a liability (mandatorily redeemable capital stock) at fair value because after the “grace period” the penalty to retract these notices is considered substantive. If a member cancels its written notice of redemption or notice of withdrawal, the FHLB will reclassify mandatorily redeemable capital stock from a liability to equity. Dividends related to capital stock classified as a liability are accrued at the expected dividend rate and reported as interest expense in the Statements of Income. For the years ended December 31, 2020, 2019, and 2018 dividends on mandatorily redeemable capital stock (in thousands) of $1,068, $1,113 and $1,806 were recorded as interest expense. Table 11.2 - Mandatorily Redeemable Capital Stock Rollforward (in thousands) 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 The number of stockholders holding the mandatorily redeemable capital stock was 24, 28 and 25 at December 31, 2020, 2019, and 2018. As of December 31, 2020 there were no members or former members that had requested redemptions of capital stock whose stock had not been reclassified as mandatorily redeemable capital stock because the “grace periods” had not yet expired on these requests. Table 11.3 shows the amount of mandatorily redeemable capital stock by contractual year of redemption. The year of redemption in the table is the end of the five-year redemption period. Consistent with the Capital Plan currently in effect, the FHLB is not required to redeem membership stock until five years after either (i) the membership is terminated or (ii) the FHLB receives notice of withdrawal. The FHLB is not required to redeem activity-based stock until the later of the expiration of the notice of redemption or until the activity to which the capital stock relates no longer remains outstanding. If activity-based stock becomes excess stock as a result of an activity no longer remaining outstanding, the FHLB may repurchase such shares, in its sole discretion, subject to the statutory and regulatory restrictions on capital stock redemption. Table 11.3 - Mandatorily Redeemable Capital Stock by Contractual Year of Redemption (in thousands) 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 (1) Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 19, 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, had their membership terminated no later than February 19, 2021. The related mandatorily redeemable capital stock is not required to be redeemed until five years after the member's termination. (2) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. Excess Capital Stock. Finance Agency regulations limit the ability of an FHLBank to create member excess stock under certain circumstances. The FHLB may not pay dividends in the form of capital stock or issue new excess stock to members if its excess stock exceeds one percent of its total assets or if the issuance of excess stock would cause the FHLB's excess stock to exceed one percent of its total assets. At December 31, 2020, the FHLB had excess capital stock outstanding totaling less than one percent of its total assets. At December 31, 2020, the FHLB was in compliance with the Finance Agency's excess stock rules. Partial recovery of prior capital distribution to Financing Corporation. The Competitive Equality Banking Act of 1987 was enacted in August 1987, which, among other things, provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in exchange for FICO nonvoting capital stock. Capital distributions were made by the FHLBanks in 1987, 1988 and 1989 that aggregated to $680 million. Upon passage of Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBanks’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBanks charged their prior capital distributions to FICO directly against retained earnings. In accordance with the dissolution of FICO in 2020, FICO determined that excess funds aggregating to $200 million were available for distribution to its stockholders, the FHLBanks. Specifically, the FHLB’s partial recovery of prior capital distribution was $16.5 million, which was determined based on its share of the $680 million originally contributed. The FHLB treated the receipt of these funds as a return of the investment in FICO capital stock, and therefore as a partial recovery of the prior capital distributions made by the FHLBanks to FICO in 1987, 1988, and 1989. These funds have been credited to unrestricted retained earnings. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive (Loss) Income | 12 Months Ended |
Dec. 31, 2020 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive (Loss) Income [Text Block] | Accumulated Other Comprehensive Income (Loss) The following tables summarize the changes in accumulated other comprehensive income (loss) for the years ended December 31, 2020, 2019 and 2018. Table 12.1 - Accumulated Other Comprehensive Income (Loss) (in thousands) 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 — 14 Net actuarial gains (losses) — 1,403 1,403 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 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 — 480 Net actuarial gains (losses) — (5,665) (5,665) Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 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 — 4,348 Net actuarial gains (losses) — (5,227) (5,227) Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 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) |
Pension and Postretirement Bene
Pension and Postretirement Benefit Plans | 12 Months Ended |
Dec. 31, 2020 | |
Retirement Benefits [Abstract] | |
Pension and Other Postretirement Benefits Disclosure [Text Block] | Pension and Postretirement Benefit Plans Qualified Defined Benefit Multi-employer Plan. The FHLB participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra Defined Benefit Plan), a tax-qualified defined benefit pension plan. The Pentegra Defined Benefit Plan is treated as a multi-employer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code. As a result, certain multi-employer plan disclosures, including the certified zone status, are not applicable to the Pentegra Defined Benefit Plan. Under the Pentegra Defined Benefit Plan, contributions made by one participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The Pentegra Defined Benefit Plan covers all officers and employees of the FHLB who meet certain eligibility requirements. The Pentegra Defined Benefit Plan operates on a plan year from July 1 through June 30. The Pentegra Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 and the three-digit plan number is 333. There are no collective bargaining agreements in place at the FHLB. The Pentegra Defined Benefit Plan's annual valuation process includes calculating the plan's funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of assets divided by the funding target (100 percent of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Pentegra Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the end of the prior plan year. As a result, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30. The most recent Form 5500 available for the Pentegra Defined Benefit Plan is for the year ended June 30, 2019. The FHLB did not contribute more than five percent of the total contributions to the Pentegra Defined Benefit Plan for the plan years ended June 30, 2019, 2018 and 2017. Table 13.1 - Pentegra Defined Benefit Plan Net Pension Cost and Funded Status (dollars in thousands) 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 % (a) The Pentegra Defined Benefit Plan's funded status as of July 1, 2020 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. Contributions made on or before March 15, 2021, and designated for the plan year ended June 30, 2020, will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year July 1, 2020 through June 30, 2021 is filed (this Form 5500 is due to be filed no later than April 2022). (b) The Pentegra Defined Benefit Plan's funded status as of July 1, 2019 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2019 through March 15, 2020. Contributions made on or before March 15, 2020, and designated for the plan year ended June 30, 2019, will be included in the final valuation as of July 1, 2019. The final funded status as of July 1, 2019 will not be available until the Form 5500 for the plan year July 1, 2019 through June 30, 2020 is filed (this Form 5500 is due to be filed no later than April 2021). Qualified Defined Contribution Plan. The FHLB also participates in the Fidelity Defined Contribution Plan, a tax-qualified, defined contribution pension plan. The FHLB contributes a percentage of the participants' compensation by making a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. The FHLB contributed $1,437,000, $1,333,000, and $1,249,000 in the years ended December 31, 2020, 2019, and 2018, respectively. The FHLB's contributions are recorded as compensation and benefits expense in the Statements of Income. Non-qualified Supplemental Defined Benefit Retirement Plan (Defined Benefit Retirement Plan) . The FHLB maintains a non-qualified, unfunded defined benefit plan. The plan ensures that participants receive the full amount of benefits to which they would have been entitled under the qualified defined benefit plan in the absence of limits on benefit levels imposed by the IRS. There are no funded plan assets. The FHLB has established a grantor trust, which is included in held-to-maturity securities on the Statements of Condition, to meet future benefit obligations and current payments to beneficiaries. Postretirement Benefits Plan . The FHLB also sponsors a Postretirement Benefits Plan that includes health care and life insurance benefits for eligible retirees. Future retirees are eligible for the postretirement benefits plan if they were hired prior to August 1, 1990, are age 55 or older, and their age plus years of continuous service at retirement are greater than or equal to 80. Spouses are covered subject to required contributions. There are no funded plan assets that have been designated to provide postretirement benefits. Table 13.2 presents the obligations and funding status of the Defined Benefit Retirement Plan and Postretirement Benefits Plan. The benefit obligation represents projected benefit obligation for the Defined Benefit Retirement Plan and accumulated postretirement benefit obligation for the Postretirement Benefits Plan. Table 13.2 - Benefit Obligation, Fair Value of Plan Assets and Funded Status (in thousands) 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 — — — — 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 — — — — Funded status at end of year $ (49,538) $ (44,246) $ (5,046) $ (4,638) Amounts recognized in “Other liabilities” on the Statements of Condition for the Defined Benefit Retirement Plan and Postretirement Benefits Plan as of December 31, 2020 and 2019 were (in thousands) $54,584 and $48,884. Table 13.3 - Amounts Recognized in Accumulated Other Comprehensive Income (in thousands) Defined Benefit Retirement Plan Postretirement 2020 2019 2020 2019 Net actuarial loss $ 18,901 $ 16,440 $ 802 $ 324 Table 13.4 - Net Periodic Benefit Cost and Other Amounts Recognized in Accumulated Other Comprehensive Income (in thousands) For the Years Ended December 31, Defined Benefit 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 — — — 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) — — — 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 Defined Benefit Retirement Plan and the Postretirement Benefits Plan, the related service cost is recorded as part of Non-Interest Expense - Compensation and Benefits on the Statements of Income. The non-service related components of interest cost and amortization of net loss are recorded as Non-Interest Expense - Other in the Statements of Income. Table 13.5 presents the key assumptions used for the actuarial calculations to determine benefit obligations for the Defined Benefit Retirement Plan and Postretirement Benefits Plan. Table 13.5 - Benefit Obligation Key Assumptions 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 Table 13.6 presents the key assumptions used for the actuarial calculations to determine net periodic benefit cost for the Defined Benefit Retirement Plan and Postretirement Benefit Plan. Table 13.6 - Net Periodic Benefit Cost Key Assumptions 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 Table 13.7 - Postretirement Benefits Plan Assumed Health Care Cost Trend Rates 2020 2019 Assumed for next year 5.50 % 6.00 % Ultimate rate 5.00 % 5.00 % Year that ultimate rate is reached 2021 2021 The discount rates for the disclosures as of December 31, 2020 were determined by using a discounted cash flow approach, which incorporates the timing of each expected future benefit payment. Estimated future benefit payments are based on each plan's census data, benefit formulas and provisions, and valuation assumptions reflecting the probability of decrement and survival. The present value of the future benefit payments is determined by using weighted average duration based interest rate yields from a variety of highly rated relevant corporate bond indices as of December 31, 2020, and solving for the single discount rate that produces the same present value. Table 13.8 presents the estimated future benefits payments reflecting expected future services for the years ended after December 31, 2020. Table 13.8 - Estimated Future Benefit Payments (in thousands) 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 |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Segment Information [Text Block] | Segment Information The FHLB has identified two primary operating segments based on its method of internal reporting: Traditional Member Finance and the MPP. These segments reflect the FHLB's two primary Mission Asset Activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways the FHLB provides services to member stockholders. The FHLB, as an interest rate spread manager, considers a segment's net interest income, net interest rate spread and, ultimately, net income as the key factors in allocating resources. Resource allocation decisions are made by considering these profitability measures in the context of the historical, current and expected risk profile of each segment and the entire balance sheet, as well as current incremental profitability measures relative to the incremental market risk profile. Overall financial performance and risk management are dynamically managed primarily at the level of, and within the context of, the entire balance sheet rather than at the level of individual business segments or product lines. Also, the FHLB hedges specific asset purchases and specific subportfolios in the context of the entire mortgage asset portfolio and the entire balance sheet. Under this holistic approach, the market risk/return profile of each business segment does not correspond, in general, to the performance that each segment would generate if it were completely managed on a separate basis, and it is not possible to accurately determine what the performance would be if the two business segments were managed on a stand-alone basis. Further, because financial and risk management is a dynamic process, the performance of a segment over a single identified period may not reflect the long-term expected or actual future trends for the segment. The Traditional Member Finance segment includes products such as Advances and investments and the borrowing costs related to those assets. The FHLB assigns its investments to this segment primarily because they historically have been used to provide liquidity for Advances and to support the level and volatility of earnings from Advances. All interest rate swaps and a portion of swaptions, including their market value adjustments, are allocated to the Traditional Member Finance segment. The FHLB executed all of its interest rate swaps in its management of market risk for the Traditional Member Finance segment. The FHLB enters into swaptions to minimize the prepayment risk in its overall mortgage asset portfolio. Income from the MPP is derived primarily from the difference, or spread, between the yield on mortgage loans and the borrowing cost of Consolidated Obligations outstanding allocated to this segment at the time debt is issued. MPP income also includes the gains (losses) on derivatives associated with the MPP segment, comprising all mortgage delivery commitments and forward rate agreements and a portion of swaptions. Both segments also earn income from investment of interest-free capital. Capital is allocated proportionate to each segment's average assets based on the total balance sheet's average capital-to-assets ratio. Expenses are allocated based on cost accounting techniques that include direct usage, time allocations and square footage of space used. AHP assessments are calculated using the current assessment rates based on the income before assessments for each segment. The following tables set forth the FHLB's financial performance by operating segment for the years ended December 31. Table 14.1 - Financial Performance by Operating Segment (in thousands) For the Years Ended December 31, Traditional Member 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 Table 14.2 - Asset Balances by Operating Segment (in thousands) Assets Traditional Member 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 |
Fair Value Disclosures
Fair Value Disclosures | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | Fair Value Disclosures The fair value amounts recorded on the Statements of Condition and presented in the related note disclosures have been determined by the FHLB using available market information and the FHLB's best judgment of appropriate valuation methods. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values. Fair Value Hierarchy . GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the measurement is determined. This overall level is an indication of how market observable the fair value measurement is. An entity must disclose the level within the fair value hierarchy in which the measurements are classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Unobservable inputs for the asset or liability, which are supported by limited to no market activity and reflect the FHLB's own assumptions. The FHLB reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain financial assets or liabilities. The FHLB did not have any transfers of assets or liabilities into or out of Level 3 of the fair value hierarchy during the years ended December 31, 2020 or 2019. Table 15.1 presents the net carrying value/carrying value, fair value, and fair value hierarchy of financial assets and liabilities of the FHLB. The FHLB records trading securities, available-for-sale securities, derivative assets, derivative liabilities, certain Advances and certain Consolidated Obligations at fair value on a recurring basis, and on occasion, certain mortgage loans held for portfolio on a nonrecurring basis. The FHLB records all other financial assets and liabilities at amortized cost. Refer to Table 15.2 for further details about the financial assets and liabilities held at fair value on either a recurring or nonrecurring basis. Table 15.1 - Fair Value Summary (in thousands) 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 $ — $ — $ — Interest-bearing deposits 555,104 555,104 — 555,104 — — Securities purchased under agreements to resell 1,818,268 1,818,268 — 1,818,268 — — Federal funds sold 4,240,000 4,240,000 — 4,240,000 — — Trading securities 10,488,124 10,488,124 — 10,488,124 — — Available-for-sale securities 291,587 291,587 — 291,587 — — Held-to-maturity securities 9,648,171 9,792,136 — 9,792,136 — — Advances (2) 25,362,003 25,573,785 — 25,573,785 — — Mortgage loans held for portfolio 9,548,506 9,861,802 — 9,798,019 63,783 — Accrued interest receivable 113,701 113,701 — 113,701 — — Derivative assets 215,888 215,888 — 2,732 — 213,156 Liabilities: Deposits 1,327,202 1,327,267 — 1,327,267 — — Consolidated Obligations: Discount Notes 27,500,244 27,501,296 — 27,501,296 — — Bonds (3) 31,996,311 32,785,647 — 32,785,647 — — Mandatorily redeemable capital stock 19,454 19,454 19,454 — — — Accrued interest payable 77,521 77,521 — 77,521 — — Derivative liabilities 3,813 3,813 — 165,737 — (161,924) (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $27,202 of Advances recorded under the fair value option at December 31, 2020. (3) Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. 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 $ — $ — $ — Interest-bearing deposits 550,160 550,160 — 550,160 — — Securities purchased under agreements to resell 2,348,584 2,348,607 — 2,348,607 — — Federal funds sold 4,833,000 4,833,000 — 4,833,000 — — Trading securities 11,615,693 11,615,693 — 11,615,693 — — Available-for-sale securities 1,542,185 1,542,185 — 1,542,185 — — Held-to-maturity securities 13,499,319 13,501,207 — 13,501,207 — — Advances (2) 47,369,573 47,458,028 — 47,458,028 — — Mortgage loans held for portfolio 11,235,353 11,437,180 — 11,424,857 12,323 — Accrued interest receivable 182,252 182,252 — 182,252 — — Derivative assets 267,165 267,165 — 32,195 — 234,970 Liabilities: Deposits 951,296 951,343 — 951,343 — — Consolidated Obligations: Discount Notes (3) 49,084,219 49,086,723 — 49,086,723 — — Bonds (4) 38,439,724 38,832,230 — 38,832,230 — — Mandatorily redeemable capital stock 21,669 21,669 21,669 — — — Accrued interest payable 126,091 126,091 — 126,091 — — Derivative liabilities 1,310 1,310 — 54,850 — (53,540) (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $5,238 of Advances recorded under the fair value option at December 31, 2019. (3) Includes (in thousands) $12,386,974 of Consolidated Obligation Discount Notes recorded under the fair value option at December 31, 2019. (4) Includes (in thousands) $4,757,177 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2019. Summary of Valuation Methodologies and Primary Inputs . The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are listed below. The fair values and level within the fair value hierarchy of these assets and liabilities are reported in Table 15.2. Investment securities – MBS: To value MBS holdings, the FHLB incorporates prices from multiple designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. As many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the FHLB. The FHLB has conducted reviews of multiple pricing vendors to confirm and further augment its understanding of the vendors' pricing processes, methodologies and control procedures for specific instruments. The FHLB's valuation technique for estimating the fair values of MBS first requires the establishment of a “median” price for each security. