Document and Entity Information
Document and Entity Information - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Feb. 28, 2020 | Jun. 30, 2019 | Dec. 31, 2018 | |
Entity Information [Line Items] | ||||
Entity Registrant Name | Federal Home Loan Bank of Pittsburgh | |||
Entity Central Index Key | 0001330399 | |||
Current Fiscal Year End Date | --12-31 | |||
Entity Filer Category | Non-accelerated Filer | |||
Document Type | 10-K | |||
Document Period End Date | Dec. 31, 2019 | |||
Document Fiscal Year Focus | 2019 | |||
Document Fiscal Period Focus | FY | |||
Amendment Flag | false | |||
Entity Emerging Growth Company | false | |||
Entity Small Business | false | |||
Entity Common Stock, Shares Outstanding | 29,985,999 | |||
Entity Shell Company | false | |||
Entity Well-known Seasoned Issuer | No | |||
Entity Voluntary Filers | No | |||
Entity Current Reporting Status | Yes | |||
Entity Public Float | $ 0 | |||
Capital stock | $ 3,054,996 | $ 3,987,000 | $ 4,027,244 |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Interest income: | |||
Advances | $ 1,871,151 | $ 1,648,474 | $ 987,272 |
Interest-bearing deposits | 38,602 | 16,737 | 2,408 |
Securities purchased under agreements to resell | 33,411 | 13,458 | 1,834 |
Federal funds sold | 152,502 | 114,635 | 74,881 |
Trading securities | 62,258 | 13,839 | 11,266 |
Available-for-sale (AFS) securities | 275,427 | 224,978 | 188,462 |
Held-to-maturity (HTM) securities | 83,523 | 78,267 | 54,969 |
Mortgage loans held for portfolio | 170,136 | 151,002 | 132,622 |
Total interest income | 2,687,010 | 2,261,390 | 1,453,714 |
Interest expense: | |||
Consolidated obligations - discount notes | 601,223 | 494,173 | 287,021 |
Consolidated obligations - bonds | 1,603,336 | 1,288,245 | 725,948 |
Deposits | 11,261 | 7,878 | 4,914 |
Other borrowings | 17,348 | 1,005 | 363 |
Total interest expense | 2,233,168 | 1,791,301 | 1,018,246 |
Net interest income | 453,842 | 470,089 | 435,468 |
Provision for credit losses | 1,263 | 3,121 | 178 |
Net interest income after provision for credit losses | 452,579 | 466,968 | 435,290 |
Other noninterest income (loss): | |||
Net OTTI losses (Note 7) | (570) | (957) | (959) |
Net gains (losses) on investment securities (Notes 4 and 5) | 18,705 | (9,743) | 2,672 |
Net gains (losses) on derivatives and hedging activities (Note 11) | (39,795) | (4,537) | 4,586 |
Standby letters of credit fees | 21,827 | 23,675 | 24,289 |
Other, net | 2,859 | 2,541 | 1,635 |
Total other noninterest income (loss) | 3,026 | 10,979 | 32,223 |
Other expense: | |||
Compensation and benefits | 50,659 | 46,273 | 49,649 |
Other operating | 38,441 | 34,941 | 30,199 |
Finance Agency | 6,671 | 5,954 | 5,538 |
Office of Finance | 5,769 | 4,945 | 4,727 |
Total other expense | 101,540 | 92,113 | 90,113 |
Income before assessments | 354,065 | 385,834 | 377,400 |
Affordable Housing Program (AHP) assessment (Note 14) | 37,140 | 38,683 | 37,768 |
Net income | $ 316,925 | $ 347,151 | $ 339,632 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Net income | $ 316,925 | $ 347,151 | $ 339,632 |
Other comprehensive income (loss) : | |||
Net unrealized gains (losses) on AFS securities | 35,268 | (31,323) | 54,045 |
Net non-credit portion of OTTI gains (losses) on AFS securities | (13,429) | (7,820) | 5,529 |
Reclassification of net (gains) included in net income relating to hedging activities | (27) | (24) | (23) |
Pension and post-retirement benefits | (3,132) | 1,349 | (883) |
Total other comprehensive income (loss) | 18,680 | (37,818) | 58,668 |
Total comprehensive income | $ 335,605 | $ 309,333 | $ 398,300 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Assets | ||
Cash and due from banks (Note 3) | $ 21,490 | $ 71,320 |
Interest-bearing deposits | 1,476,890 | 2,123,240 |
Federal funds sold | 3,770,000 | 4,740,000 |
Securities purchased under agreements to resell | 2,200,000 | 1,000,000 |
Investment securities: | ||
Trading securities (Note 4) | 3,631,650 | 1,281,053 |
AFS securities, at fair value (Note 5) | 11,097,769 | 7,846,257 |
HTM securities; fair value of $2,440,288 and $3,101,133, respectively (Note 6) | 2,395,691 | 3,086,032 |
Total investment securities | 17,125,110 | 12,213,342 |
Advances (Note 8) | 65,610,075 | 82,475,547 |
Mortgage loans held for portfolio (Note 9), net of allowance for credit losses of $7,832 and $7,309, respectively (Note 10) | 5,114,625 | 4,461,612 |
Banking on Business (BOB) loans, net of allowance for credit losses of $3,065 and $2,560, respectively (Note 10) | 19,706 | 17,371 |
Accrued interest receivable | 193,352 | 234,161 |
Derivative assets (Note 11) | 140,251 | 110,269 |
Other assets | 52,630 | 39,657 |
Total assets | 95,724,129 | 107,486,519 |
Liabilities | ||
Deposits (Note 12) | 573,382 | 387,085 |
Consolidated obligations (Note 13) | ||
Discount notes | 23,141,362 | 36,896,603 |
Bonds | 66,807,807 | 64,298,628 |
Total consolidated obligations | 89,949,169 | 101,195,231 |
Mandatorily redeemable capital stock ( Note 15) | 343,575 | 24,099 |
Accrued interest payable | 205,118 | 226,537 |
AHP payable (Note 14) | 112,289 | 99,578 |
Derivative liabilities ( Note 11) | 3,024 | 25,511 |
Other Liabilities | 64,736 | 152,184 |
Total liabilities | 91,251,293 | 102,110,225 |
Commitments and contingencies (Note 19) | ||
Capital (Note 15) | ||
Capital stock - putable ($100 par value) issued and outstanding 30,550 and 40,272 shares | 3,054,996 | 4,027,244 |
Retained earnings: | ||
Unrestricted | 910,726 | 924,001 |
Restricted | 415,288 | 351,903 |
Total retained earnings | 1,326,014 | 1,275,904 |
Accumulated Other Comprehensive Income (AOCI) | 91,826 | 73,146 |
Total capital | 4,472,836 | 5,376,294 |
Total liabilities and capital | $ 95,724,129 | $ 107,486,519 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Assets | ||
HTM securities - fair value | $ 2,440,288 | $ 3,101,133 |
Allowance for credit losses on mortgage loans held for portfolio | (7,832) | (7,309) |
Allowance for credit losses on BOB loans | $ (3,065) | $ (2,560) |
Capital | ||
Capital stock, par value | $ 100 | $ 100 |
Capital stock, shares outstanding | 30,550 | 40,272 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
OPERATING ACTIVITIES | |||
Net income | $ 316,925 | $ 347,151 | $ 339,632 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Depreciation and amortization | (75,948) | 4,023 | 26,927 |
Net change in derivative and hedging activities | (284,511) | 71,235 | 43,973 |
Net OTTI credit losses | 570 | 957 | 959 |
Other adjustments | 3,276 | 3,124 | 178 |
Net change in: | |||
Trading securities | (2,350,597) | (891,414) | (4,049) |
Accrued interest receivable | 40,781 | (69,918) | (40,103) |
Other assets | (7,251) | (5,432) | (5,191) |
Accrued interest payable | (21,414) | 108,071 | 1,289 |
Other liabilities | 16,804 | 10,867 | 18,711 |
Net cash provided by (used in) operating activities | (2,361,365) | (421,336) | 382,326 |
Net change in: | |||
Interest-bearing deposits (including $238, $(71) and $569 (to)/from other FHLBanks) | 662,920 | (1,882,865) | (262,366) |
Securities purchased under agreements to resell | (1,200,000) | (500,000) | 1,500,000 |
Federal funds sold | 970,000 | 910,000 | (2,428,000) |
AFS securities: | |||
Proceeds | 2,115,531 | 2,356,790 | 1,562,845 |
Purchases | (5,364,087) | (1,298,323) | (1,305,985) |
HTM Securities | |||
Proceeds | 1,716,232 | 3,703,274 | 3,004,705 |
Purchases | (1,026,982) | (4,907,754) | (2,323,286) |
Advances | |||
Repaid | 1,052,295,531 | 1,220,509,586 | 925,066,860 |
Originated | (1,035,138,092) | (1,228,727,329) | (922,617,397) |
Mortgage loans held for portfolio: | |||
Proceeds | 639,308 | 418,510 | 447,613 |
Purchases | (1,311,077) | (976,565) | (999,977) |
Other investing activities, net | 2,699 | 4,896 | 6,144 |
Net cash provided by (used in) investing activities | 14,361,983 | (10,389,780) | 1,651,156 |
FINANCING ACTIVITIES | |||
Net change in deposits | 189,283 | (145,780) | (20,815) |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 454,063,438 | 463,639,676 | 352,450,978 |
Bonds | 69,344,940 | 55,384,368 | 46,624,789 |
Payments for maturing and retiring consolidated obligations: | |||
Discount notes | (467,767,787) | (462,967,221) | (344,814,684) |
Bonds | (66,960,735) | (48,602,058) | (56,181,533) |
Proceeds from Issuance of capital stock | 6,451,262 | 5,991,346 | 4,312,855 |
Payments for repurchase/redemption of capital stock | (7,061,961) | (5,580,025) | (4,402,864) |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (42,073) | (23,747) | (6,849) |
Cash dividends paid | (266,815) | (229,115) | (167,972) |
Net cash provided by (used in) financing activities | (12,050,448) | 7,467,444 | (2,206,095) |
Cash and Cash Equivalents, Period Increase (Decrease) | (49,830) | (3,343,672) | (172,613) |
Cash and due from banks at beginning of the period | 71,320 | 3,414,992 | 3,587,605 |
Cash and due from banks at end of the period | 21,490 | 71,320 | 3,414,992 |
Supplemental disclosures: | |||
Interest paid | 2,351,624 | 1,688,240 | 986,348 |
AHP payments | 24,429 | 30,668 | 22,917 |
Variation margin recharacterized as settlement payments on derivative contracts | 0 | 0 | 44,674 |