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, non-binding dealer estimates, and/or use of an internal model that is deemed most appropriate) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. Alternatively, if the analysis confirms that an outlier is in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. Multiple prices were received for substantially all of the FHLB's MBS holdings and the final prices for those securities were computed by averaging the prices received. Based on the FHLB's review of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices, the FHLB believes its final prices result in reasonable estimates of fair value and further that the fair value measurements are classified appropriately in the fair value hierarchy. Investment securities – Non-MBS: To determine the estimated fair values of non-MBS investment securities, the FHLB can use either (a) an income approach based on a market-observable interest rate curve that may be adjusted for a spread, or (b) prices received from third-party pricing vendors. For its U.S. Treasury obligations, the FHLB determines the fair value using the income approach. The income approach uses indicative fair values derived from a discounted cash flow methodology. The FHLB uses the Treasury curve as the market-observable interest rate curve. For GSE obligations and certificates of deposit, the fair value is determined using prices received from third-party pricing vendors. For GSE obligations, the FHLB uses prices from multiple third-party pricing vendors. The pricing vendors' methodology and the FHLB's validation process is consistent with the MBS process described above. For certificates of deposit, the fair value is determined based on each security’s indicative fair value obtained from a third-party vendor. The FHLB performs several validation steps in order to verify the accuracy and reasonableness of the fair values obtained for certificates of deposit. These steps may include, but are not limited to, a detailed review of instruments with significant periodic price changes and a derived fair value from an option-adjusted discounted cash flow methodology using market-observed inputs for the interest rate environment and similar instruments. Advances recorded under the fair value option: The FHLB determines the fair values of Advances recorded under the fair value option by calculating the present value of expected future cash flows from these Advances. The discount rates used in these calculations are the replacement rates for Advances with similar terms, as approximated either by adding an estimated current spread to the SOFR or LIBOR Swap Curve or by using current indicative market yields, as indicated by the FHLB's pricing methodologies for Advances with similar current terms. Advance pricing is determined based on the FHLB's rates on Consolidated Obligations. To determine the estimated fair value for Advances with optionality, market-based expectations of future interest rate volatility implied from current prices for similar options are also used. In accordance with Finance Agency regulations, Advances with a maturity and repricing period greater than six months require a prepayment fee sufficient to make the FHLB financially indifferent to the borrower's decision to prepay the Advances. Therefore, the fair value of Advances does not assume prepayment risk. Impaired mortgage loans held for portfolio: The estimated fair values of impaired mortgage loans held for portfolio on a non-recurring basis are based on property values obtained from a third-party pricing vendor. Derivative assets/liabilities: The FHLB's derivative assets/liabilities generally consist of interest rate swaps, interest rate swaptions, TBA MBS (forward rate agreements), and mortgage delivery commitments. The FHLB's interest rate related derivatives (swaps and swaptions) are traded in the over-the-counter market. Therefore, the FHLB determines the fair value of each individual instrument using market value models that use readily observable market inputs as their basis (inputs that are actively quoted and can be validated to external sources). The FHLB uses a mid-market pricing convention as a practical expedient for fair value measurements within a bid-ask spread. These models reflect the contractual terms, including the period to maturity, as well as the significant inputs noted below. The fair value determination uses the standard valuation technique of discounted cash flow analysis. The FHLB performs several validation steps to verify the reasonableness of the fair value output generated by the primary market value model. In addition to an annual model validation, the FHLB prepares a monthly reconciliation of the model's fair values to estimates of fair values provided by the derivative counterparties. The FHLB believes these processes provide a reasonable basis for it to place continued reliance on the derivative fair values generated by the model. The fair value of TBA MBS is based on independent indicative and/or quoted prices generated by market transactions involving comparable instruments. The FHLB determines the fair value of mortgage delivery commitments using market prices from the TBA/mortgage-backed security market or TBA/Ginnie Mae market and adjustments noted below. The FHLB's discounted cash flow analysis uses market-observable inputs. Inputs, by class of derivative, are as follows: Interest rate swaps and interest rate swaptions: ▪ Discount rate assumption. OIS or SOFR Swap Curve; ▪ Forward interest rate assumption. OIS, SOFR, or LIBOR Swap Curve; and ▪ Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. TBA MBS: ▪ Market-based prices by coupon class and expected term until settlement. Mortgage delivery commitments: ▪ TBA securities prices. Market-based prices by coupon class and expected term until settlement, adjusted to reflect the contractual terms of the mortgage delivery commitments. The adjustments to the market prices are market observable, or can be corroborated with observable market data. The FHLB is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in these contracts to mitigate the risk. The FHLB has evaluated the potential for the fair value of the instruments to be impacted by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements. The fair values of the FHLB's derivatives include accrued interest receivable/payable and related cash collateral. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. Derivatives are presented on a net basis by counterparty when it has met the netting requirements. If these netted amounts are positive, they are classified as an asset and if negative, they are classified as a liability. Consolidated Obligations recorded under the fair value option: The FHLB determines the fair values of non-option-based Consolidated Obligation Bonds and all Consolidated Obligation Discount Notes recorded under the fair value option by calculating the present value of scheduled future cash flows. Inputs used to determine the fair value of these Consolidated Obligation Bonds and Discount Notes are the discount rates, which are estimated current market yields. For non-option-based Bonds and all Discount Notes, the market yields are either indicated by the Office of Finance for Consolidated Obligations with similar current terms or the SOFR swap curve for SOFR indexed Consolidated Obligations. The FHLB determines the fair values of option-based Consolidated Obligation Bonds recorded under the fair value option based on pricing received from designated third-party pricing vendors. The pricing vendors used apply various proprietary models to price these Consolidated Obligation Bonds. The inputs to those models are derived from various sources including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers, and other market-related data. Since many Consolidated Obligation Bonds do not trade on a daily basis, the pricing vendors use available information, as applicable, such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual Consolidated Obligation Bonds. Each pricing vendor has an established challenge process in place for all valuations, which facilitates resolution of potentially erroneous prices identified by the FHLB. When pricing vendors are used, the FHLB's valuation technique first requires the establishment of a “median” price for each Consolidated Obligation Bond. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, non-binding dealer estimates, and/or use of an internal model that is deemed most appropriate) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. Alternatively, if the analysis confirms that an outlier is in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a Consolidated Obligation Bond are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. Multiple vendor prices were received for the FHLB's Consolidated Obligation Bonds and the final prices for those bonds were computed by averaging the prices received. Based on the FHLB's review of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices, the FHLB believes its final prices result in reasonable estimates of fair value and that the fair value measurements are classified appropriately in the fair value hierarchy. The FHLB has conducted reviews of its pricing vendors to confirm and further augment its understanding of the vendors' pricing processes, methodologies and control procedures for Consolidated Obligation Bonds. Adjustments may be necessary to reflect the 11 FHLBanks' credit quality when valuing Consolidated Obligation Bonds recorded under the fair value option. Due to the joint and several liability for Consolidated Obligations, the FHLB monitors its own creditworthiness and the creditworthiness of the other FHLBanks to determine whether any credit adjustments are necessary in its fair value measurement of Consolidated Obligation Bonds. No adjustments were considered necessary at December 31, 2020 or 2019. Subjectivity of estimates . Estimates of the fair values of financial assets and liabilities using the methods described above and other methods are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speeds, interest rate volatility, distributions of future interest rates used to value options, and discount rates that appropriately reflect market and credit risks. The judgments also include the parameters, methods, and assumptions used in models to value the options. The use of different assumptions could have a material effect on the fair value estimates. Since these estimates are made as of a specific point in time, they are susceptible to material near term changes. Fair Value Measurements . Table 15.2 presents the fair value of financial assets and liabilities that are recorded on a recurring or nonrecurring basis at December 31, 2020 and 2019, by level within the fair value hierarchy. The FHLB records nonrecurring fair value adjustments to reflect partial write-downs on certain mortgage loans. Table 15.2 - Fair Value Measurements (in thousands) 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 $ — $ 8,362,211 $ — $ — GSE obligations 2,125,580 — 2,125,580 — — U.S. obligation single-family MBS 333 — 333 — — Total trading securities 10,488,124 — 10,488,124 — — Available-for-sale securities: GSE obligations 142,402 — 142,402 — — GSE multi-family MBS 149,185 — 149,185 — — Total available-for-sale securities 291,587 — 291,587 — — Advances 27,202 — 27,202 — — Derivative assets: Interest rate related 214,832 — 1,676 — 213,156 Mortgage delivery commitments 1,056 — 1,056 — — Total derivative assets 215,888 — 2,732 — 213,156 Total assets at fair value $ 11,022,801 $ — $ 10,809,645 $ — $ 213,156 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 2,262,388 $ — $ 2,262,388 $ — $ — Derivative liabilities: Interest rate related 3,813 — 165,737 — (161,924) Total derivative liabilities 3,813 — 165,737 — (161,924) Total liabilities at fair value $ 2,266,201 $ — $ 2,428,125 $ — $ (161,924) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 108 $ — $ — $ 108 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2020. 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 $ — $ 9,626,964 $ — $ — GSE obligations 1,988,259 — 1,988,259 — — U.S. obligation single-family MBS 470 — 470 — — Total trading securities 11,615,693 — 11,615,693 — — Available-for-sale securities: Certificates of deposit 1,410,111 — 1,410,111 — — GSE obligations 132,074 — 132,074 — — Total available-for-sale securities 1,542,185 — 1,542,185 — — Advances 5,238 — 5,238 — — Derivative assets: Interest rate related 264,346 — 29,376 — 234,970 Forward rate agreements 21 — 21 — — Mortgage delivery commitments 2,798 — 2,798 — — Total derivative assets 267,165 — 32,195 — 234,970 Total assets at fair value $ 13,430,281 $ — $ 13,195,311 $ — $ 234,970 Recurring fair value measurements - Liabilities Consolidated Obligations: Discount Notes $ 12,386,974 $ — $ 12,386,974 $ — $ — Bonds 4,757,177 — 4,757,177 — — Total Consolidated Obligations 17,144,151 — 17,144,151 — — Derivative liabilities: Interest rate related 464 — 54,004 — (53,540) Forward rate agreements 782 — 782 — — Mortgage delivery commitments 64 — 64 — — Total derivative liabilities 1,310 — 54,850 — (53,540) Total liabilities at fair value $ 17,145,461 $ — $ 17,199,001 $ — $ (53,540) (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. Fair Value Option . The fair value option provides an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires a company to display the fair value of those assets and liabilities for which it has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities and commitments, with the changes in fair value recognized in net income. If elected, interest income and interest expense on Advances and Consolidated Obligations carried at fair value are recognized based solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into other non-interest income or other non-interest expense. The FHLB has elected the fair value option for certain financial instruments that either do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements. These fair value elections were made primarily in an effort to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. Table 15.3 presents net gains (losses) recognized in earnings related to financial assets and liabilities in which the fair value option was elected during the years ended December 31, 2020, 2019 and 2018. Table 15.3 – Fair Value Option - Financial Assets and Liabilities (in thousands) 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) — Consolidated Bonds (8,792) (53,030) (14,180) Total net gains (losses) $ (7,293) $ (53,852) $ (14,184) For instruments recorded under the fair value option, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments in which the fair value option has been elected are recorded as “Net gains (losses) on financial instruments held under fair value option” in the Statements of Income, except for changes in fair value related to instrument specific credit risk, which are recorded in accumulated other comprehensive income in the Statement of Condition. The FHLB has determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the years ended December 31, 2020 or 2019. In determining that there has been no change in instrument-specific credit risk period to period, the FHLB primarily considered the following factors: ▪ The FHLB is a federally chartered GSE, and as a result of this status, the FHLB’s Consolidated Obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States. ▪ The FHLB is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all Consolidated Obligations of each of the other FHLBanks. The following table reflects the difference between the aggregate unpaid principal balance outstanding and the aggregate fair value for Advances and Consolidated Obligations for which the fair value option has been elected. Table 15.4 – Aggregate Unpaid Balance and Aggregate Fair Value (in thousands) 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 — — — 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 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies Off-Balance Sheet Commitments. Table 16.1 represents off-balance sheet commitments at December 31, 2020 and 2019. The FHLB has deemed it unnecessary to record any liabilities for credit losses on these commitments at December 31, 2020 and 2019. Table 16.1 - Off-Balance Sheet Commitments (in thousands) 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 — 35,030 35,030 20,360 55,150 75,510 Commitments to purchase mortgage loans 137,352 — 137,352 936,269 — 936,269 Unsettled Consolidated Discount Notes, principal amount (1) 321,551 — 321,551 — — — (1) Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. Standby Letters of Credit: The FHLB issues Standby Letters of Credit on behalf of its members to support certain obligations of the members (or member's customer) to third-party beneficiaries. Standby Letters of Credit may be offered to assist members in facilitating residential housing finance, community lending, and asset-liability management, and to provide liquidity. In particular, members often use Standby Letters of Credit as collateral for deposits from federal and state government agencies. Standby Letters of Credit are executed for members for a fee. If the FHLB is required to make payment for a beneficiary's draw, the member either reimburses the FHLB for the amount drawn or, subject to the FHLB's discretion, the amount drawn may be converted into a collateralized Advance to the member. However, Standby Letters of Credit usually expire without being drawn upon. Standby Letters of Credit have original expiration periods of up to 18 years, currently expiring no later than 2034. The carrying value of guarantees related to Standby Letters of Credit are recorded in other liabilities and were (in thousands) $8,675 and $5,170 at December 31, 2020 and 2019. The FHLB monitors the creditworthiness of its members that have Standby Letters of Credit. In addition, Standby Letters of Credit are subject to the same collateralization and borrowing limits that apply to Advances and are fully collateralized at the time of issuance. Standby Bond Purchase Agreements: The FHLB has executed standby bond purchase agreements with one state housing authority whereby the FHLB, for a fee, agrees as a liquidity provider if required, to purchase and hold the authority's bonds until the designated marketing agent can find a suitable investor or the housing authority repurchases the bonds according to a schedule established by the standby agreement. Each standby agreement dictates the specific terms that would require the FHLB to purchase the bonds and typically allows the FHLB to terminate the agreement upon the occurrence of a default event of the issuer. The bond purchase commitments entered into by the FHLB have original expiration periods up to 6 years, currently no later than 2023, although some are renewable at the option of the FHLB. During 2020 and 2019, the FHLB was not required to purchase any bonds under these agreements. Commitments to Purchase Mortgage Loans: The FHLB enters into commitments that unconditionally obligate the FHLB to purchase mortgage loans. Commitments are generally for periods not to exceed 90 days. The delivery commitments are recorded as derivatives at their fair values. Consolidated Obligations: As previously described, Consolidated Obligations are backed only by the financial resources of the FHLBanks. The joint and several liability Finance Agency regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal and interest on Consolidated Obligations for which another FHLBank is the primary obligor. No FHLBank has ever been asked or required to repay the principal or interest on any Consolidated Obligation on behalf of another FHLBank, and as of December 31, 2020, and through the filing date of this report, the FHLB does not believe that it is probable that it will be asked to do so. The FHLB determined that it was not necessary to recognize a liability for the fair values of its joint and several obligation related to other FHLBanks' Consolidated Obligations at December 31, 2020, 2019, or 2018. The joint and several obligations are mandated by Finance Agency regulations and are not the result of arms-length transactions among the FHLBanks. The FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several obligation. Pledged Collateral. The FHLB may pledge securities, as collateral, related to derivatives. See Note 7 - Derivatives and Hedging Activities for additional information about the FHLB's pledged collateral and other credit-risk-related contingent features. Legal Proceedings . From time to time, the FHLB is subject to legal proceedings arising in the normal course of business. The FHLB would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount could be reasonably estimated. After consultation with legal counsel, management does not anticipate that ultimate liability, if any, arising out of any matters will have a material effect on the FHLB's financial condition or results of operations. |
Transactions with Other FHLBank
Transactions with Other FHLBanks | 12 Months Ended |
Dec. 31, 2020 | |
Transactions with Other FHLBanks [Abstract] | |
Transactions with Other FHLBanks [Text Block] | Transactions with Other FHLBanks The FHLB notes all transactions with other FHLBanks on the face of its financial statements. Occasionally, the FHLB loans short-term funds to and borrows short-term funds from other FHLBanks. These loans and borrowings are transacted at then current market rates when traded. There were no such loans or borrowings outstanding at December 31, 2020, 2019 or 2018. The following table details the average daily balance of lending and borrowing between the FHLB and other FHLBanks for the years ended December 31. Table 17.1 - Lending and Borrowing Between the FHLB and Other FHLBanks (in thousands) 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 In addition, the FHLB may, from time to time, assume the outstanding primary liability for Consolidated Obligations of another FHLBank (at then current market rates on the day when the transfer is traded) rather than issuing new debt for which the FHLB is the primary obligor. The FHLB then becomes the primary obligor on the transferred debt. There are no formal arrangements governing the transfer of Consolidated Obligations between the FHLBanks, and these transfers are not investments of one FHLBank in another FHLBank. Transferring debt at current market rates enables the FHLBank System to satisfy the debt issuance needs of individual FHLBanks without incurring the additional selling expenses (concession fees) associated with new debt. It also provides the transferring FHLBanks with outlets for extinguishing debt structures no longer required for their balance sheet management strategies. |
Transactions with Stockholders
Transactions with Stockholders | 12 Months Ended |
Dec. 31, 2020 | |
Transactions with Stockholders [Abstract] | |
Transactions with Stockholders [Text Block] | Transactions with Stockholders As a cooperative, the FHLB's capital stock is owned by its members, by former members that retain the stock as provided in the FHLB's Capital Plan and by nonmember institutions that have acquired members and must retain the stock to support Advances or other activities with the FHLB. All Advances are issued to members and all mortgage loans held for portfolio are purchased from members. The FHLB also maintains demand deposit accounts for members, primarily to facilitate settlement activities that are directly related to Advances and mortgage loan purchases. Additionally, the FHLB may enter into interest rate swaps with its stockholders. The FHLB may not invest in any equity securities issued by its stockholders and it has not purchased any MBS securitized by, or other direct long-term investments in, its stockholders. For financial statement purposes, the FHLB defines related parties as those members with more than 10 percent of the voting interests of the FHLB capital stock outstanding. Federal statute prescribes the voting rights of members in the election of both Member and Independent directors. For Member directorships, the Finance Agency designates the number of Member directorships in a given year and an eligible voting member may vote only for candidates seeking election in its respective state. For Independent directors, the FHLB's Board of Directors nominates candidates to be placed on the ballot in an at-large election. For both Member and Independent director elections, a member is entitled to vote one share of required capital stock, subject to a statutory limitation, for each applicable directorship. Under this limitation, the total number of votes that a member may cast is limited to the average number of shares of the FHLB's capital stock that were required to be held by all members in that state as of the record date for voting. Nonmember stockholders are not eligible to vote in director elections. Due to these statutory limitations, no member owned more than 10 percent of the voting interests of the FHLB at December 31, 2020 or 2019. All transactions with stockholders are entered into in the ordinary course of business. Finance Agency regulations require the FHLB to offer the same pricing for Advances and other services to all members regardless of asset or transaction size, charter type, or geographic location. However, the FHLB may, in pricing its Advances, distinguish among members based upon its assessment of the credit and other risks to the FHLB of lending to any particular member or upon other reasonable criteria that may be applied equally to all members. The FHLB's policies and procedures require that such standards and criteria be applied consistently and without discrimination to all members applying for Advances. Transactions with Directors' Financial Institutions. In the ordinary course of its business, the FHLB provides products and services to members whose officers or directors serve as directors of the FHLB (Directors' Financial Institutions). Finance Agency regulations require that transactions with Directors' Financial Institutions be made on the same terms as those with any other member. The following table reflects balances with Directors' Financial Institutions for the items indicated below. The FHLB had no MBS or derivatives transactions with Directors' Financial Institutions at December 31, 2020 or 2019. Table 18.1 - Transactions with Directors' Financial Institutions (dollars in millions) 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 (1) Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. Concentrations. The following table shows regulatory capital stock balances, outstanding Advance principal balances, and unpaid principal balances of mortgage loans held for portfolio of stockholders holding five percent or more of regulatory capital stock and includes any known affiliates that are members of the FHLB. Table 18.2 - Stockholders Holding Five Percent or more of Regulatory Capital Stock (dollars in millions) 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 — — 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 $ — U.S. Bank, N.A. 485 14 13,874 17 Nonmember Affiliates. The FHLB has relationships with three nonmember affiliates, the Kentucky Housing Corporation, the Ohio Housing Finance Agency and the Tennessee Housing Development Agency. The FHLB had no investments in or borrowings to any of these nonmember affiliates at December 31, 2020 or 2019. The FHLB has executed standby bond purchase agreements with the Ohio Housing Finance Agency whereby the FHLB, for a fee, agrees as a liquidity provider if required, to purchase and hold the authority's bonds until the designated marketing agent can find a suitable investor or the housing authority repurchases the bond according to a schedule established by the standby agreement. For the years ended December 31, 2020 and 2019, the FHLB was not required to purchase any bonds under these agreements. |
Recently Issued Accounting St_2
Recently Issued Accounting Standards and Interpretations (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Basis of Accounting, Policy | The FHLB's accounting and financial reporting policies conform to accounting principles generally accepted in the United States of America (GAAP). |
Cash and Cash Equivalents, Policy | In the Statements of Cash Flows, the FHLB considers non-interest bearing cash and due from banks as cash and cash equivalents. Federal funds sold are not treated as cash equivalents for purposes of the Statements of Cash Flows, but are instead treated as short-term investments and are reflected in the investing activities section of the Statements of Cash Flows. |
Subsequent Events, Policy | The FHLB has evaluated subsequent events for potential recognition or disclosure through the issuance of these financial statements and believes there have been no material subsequent events requiring additional disclosure or recognition in these financial statements. |
Use of Estimates, Policy | The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates. These assumptions and estimates affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Actual results could differ from these estimates. |
Fair Value Measurement, Policy | Some of the FHLB's financial instruments lack an available trading market with prices characterized as those that would be received to sell an asset, or paid to transfer a liability, in an orderly transaction between market participants at the measurement date. Therefore, the FHLB uses pricing services and/or internal models employing significant estimates and present value calculations when disclosing fair values. |
Investment, Policy | These investments provide short-term liquidity and are carried at amortized cost; however, accrued interest receivable is recorded separately on the Statement of Condition. Interest-bearing deposits include certificates of deposits not meeting the definition of an investment security. The FHLB treats securities purchased under agreements to resell as short-term collateralized loans. Federal funds sold are unsecured loans that are generally transacted on an overnight term.The FHLB classifies investment securities as trading, available-for-sale and held-to-maturity at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are acquired for liquidity purposes and asset/liability management and carried at fair value. The FHLB records changes in the fair value of these securities through non-interest income (loss) as a net gain or loss on trading securities. Finance Agency regulations and the FHLB's risk management policies prohibit the speculative trading of these instruments and limit credit risk arising from them. Certain changes in circumstances may cause the FHLB to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of a held-to-maturity security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the FHLB that could not have been reasonably anticipated may cause the FHLB to sell or transfer a held-to-maturity security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of held-to-maturity debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (1) the sale occurs near enough to the security's maturity date (for example, within three months of maturity), or call date if exercise of the call is probable, that interest rate risk is substantially eliminated as a pricing factor and changes in market interest rates would not have a significant effect on the security's fair value, or (2) the sale of the security occurs after the FHLB has already collected a substantial portion (at least 85 percent) of the principal outstanding at acquisition due either to prepayments on the security or to scheduled payments on the security payable in equal installments (both principal and interest) over its term. Premiums and Discounts. The FHLB amortizes purchased premiums and accretes purchased discounts on mortgage-backed securities (MBS) classified as available-for-sale or held-to-maturity using the retrospective interest method (retrospective method). The retrospective method requires that the FHLB estimate prepayments over the estimated life of the securities and make a retrospective adjustment of the effective yield each time that the FHLB changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The FHLB uses nationally recognized third-party prepayment models to project estimated cash flows. Due to their short term nature, the FHLB amortizes premiums and accretes discounts on other investment categories with a term of one year or less using a straight-line methodology based on the contractual maturity of the securities. Analyses of the straight-line compared to the interest, or level-yield, methodology have been performed by the FHLB, and it has determined that the impact of the difference on the financial statements for each period reported, taken individually and as a whole, is not material. Gains and Losses on Sales. The FHLB computes gains and losses on sales of investment securities using the specific identification method and includes these gains and losses in other income. |
Credit Loss, Financial Instrument [Policy Text Block] | Interest-bearing deposits and federal funds sold are evaluated quarterly for expected credit losses if they are not expected to be repaid according to the relevant contractual terms. If applicable, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Securities purchased under agreements to resell are evaluated quarterly for expected credit losses. The FHLB applies the collateral maintenance provision practical expedient, which allows expected credit losses to be measured based on the difference between the fair value of the collateral and the investment's amortized cost, for securities purchased under agreements to resell. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. When developing the allowance for credit losses, the FHLB measures the expected loss over the estimated remaining life of a mortgage loan, which also considers how the FHLB’s credit enhancements mitigate credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The FHLB includes estimates of expected recoveries within the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as the FHLB writes off accrued interest receivable by reversing interest income if a mortgage loan is placed on non-accrual status. Mortgage Loans - FHA. The FHLB invests in fixed-rate mortgage loans secured by one-to-four family residential properties insured by the FHA. The FHLB expects to recover any losses from such loans from the FHA. Any losses from these loans that are not recovered from the FHA would be due to a claim rejection by the FHA and, as such, would be recoverable from the selling participating financial institutions. Therefore, the FHLB only has credit risk for these loans if the seller or servicer fails to pay for losses not covered by the FHA insurance. As a result, the FHLB did not record an allowance for credit losses on its FHA insured mortgage loans at December 31, 2020. Furthermore, due to the insurance, none of these mortgage loans have been placed on non-accrual status. Mortgage Loans - Conventional MPP. Conventional loans are evaluated collectively when similar risk characteristics exist; loans that do not share risk characteristics with other pools are removed from the collective evaluation and evaluated for expected credit losses on an individual basis. For loans with similar risk characteristics, the FHLB determines the allowance for credit losses through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The FHLB uses a model that employs a variety of methods, such as projected cash flows to estimate expected credit losses over the life of the loans. This model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior experience. The FHLB’s calculation of expected credit losses includes a forecast of home prices over the entire contractual terms of its conventional loans rather than a reversion to historical home price trends after an initial forecast period. The FHLB also incorporates associated credit enhancements to determine estimated expected credit losses. If a loan is required to be evaluated on an individual basis, the FHLB estimates the present value of expected cash flows, the loan's observable market price, or the fair value of the collateral if the loan is collateral dependent. Certain conventional loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The FHLB may estimate the fair value of this collateral by either applying an appropriate loss severity rate, using third-party estimates, or using a property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The FHLB will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit losses. |
Federal Home Loan Bank Advances, Policy | The FHLB records Advances (loans to members, former members or housing associates) either at amortized cost or at fair value when the fair value option has been elected. Advances recorded at amortized cost are carried at original cost net of periodic principal repayments and amortization of premiums and accretion of discounts (including discounts related to the Affordable Housing Program), unearned commitment fees, and fair value hedge adjustments. The FHLB amortizes or accretes premiums and discounts, and recognizes unearned commitment fees and hedging adjustments on Advances to interest income using a level-yield methodology. For Advances recorded at amortized cost, accrued interest receivable is recorded separately on the Statements of Condition. Advance Modifications. In cases in which the FHLB funds a new Advance concurrent with or within a short period of time before or after the prepayment of an existing Advance by the same borrower, the FHLB evaluates whether the new Advance meets the accounting criteria to qualify as a modification of an existing Advance or whether it constitutes a new Advance. The FHLB compares the present value of cash flows on the new Advance to the present value of cash flows remaining on the existing Advance. If there is at least a 10 percent difference in the cash flows, or if the FHLB concludes the differences between the Advances are more than minor based on qualitative factors, the Advance is accounted for as a new Advance. In all other instances, the new Advance is accounted for as a modification. Prepayment Fees. The FHLB charges a borrower a prepayment fee when the borrower prepays certain Advances before the original maturity. The recognition of prepayment fees is dependent on whether a new Advance was funded. If there were no new Advances funded, the FHLB records prepayment fees, net of basis adjustments related to hedging activities included in the carrying value of the Advances, as “Prepayment fees on Advances, net” in the interest income section of the Statements of Income. If a new Advance was funded, but does not qualify as a modification of a prepaid Advance, the prepaid Advance is treated as an Advance termination with subsequent funding of a new Advance and the fees on the prepaid Advance, net of related hedging adjustments, are recorded in interest income as “Prepayment fees on Advances, net.” |
Financing Receivable, Held-for-investment | Mortgage loans held for portfolio are recorded at amortized cost, which is original cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging basis adjustments on loans initially classified as mortgage loan commitments, and direct write-downs. The FHLB has the intent and ability to hold these mortgage loans to maturity. Accrued interest receivable is recorded separately on the Statements of Condition. An allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. The FHLB does not purchase mortgage loans with credit deterioration present at the time of purchase. |
Financing Receivable, Fee and Interest Income | Premiums and Discounts. The FHLB defers and amortizes premiums and accretes discounts paid to and received by the FHLB's participating members (Participating Financial Institutions, or PFIs) and hedging basis adjustments, as interest income using the contractual interest method (contractual method). Other Fees. The FHLB may receive non-origination fees, called pair-off fees. Pair-off fees represent a make-whole provision and are assessed when a member fails to deliver the quantity of loans committed to in a Mandatory Delivery Contract. Pair-off fees are recorded in non-interest income (loss). A Mandatory Delivery Contract is a legal commitment the FHLB makes to purchase, and a PFI makes to deliver, a specified dollar amount of mortgage loans, with a forward settlement date, at a specified range of mortgage note rates and prices. |
Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Policy | Collateral-dependent Loans. An impaired loan is considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. A loan that is considered collateral-dependent is measured for impairment based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as an allowance for loan loss or charged-off. Interest income on impaired loans is recognized in the same manner as non-accrual loans noted below. Non-accrual Loans. The FHLB places a conventional mortgage loan on non-accrual status if it is determined that either (1) the collection of interest or principal is doubtful (e.g., when a related charge-off is recorded on a loan), or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured and in the process of collection (e.g., through credit enhancements and with monthly remittances on a schedule/scheduled basis). Past due loans are those where the borrower has failed to make a full payment of principal and interest within one month of its due date. Loans with remittances on a schedule/scheduled basis means the FHLB receives monthly principal and interest payments from the servicer regardless of whether the mortgagee is making payments to the servicer. Loans with monthly remittances on an actual/actual basis are considered well-secured; however, servicers of actual/actual remittance types contractually do not advance principal and interest regardless of borrower creditworthiness. As a result, these loans are placed on non-accrual status once they become 90 days delinquent. For those mortgage loans placed on non-accrual status, accrued but uncollected interest is reversed against interest income. The FHLB records cash payments received on non-accrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. If the collection of the remaining principal amount due is considered doubtful, cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual status when (1) none of its contractual principal and interest is due and unpaid, and the FHLB expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. Charge-off Policy. A charge-off is recorded if it is estimated that the amortized cost and any applicable accrued interest in a loan will not be recovered. The FHLB evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event, such as notification of a claim against any of the credit enhancements. The FHLB also charges off the portion of outstanding conventional mortgage loan balances in excess of fair value of the underlying property, less cost to sell and adjusted for any available credit enhancements, for loans that are 180 days or more delinquent and/or certain loans where the borrower has filed for bankruptcy. |
Property, Plant and Equipment, Policy | Premises, software and equipment are included in other assets on the Statements of Condition. The FHLB records premises, software and equipment at cost less accumulated depreciation and amortization. The FHLB computes depreciation on a straight-line methodology over the estimated useful lives of assets ranging from three to ten years. Leasehold improvements are amortized on a straight-line basis over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The FHLB capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred.In addition, the FHLB includes gains and losses on the disposal of premises, software and equipment in other non-interest income (loss) in the Statements of Income. |
Internal Use Software, Policy | The FHLB capitalizes and amortizes the cost of computer software developed or obtained for internal use over future periods. |
Lessee, Leases | The FHLB leases office space and office equipment to run its business operations. Beginning January 1, 2019, the FHLB adopted new lease accounting guidance. At December 31, 2020 and 2019, the FHLB included in the Statement of Condition $4,980,000 and $5,816,000 of operating lease right-of-use assets in other assets, net, and $5,500,000 and $6,417,000 of operating lease liabilities in other liabilities. The FHLB recognized operating lease costs in the other operating expenses line of the Statement of Income of $1,832,000 and $1,842,000 for the years ended December 31, 2020 and 2019. |
Derivatives, Policy | All derivatives are recognized on the Statements of Condition at their fair values and are reported as either derivative assets or derivative liabilities, net of cash collateral, and accrued interest from counterparties. The fair values of derivatives are netted by counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with a derivative are reflected as cash flows from operating activities in the Statement of Cash Flows unless the derivative meets the criteria to be a financing derivative. The FHLB utilizes two Derivative Clearing Organizations (Clearinghouses), for all cleared derivative transactions, LCH Ltd. and CME Clearing. At both Clearinghouses, variation margin is characterized as daily settlement payments and initial margin is considered cash collateral. Derivative Designations. Each derivative is designated as one of the following: a. a qualifying hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a "fair value" hedge); or b. a non-qualifying hedge (“economic hedge”) for asset/liability management purposes. Accounting for Fair Value Hedges. If hedging relationships meet certain criteria including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective, they are eligible for fair value hedge accounting and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The application of fair value hedge accounting generally requires the FHLB to evaluate the effectiveness of the hedging relationships at inception and on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is known as the “long-haul” method of accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. Derivatives are typically executed at the same time as the hedged item, and the FHLB designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the FHLB may designate the hedging relationship upon its commitment to disburse an Advance, trade a Consolidated Obligation or purchase an investment security in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The FHLB records the changes in fair value of the derivative and the hedged item beginning on the trade date. Beginning January 1, 2019, the FHLB adopted new hedge accounting guidance, which, among other things, impacts the presentation of gains (losses) on derivatives and hedging activities for qualifying hedges. Changes in the fair value of a derivative that is designated and qualifies as a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. Prior to January 1, 2019, changes in the fair value of a derivative that was designated and qualified as a fair value hedge, along with changes in the fair value of the hedged asset or liability that were attributable to the hedged risk, were recorded in non-interest income (loss) as “Net gains (losses) on derivatives and hedging activities.” Accounting for Economic Hedges. An economic hedge is defined as a derivative hedging specific or non-specific underlying assets, liabilities, or firm commitments that does not qualify, or was not designated, for hedge accounting, but is an acceptable hedging strategy under the FHLB's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the FHLB's income but that are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. The FHLB recognizes the net interest and the change in fair value of these derivatives in non-interest income (loss) as “Net gains (losses) on derivatives and hedging activities.” Accrued Interest Receivables and Payables. The difference between accruals of interest receivables and payables on derivatives that are designated as fair value hedge relationships is recognized as adjustments to the interest income or expense of the designated hedged item. The difference between accruals of interest receivables and payables on economic hedges are recognized in non-interest income (loss) as “Net gains (losses) on derivatives and hedging activities.” Discontinuance of Hedge Accounting. The FHLB discontinues hedge accounting prospectively when: (1) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; or (3) management determines that designating the derivative as a hedging instrument is no longer appropriate. When hedge accounting is discontinued because the FHLB determines that the derivative no longer qualifies as an effective fair value hedge of an existing hedged item, the FHLB continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology. |
Derivatives, Embedded Derivatives | Embedded Derivatives. The FHLB may issue debt, make Advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the FHLB assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the debt, Advance, or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When the FHLB determines that (1) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative |
Debt, Policy | Consolidated Obligations are recorded at amortized cost unless the FHLB has elected the fair value option, in which case the Consolidated Obligations are carried at fair value. Concessions. Dealers receive concessions in connection with the issuance of certain Consolidated Obligations. The Office of Finance prorates the amount of the concession to the FHLB based upon the percentage of the debt issued that is assumed by the FHLB. Concessions paid on Consolidated Obligations designated under the fair value option are expensed as incurred in other non-interest expense. The FHLB records concessions paid on Consolidated Obligation Bonds not designated under the fair value option as a direct deduction from their carrying amounts, consistent with the presentation of discounts on Consolidated Obligations. The concessions are amortized, using a level-yield methodology, over the terms to maturity or the expected lives of the Consolidated Obligation Bonds. The amortization of those concessions is included in Consolidated Obligation Bond interest expense. The FHLB charges to expense as incurred the concessions applicable to Consolidated Obligation Discount Notes because of the short maturities of these Notes. Analyses of expensing concessions as incurred compared to a level-yield methodology have been performed by the FHLB, and it has determined that the impact of the difference on the financial statements for each period reported, taken individually and as a whole, is not material. |
Shares Subject to Mandatory Redemption, Changes in Redemption Value, Policy | The FHLB reclassifies stock subject to redemption from equity to liability upon expiration of the “grace period” after a member provides written notice of redemption, gives notice of intent to withdraw from membership, or attains nonmember status by merger or acquisition, charter termination, or involuntary termination from membership, because the member's shares then meet the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repurchase or redemption of mandatorily redeemable capital stock is reflected as a cash outflow in the financing activities section of the Statements of Cash Flows. If a member cancels its written notice of redemption or notice of withdrawal, the FHLB reclassifies the mandatorily redeemable capital stock from a liability to equity. After the reclassification, dividends on the capital stock are no longer classified as interest expense. |
Restricted Retained Earnings, Policy | The Joint Capital Enhancement Agreement, as amended (Capital Agreement), provides that the FHLB will, on a quarterly basis, allocate 20 percent of its quarterly net income to a separate restricted retained earnings account until the balance of that account, calculated as of the last day of each calendar quarter, equals at least one percent of the FHLB's average balance of outstanding Consolidated Obligations for the calendar quarter. These restricted retained earnings are not available to pay dividends and are presented separately on the Statements of Condition. |
Regulator Expenses Cost Assessed On Federal Home Loan Bank, Policy | The FHLB funds its proportionate share of the costs of operating the Finance Agency. The portion of the Finance Agency's expenses and working capital fund paid by each FHLBank has been allocated based on each FHLBank's pro rata |
Office Of Finance Cost Assessed On Federal Home Loan Bank, Policy | The FHLB is assessed for its proportionate share of the costs of operating the Office of Finance. Each FHLBank's proportionate share of Office of Finance operating and capital expenditures is calculated using a formula that is based upon the following components: (1) two-thirds based upon each FHLBank's share of total Consolidated Obligations outstanding and (2) one-third based upon an equal pro rata allocation. |
Federal Home Loan Bank Assessments, Policy | The FHLBank Act requires each FHLBank to establish and fund an AHP. The FHLB charges the required funding for AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. The FHLB also issues AHP Advances at interest rates below the customary interest rate for non-subsidized Advances. When the FHLB makes an AHP Advance, the present value of the variation in the cash flow caused by the difference in the interest rate between the AHP Advance rate and the FHLB's related cost of funds for comparable maturity funding is charged against the AHP liability and recorded as a discount on the AHP Advance. As an alternative, the FHLB also has the authority to make the AHP subsidy available to members as a grant. The discount on AHP Advances is accreted to interest income on Advances using a level-yield methodology over the life of the Advance. |
Troubled Debt Restructuring | A troubled debt restructuring is considered to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties and that concession would not have been considered otherwise. The FHLB's troubled debt restructurings primarily involve loans where an agreement permits the recapitalization of past due amounts up to the original loan amount and certain loans discharged in Chapter 7 bankruptcy. |
Derivatives, Methods of Accounting, Hedging Derivatives | The FHLB documents at inception all relationships between derivatives designated as hedging instruments and the hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing effectiveness. This process includes linking all derivatives that are designated as fair value hedges to assets and liabilities on the Statements of Condition. |
Pension and Other Postretirement Plans, Policy | Qualified Defined Benefit Multi-employer Plan. The FHLB participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra Defined Benefit Plan), a tax-qualified defined benefit pension plan. The Pentegra Defined Benefit Plan is treated as a multi-employer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code. As a result, certain multi-employer plan disclosures, including the certified zone status, are not applicable to the Pentegra Defined Benefit Plan. Under the Pentegra Defined Benefit Plan, contributions made by one participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The Pentegra Defined Benefit Plan covers all officers and employees of the FHLB who meet certain eligibility requirements. The Pentegra Defined Benefit Plan operates on a plan year from July 1 through June 30. The Pentegra Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 and the three-digit plan number is 333. There are no collective bargaining agreements in place at the FHLB. The Pentegra Defined Benefit Plan's annual valuation process includes calculating the plan's funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of assets divided by the funding target (100 percent of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Pentegra Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the end of the prior plan year. As a result, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30. The most recent Form 5500 available for the Pentegra Defined Benefit Plan is for the year ended June 30, 2019. The FHLB did not contribute more than five percent of the total contributions to the Pentegra Defined Benefit Plan for the plan years ended June 30, 2019, 2018 and 2017. |
Segment Reporting, Policy [Policy Text Block] | The FHLB has identified two primary operating segments based on its method of internal reporting: Traditional Member Finance and the MPP. These segments reflect the FHLB's two primary Mission Asset Activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways the FHLB provides services to member stockholders. The FHLB, as an interest rate spread manager, considers a segment's net interest income, net interest rate spread and, ultimately, net income as the key factors in allocating resources. Resource allocation decisions are made by considering these profitability measures in the context of the historical, current and expected risk profile of each segment and the entire balance sheet, as well as current incremental profitability measures relative to the incremental market risk profile. Overall financial performance and risk management are dynamically managed primarily at the level of, and within the context of, the entire balance sheet rather than at the level of individual business segments or product lines. Also, the FHLB hedges specific asset purchases and specific subportfolios in the context of the entire mortgage asset portfolio and the entire balance sheet. Under this holistic approach, the market risk/return profile of each business segment does not correspond, in general, to the performance that each segment would generate if it were completely managed on a separate basis, and it is not possible to accurately determine what the performance would be if the two business segments were managed on a stand-alone basis. Further, because financial and risk management is a dynamic process, the performance of a segment over a single identified period may not reflect the long-term expected or actual future trends for the segment. The Traditional Member Finance segment includes products such as Advances and investments and the borrowing costs related to those assets. The FHLB assigns its investments to this segment primarily because they historically have been used to provide liquidity for Advances and to support the level and volatility of earnings from Advances. All interest rate swaps and a portion of swaptions, including their market value adjustments, are allocated to the Traditional Member Finance segment. The FHLB executed all of its interest rate swaps in its management of market risk for the Traditional Member Finance segment. The FHLB enters into swaptions to minimize the prepayment risk in its overall mortgage asset portfolio. Income from the MPP is derived primarily from the difference, or spread, between the yield on mortgage loans and the borrowing cost of Consolidated Obligations outstanding allocated to this segment at the time debt is issued. MPP income also includes the gains (losses) on derivatives associated with the MPP segment, comprising all mortgage delivery commitments and forward rate agreements and a portion of swaptions. Both segments also earn income from investment of interest-free capital. Capital is allocated proportionate to each segment's average assets based on the total balance sheet's average capital-to-assets ratio. Expenses are allocated based on cost accounting techniques that include direct usage, time allocations and square footage of space used. AHP assessments are calculated using the current assessment rates based on the income before assessments for each segment. |
Fair Value of Financial Instruments, Policy [Policy Text Block] | The fair value amounts recorded on the Statements of Condition and presented in the related note disclosures have been determined by the FHLB using available market information and the FHLB's best judgment of appropriate valuation methods. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values. |
Fair Value Transfer, Policy | The FHLB reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain financial assets or liabilities. |
Investments (Tables)
Investments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Debt Securities, Trading, and Equity Securities, FV-NI [Table Text Block] | Trading Securities by Major Security Types (in thousands) Fair Value December 31, 2020 December 31, 2019 Non-mortgage-backed securities (non-MBS): U.S. Treasury obligations $ 8,362,211 $ 9,626,964 GSE obligations 2,125,580 1,988,259 Total non-MBS 10,487,791 11,615,223 Mortgage-backed securities (MBS): U.S. obligation single-family MBS 333 470 Total $ 10,488,124 $ 11,615,693 |
Gain (Loss) on Securities [Table Text Block] | Net Gains (Losses) on Trading Securities (in thousands) 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) — — Net gains (losses) on trading securities $ 257,566 $ 210,207 $ 7,086 |
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-Sale Securities by Major Security Types (in thousands) December 31, 2020 Amortized Cost (1) Gross Gross Fair Non-MBS: GSE obligations $ 140,600 $ 1,802 $ — $ 142,402 Total non-MBS 140,600 1,802 — 142,402 MBS: GSE multi-family MBS 146,269 2,916 — 149,185 Total MBS 146,269 2,916 — 149,185 Total $ 286,869 $ 4,718 $ — $ 291,587 December 31, 2019 Amortized Cost (1) Gross Gross Fair Certificates of deposit $ 1,410,000 $ 111 $ — $ 1,410,111 GSE obligations 131,815 601 (342) 132,074 Total $ 1,541,815 $ 712 $ (342) $ 1,542,185 (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $1,242 and $5,149 at December 31, 2020 and 2019. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] | Available-for-Sale Securities in a Continuous Unrealized Loss Position (in thousands) 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) |
Investments Classified by Contractual Maturity Date [Table Text Block] | Available-for-Sale Securities by Contractual Maturity (in thousands) December 31, 2020 December 31, 2019 Year of Maturity Amortized Fair Amortized Fair Non-MBS: Due in 1 year or less $ — $ — $ 1,410,000 $ 1,410,111 Due after 1 year through 5 years 11,248 11,309 — — 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 — — Total $ 286,869 $ 291,587 $ 1,541,815 $ 1,542,185 (1) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. 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 — — — — Due after 5 years through 10 years — — — — Due after 10 years — — — — 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 (1) Carrying value equals amortized cost. (2) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest Rate Payment Terms of Available-for-Sale Securities (in thousands) 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 — Total amortized cost of MBS 146,269 — Total $ 286,869 $ 1,541,815 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 |
Debt Securities, Held-to-maturity [Table Text Block] | Held-to-Maturity Securities by Major Security Types (in thousands) December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gross Unrecognized Holding Losses Fair Value Non-MBS: U.S. Treasury obligations $ 41,398 $ 1 $ — $ 41,399 Total non-MBS 41,398 1 — 41,399 MBS: U.S. obligation single-family MBS 986,399 41,218 — 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 Gross Unrecognized Holding Losses Fair Value Non-MBS: U.S. Treasury obligations $ 35,171 $ 5 $ — $ 35,176 Total non-MBS 35,171 5 — 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 (1) Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $9,609 and $20,365 as of December 31, 2020 and 2019. |
Premiums (Discounts) Included in Amortized Cost of Securities [Table Text Block] | Net Purchased Premiums Included in the Amortized Cost of MBS Classified as Held-to-Maturity (in thousands) December 31, 2020 December 31, 2019 Premiums $ 18,299 $ 32,071 Discounts (7,269) (13,996) Net purchased premiums $ 11,030 $ 18,075 |
Schedule of Unrealized Loss on Investments | Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands) 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) $ — $ — $ 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) |
Advances Advances (Tables)
Advances Advances (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Advances [Abstract] | |
Schedule Of Federal Home Loan Bank Advances By Year Of Contractual Maturity [Table Text Block] | Advances by Redemption Term (dollars in thousands) December 31, 2020 December 31, 2019 Redemption Term Amount Weighted Average Interest Amount Weighted Average Interest 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 — 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 (1) Carrying values exclude accrued interest receivable of (in thousands) $26,426 and $60,682 as of December 31, 2020 and 2019. 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 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 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 (1) Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance. 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 % |
Mortgage Loans (Tables)
Mortgage Loans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | Mortgage Loans Held for Portfolio (in thousands) 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 (1) Medium-term is defined as a term of 15 years or less. (2) Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. (3) Excludes accrued interest receivable of (in thousands) $30,109 and $36,739 at December 31, 2020 and 2019. 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 |
Members Holding Five Percent or more of Total Unpaid Principal [Table Text Block] | Members, Including Any Known Affiliates that are Members of the FHLB, and Former Members Selling Five Percent or more of Total Unpaid Principal (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 FirstBank 714 7 |
Changes in LRA [Table Text Block] | Changes in the LRA (in thousands) 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 |
Financing Receivable Credit Quality Indicators [Table Text Block] | Credit Quality Indicator of Conventional Mortgage Loans (in thousands) 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 (1) The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at December 31, 2020 excludes accrued interest receivable. |
Financing Receivable, Past Due [Table Text Block] | Other Delinquency Statistics (dollars in thousands) 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 $ — $ 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 $ — $ 1,902 (1) Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. During the year ended December 31, 2020, there were foreclosure moratoriums enacted in response to the COVID-19 pandemic. (2) Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class. (3) Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status. |
Financing Receivable, Allowance for Credit Loss [Table Text Block] | Allowance for Credit Losses on Conventional Mortgage Loans (in thousands) 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) — — Net charge offs (97) (129) (350) Balance, end of period $ 248 $ 711 $ 840 December 31, 2019 Allowance for credit losses: Collectively evaluated for impairment $ 711 Individually evaluated for impairment — 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 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | Fair Value of Derivative Instruments (in thousands) December 31, 2020 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 10,477,703 $ 272 $ 163,174 Derivatives not designated as hedging instruments: Interest rate swaps 13,267,539 691 2,563 Interest rate swaptions 2,175,000 713 — Mortgage delivery commitments 137,352 1,056 — Total derivatives not designated as hedging instruments 15,579,891 2,460 2,563 Total derivatives before adjustments $ 26,057,594 2,732 165,737 Netting adjustments and cash collateral (1) 213,156 (161,924) Total derivative assets and total derivative liabilities $ 215,888 $ 3,813 December 31, 2019 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 9,310,089 $ 7,227 $ 53,641 Derivatives not designated as hedging instruments: Interest rate swaps 28,501,469 9,685 363 Interest rate swaptions 6,000,000 12,464 — Forward rate agreements 849,000 21 782 Mortgage delivery commitments 936,269 2,798 64 Total derivatives not designated as hedging instruments 36,286,738 24,968 1,209 Total derivatives before adjustments $ 45,596,827 32,195 54,850 Netting adjustments and cash collateral (1) 234,970 (53,540) Total derivative assets and total derivative liabilities $ 267,165 $ 1,310 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $375,390 and $293,148 at December 31, 2020 and 2019. Cash collateral received, including accrued interest, was (in thousands) $310 and $4,638 at December 31, 2020 and 2019. |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Impact of Fair Value Hedging Relationships on the Statements of Income (in thousands) 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) (1) Includes interest rate swaps. (2) Prior period amounts were not conformed to new hedge accounting guidance adopted January 1, 2019. (3) Excludes (amortization)/accretion on closed fair value hedge relationships of (in thousands) $(602) for the year ended December 31, 2018. 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) (1) This amount is for derivatives for which variation margin is characterized as a daily settled contract. |
Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Cumulative Basis Adjustments for Fair Value Hedges (in thousands) 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 — 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 — — Total amount of fair value hedging basis adjustments $ 109,929 $ 7,314 $ 708 (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
Offsetting Assets [Table Text Block] | Offsetting of Derivative Assets and Derivative Liabilities (in thousands) 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 — 214,832 Total $ 215,888 Derivative Liabilities: Uncleared $ 161,633 $ (157,820) $ — $ 3,813 Cleared 4,104 (4,104) — — 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 — 261,612 Total $ 267,165 Derivative Liabilities: Uncleared $ 53,533 $ (53,069) $ 846 $ 1,310 Cleared 471 (471) — — Total $ 1,310 (1) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Offsetting Liabilities [Table Text Block] | Offsetting of Derivative Assets and Derivative Liabilities (in thousands) 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 — 214,832 Total $ 215,888 Derivative Liabilities: Uncleared $ 161,633 $ (157,820) $ — $ 3,813 Cleared 4,104 (4,104) — — 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 — 261,612 Total $ 267,165 Derivative Liabilities: Uncleared $ 53,533 $ (53,069) $ 846 $ 1,310 Cleared 471 (471) — — Total $ 1,310 (1) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits (Tables)
Deposits (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Deposits [Abstract] | |
Deposit Liabilities, Type [Table Text Block] | Deposits (in thousands) 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 — 10,239 Total non-interest bearing — 10,239 Total deposits $ 1,327,202 $ 951,296 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Short-term Debt [Table Text Block] | Consolidated Discount Notes Outstanding (dollars in thousands) 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 % (1) Represents an implied rate without consideration of concessions. |
Schedule of Maturities of Long-term Debt [Table Text Block] | Consolidated Bonds Outstanding by Original Contractual Maturity (dollars in thousands) 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 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 |
Schedule Of Consolidated Obligation Bonds By Call Feature [Table Text Block] | Consolidated Bonds Outstanding by Call Features (in thousands) 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, 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 |
Affordable Housing Program (A_2
Affordable Housing Program (AHP) (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Affordable Housing Program (AHP) [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation [Table Text Block] | Analysis of AHP Liability (in thousands) 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 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | Capital Requirements (dollars in thousands) 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 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block] | Mandatorily Redeemable Capital Stock Rollforward (in thousands) 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 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 (1) Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 19, 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, had their membership terminated no later than February 19, 2021. The related mandatorily redeemable capital stock is not required to be redeemed until five years after the member's termination. (2) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive (Loss) Income (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | Accumulated Other Comprehensive Income (Loss) (in thousands) 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 — 14 Net actuarial gains (losses) — 1,403 1,403 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 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 — 480 Net actuarial gains (losses) — (5,665) (5,665) Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 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 — 4,348 Net actuarial gains (losses) — (5,227) (5,227) Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 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) |
Pension and Postretirement Be_2
Pension and Postretirement Benefit Plans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Retirement Benefits [Abstract] | |