Capital stock reclassified to mandatorily redeemable capital stock | $ 361,549 | $ 42,733 | $ 6,746 |
Statements of Cash Flows (Paren
Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Statement of Cash Flows [Abstract] | |||
Interest-bearing deposits from other FHLBanks for mortgage loan program | $ 238 | $ (71) | $ 569 |
Statements of Changes in Capita
Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | $ 5,376,294 | $ 4,927,488 | $ 4,793,915 |
Issuance of Capital Stock | 6,451,262 | 5,991,346 | 4,312,855 |
Repurchase/redemption of capital stock | (7,061,961) | (5,580,025) | (4,402,864) |
Shares reclassified to mandatorily redeemable capital stock | (361,549) | (42,733) | (6,746) |
Comprehensive income | 335,605 | 309,333 | 398,300 |
Cash dividends | (266,815) | (229,115) | (167,972) |
Total capital, ending balance | $ 4,472,836 | $ 5,376,294 | $ 4,927,488 |
Common Stock [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Balance Shares, Beginning Balance | 40,272 | 36,587 | 37,554 |
Total capital, beginning balance | $ 4,027,244 | $ 3,658,656 | $ 3,755,411 |
Issuance of Capital Stock, Shares | 64,512 | 59,913 | 43,129 |
Issuance of Capital Stock | $ 6,451,262 | $ 5,991,346 | $ 4,312,855 |
Repurchase/redemption of capital stock, shares | (70,619) | (55,801) | (44,028) |
Repurchase/redemption of capital stock | $ (7,061,961) | $ (5,580,025) | $ (4,402,864) |
Cash dividends | (3,615) | (427) | (68) |
Shares reclassified to mandatorily redeemable capital stock | $ (361,549) | $ (42,733) | $ (6,746) |
Balance Shares, Ending Balance | 30,550 | 40,272 | 36,587 |
Total capital, ending balance | $ 3,054,996 | $ 4,027,244 | $ 3,658,656 |
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 924,001 | 875,395 | 771,661 |
Comprehensive income | 253,540 | 277,721 | 271,706 |
Cash dividends | (266,815) | (229,115) | (167,972) |
Total capital, ending balance | 910,726 | 924,001 | 875,395 |
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 351,903 | 282,473 | 214,547 |
Comprehensive income | 63,385 | 69,430 | 67,926 |
Total capital, ending balance | 415,288 | 351,903 | 282,473 |
Retained Earnings, Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 1,275,904 | 1,157,868 | 986,208 |
Comprehensive income | 316,925 | 347,151 | 339,632 |
Cash dividends | (266,815) | (229,115) | (167,972) |
Total capital, ending balance | 1,326,014 | 1,275,904 | 1,157,868 |
Accumulated Other Comprehensive Income (Loss) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 73,146 | 110,964 | 52,296 |
Comprehensive income | 18,680 | (37,818) | 58,668 |
Total capital, ending balance | $ 91,826 | $ 73,146 | $ 110,964 |
Background Information
Background Information | 12 Months Ended |
Dec. 31, 2019 | |
Nature of Operations [Abstract] | |
Background Information | Background Information The Bank, 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 increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as defined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, do not hold capital stock. All members must purchase capital stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of certain residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 17 - Transactions with Related Parties for additional information. The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to ensure the FHLBanks operate in a safe and sound manner so they serve as a reliable source for 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 Bank does not consolidate any off-balance sheet special-purpose entities or other conduits. As provided by the Federal Home Loan Bank Act (FHLBank Act) or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the Mortgage Partnership Finance ® (MPF ® ) Program and purchase certain investments. See Note 13 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all the FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement with the Federal Reserve. |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation These financial statements are prepared in accordance with generally accepted accounting principles in the United States of America (GAAP). Variable Interest Entities (VIEs). The Bank is not the primary beneficiary of any VIEs for which consolidation would be required. Significant Accounting Policies Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include the fair value of derivatives and certain investment securities that are reported at fair value in the Statement of Condition, determination of other-than-temporary impairments of certain mortgage-backed securities, and the determination of the Allowance for Credit Losses. Actual results could differ from these estimates significantly. Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values may not be indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. See Note 18 - Estimated Fair Values for more information. Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 - Derivatives and Hedging Activities for additional information regarding these agreements. Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell. Interest-bearing deposits, Federal funds sold and securities purchased under agreements to resell, provide short-term liquidity and are carried at cost. Interest-bearing deposits can include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans generally transacted with counterparties that are considered by an FHLBank to be of investment quality. The Bank treats securities purchased under agreements to resell as short-term collateralized loans that are classified as assets in the Statement of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. If the fair value of the underlying securities decreases below the fair value required as collateral, the counterparty has the option to (1) place an equivalent amount of additional securities in safekeeping in the name of the Bank or (2) remit an equivalent amount of cash. Investment Securities. The Bank classifies investment securities as trading, AFS and HTM at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on investment securities.” Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. Generally, the Bank records changes in the fair value of these securities in AOCI as “Net unrealized gains (losses) on AFS securities.” Beginning January 1, 2019, the Bank adopted new hedging accounting guidance, which, among other things, impacts the income statement presentation of gains (losses) on derivatives and hedging activities for qualifying hedges, including hedges of AFS securities. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income within the “AFS securities” section 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 AOCI as “Net unrealized gains (losses) on AFS securities.” Prior to January 1, 2019, for AFS securities that had been hedged and qualified as a fair value hedge, the Bank recorded the portion of the change in the fair value of the investment related to the risk being hedged in the noninterest income as “Net gains (losses) on derivative 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 AOCI as “Net unrealized gains (losses) on AFS securities.” Held-to-Maturity (HTM). Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired adjusted for periodic principal repayments, amortization of premiums and accretion of discounts. Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM 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 Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) The sale occurs near enough to its 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 the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) The sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. Premiums and Discounts. The Bank amortizes purchased premiums and accretes purchased discounts on investment securities using the contractual level-yield method (contractual method). The contractual method recognizes the income effects of premiums and discounts over the contractual life of the securities based on the actual behavior of the underlying assets, including adjustments for actual prepayment activities, and reflects the contractual terms of the securities without regard to changes in estimated prepayments based on assumptions about future borrower behavior. Gains and Losses on Sales. The Bank computes gains and losses on sales of its investment securities using the specific identification method and includes these gains and losses in other noninterest income (loss). Investment Securities - OTTI. The Bank evaluates its individual AFS and HTM securities in unrealized loss positions for OTTI on a quarterly basis. A security is considered impaired (i.e. in an unrealized loss position) when its fair value is less than its amortized cost. The Bank considers an OTTI to have occurred under any of the following conditions: • It has an intent to sell the impaired debt security; • If, based on available evidence, it believes it is more likely than not that it will be required to sell the impaired debt security before the recovery of its amortized cost basis; or • It does not expect to recover the entire amortized cost basis of the