Schedule of Net Funded Status | Pentegra Defined Benefit Plan Net Pension Cost and Funded Status (dollars in thousands) 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 % (a) The Pentegra Defined Benefit Plan's funded status as of July 1, 2020 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. Contributions made on or before March 15, 2021, and designated for the plan year ended June 30, 2020, will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year July 1, 2020 through June 30, 2021 is filed (this Form 5500 is due to be filed no later than April 2022). (b) The Pentegra Defined Benefit Plan's funded status as of July 1, 2019 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2019 through March 15, 2020. Contributions made on or before March 15, 2020, and designated for the plan year ended June 30, 2019, will be included in the final valuation as of July 1, 2019. The final funded status as of July 1, 2019 will not be available until the Form 5500 for the plan year July 1, 2019 through June 30, 2020 is filed (this Form 5500 is due to be filed no later than April 2021). |
Changes in Projected Benefit Obligations, Fair Value of Plan Assets, and Funded Status of Plan | Benefit Obligation, Fair Value of Plan Assets and Funded Status (in thousands) 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 — — — — 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 — — — — Funded status at end of year $ (49,538) $ (44,246) $ (5,046) $ (4,638) |
Schedule of Net Periodic Benefit Cost Not yet Recognized | Amounts Recognized in Accumulated Other Comprehensive Income (in thousands) Defined Benefit Retirement Plan Postretirement 2020 2019 2020 2019 Net actuarial loss $ 18,901 $ 16,440 $ 802 $ 324 |
Schedule of Net Benefit Costs | Net Periodic Benefit Cost and Other Amounts Recognized in Accumulated Other Comprehensive Income (in thousands) For the Years Ended December 31, Defined Benefit 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 — — — 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) — — — 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) |
Defined Benefit Plan, Assumptions | Benefit Obligation Key Assumptions 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 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 |
Schedule of Health Care Cost Trend Rates | Postretirement Benefits Plan Assumed Health Care Cost Trend Rates 2020 2019 Assumed for next year 5.50 % 6.00 % Ultimate rate 5.00 % 5.00 % Year that ultimate rate is reached 2021 2021 |
Schedule of Expected Benefit Payments | Estimated Future Benefit Payments (in thousands) 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 |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Schedule of Segment Reporting Information, by Segment [Table Text Block] | Financial Performance by Operating Segment (in thousands) For the Years Ended December 31, Traditional Member 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 Assets Traditional Member 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 |
Fair Value Disclosures Fair Val
Fair Value Disclosures Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | Fair Value Summary (in thousands) 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 $ — $ — $ — Interest-bearing deposits 555,104 555,104 — 555,104 — — Securities purchased under agreements to resell 1,818,268 1,818,268 — 1,818,268 — — Federal funds sold 4,240,000 4,240,000 — 4,240,000 — — Trading securities 10,488,124 10,488,124 — 10,488,124 — — Available-for-sale securities 291,587 291,587 — 291,587 — — Held-to-maturity securities 9,648,171 9,792,136 — 9,792,136 — — Advances (2) 25,362,003 25,573,785 — 25,573,785 — — Mortgage loans held for portfolio 9,548,506 9,861,802 — 9,798,019 63,783 — Accrued interest receivable 113,701 113,701 — 113,701 — — Derivative assets 215,888 215,888 — 2,732 — 213,156 Liabilities: Deposits 1,327,202 1,327,267 — 1,327,267 — — Consolidated Obligations: Discount Notes 27,500,244 27,501,296 — 27,501,296 — — Bonds (3) 31,996,311 32,785,647 — 32,785,647 — — Mandatorily redeemable capital stock 19,454 19,454 19,454 — — — Accrued interest payable 77,521 77,521 — 77,521 — — Derivative liabilities 3,813 3,813 — 165,737 — (161,924) (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $27,202 of Advances recorded under the fair value option at December 31, 2020. (3) Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. 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 $ — $ — $ — Interest-bearing deposits 550,160 550,160 — 550,160 — — Securities purchased under agreements to resell 2,348,584 2,348,607 — 2,348,607 — — Federal funds sold 4,833,000 4,833,000 — 4,833,000 — — Trading securities 11,615,693 11,615,693 — 11,615,693 — — Available-for-sale securities 1,542,185 1,542,185 — 1,542,185 — — Held-to-maturity securities 13,499,319 13,501,207 — 13,501,207 — — Advances (2) 47,369,573 47,458,028 — 47,458,028 — — Mortgage loans held for portfolio 11,235,353 11,437,180 — 11,424,857 12,323 — Accrued interest receivable 182,252 182,252 — 182,252 — — Derivative assets 267,165 267,165 — 32,195 — 234,970 Liabilities: Deposits 951,296 951,343 — 951,343 — — Consolidated Obligations: Discount Notes (3) 49,084,219 49,086,723 — 49,086,723 — — Bonds (4) 38,439,724 38,832,230 — 38,832,230 — — Mandatorily redeemable capital stock 21,669 21,669 21,669 — — — Accrued interest payable 126,091 126,091 — 126,091 — — Derivative liabilities 1,310 1,310 — 54,850 — (53,540) (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $5,238 of Advances recorded under the fair value option at December 31, 2019. (3) Includes (in thousands) $12,386,974 of Consolidated Obligation Discount Notes recorded under the fair value option at December 31, 2019. (4) Includes (in thousands) $4,757,177 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2019. |
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | Fair Value Measurements (in thousands) 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 $ — $ 8,362,211 $ — $ — GSE obligations 2,125,580 — 2,125,580 — — U.S. obligation single-family MBS 333 — 333 — — Total trading securities 10,488,124 — 10,488,124 — — Available-for-sale securities: GSE obligations 142,402 — 142,402 — — GSE multi-family MBS 149,185 — 149,185 — — Total available-for-sale securities 291,587 — 291,587 — — Advances 27,202 — 27,202 — — Derivative assets: Interest rate related 214,832 — 1,676 — 213,156 Mortgage delivery commitments 1,056 — 1,056 — — Total derivative assets 215,888 — 2,732 — 213,156 Total assets at fair value $ 11,022,801 $ — $ 10,809,645 $ — $ 213,156 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 2,262,388 $ — $ 2,262,388 $ — $ — Derivative liabilities: Interest rate related 3,813 — 165,737 — (161,924) Total derivative liabilities 3,813 — 165,737 — (161,924) Total liabilities at fair value $ 2,266,201 $ — $ 2,428,125 $ — $ (161,924) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 108 $ — $ — $ 108 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2020. 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 $ — $ 9,626,964 $ — $ — GSE obligations 1,988,259 — 1,988,259 — — U.S. obligation single-family MBS 470 — 470 — — Total trading securities 11,615,693 — 11,615,693 — — Available-for-sale securities: Certificates of deposit 1,410,111 — 1,410,111 — — GSE obligations 132,074 — 132,074 — — Total available-for-sale securities 1,542,185 — 1,542,185 — — Advances 5,238 — 5,238 — — Derivative assets: Interest rate related 264,346 — 29,376 — 234,970 Forward rate agreements 21 — 21 — — Mortgage delivery commitments 2,798 — 2,798 — — Total derivative assets 267,165 — 32,195 — 234,970 Total assets at fair value $ 13,430,281 $ — $ 13,195,311 $ — $ 234,970 Recurring fair value measurements - Liabilities Consolidated Obligations: Discount Notes $ 12,386,974 $ — $ 12,386,974 $ — $ — Bonds 4,757,177 — 4,757,177 — — Total Consolidated Obligations 17,144,151 — 17,144,151 — — Derivative liabilities: Interest rate related 464 — 54,004 — (53,540) Forward rate agreements 782 — 782 — — Mortgage delivery commitments 64 — 64 — — Total derivative liabilities 1,310 — 54,850 — (53,540) Total liabilities at fair value $ 17,145,461 $ — $ 17,199,001 $ — $ (53,540) (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
Fair Value Option, Disclosures [Table Text Block] | Fair Value Option - Financial Assets and Liabilities (in thousands) 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) — Consolidated Bonds (8,792) (53,030) (14,180) Total net gains (losses) $ (7,293) $ (53,852) $ (14,184) 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 — — — 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 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Off-Balance Sheet Commitments (in thousands) 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 — 35,030 35,030 20,360 55,150 75,510 Commitments to purchase mortgage loans 137,352 — 137,352 936,269 — 936,269 Unsettled Consolidated Discount Notes, principal amount (1) 321,551 — 321,551 — — — (1) Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Transactions with Other FHLBa_2
Transactions with Other FHLBanks (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Other FHLBanks [Member] | |
Schedule of Other Transactions [Line Items] | |
Schedule of Other Transactions by Balance Sheet Grouping [Table Text Block] | Lending and Borrowing Between the FHLB and Other FHLBanks (in thousands) 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 |
Transactions with Stockholders
Transactions with Stockholders (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Schedule of Other Transactions [Line Items] | |
Schedule of Transactions with Members and Former Members [Table Text Block] | Stockholders Holding Five Percent or more of Regulatory Capital Stock (dollars in millions) 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 — — 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 $ — U.S. Bank, N.A. 485 14 13,874 17 |
Director [Member] | |
Schedule of Other Transactions [Line Items] | |
Schedule of Other Transactions by Balance Sheet Grouping [Table Text Block] | Transactions with Directors' Financial Institutions (dollars in millions) 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 |
Background Information (Details
Background Information (Details) | Dec. 31, 2020Banks |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Accounting Policies [Abstract] | |||
Property, Plant and Equipment, Net | $ 7,905,000 | $ 8,399,000 | |
Accumulated Depreciation, Depletion and Amortization, Property, Plant, and Equipment | 33,439,000 | 31,106,000 | |
Depreciation, Depletion and Amortization | 2,367,000 | 2,257,000 | $ 2,889,000 |
Operating Lease, Right-of-Use Asset | 4,980,000 | 5,816,000 | |
Operating Lease, Liability | 5,500,000 | 6,417,000 | |
Operating Lease, Expense | $ 1,832,000 | $ 1,842,000 | |
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible List] | us-gaap:OtherAssets | us-gaap:OtherAssets | |
Operating Lease, Liability, Statement of Financial Position [Extensible List] | us-gaap:OtherLiabilities | us-gaap:OtherLiabilities |
Cash and Cash Equivalents (Deta
Cash and Cash Equivalents (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Cash and Cash Equivalents [Abstract] | ||
Average Collected Cash Balances with Commercial Banks, Federal Home Loan Bank | $ 260,000 | $ 133,000 |
Cash Pass-through Reserve, Federal Home Loan Bank | $ 0 | $ 10,239,000 |
Investments Narrative (Details)
Investments Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Securities Purchased under Agreements to Resell, Allowance for Credit Loss | $ 0 | $ 0 | |
Debt Securities, Available-for-sale, Realized Gain (Loss) | 0 | 0 | $ 0 |
Debt Securities, Held-to-maturity, Sold, Realized Gain (Loss), Excluding Other-than-temporary Impairment | 0 | 0 | $ 0 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 342 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | ||
Debt Securities, Held-to-maturity, Allowance for Credit Loss | 0 | ||
Interest-bearing Deposits [Member] | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | 0 | 0 | |
Financial Asset, Amortized Cost, Accrued Interest, after Allowance for Credit Loss | 72 | 1,162 | |
Federal Funds Sold [Member] | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | 0 | 0 | |
Financial Asset, Amortized Cost, Accrued Interest, after Allowance for Credit Loss | 10 | 210 | |
Securities Borrowed or Purchased under Agreements to Resell [Member] | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financial Asset, Amortized Cost, Accrued Interest, after Allowance for Credit Loss | $ 13 | $ 3,503 |
Investments Trading Securities
Investments Trading Securities by Major Security Type (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 10,488,124 | $ 11,615,693 |
US Treasury Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 8,362,211 | 9,626,964 |
US Government-sponsored Enterprises Debt Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 2,125,580 | 1,988,259 |
Other Than Mortgage Backed Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 10,487,791 | 11,615,223 |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 333 | $ 470 |
Investments Trading Securitie_2
Investments Trading Securities Net Gains (Losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |||
Debt Securities, Trading, Unrealized Gain (Loss) | $ 268,392 | $ 210,207 | $ 7,086 |
Debt Securities, Trading, Realized Gain (Loss) | (10,826) | 0 | 0 |
Debt Securities, Trading, Gain (Loss) | $ 257,566 | $ 210,207 | $ 7,086 |
Investments AFS Securities by M
Investments AFS Securities by Major Security Type (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | ||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 286,869 | $ 1,541,815 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 4,718 | 712 | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | (342) | ||
Available-for-sale securities | 291,587 | 1,542,185 | ||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | $ 1,242 | $ 5,149 | ||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible List] | us-gaap:InterestReceivable | us-gaap:InterestReceivable | ||
Certificates of Deposit [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 1,410,000 | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 111 | |||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |||
Available-for-sale securities | 1,410,111 | |||
US Government-sponsored Enterprises Debt Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 140,600 | 131,815 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 1,802 | 601 | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | (342) | ||
Available-for-sale securities | 142,402 | 132,074 | ||
Other Than Mortgage Backed Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | 140,600 | [1] | 1,541,815 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 1,802 | |||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |||
Available-for-sale securities | 142,402 | 1,542,185 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | [1] | 146,269 | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 2,916 | |||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |||
Available-for-sale securities | 149,185 | |||
Collateralized Mortgage Backed Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | 146,269 | [1] | $ 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 2,916 | |||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | |||
Available-for-sale securities | $ 149,185 | |||
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $1,242 and $5,149 at December 31, 2020 and 2019. |
Investments AFS Securities Cont
Investments AFS Securities Continuous Unrealized Loss Position (Details) $ in Thousands | Dec. 31, 2019USD ($) |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 17,071 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (126) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 21,574 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (216) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 38,645 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (342) |
US Government-sponsored Enterprises Debt Securities [Member] | |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 17,071 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (126) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 21,574 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (216) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 38,645 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ (342) |
Investments AFS Securities by C
Investments AFS Securities by Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | ||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 286,869 | $ 1,541,815 | |
Available-for-sale securities | 291,587 | 1,542,185 | ||
Other Than Mortgage Backed Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost | 0 | 1,410,000 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost | 11,248 | 0 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost | 116,096 | 119,771 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost | 13,256 | 12,044 | ||
Debt Securities, Available-for-sale, Amortized Cost | 140,600 | [1] | 1,541,815 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value | 0 | 1,410,111 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 11,309 | 0 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 117,507 | 119,870 | ||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 13,586 | 12,204 | ||
Available-for-sale securities | 142,402 | 1,542,185 | ||
Collateralized Mortgage Backed Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | 146,269 | [1] | 0 | |
Debt Securities, Available-for-sale, Maturity, without Single Maturity Date, Amortized Cost | [2] | 146,269 | 0 | |
Available-for-sale securities | 149,185 | |||
Debt Securities, Available-for-sale, Maturity, without Single Maturity Date, Fair Value | [2] | $ 149,185 | $ 0 | |
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $1,242 and $5,149 at December 31, 2020 and 2019. | |||
[2] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Investments AFS Securities by I
Investments AFS Securities by Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | ||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 286,869 | $ 1,541,815 | |
Other Than Mortgage Backed Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | 140,600 | [1] | 1,541,815 | |
Collateralized Mortgage Backed Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | 146,269 | [1] | 0 | |
Fixed-rate [Member] | Other Than Mortgage Backed Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | 140,600 | 1,541,815 | ||
Fixed-rate [Member] | Collateralized Mortgage Backed Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | $ 146,269 | $ 0 | ||
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $1,242 and $5,149 at December 31, 2020 and 2019. |
Investments HTM Securities by M
Investments HTM Securities by Major Security Type (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | $ 9,648,171 | $ 13,499,319 |
Debt Securities, Held-to-maturity | [3] | 9,648,171 | 13,499,319 |
Held-to-maturity Securities, Unrecognized Holding Gain | 152,022 | 53,944 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (8,057) | (52,056) | |
Debt Securities, Held-to-maturity, Fair Value | 9,792,136 | 13,501,207 | |
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss | $ 9,609 | $ 20,365 | |
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible List] | us-gaap:InterestReceivable | us-gaap:InterestReceivable | |
US Treasury Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | $ 41,398 | $ 35,171 |
Debt Securities, Held-to-maturity | 41,398 | 35,171 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 1 | 5 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 41,399 | 35,176 | |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | 41,398 | 35,171 |
Debt Securities, Held-to-maturity | 41,398 | 35,171 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 1 | 5 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 41,399 | 35,176 | |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 986,399 | 1,670,783 |
Debt Securities, Held-to-maturity | 986,399 | 1,670,783 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 41,218 | 13,499 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | (239) | |
Debt Securities, Held-to-maturity, Fair Value | 1,027,617 | 1,684,043 | |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 9,606,773 | 13,464,148 |
Debt Securities, Held-to-maturity | [4] | 9,606,773 | 13,464,148 |
Held-to-maturity Securities, Unrecognized Holding Gain | 152,021 | 53,939 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (8,057) | (52,056) | |
Debt Securities, Held-to-maturity, Fair Value | 9,750,737 | 13,466,031 | |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 3,013,326 | 4,500,471 |
Debt Securities, Held-to-maturity | 3,013,326 | 4,500,471 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 105,657 | 40,386 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (2) | (24,072) | |
Debt Securities, Held-to-maturity, Fair Value | 3,118,981 | 4,516,785 | |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 5,607,048 | 7,292,894 |
Debt Securities, Held-to-maturity | 5,607,048 | 7,292,894 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 5,146 | 54 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (8,055) | (27,745) | |
Debt Securities, Held-to-maturity, Fair Value | $ 5,604,139 | $ 7,265,203 | |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $9,609 and $20,365 as of December 31, 2020 and 2019. | ||
[3] | Fair values: $9,792,136 and $13,501,207 at December 31, 2020 and 2019, respectively. | ||
[4] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Investments HTM Securities Net
Investments HTM Securities Net Premuims (Discounts) (Details) - Collateralized Mortgage Backed Securities [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Held To Maturity Securities, Premiums | $ 18,299 | $ 32,071 |
Held-to-maturity Securities, Discounts | (7,269) | (13,996) |
Held-to-maturity Securities, Premiums (Discounts), Net | $ 11,030 | $ 18,075 |
Investments HTM Securities Cont
Investments HTM Securities Continuous Unrealized Loss Position (Details) $ in Thousands | Dec. 31, 2019USD ($) |
Schedule of Held-to-maturity Securities [Line Items] | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | $ 4,237,047 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (10,625) |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 5,657,526 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (41,431) |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 9,894,573 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (52,056) |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 148,586 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (239) |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 0 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 148,586 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (239) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 702,730 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (2,682) |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 1,921,576 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (21,390) |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 2,624,306 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (24,072) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 3,385,731 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (7,704) |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 3,735,950 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (20,041) |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 7,121,681 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | $ (27,745) |
Investments HTM Securitites by
Investments HTM Securitites by Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | $ 9,648,171 | $ 13,499,319 |
Debt Securities, Held-to-maturity | [3] | 9,648,171 | 13,499,319 |
Debt Securities, Held-to-maturity, Fair Value | 9,792,136 | 13,501,207 | |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Debt Maturities, within One Year Amortized Cost | [1] | 41,398 | 35,171 |
Held-to-maturity Securities, Debt Maturities, After One Through Five Years Amortized Cost | [1] | 0 | 0 |
Held-to-maturity Securities, Debt Maturities, After Five Through Ten Years Amortized Cost | [1] | 0 | 0 |
Held-to-maturity Securities, Debt Maturities, After Ten Years Amortized Cost | [1] | 0 | 0 |
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | 41,398 | 35,171 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, within One Year, Amortized Cost | 41,398 | 35,171 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after One Through Five Years, Amortized Cost | 0 | 0 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after Five Through Ten Years, Amortized Cost | 0 | 0 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after 10 Years, Amortized Cost | 0 | 0 | |
Debt Securities, Held-to-maturity | 41,398 | 35,171 | |
Held-to-maturity Securities, Debt Maturities, within One Year, Fair Value | 41,399 | 35,176 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 0 | 0 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 0 | 0 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 0 | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 41,399 | 35,176 | |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 9,606,773 | 13,464,148 |
Debt Securities, Held-to-maturity, Maturity, without Single Maturity Date, Amortized Cost | [1],[4] | 9,606,773 | 13,464,148 |
Debt Securities, Held-to-maturity | [4] | 9,606,773 | 13,464,148 |
Debt Securities, Held-to-maturity, Fair Value | 9,750,737 | 13,466,031 | |
Debt Securities, Held-to-maturity, Maturity, without Single Maturity Date, Fair Value | [4] | $ 9,750,737 | $ 13,466,031 |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $9,609 and $20,365 as of December 31, 2020 and 2019. | ||
[3] | Fair values: $9,792,136 and $13,501,207 at December 31, 2020 and 2019, respectively. | ||
[4] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Investments HTM Securities by I
Investments HTM Securities by Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | $ 9,648,171 | $ 13,499,319 |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | 41,398 | 35,171 |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 9,606,773 | 13,464,148 |
Fixed-rate [Member] | Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 41,398 | 35,171 | |
Fixed-rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 3,677,199 | 5,438,532 | |
Variable-rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 5,929,574 | $ 8,025,616 | |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $9,609 and $20,365 as of December 31, 2020 and 2019. |
Advances Narrative (Details)
Advances Narrative (Details) - Federal Home Loan Bank Advances Receivable [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Federal Home Loan Bank, Advances [Line Items] | ||
Financing Receivable, Past Due | $ 0 | $ 0 |
Financing Receivable, Nonaccrual | 0 | 0 |
Impaired Financing Receivable, Unpaid Principal Balance | 0 | 0 |
Financing Receivable, Troubled Debt Restructuring | 0 | 0 |
Financing Receivable, Allowance for Credit Loss | $ 0 | $ 0 |
Advances (Advance Redemption Te
Advances (Advance Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Federal Home Loan Bank, Advances [Line Items] | |||
Due in 1 year or less | $ 12,064,753 | $ 32,342,198 | |
Due after 1 year through 2 years | 1,986,446 | 4,477,497 | |
Due after 2 years through 3 years | 1,445,139 | 1,996,647 | |
Due after 3 years through 4 years | 1,809,523 | 1,408,948 | |
Due after 4 years through 5 years | 2,361,604 | 1,765,323 | |
Thereafter | 5,339,932 | 5,273,531 | |
Federal Home Loan Bank, Advances, Par Value, Total | 25,007,397 | 47,264,144 | |
Commitment Fees on Advances | (170) | (281) | |
Discount on Affordable Housing Program Advances | (2,053) | (3,148) | |
Federal Home Loan Bank Advances, Premium | 0 | 1,221 | |
Federal Home Loan Bank Advances, Discount | (2,046) | (2,530) | |
Hedging adjustments | 358,173 | 109,929 | |
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | 702 | 238 | |
Advances | [1] | $ 25,362,003 | $ 47,369,573 |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing Within One Year of Balance Sheet Date | 0.75% | 1.78% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From One To Two Years of Balance Sheet Date | 1.88% | 2.19% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Two To Three Years of Balance Sheet Date | 2.15% | 2.30% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Three To Four Years of Balance Sheet Date | 1.97% | 2.50% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Four To Five Years of Balance Sheet Date | 1.02% | 2.08% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing After Five Years of Balance Sheet Date | 1.34% | 2.35% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate As Of Balance Sheet Date | 1.16% | 1.94% | |
Federal Home Loan Bank Advances Receivable [Member] | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 26,426 | $ 60,682 | |
[1] | Carrying values exclude accrued interest receivable of (in thousands) $26,426 and $60,682 as of December 31, 2020 and 2019. |
Advances (Year of Contractual M
Advances (Year of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Advances [Abstract] | ||
Federal Home Loan Bank Advances, Earlier of Contractual Maturity or Next Call Date, Due With in Next Rolling Twelve Months | $ 15,375,354 | $ 35,366,608 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Two | 1,716,058 | 4,982,222 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Three | 1,434,377 | 1,724,647 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Four | 1,785,672 | 1,381,718 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Five | 877,504 | 1,535,418 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due After Rolling Year Five | 3,818,432 | 2,273,531 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 25,007,397 | $ 47,264,144 |
Advances (Advances by Year of C
Advances (Advances by Year of Contractual Maturity or Next Put/Convert Date for Putable/Convertible Advances) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Advances [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due within One Year of Balance Sheet Date | $ 14,407,003 | $ 33,451,448 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From One To Two Years of Balance Sheet Date | 2,146,446 | 4,777,497 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Two To Three Years of Balance Sheet Date | 1,485,139 | 2,129,647 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Three To Four Years of Balance Sheet Date | 1,855,273 | 1,238,948 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Four To Five Years of Balance Sheet Date | 2,346,604 | 1,611,073 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due After Five Years of Balance Sheet Date | 2,766,932 | 4,055,531 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 25,007,397 | $ 47,264,144 |
Advances (Advances by Interest
Advances (Advances by Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Advances [Abstract] | |||
Federal Home Loan Bank, Advances, Fixed Rate, under One Year | [1] | $ 9,681,997 | $ 25,918,472 |
Federal Home Loan Bank, Advances, Fixed Rate, after One Year | [1] | 9,513,793 | 10,194,636 |
Federal Home Loan Bank Advances, Maturities by Interest Rate Type, Fixed Rate | [1] | 19,195,790 | 36,113,108 |
Federal Home Loan Bank, Advances, Floating Rate, under One Year | [1] | 2,382,756 | 6,423,726 |
Federal Home Loan Bank, Advances, Floating Rate, after One Year | [1] | 3,428,851 | 4,727,310 |
Federal Home Loan Bank, Advances, Floating Rate, Total | [1] | 5,811,607 | 11,151,036 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 25,007,397 | $ 47,264,144 | |
[1] | Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance. |
Advances (Borrowers Holding Fiv
Advances (Borrowers Holding Five Percent or more of Total Advances) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 25,007,397 | $ 47,264,144 |
Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 13,077,000 | $ 22,257,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 52.00% | 47.00% |
U.S. Bank, N.A. [Member] | Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 4,273,000 | $ 13,874,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 17.00% | 29.00% |
Third Federal Savings and Loan Association [Member] | Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 3,443,000 | $ 3,883,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 14.00% | 8.00% |
Nationwide Life Insurance Company [Member] | Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 2,062,000 | |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 8.00% | |
Protective Life Insurance Company [Member] | Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 1,955,000 | |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 8.00% | |
Western-Southern Life Assurance Co. [Member] | Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 1,344,000 | |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 5.00% | |
JPMorgan Chase Bank National Association [Member] | Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 4,500,000 | |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 10.00% |
Mortgage Loans Narrative (Detai
Mortgage Loans Narrative (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Loans and Leases Receivable Disclosure [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | $ 9,315,995 | $ 10,980,942 |
Real Estate Acquired Through Foreclosure | 0 | 0 |
Mortgage Purchase Program [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Financing Receivable, Troubled Debt Restructuring | 18,888 | 13,514 |
Conventional Mortgage Loan [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | 9,133,942 | $ 10,750,526 |
Conventional Mortgage Loan [Member] | COVID 19 Forbearance Plan [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | $ 77,207 |
Mortgage Loans Mortgage Loans H
Mortgage Loans Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Loans and Leases Receivable Disclosure [Line Items] | |||||
Loans and Leases Receivable, before Fees, Gross | $ 9,315,995 | $ 10,980,942 | |||
Loans and Leases Receivable, Unamortized Premiums | 208,281 | 241,356 | |||
Loans and Leases Receivable, Unamortized Discounts | (1,636) | (2,166) | |||
Loans and Leases Receivable, Hedging Basis Adjustment | [1] | 26,114 | 15,932 | ||
Loans and Leases Receivable, Net of Deferred Income | [2] | 9,548,754 | 11,236,064 | ||
Loans and Leases Receivable, Allowance | (248) | (711) | |||
Loans and Leases Receivable, Net Amount | 9,548,506 | 11,235,353 | |||
Conventional Mortgage Loan [Member] | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Loans and Leases Receivable, before Fees, Gross | 9,133,942 | 10,750,526 | |||
Loans and Leases Receivable, Net of Deferred Income | [3] | 9,365,194 | |||
Loans and Leases Receivable, Allowance | (248) | (711) | $ (840) | $ (1,190) | |
Federal Housing Administration Loan [Member] | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Loans and Leases Receivable, before Fees, Gross | 182,053 | 230,416 | |||
Mortgage Purchase Program [Member] | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 30,109 | 36,739 | |||
Single Family [Member] | Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Loans and Leases Receivable, before Fees, Gross | [4] | 731,756 | 773,575 | ||
Single Family [Member] | Loans Receivable With Fixed Rates Of Interest Long Term [Member] | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Loans and Leases Receivable, before Fees, Gross | $ 8,584,239 | $ 10,207,367 | |||
[1] | Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. | ||||
[2] | Excludes accrued interest receivable of (in thousands) $30,109 and $36,739 at December 31, 2020 and 2019. | ||||
[3] | The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at December 31, 2020 excludes accrued interest receivable. | ||||
[4] | Medium-term is defined as a term of 15 years or less. |
Mortgage Loans Members with Fiv
Mortgage Loans Members with Five Percent or More of Mortgage Loans (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Union Savings Bank [Member] | ||
Participating Mortgage Loans [Line Items] | ||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 2,826 | $ 3,574 |
Percent of Total | 30.00% | 33.00% |
Guardian Saving Bank FSB [Member] | ||
Participating Mortgage Loans [Line Items] | ||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 796 | $ 1,004 |
Percent of Total | 9.00% | 9.00% |
FirstBank [Member] | ||
Participating Mortgage Loans [Line Items] | ||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 714 | |
Percent of Total | 7.00% |
Mortgage Loans Mortgage Loans R
Mortgage Loans Mortgage Loans Rollforward of LRA (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Receivables [Abstract] | |||
Lender Risk Account, Beginning Balance | $ 233,476 | $ 213,260 | $ 200,745 |
Lender Risk Account, Additions | 28,795 | 29,558 | 24,784 |
Lender Risk Account, Claims | (101) | (113) | (492) |
Lender Risk Account, Distributions | (15,735) | (9,229) | (11,777) |
Lender Risk Account, Ending Balance | $ 246,435 | $ 233,476 | $ 213,260 |
Mortgage Loans Mortgage Loans P
Mortgage Loans Mortgage Loans Past Due (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, Net of Deferred Income | [1] | $ 9,548,754 | $ 11,236,064 |
Loans and Leases Receivable, before Fees, Gross | 9,315,995 | 10,980,942 | |
Conventional Mortgage Loan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | [2] | 2,603,847 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | [2] | 6,761,347 | |
Loans and Leases Receivable, Net of Deferred Income | [2] | 9,365,194 | |
Financing Receivable, Past Due | [2] | 53,409 | |
Financing Receivable, Not Past Due | [2] | 10,985,818 | |
Total recorded investment | [2] | 11,039,227 | |
Loans and Leases Receivable, before Fees, Gross | 9,133,942 | 10,750,526 | |
Conventional Mortgage Loan [Member] | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | 77,207 | ||
Conventional Mortgage Loan [Member] | Nonperforming Financial Instruments [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | [2] | 48,708 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | [2] | 66,510 | |
Loans and Leases Receivable, Net of Deferred Income | [2] | 115,218 | |
Conventional Mortgage Loan [Member] | Performing Financial Instruments [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | [2] | 2,555,139 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | [2] | 6,694,837 | |
Loans and Leases Receivable, Net of Deferred Income | [2] | 9,249,976 | |
Conventional Mortgage Loan [Member] | Performing Financial Instruments [Member] | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | 11,381 | ||
Conventional Mortgage Loan [Member] | Past due 30-59 days delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | [2] | 16,812 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | [2] | 19,036 | |
Loans and Leases Receivable, Net of Deferred Income | [2] | 35,848 | |
Financing Receivable, Past Due | [2] | 35,416 | |
Conventional Mortgage Loan [Member] | Past due 30-59 days delinquent | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | 5,933 | ||
Conventional Mortgage Loan [Member] | Financial Asset, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | [2] | 7,245 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | [2] | 7,553 | |
Loans and Leases Receivable, Net of Deferred Income | [2] | 14,798 | |
Financing Receivable, Past Due | [2] | 5,572 | |
Conventional Mortgage Loan [Member] | Financial Asset, 60 to 89 Days Past Due [Member] | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | 9,190 | ||
Conventional Mortgage Loan [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | [2] | 24,651 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | [2] | 39,921 | |
Loans and Leases Receivable, Net of Deferred Income | [2] | 64,572 | |
Financing Receivable, Past Due | [2] | $ 12,421 | |
Conventional Mortgage Loan [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | $ 50,703 | ||
[1] | Excludes accrued interest receivable of (in thousands) $30,109 and $36,739 at December 31, 2020 and 2019. | ||
[2] | The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at December 31, 2020 excludes accrued interest receivable. |
Mortgage Loans Mortgage Loans O
Mortgage Loans Mortgage Loans Other Delinquency Status (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Financing Receivable, Nonaccrual [Line Items] | |||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 5,648 | $ 10,826 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 0.74% | 0.16% |
Mortgage Purchase Program [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Financing Receivable, 90 Days or More Past Due, Still Accruing | [3] | $ 64,842 | $ 17,740 |
Financing Receivable, Nonaccrual | 6,721 | 1,902 | |
Conventional Mortgage Loan [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 5,031 | $ 8,311 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 0.69% | 0.11% |
Conventional Mortgage Loan [Member] | Mortgage Purchase Program [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Financing Receivable, 90 Days or More Past Due, Still Accruing | [3] | $ 58,881 | $ 11,935 |
Financing Receivable, Nonaccrual | 6,721 | 1,902 | |
Federal Housing Administration Loan [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 617 | $ 2,515 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 3.28% | 2.49% |
Federal Housing Administration Loan [Member] | Mortgage Purchase Program [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Financing Receivable, 90 Days or More Past Due, Still Accruing | [3] | $ 5,961 | $ 5,805 |
Financing Receivable, Nonaccrual | $ 0 | $ 0 | |
[1] | Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. During the year ended December 31, 2020, there were foreclosure moratoriums enacted in response to the COVID-19 pandemic. | ||
[2] | Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class. | ||
[3] | Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status. |
Mortgage Loans Mortgage Loans A
Mortgage Loans Mortgage Loans Allowance Rollforward (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Allowance for Loan and Lease Losses [Roll Forward] | |||
Balance, beginning of period | $ 711 | ||
Balance, end of period | 248 | $ 711 | |
Conventional Mortgage Loan [Member] | |||
Allowance for Loan and Lease Losses [Roll Forward] | |||
Balance, beginning of period | 711 | 840 | $ 1,190 |
Financing Receivable, Change in Method, Credit Loss Expense (Reversal) | (366) | 0 | 0 |
Allowance for Loan and Lease Losses Write-offs, Net | (97) | (129) | (350) |
Balance, end of period | $ 248 | $ 711 | $ 840 |
Mortgage Loans Allowance for Cr
Mortgage Loans Allowance for Credit Losses by Impairment Methodology (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Loans and Leases Receivable, Allowance | $ 248 | $ 711 | |||
Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Allowance for Credit Losses, Collectively Evaluated for Impairment | 711 | ||||
Financing Receivable, Allowance for Credit Losses, Individually Evaluated for Impairment | 0 | ||||
Loans and Leases Receivable, Allowance | $ 248 | 711 | $ 840 | $ 1,190 | |
Financing Receivable, Collectively Evaluated for Impairment | 11,025,713 | ||||
Financing Receivable, Individually Evaluated for Impairment | 13,514 | ||||
Total recorded investment | [1] | $ 11,039,227 | |||
[1] | The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at December 31, 2020 excludes accrued interest receivable. |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | $ 26,057,594 | $ 45,596,827 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,732 | 32,195 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 165,737 | 54,850 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [2] | 213,156 | [1] | 234,970 | [3] |
Derivative Liability, Netting Adjustments And Cash Collateral | [2] | (161,924) | [1] | (53,540) | [3] |
Derivative assets | 215,888 | 267,165 | |||
Derivative liabilities | 3,813 | 1,310 | |||
Derivative, Collateral, Cash Posted And Related Accrued Interest | 375,390 | 293,148 | |||
Derivative, Collateral, Cash Received And Related Accrued Interest | 310 | 4,638 | |||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 10,477,703 | 9,310,089 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 272 | 7,227 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 163,174 | 53,641 | |||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 13,267,539 | 28,501,469 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 691 | 9,685 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,563 | 363 | |||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swaption [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 2,175,000 | 6,000,000 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 713 | 12,464 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 849,000 | ||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 21 | ||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 782 | ||||
Not Designated as Hedging Instrument [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 15,579,891 | 36,286,738 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,460 | 24,968 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,563 | 1,209 | |||
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 137,352 | 936,269 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,056 | 2,798 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 0 | $ 64 | |||
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $375,390 and $293,148 at December 31, 2020 and 2019. Cash collateral received, including accrued interest, was (in thousands) $310 and $4,638 at December 31, 2020 and 2019. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Income, Federal Home Loan Bank Advances | $ 434,815 | $ 1,195,128 | $ 1,407,702 | |
Interest Income, Debt Securities, Available-for-sale, Operating | 4,782 | 27,691 | 40,444 | |
Interest Expense, Consolidated Bonds | (541,996) | (1,033,508) | (951,298) | |
Amortization and Accretion of Hedged Items | (602) | |||
Advances [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | [1],[2] | (6,443) | ||
Gain (Loss) on Hedged Item | [1],[2] | 8,517 | ||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1],[2],[3] | 24,006 | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [1],[2] | 2,074 | ||
Available-for-sale Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | [1],[2] | (1,015) | ||
Gain (Loss) on Hedged Item | [1],[2] | 1,008 | ||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1],[2],[3] | (44) | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [1],[2] | (7) | ||
Consolidated Obligation Bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative | [1],[2] | 2,758 | ||
Gain (Loss) on Hedged Item | [1],[2] | (2,950) | ||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1],[2],[3] | (3,215) | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [1],[2] | $ (192) | ||
Interest Income [Member] | Advances [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Interest Settlements On Fair Value Hedges | [1] | (90,959) | 36,052 | |
Gain (Loss) on Derivative | [1] | (263,046) | (160,006) | |
Gain (Loss) on Hedged Item | [1] | 247,059 | 153,435 | |
Gain (Loss) on Fair Value Hedges Recognized in Earnings | [1] | (106,946) | 29,481 | |
Interest Income [Member] | Available-for-sale Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Interest Settlements On Fair Value Hedges | [1] | (2,484) | (311) | |
Gain (Loss) on Derivative | [1] | (5,209) | (6,402) | |
Gain (Loss) on Hedged Item | [1] | 4,826 | 6,307 | |
Gain (Loss) on Fair Value Hedges Recognized in Earnings | [1] | (2,867) | (406) | |
Interest Expense [Member] | Consolidated Obligation Bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Interest Settlements On Fair Value Hedges | [1] | 1,652 | 1,637 | |
Gain (Loss) on Derivative | [1] | 1,477 | 945 | |
Gain (Loss) on Hedged Item | [1] | (1,377) | (905) | |
Gain (Loss) on Fair Value Hedges Recognized in Earnings | [1] | $ 1,752 | $ 1,677 | |
[1] | Includes interest rate swaps. | |||
[2] | Prior period amounts were not conformed to new hedge accounting guidance adopted January 1, 2019. | |||
[3] | Excludes (amortization)/accretion on closed fair value hedge relationships of (in thousands) $(602) for the year ended December 31, 2018. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Derivative Fair Value Hedges (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Advances [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Asset, Fair Value Hedge | [1] | $ 10,483,218 | $ 9,160,841 |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 356,624 | 109,078 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 1,549 | 851 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 358,173 | 109,929 | |
Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Asset, Fair Value Hedge | [1] | 286,869 | 131,814 |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 11,751 | 7,314 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 389 | 0 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 12,140 | 7,314 | |
Consolidated Obligation Bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Liability, Fair Value Hedge | [1] | 132,852 | 210,696 |
Hedged Liability, Active Fair Value Hedge, Cumulative Increase (Decrease) | 2,086 | 708 | |
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 0 | 0 | |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | $ 2,086 | $ 708 | |
[1] | Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives not designated as hedging instruments | $ (273,253) | $ (177,912) | ||
Derivative Instruments, Other Gain (Loss) | $ (274) | |||
Gain (Loss) on Derivative Instruments, Net, Pretax | (40,398) | |||
Interest Rate Swap [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 1,875 | |||
Gain (Loss) on Derivatives not designated as hedging instruments | (227,781) | (142,193) | 10,722 | |
Interest Rate Swaption [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives not designated as hedging instruments | 90,594 | (19,019) | (5,725) | |
Forward Contracts [Member] | Mortgage Receivable [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives not designated as hedging instruments | 21,549 | 14,904 | (5,349) | |
Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives not designated as hedging instruments | (31,935) | (10,619) | 4,446 | |
Net Interest Settlements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives not designated as hedging instruments | (127,098) | (24,363) | (46,093) | |
Derivatives Not Designated As Hedging Before Price Alignment [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives not designated as hedging instruments | (274,671) | (181,290) | $ (41,999) | |
Price Alignment Amount [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives not designated as hedging instruments | [1] | $ 1,418 | $ 3,378 | |
[1] | This amount is for derivatives for which variation margin is characterized as a daily settled contract. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Offsetting of Derivative Assets and Derivative Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Netting Adjustments And Cash Collateral | [2] | $ 213,156 | [1] | $ 234,970 | [3] |
Derivative assets | 215,888 | 267,165 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [2] | (161,924) | [1] | (53,540) | [3] |
Derivative liabilities | 3,813 | 1,310 | |||
Uncleared derivatives | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Total Gross Amount | 1,047 | 16,637 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | (1,047) | (13,903) | |||
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 1,056 | 2,819 | ||
Derivative assets | 1,056 | 5,553 | |||
Derivative Liability, Total Gross Amount | 161,633 | 53,533 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | (157,820) | (53,069) | |||
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 0 | 846 | ||
Derivative liabilities | 3,813 | 1,310 | |||
Cleared derivatives | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Total Gross Amount | 629 | 12,739 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | 214,203 | 248,873 | |||
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 0 | 0 | ||
Derivative assets | 214,832 | 261,612 | |||
Derivative Liability, Total Gross Amount | 4,104 | 471 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | (4,104) | (471) | |||
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 0 | 0 | ||
Derivative liabilities | $ 0 | $ 0 | |||
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $375,390 and $293,148 at December 31, 2020 and 2019. Cash collateral received, including accrued interest, was (in thousands) $310 and $4,638 at December 31, 2020 and 2019. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[4] | Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits (Details)
Deposits (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Deposits [Abstract] | ||
Average Deposits Compensating Balance Amount | $ 271,195 | $ 6,178 |
Interest bearing, demand and overnight | 1,190,508 | 906,028 |
Interest bearing, term | 123,675 | 27,850 |
Interest bearing, 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 |
Consolidated Obligations Narrat
Consolidated Obligations Narrative (Details) - USD ($) $ in Billions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Disclosure [Abstract] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 746.8 | $ 1,025.9 |
Consolidated Obligations Discou
Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Short-term Debt [Line Items] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 27,500,244 | $ 49,084,219 | |
Discount Notes [Member] | |||
Short-term Debt [Line Items] | |||
Debt Instrument, Face Amount | $ 27,502,730 | $ 49,176,985 | |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | [1] | 0.11% | 1.56% |
[1] | Represents an implied rate without consideration of concessions. |
Consolidated Obligations Bonds
Consolidated Obligations Bonds by Original Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Federal Home Loan Bank, Consolidated Obligations, Bonds | $ 31,996,311 | $ 38,439,724 |
Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 18,676,595 | 18,259,565 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,728,885 | 8,293,595 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 3,388,120 | 3,024,885 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,793,405 | 3,123,120 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 1,910,000 | 1,540,405 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 3,454,000 | 4,139,000 |
Long-term Debt, Gross | 31,951,005 | 38,380,570 |
Debt Instrument, Unamortized Premium | 43,235 | 64,604 |
Debt Instrument, Unamortized Discount | (21,403) | (24,335) |
Debt Valuation Adjustment for Hedging Activities | 2,086 | 708 |
Fair Value, Option, Aggregate Differences, Consolidated Obligation Bonds | 21,388 | 18,177 |
Federal Home Loan Bank, Consolidated Obligations, Bonds | $ 31,996,311 | $ 38,439,724 |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 0.72% | 1.77% |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 2.38% | 1.96% |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.09% | 2.41% |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 2.21% | 2.62% |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 1.45% | 2.73% |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.39% | 2.97% |
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 1.32% | 2.10% |
Consolidated Obligations Bond_2
Consolidated Obligations Bonds by Call Feature (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | $ 31,951,005 | $ 38,380,570 |
Noncallable or Nonputable [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | 26,539,005 | 32,953,570 |
Callable [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | $ 5,412,000 | $ 5,427,000 |
Consolidated Obligations Bond_3
Consolidated Obligations Bonds by Contractual Maturity or Next Call Date (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 18,676,595 | $ 18,259,565 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,728,885 | 8,293,595 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 3,388,120 | 3,024,885 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,793,405 | 3,123,120 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 1,910,000 | 1,540,405 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 3,454,000 | 4,139,000 |
Long-term Debt, Gross | 31,951,005 | 38,380,570 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 22,968,595 | 22,631,565 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,823,885 | 7,130,595 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 2,452,120 | 2,662,885 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,253,405 | 2,343,120 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 728,000 | 1,253,405 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 1,725,000 | $ 2,359,000 |
Consolidated Obligations Bond_4
Consolidated Obligations Bonds by Interest-Rate Type (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | $ 31,951,005 | $ 38,380,570 |
Fixed-rate [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | 21,312,005 | 27,368,570 |
Adjustable Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | $ 10,639,000 | $ 11,012,000 |
Affordable Housing Program (A_3
Affordable Housing Program (AHP) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Affordable Housing Program [Roll Forward] | |||
AHP Obligation, Beginning Balance | $ 115,295 | $ 117,336 | |
AHP, Expense (Current Year Additions) | 30,826 | 30,801 | $ 37,884 |
AHP, Subsidy Uses, Net | (35,349) | (32,842) | (30,425) |
AHP Obligation, Ending Balance | $ 110,772 | $ 115,295 | $ 117,336 |
Capital Narrative (Details)
Capital Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Jan. 01, 2021 | |
Class of Stock [Line Items] | ||||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 | ||
Activity Based Stock Requirement Percent For Mortgage Purchase Program | 3.00% | |||
Activity Based Stock Requirement Percent For Advances and Advance Commitments | 4.50% | |||
Activity Based Stock Requirement Percent For Letters of Credit | 0.10% | |||
Retained Earnings, Appropriated | $ 501,321 | $ 446,048 | ||
Interest Expense, Capital Securities | 1,068 | 1,113 | $ 1,806 | |
Capital Distribution by the FHLBanks to FICO | 680,000 | |||
FICO Funds Available for Distribution to Stockholders | 200,000 | |||
Partial recovery of prior capital distribution to Financing Corporation | $ 16,533 | $ 0 | $ 0 | |
Maximum [Member] | ||||
Class of Stock [Line Items] | ||||
Membership Stock Requirement Percent | 0.16% | |||
Membership Stock Requirement Amount | $ 30,000 | |||
Activity Based Stock Requirement Percent For Mortgage Purchase Program | 4.00% | 4.00% | ||
Activity Based Stock Requirement Percent For Advances and Advance Commitments | 4.00% | 4.00% | ||
Minimum [Member] | ||||
Class of Stock [Line Items] | ||||
Membership Stock Requirement Percent | 0.05% | |||
Membership Stock Requirement Amount | $ 1 | |||
Activity Based Stock Requirement Percent For Mortgage Purchase Program | 0.00% | 0.00% | ||
Activity Based Stock Requirement Percent For Advances and Advance Commitments | 2.00% | 2.00% | ||
Common Class B [Member] | ||||
Class of Stock [Line Items] | ||||
Common Stock, Par or Stated Value Per Share | $ 100 |
Capital (Details)
Capital (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Banking Regulation, Total Capital [Abstract] | ||
Risk Based Capital Required | $ 539,321 | $ 820,635 |
Risk Based Capital Actual | $ 3,964,353 | $ 4,482,519 |
Regulatory Capital Ratio, Actual | 6.07% | 4.79% |
Regulatory Capital, Required | $ 2,611,850 | $ 3,739,662 |
Regulatory Capital, Actual | $ 3,964,353 | $ 4,482,519 |
Leverage Ratio, Actual | 9.11% | 7.19% |
Leverage Capital, Required | $ 3,264,812 | $ 4,674,578 |
Leverage Capital, Actual | $ 5,946,530 | $ 6,723,779 |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020USD ($)numberOfStockholders | Dec. 31, 2019USD ($)numberOfStockholders | Dec. 31, 2018USD ($)numberOfStockholders | |
Mandatorily Redeemable Capital Stock [Roll Forward] | |||
Balance at beginning period | $ 21,669 | $ 23,184 | $ 30,031 |
Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | 560,779 | 8,269 | 68,185 |
Capital stock previously subject to mandatory redemption reclassified to capital | (123) | (1,020) | (5,599) |
Repayments of Mandatory Redeemable Capital Securities | (562,871) | (8,764) | (69,433) |
Balance at end of period | $ 19,454 | $ 21,669 | $ 23,184 |
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | numberOfStockholders | 24 | 28 | 25 |
Capital (Mandatorily Redeemab_2
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Banking Regulation, Total Capital [Abstract] | |||||
Due in 1 year or less | $ 156 | $ 371 | |||
Due after 1 year through 2 years | 1,124 | 298 | |||
Due after 2 years through 3 years | 2,167 | 1,129 | |||
Due after 3 years through 4 years | 391 | 2,955 | |||
Due after 4 years through 5 years | 3,142 | 1,931 | |||
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five | [1] | 650 | 650 | ||
Past contractual redemption date due to remaining activity | [2] | 11,824 | 14,335 | ||
Total par value | $ 19,454 | $ 21,669 | $ 23,184 | $ 30,031 | |
[1] | Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 19, 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, had their membership terminated no later than February 19, 2021. The related mandatorily redeemable capital stock is not required to be redeemed until five years after the member's termination. | ||||
[2] | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive (Loss) Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | $ 4,444,456 | $ 5,330,216 | $ 5,164,513 |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | 4,348 | 480 | 14 |
Total other comprehensive income (loss) adjustments | 1,409 | (3,351) | 3,617 |
Ending balance | 3,929,914 | 4,444,456 | 5,330,216 |
Accumulated Net Unrealized Investment Gain (Loss) [Member] | Available-for-sale Securities [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | 370 | (110) | (124) |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | 4,348 | 480 | 14 |
Other Comprehensive Income (Loss), Defined Benefit Plan, Gain (Loss) Arising During Period, before Tax | 0 | 0 | 0 |
Amortization - Pension and postretirement benefits | 0 | 0 | 0 |
Total other comprehensive income (loss) adjustments | 4,348 | 480 | 14 |
Ending balance | 4,718 | 370 | (110) |
Accumulated Defined Benefit Plans Adjustment [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | (16,764) | (12,933) | (16,536) |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | 0 | 0 | 0 |
Other Comprehensive Income (Loss), Defined Benefit Plan, Gain (Loss) Arising During Period, before Tax | (5,227) | (5,665) | 1,403 |
Amortization - Pension and postretirement benefits | 2,288 | 1,834 | 2,200 |
Total other comprehensive income (loss) adjustments | (2,939) | (3,831) | 3,603 |
Ending balance | (19,703) | (16,764) | (12,933) |
Accumulated Other Comprehensive Income (Loss) [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Beginning balance | (16,394) | (13,043) | (16,660) |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | 4,348 | 480 | 14 |
Other Comprehensive Income (Loss), Defined Benefit Plan, Gain (Loss) Arising During Period, before Tax | (5,227) | (5,665) | 1,403 |
Amortization - Pension and postretirement benefits | 2,288 | 1,834 | 2,200 |
Total other comprehensive income (loss) adjustments | 1,409 | (3,351) | 3,617 |
Ending balance | $ (14,985) | $ (16,394) | $ (13,043) |
Pension and Postretirement Be_3
Pension and Postretirement Benefit Plans Narrative (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Defined Benefit Plan Disclosure [Line Items] | |||
Entity Tax Identification Number | 31-6000228 | ||
Multiemployer Plan, Pension, Insignificant, Plan Number | 333 | ||
Defined Contribution Plan, Cost | $ 1,437,000 | $ 1,333,000 | $ 1,249,000 |
Liability, Defined Benefit Plan | $ 54,584,000 | $ 48,884,000 | |
Pension Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Entity Tax Identification Number | 13-5645888 |
Pentegra Defined Benefit Plan (
Pentegra Defined Benefit Plan (Details) - Pentegra Defined Benefit Plan [Member] - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |||
Defined Benefit Plan Disclosure [Line Items] | |||||
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 6,429 | $ 6,973 | $ 8,988 | ||
Defined Benefit Plan, Funded Percentage | 108.20% | [1] | 108.62% | [2] | 110.96% |
Defined Benefit Plan, Employer Funded Percentage | 122.36% | 125.76% | 124.65% | ||
[1] | The Pentegra Defined Benefit Plan's funded status as of July 1, 2020 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. Contributions made on or before March 15, 2021, and designated for the plan year ended June 30, 2020, will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year July 1, 2020 through June 30, 2021 is filed (this Form 5500 is due to be filed no later than April 2022). | ||||
[2] | The Pentegra Defined Benefit Plan's funded status as of July 1, 2019 is preliminary and may increase because the plan's participants were permitted to make contributions for the plan year ended June 30, 2019 through March 15, 2020. Contributions made on or before March 15, 2020, and designated for the plan year ended June 30, 2019, will be included in the final valuation as of July 1, 2019. The final funded status as of July 1, 2019 will not be available until the Form 5500 for the plan year July 1, 2019 through June 30, 2020 is filed (this Form 5500 is due to be filed no later than April 2021). |
Benefit Obligation, Fair Value
Benefit Obligation, Fair Value of Plan Assets and Funded Status (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Supplemental Employee Retirement Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Benefit Obligation, Beginning Balance | $ 44,246 | $ 38,687 | |
Defined Benefit Plan, Service Cost | 1,129 | 902 | $ 1,129 |
Defined Benefit Plan, Interest Cost | 1,324 | 1,550 | 1,353 |
Defined Benefit Plan, Benefit Obligation, Actuarial Gain (Loss) | 4,749 | 5,496 | |
Defined Benefit Plan, Benefit Obligation, Benefits Paid | (1,910) | (2,389) | |
Defined Benefit Plan, Benefit Obligation, Ending Balance | 49,538 | 44,246 | 38,687 |
Defined Benefit Plan, Plan Assets, Amount, Beginning Balance | 0 | 0 | |
Defined Benefit Plan, Plan Assets, Contributions by Employer | 1,910 | 2,389 | |
Defined Benefit Plan, Plan Assets, Benefits Paid | (1,910) | (2,389) | |
Defined Benefit Plan, Plan Assets, Amount, Ending Balance | 0 | 0 | 0 |
Defined Benefit Plan, Funded (Unfunded) Status of Plan | (49,538) | (44,246) | |
Other Postretirement Benefits Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Benefit Obligation, Beginning Balance | 4,638 | 4,481 | |
Defined Benefit Plan, Service Cost | 9 | 14 | 19 |
Defined Benefit Plan, Interest Cost | 141 | 181 | 166 |
Defined Benefit Plan, Benefit Obligation, Actuarial Gain (Loss) | 478 | 169 | |
Defined Benefit Plan, Benefit Obligation, Benefits Paid | (220) | (207) | |
Defined Benefit Plan, Benefit Obligation, Ending Balance | 5,046 | 4,638 | 4,481 |
Defined Benefit Plan, Plan Assets, Amount, Beginning Balance | 0 | 0 | |
Defined Benefit Plan, Plan Assets, Contributions by Employer | 220 | 207 | |
Defined Benefit Plan, Plan Assets, Benefits Paid | (220) | (207) | |
Defined Benefit Plan, Plan Assets, Amount, Ending Balance | 0 | 0 | $ 0 |
Defined Benefit Plan, Funded (Unfunded) Status of Plan | $ (5,046) | $ (4,638) |
Amounts Recognized in Accumulat
Amounts Recognized in Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Supplemental Employee Retirement Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Accumulated Other Comprehensive Income (Loss), Gain (Loss), before Tax | $ 18,901 | $ 16,440 |
Other Postretirement Benefits Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Accumulated Other Comprehensive Income (Loss), Gain (Loss), before Tax | $ 802 | $ 324 |
Net Periodic Benefit Cost and O
Net Periodic Benefit Cost and Other Amounts Recognized in AOCI (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Defined Benefit Plan Disclosure [Line Items] | |||
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent, Total | $ 2,939 | $ 3,831 | $ (3,603) |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Interest Cost, Statement of Income or Comprehensive Income [Extensible List] | us-gaap:OtherNoninterestExpense | us-gaap:OtherNoninterestExpense | us-gaap:OtherNoninterestExpense |
Defined Benefit Plan, Net Periodic Benefit (Cost) Credit, Amortization of Gain (Loss), Statement of Income or Comprehensive Income [Extensible List] | us-gaap:OtherNoninterestExpense | us-gaap:OtherNoninterestExpense | us-gaap:OtherNoninterestExpense |
Supplemental Employee Retirement Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Service Cost | $ 1,129 | $ 902 | $ 1,129 |
Defined Benefit Plan, Interest Cost | 1,324 | 1,550 | 1,353 |
Defined Benefit Plan, Amortization of Gain (Loss) | 2,288 | 1,834 | 2,200 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | 4,741 | 4,286 | 4,682 |
Other Comprehensive Income (Loss), Defined Benefit Plan, Gain (Loss) Arising During Period, before Tax | 4,749 | 5,496 | (1,127) |
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent, Total | 2,461 | 3,662 | (3,327) |
Defined Benefit Plan, Amount Recognized in Net Periodic Benefit Cost (Credit) and Other Comprehensive (Income) Loss, before Tax | 7,202 | 7,948 | 1,355 |
Other Postretirement Benefits Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Service Cost | 9 | 14 | 19 |
Defined Benefit Plan, Interest Cost | 141 | 181 | 166 |
Defined Benefit Plan, Amortization of Gain (Loss) | 0 | 0 | 0 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | 150 | 195 | 185 |
Other Comprehensive Income (Loss), Defined Benefit Plan, Gain (Loss) Arising During Period, before Tax | 478 | 169 | (276) |
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent, Total | 478 | 169 | (276) |
Defined Benefit Plan, Amount Recognized in Net Periodic Benefit Cost (Credit) and Other Comprehensive (Income) Loss, before Tax | $ 628 | $ 364 | $ (91) |
Benefit Obligation Key Assumpti
Benefit Obligation Key Assumptions (Details) | Dec. 31, 2020 | Dec. 31, 2019 |
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Assumptions Used Calculating Benefit Obligation, Rate of Compensation Increase | 5.00% | 5.00% |
Supplemental Employee Retirement Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Assumptions Used Calculating Benefit Obligation, Discount Rate | 2.26% | 3.06% |
Other Postretirement Benefits Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Assumptions Used Calculating Benefit Obligation, Discount Rate | 2.33% | 3.12% |
Net Periodic Benefit Cost Key A
Net Periodic Benefit Cost Key Assumptions (Details) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Assumptions Used Calculating Net Periodic Benefit Cost, Rate of Compensation Increase | 5.00% | 5.00% | 5.00% |
Supplemental Employee Retirement Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Assumptions Used Calculating Net Periodic Benefit Cost, Discount Rate | 3.06% | 4.10% | 3.45% |
Other Postretirement Benefits Plan [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Assumptions Used Calculating Net Periodic Benefit Cost, Discount Rate | 3.12% | 4.15% | 3.53% |
Postretirement Benefits Plan As
Postretirement Benefits Plan Assumed Health Care Cost Trend Rate (Details) - Other Postretirement Benefits Plan [Member] | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Health Care Cost Trend Rate Assumed, Next Fiscal Year | 5.50% | 6.00% |
Defined Benefit Plan, Ultimate Health Care Cost Trend Rate | 5.00% | 5.00% |
Defined Benefit Plan, Year Health Care Cost Trend Rate Reaches Ultimate Trend Rate | 2021 | 2021 |
Estimated Future Benefit Paymen
Estimated Future Benefit Payments (Details) $ in Thousands | Dec. 31, 2020USD ($) |
Supplemental Employee Retirement Plan [Member] | |
Defined Benefit Plan Disclosure [Line Items] | |
Defined Benefit Plan, Expected Future Benefit Payment, Year One | $ 2,171 |
Defined Benefit Plan, Expected Future Benefit Payment, Year Two | 2,316 |
Defined Benefit Plan, Expected Future Benefit Payment, Year Three | 1,839 |
Defined Benefit Plan, Expected Future Benefit Payment, Year Four | 1,861 |
Defined Benefit Plan, Expected Future Benefit Payment, Year Five | 2,012 |
Defined Benefit Plan, Expected Future Benefit Payment, after Year Five for Next Five Years | 12,447 |
Other Postretirement Benefits Plan [Member] | |
Defined Benefit Plan Disclosure [Line Items] | |
Defined Benefit Plan, Expected Future Benefit Payment, Year One | 237 |
Defined Benefit Plan, Expected Future Benefit Payment, Year Two | 239 |
Defined Benefit Plan, Expected Future Benefit Payment, Year Three | 241 |
Defined Benefit Plan, Expected Future Benefit Payment, Year Four | 240 |
Defined Benefit Plan, Expected Future Benefit Payment, Year Five | 246 |
Defined Benefit Plan, Expected Future Benefit Payment, after Year Five for Next Five Years | $ 1,264 |
Segment Information Financial P
Segment Information Financial Performance (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020USD ($)Segment | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Segment Reporting Information [Line Items] | |||
Number of Operating Segments | Segment | 2 | ||
Net interest income | $ 406,530 | $ 405,832 | $ 498,572 |
Non-interest income (loss) | (7,068) | (10,219) | (36,818) |
Non-interest expense | 92,273 | 88,718 | 84,719 |
Income before assessments | 307,189 | 306,895 | 377,035 |
Affordable Housing Program assessments | 30,826 | 30,801 | 37,884 |
Net income | 276,363 | 276,094 | 339,151 |
Traditional Member Finance [Member] | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 385,127 | 308,585 | 389,615 |
Non-interest income (loss) | (58,701) | (2,252) | (32,415) |
Non-interest expense | 80,569 | 77,751 | 73,441 |
Income before assessments | 245,857 | 228,582 | 283,759 |
Affordable Housing Program assessments | 24,693 | 22,969 | 28,556 |
Net income | 221,164 | 205,613 | 255,203 |
Mortgage Purchase Program [Member] | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 21,403 | 97,247 | 108,957 |
Non-interest income (loss) | 51,633 | (7,967) | (4,403) |
Non-interest expense | 11,704 | 10,967 | 11,278 |
Income before assessments | 61,332 | 78,313 | 93,276 |
Affordable Housing Program assessments | 6,133 | 7,832 | 9,328 |
Net income | $ 55,199 | $ 70,481 | $ 83,948 |
Segment Information Asset Balan
Segment Information Asset Balances (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Segment Reporting Information [Line Items] | ||
Total assets | $ 65,296,239 | $ 93,491,559 |
Traditional Member Finance [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | 53,356,209 | 81,064,206 |
Mortgage Purchase Program [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | $ 11,940,030 | $ 12,427,353 |
Fair Value Disclosures Fair V_2
Fair Value Disclosures Fair Value Summary (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |||
Assets | |||||||
Cash and Due from Banks | $ 2,984,073 | $ 20,608 | |||||
Trading securities | 10,488,124 | 11,615,693 | |||||
Available-for-sale securities | 291,587 | 1,542,185 | |||||
Debt Securities, Held-to-maturity | [1] | 9,648,171 | 13,499,319 | ||||
Debt Securities, Held-to-maturity, Fair Value | 9,792,136 | 13,501,207 | |||||
Accrued interest receivable | 113,701 | 182,252 | |||||
Derivative assets (Note 7) | 215,888 | 267,165 | |||||
Derivative Asset, Netting Adjustments And Cash Collateral | [3] | 213,156 | [2] | 234,970 | [4] | ||
Liabilities | |||||||
Mandatorily redeemable capital stock (Note 11) | 19,454 | 21,669 | $ 23,184 | $ 30,031 | |||
Accrued Interest Payable, Fair Value Disclosure | 77,521 | 126,091 | |||||
Derivative liabilities | 3,813 | 1,310 | |||||
Derivative Liability, Netting Adjustments And Cash Collateral | [3] | (161,924) | [2] | (53,540) | [4] | ||
Fair Value Option Election | |||||||
Assets | |||||||
Advances, Fair Value Disclosure | 27,202 | 5,238 | |||||
Consolidated Obligation Bonds [Member] | Fair Value Option Election | |||||||
Liabilities | |||||||
Consolidated Obligations, Bonds | 2,262,388 | 4,757,177 | |||||
Discount Notes [Member] | Fair Value Option Election | |||||||
Liabilities | |||||||
Consolidated Obligations, Discount Notes | 0 | 12,386,974 | |||||
Fair Value, Inputs, Level 1 [Member] | |||||||
Assets | |||||||
Cash and Due from Banks | 2,984,073 | 20,608 | |||||
Interest-bearing deposits | 0 | 0 | |||||
Securities purchased under resale agreements | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Available-for-sale securities | 0 | 0 | |||||
Debt Securities, Held-to-maturity, Fair Value | 0 | 0 | |||||
Advances | 0 | [5] | 0 | [6] | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||||
Accrued interest receivable | 0 | 0 | |||||
Derivative assets (Note 7) | 0 | 0 | |||||
Liabilities | |||||||
Deposits | 0 | 0 | |||||
Mandatorily redeemable capital stock (Note 11) | 19,454 | 21,669 | |||||
Accrued Interest Payable, Fair Value Disclosure | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Bonds | 0 | [7] | 0 | [8] | |||
Fair Value, Inputs, Level 1 [Member] | Discount Notes [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Discount Notes | 0 | 0 | [9] | ||||
Fair Value, Inputs, Level 2 [Member] | |||||||
Assets | |||||||
Cash and Due from Banks | 0 | 0 | |||||
Interest-bearing deposits | 555,104 | 550,160 | |||||
Securities purchased under resale agreements | 1,818,268 | 2,348,607 | |||||
Federal funds sold | 4,240,000 | 4,833,000 | |||||
Trading securities | 10,488,124 | 11,615,693 | |||||
Available-for-sale securities | 291,587 | 1,542,185 | |||||
Debt Securities, Held-to-maturity, Fair Value | 9,792,136 | 13,501,207 | |||||
Advances | 25,573,785 | [5] | 47,458,028 | [6] | |||
Mortgage loans held for portfolio, net | 9,798,019 | 11,424,857 | |||||
Accrued interest receivable | 113,701 | 182,252 | |||||
Derivative assets (Note 7) | 2,732 | 32,195 | |||||
Liabilities | |||||||
Deposits | 1,327,267 | 951,343 | |||||
Mandatorily redeemable capital stock (Note 11) | 0 | 0 | |||||
Accrued Interest Payable, Fair Value Disclosure | 77,521 | 126,091 | |||||
Derivative liabilities | 165,737 | 54,850 | |||||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Bonds | 32,785,647 | [7] | 38,832,230 | [8] | |||
Fair Value, Inputs, Level 2 [Member] | Discount Notes [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Discount Notes | 27,501,296 | 49,086,723 | [9] | ||||
Fair Value, Inputs, Level 3 [Member] | |||||||
Assets | |||||||
Cash and Due from Banks | 0 | 0 | |||||
Interest-bearing deposits | 0 | 0 | |||||
Securities purchased under resale agreements | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Available-for-sale securities | 0 | 0 | |||||
Debt Securities, Held-to-maturity, Fair Value | 0 | 0 | |||||
Advances | 0 | [5] | 0 | [6] | |||
Mortgage loans held for portfolio, net | 63,783 | 12,323 | |||||
Accrued interest receivable | 0 | 0 | |||||
Derivative assets (Note 7) | 0 | 0 | |||||
Liabilities | |||||||
Deposits | 0 | 0 | |||||
Mandatorily redeemable capital stock (Note 11) | 0 | 0 | |||||
Accrued Interest Payable, Fair Value Disclosure | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Bonds | 0 | [7] | 0 | [8] | |||
Fair Value, Inputs, Level 3 [Member] | Discount Notes [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Discount Notes | 0 | 0 | [9] | ||||
Carrying Value | |||||||
Assets | |||||||
Cash and Due from Banks | 2,984,073 | 20,608 | |||||
Interest-bearing deposits | 555,104 | 550,160 | |||||
Securities purchased under resale agreements | 1,818,268 | 2,348,584 | |||||
Federal funds sold | 4,240,000 | 4,833,000 | |||||
Trading securities | 10,488,124 | 11,615,693 | |||||
Available-for-sale securities | 291,587 | 1,542,185 | |||||
Debt Securities, Held-to-maturity | 9,648,171 | 13,499,319 | |||||
Advances | 25,362,003 | [5] | 47,369,573 | [6] | |||
Mortgage loans held for portfolio, net | 9,548,506 | 11,235,353 | |||||
Accrued interest receivable | 113,701 | 182,252 | |||||
Derivative assets (Note 7) | 215,888 | 267,165 | |||||
Liabilities | |||||||
Deposits | 1,327,202 | 951,296 | |||||
Mandatorily redeemable capital stock (Note 11) | 19,454 | 21,669 | |||||
Accrued Interest Payable, Fair Value Disclosure | 77,521 | 126,091 | |||||
Derivative liabilities | 3,813 | 1,310 | |||||
Carrying Value | Consolidated Obligation Bonds [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Bonds | 31,996,311 | [7] | 38,439,724 | [8] | |||
Carrying Value | Discount Notes [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Discount Notes | 27,500,244 | 49,084,219 | [9] | ||||
Estimate of Fair Value Measurement [Member] | |||||||
Assets | |||||||
Cash and Due from Banks | 2,984,073 | 20,608 | |||||
Interest-bearing deposits | 555,104 | 550,160 | |||||
Securities purchased under resale agreements | 1,818,268 | 2,348,607 | |||||
Federal funds sold | 4,240,000 | 4,833,000 | |||||
Trading securities | 10,488,124 | 11,615,693 | |||||
Available-for-sale securities | 291,587 | 1,542,185 | |||||
Debt Securities, Held-to-maturity, Fair Value | 9,792,136 | 13,501,207 | |||||
Advances | 25,573,785 | [5] | 47,458,028 | [6] | |||
Mortgage loans held for portfolio, net | 9,861,802 | 11,437,180 | |||||
Accrued interest receivable | 113,701 | 182,252 | |||||
Derivative assets (Note 7) | 215,888 | 267,165 | |||||
Liabilities | |||||||
Deposits | 1,327,267 | 951,343 | |||||
Mandatorily redeemable capital stock (Note 11) | 19,454 | 21,669 | |||||
Accrued Interest Payable, Fair Value Disclosure | 77,521 | 126,091 | |||||
Derivative liabilities | 3,813 | 1,310 | |||||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Bonds | 32,785,647 | [7] | 38,832,230 | [8] | |||
Estimate of Fair Value Measurement [Member] | Discount Notes [Member] | |||||||
Liabilities | |||||||
Consolidated Obligations, Discount Notes | $ 27,501,296 | $ 49,086,723 | [9] | ||||
[1] | Fair values: $9,792,136 and $13,501,207 at December 31, 2020 and 2019, respectively. | ||||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $375,390 and $293,148 at December 31, 2020 and 2019. Cash collateral received, including accrued interest, was (in thousands) $310 and $4,638 at December 31, 2020 and 2019. | ||||||
[4] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||||
[5] | Includes (in thousands) $27,202 of Advances recorded under the fair value option at December 31, 2020. | ||||||
[6] | Includes (in thousands) $5,238 of Advances recorded under the fair value option at December 31, 2019. | ||||||
[7] | Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. | ||||||
[8] | Includes (in thousands) $4,757,177 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2019. | ||||||
[9] | Includes (in thousands) $12,386,974 of Consolidated Obligation Discount Notes recorded under the fair value option at December 31, 2019. |
Fair Value Disclosures Fair V_3
Fair Value Disclosures Fair Value Measured on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | $ 10,488,124 | $ 11,615,693 | |||
Available-for-sale securities | 291,587 | 1,542,185 | |||
Derivative assets (Note 7) | 215,888 | 267,165 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [2] | 213,156 | [1] | 234,970 | [3] |
Derivative liabilities | 3,813 | 1,310 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [2] | (161,924) | [1] | (53,540) | [3] |
US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 8,362,211 | 9,626,964 | |||
US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 2,125,580 | 1,988,259 | |||
Available-for-sale securities | 142,402 | 132,074 | |||
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 333 | 470 | |||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 149,185 | ||||
Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 1,410,111 | ||||
Fair Value Option Election | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 27,202 | 5,238 | |||
Fair Value Option Election | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 2,262,388 | 4,757,177 | |||
Fair Value Option Election | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | 12,386,974 | |||
Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative Asset, Netting Adjustments And Cash Collateral | 213,156 | [4] | 234,970 | [5] | |
Derivative Liability, Netting Adjustments And Cash Collateral | (161,924) | [4] | (53,540) | [5] | |
Fair Value, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative Asset, Netting Adjustments And Cash Collateral | 213,156 | [4] | 234,970 | [5] | |
Derivative Liability, Netting Adjustments And Cash Collateral | (161,924) | [4] | (53,540) | [5] | |
Fair Value, Recurring [Member] | Fair Value Option Election | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 27,202 | 5,238 | |||
Federal Home Loan Bank, Consolidated Obligations Fair Value Disclosure | 17,144,151 | ||||
Fair Value, Recurring [Member] | Fair Value Option Election | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 2,262,388 | 4,757,177 | |||
Fair Value, Recurring [Member] | Fair Value Option Election | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 12,386,974 | ||||
Fair Value, Inputs, Level 1 [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Derivative assets (Note 7) | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 0 | [6] | 0 | [7] | |
Fair Value, Inputs, Level 1 [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | 0 | [8] | ||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Advances, Fair Value Disclosure | 0 | 0 | |||
Derivative assets (Note 7) | 0 | 0 | |||
Total assests at fair value | 0 | 0 | |||
Federal Home Loan Bank, Consolidated Obligations Fair Value Disclosure | 0 | ||||
Derivative liabilities | 0 | 0 | |||
Total liabilities at fair value | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 0 | 0 | |||
Derivative liabilities | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 0 | ||||
Derivative liabilities | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | [9] | 0 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 10,488,124 | 11,615,693 | |||
Available-for-sale securities | 291,587 | 1,542,185 | |||
Derivative assets (Note 7) | 2,732 | 32,195 | |||
Derivative liabilities | 165,737 | 54,850 | |||
Mortgage loans held for portfolio, net | 9,798,019 | 11,424,857 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 32,785,647 | [6] | 38,832,230 | [7] | |
Fair Value, Inputs, Level 2 [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 27,501,296 | 49,086,723 | [8] | ||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 10,488,124 | 11,615,693 | |||
Available-for-sale securities | 291,587 | 1,542,185 | |||
Advances, Fair Value Disclosure | 27,202 | 5,238 | |||
Derivative assets (Note 7) | 2,732 | 32,195 | |||
Total assests at fair value | 10,809,645 | 13,195,311 | |||
Federal Home Loan Bank, Consolidated Obligations Fair Value Disclosure | 17,144,151 | ||||
Derivative liabilities | 165,737 | 54,850 | |||
Total liabilities at fair value | 2,428,125 | 17,199,001 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 2,262,388 | 4,757,177 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 12,386,974 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 1,676 | 29,376 | |||
Derivative liabilities | 165,737 | 54,004 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 1,056 | 2,798 | |||
Derivative liabilities | 64 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 21 | ||||
Derivative liabilities | 782 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 8,362,211 | 9,626,964 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 2,125,580 | 1,988,259 | |||
Available-for-sale securities | 142,402 | 132,074 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 333 | 470 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 149,185 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 1,410,111 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | [9] | 0 | |||
Fair Value, Inputs, Level 3 [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Derivative assets (Note 7) | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Mortgage loans held for portfolio, net | 63,783 | 12,323 | |||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 0 | [6] | 0 | [7] | |
Fair Value, Inputs, Level 3 [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | 0 | [8] | ||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Advances, Fair Value Disclosure | 0 | 0 | |||
Derivative assets (Note 7) | 0 | 0 | |||
Total assests at fair value | 0 | 0 | |||
Federal Home Loan Bank, Consolidated Obligations Fair Value Disclosure | 0 | ||||
Derivative liabilities | 0 | 0 | |||
Total liabilities at fair value | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 0 | 0 | |||
Derivative liabilities | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 0 | ||||
Derivative liabilities | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | [9] | 108 | |||
Estimate of Fair Value Measurement [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 10,488,124 | 11,615,693 | |||
Available-for-sale securities | 291,587 | 1,542,185 | |||
Derivative assets (Note 7) | 215,888 | 267,165 | |||
Derivative liabilities | 3,813 | 1,310 | |||
Mortgage loans held for portfolio, net | 9,861,802 | 11,437,180 | |||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 32,785,647 | [6] | 38,832,230 | [7] | |
Estimate of Fair Value Measurement [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 27,501,296 | 49,086,723 | [8] | ||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 10,488,124 | 11,615,693 | |||
Available-for-sale securities | 291,587 | 1,542,185 | |||
Derivative assets (Note 7) | 215,888 | 267,165 | |||
Total assests at fair value | 11,022,801 | 13,430,281 | |||
Derivative liabilities | 3,813 | 1,310 | |||
Total liabilities at fair value | 2,266,201 | 17,145,461 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 214,832 | 264,346 | |||
Derivative liabilities | 3,813 | 464 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 1,056 | 2,798 | |||
Derivative liabilities | 64 | ||||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets (Note 7) | 21 | ||||
Derivative liabilities | 782 | ||||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 8,362,211 | 9,626,964 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 2,125,580 | 1,988,259 | |||
Available-for-sale securities | 142,402 | 132,074 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 333 | 470 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 149,185 | ||||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | $ 1,410,111 | ||||
Estimate of Fair Value Measurement [Member] | Fair Value, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | [9] | $ 108 | |||
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $375,390 and $293,148 at December 31, 2020 and 2019. Cash collateral received, including accrued interest, was (in thousands) $310 and $4,638 at December 31, 2020 and 2019. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[4] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[5] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[6] | Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. | ||||
[7] | Includes (in thousands) $4,757,177 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2019. | ||||
[8] | Includes (in thousands) $12,386,974 of Consolidated Obligation Discount Notes recorded under the fair value option at December 31, 2019. | ||||
[9] | The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2020. |
Fair Value Disclosures Fair V_4
Fair Value Disclosures Fair Value Impact on Financial Performance (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ (7,293,000) | $ (53,852,000) | $ (14,184,000) |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, before Tax | 0 | ||
Advances [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 439,000 | 238,000 | (4,000) |
Discount Notes [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 1,060,000 | (1,060,000) | 0 |
Consolidated Obligation Bonds [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ (8,792,000) | $ (53,030,000) | $ (14,180,000) |
Fair Value Disclosures Fair V_5
Fair Value Disclosures Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 26,500 | $ 5,000 |
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | 702 | 238 |
Fair Value Option Election | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Advances, Fair Value Disclosure | 27,202 | 5,238 |
Consolidated Obligation Bonds [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value Option, Principle Balance, Consolidated Obligation Bonds | 2,241,000 | 4,739,000 |
Fair Value Option, Aggregate Differences, Consolidated Obligations Bonds | 21,388 | 18,177 |
Consolidated Obligation Bonds [Member] | Fair Value Option Election | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Consolidated Obligations, Bonds, Fair Value | 2,262,388 | 4,757,177 |
Discount Notes [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value Option, Principal Balance, Consolidated Obligation Discount Notes | 0 | 12,400,865 |
Fair Value Option, Aggregate Differences, Consolidated Obligation Discount Notes | 0 | (13,891) |
Discount Notes [Member] | Fair Value Option Election | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Consolidated Obligations, Discount Notes, Fair Value | $ 0 | $ 12,386,974 |
Commitments and Contingencies N
Commitments and Contingencies Narrative (Details) $ in Thousands | Dec. 31, 2020USD ($)Institutions | Dec. 31, 2019USD ($) |
Loss Contingencies [Line Items] | ||
Other Liabilities | $ 331,008 | $ 307,499 |
Number of State Housing Authorities Standby Bond Purchase Agreements | Institutions | 1 | |
Standby Letters of Credit [Member] | ||
Loss Contingencies [Line Items] | ||
Other Liabilities | $ 8,675 | $ 5,170 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | $ 27,741,220 | $ 15,143,075 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 1,071,029 | 1,062,105 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 28,812,249 | 16,205,180 | |
Financial Standby Letter of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 0 | 20,360 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 35,030 | 55,150 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 35,030 | 75,510 | |
Forward Contracts [Member] | Mortgage Receivable [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 137,352 | 936,269 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 0 | 0 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 137,352 | 936,269 | |
Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [1] | 321,551 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | [1] | 0 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | [1] | $ 321,551 | $ 0 |
[1] | Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Transactions with Other FHLBa_3
Transactions with Other FHLBanks (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Schedule of Other Transactions [Line Items] | |||
Par Amount of Bonds Transferred from Other Federal Home Loan Banks | $ 0 | $ 10,000 | $ 0 |
Net Premium (Discount) on Bonds Transferred from Other Federal Home Loan Banks | 2,697 | ||
Payments for Bonds Transferred to Other Federal Home Loan Banks | 0 | 0 | 0 |
Other FHLBanks [Member] | |||
Schedule of Other Transactions [Line Items] | |||
Loans Receivable, Average Outstanding Amount | 4,918 | 2,877 | 1,370 |
Short-term Debt, Average Outstanding Amount | $ 137 | $ 137 | $ 274 |
Transactions with Stockholder_2
Transactions with Stockholders (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Other Transactions [Line Items] | |||
Advances | $ 25,007,397 | $ 47,264,144 | |
Loans and Leases Receivable, before Fees, Gross | 9,315,995 | 10,980,942 | |
Director [Member] | |||
Schedule of Other Transactions [Line Items] | |||
Advances | $ 7,048,000 | $ 3,428,000 | |
Federal Home Loan Bank Advances, Percent of Principal | [1] | 28.20% | 7.30% |
Loans and Leases Receivable, before Fees, Gross | $ 159,000 | $ 122,000 | |
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance, Percent of Total | [1] | 1.70% | 1.10% |
Regulatory Capital Stock, Value | $ 467,000 | $ 176,000 | |
Regulatory Capital Stock, Percent of Total | [1] | 17.60% | 5.20% |
[1] | Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. |
Transactions with Stockholder_3
Transactions with Stockholders (Concentrations) (Details) $ in Thousands | Dec. 31, 2020USD ($)Banks | Dec. 31, 2019USD ($) |
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 25,007,397 | $ 47,264,144 |
U.S. Bank, N.A. [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 288,000 | $ 485,000 |
Concentration Risk, Percentage | 11.00% | 14.00% |
U.S. Bank, N.A. [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 4,273,000 | $ 13,874,000 |
U.S. Bank, N.A. [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 13,000 | 17,000 |
JPMorgan Chase Bank National Association [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 163,000 | $ 675,000 |
Concentration Risk, Percentage | 6.00% | 20.00% |
JPMorgan Chase Bank National Association [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 0 | $ 4,500,000 |
JPMorgan Chase Bank National Association [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 0 | $ 0 |
Third Federal Savings and Loan Association [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 137,000 | |
Concentration Risk, Percentage | 5.00% | |
Third Federal Savings and Loan Association [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 3,443,000 | |
Third Federal Savings and Loan Association [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | $ 42,000 | |
Kentucky Housing Corporation, Ohio Housing Finance Agency, Tennessee Housing Development Agency [Member] | ||
Concentration Risk [Line Items] | ||
Number Of Relationships With Non Member Affiliates | Banks | 3 |