impaired debt security. Recognition of OTTI. If either of the first two conditions is met, the Bank recognizes an OTTI 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 a security in an unrealized loss position that does not meet either of the first two conditions, the security is evaluated to determine the extent and amount of credit loss. To determine whether a credit loss exists, the Bank performs an analysis, which includes a cash flow analysis for private label mortgage-backed securities (MBS), to determine if it will recover the entire amortized cost basis of each of these securities. The present value of the cash flows expected to be collected is compared to the amortized cost of the debt security. If there is a credit loss (the difference between the present value of the cash flows expected to be collected and the amortized cost basis of the debt security), the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) is recognized in earnings, while the amount related to all other factors (i.e., the non-credit component) is recognized in AOCI which is a component of capital. The credit loss on a debt security is limited to the amount of that security’s unrealized losses. The net OTTI is presented in the Statement of Income with the related offset representing the non-credit portion of OTTI that is recognized in AOCI. The remaining amount on the Statement of Income represents the credit loss for the period. Accounting for OTTI Recognized in AOCI. For subsequent accounting of an other-than-temporarily impaired security, the Bank records an additional OTTI if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional OTTI (both credit and non-credit component, if any) is determined as the difference between the security’s amortized cost less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI and its fair value. Any additional credit loss is limited to that security’s unrealized losses, or the difference between the security’s amortized cost and its fair value, as of the Statement of Condition date. This additional credit loss, up to the amount in AOCI related to the security, is reclassified out of AOCI and recognized in earnings. The non-credit component, if any, is recognized in AOCI. Subsequent related increases and decreases (if not an additional OTTI) in the fair value of AFS securities are netted against the non-credit component of OTTI recognized previously in AOCI. For debt securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value. Interest Income Recognition. When a debt security has been other-than-temporarily impaired, a new accretable yield is calculated for that security at its impairment measurement date. This adjusted yield is used to calculate the interest income recognized over the remaining life of that security, matching the amount and timing of its estimated future collectible cash flows. Subsequent to that security’s initial OTTI, the Bank re-evaluates estimated future collectible cash flows on a quarterly basis. If the security has no additional OTTI based on this evaluation, the accretable yield is reassessed for possible upward adjustment on a prospective basis. The accretable yield is adjusted if there is a significant increase in the security’s expected cash flows. Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost net of premiums and discounts (including discounts related to AHP and hedging adjustments). The Bank amortizes/accretes premiums, discounts and hedging adjustments to interest income using the contractual method. The Bank records interest on advances to interest income as earned. Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit. Advance Modifications. In cases in which the Bank funds a new advance concurrently with or within a short period of time before or after the prepayment of an existing advance, the Bank 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 Bank 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% difference in the present value of cash flows or if, based on a qualitative assessment of the modifications made to the original contractual terms, the Bank will conclude that the modifications are more than minor, and 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 Bank charges a borrower a prepayment fee when the borrower prepays certain advances before the original maturity. In the event that a new advance is issued in connection with a prepayment of an outstanding advance but the new advance does not qualify as a modification of an existing advance, any prepayment fee, net of hedging activities, is recorded in “Advances” in the interest income section of the Statement of Income. If a new advance qualifies as a modification of an existing advance, any prepayment fee, net of hedging activities, is deferred and amortized using the contractual method. Mortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation. The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are reported net of premiums, discounts, deferred loan fees or costs, hedging adjustments, charge-offs, and the allowance for credit losses. Premiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method. CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses. Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated expiration. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount; they represent purchase price adjustments to the related loans acquired and are recorded as a part of the carrying value of the loans. BOB Loans. The Bank’s BOB loan program to members is targeted to small businesses.. The program’s objective is to assist in the growth and development of small business, including both their start-up and expansion. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is to help facilitate community economic development; however, repayment provisions require that the BOB program be accounted for as an unsecured loan. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid. Allowance for Credit Losses. Establishing Allowance for Credit Losses. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank’s portfolio as of the Statement of Condition date and the amount of loss can be reasonably estimated. A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. Portfolio Segments . A portfolio segment is defined as the level at which an entity develops and documents a systematic methodology for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses, where applicable, for: • advances, letters of credit and other extensions of credit to members, collectively referred to as credit products; • government-guaranteed or insured mortgage loans held for portfolio; • conventional MPF loans held for portfolio; and • BOB loans. Classes of Financing Receivables . Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent that disaggregation is needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments is needed as the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level. Nonaccrual Loans . The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and 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 nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection. Troubled Debt Restructuring (TDR). The Bank considers a troubled debt restructuring 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, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance. 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 reliable source of repayment available. Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as a charge-off. Interest income on impaired loans is recognized in the same manner as non-accrual loans. Charge-off Policy . A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets. BOB Loans. See Note 10 - Allowance for Credit Losses for a description of the allowance for credit losses policies relating to the BOB program. Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses and/or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in other noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition. Derivatives and Hedging Activities. All derivatives are recognized on the Statement of Condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial margin, and accrued interest received from or pledged to clearing agents and/or counterparties. Variation margin payments are characterized as daily settlement payments, rather than collateral. The fair value of derivatives is netted by clearing agent and/or 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 derivatives 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. Derivative Designations. Each derivative is designated as either: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or • a non-qualifying hedge (an economic hedge) for asset and 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 are expected to be highly effective, they qualify for fair value hedge accounting. Two approaches to hedge accounting include: • Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been highly effective in offsetting changes in the fair value of hedged items or forecasted transactions attributable to the hedged risk and whether those derivatives may be expected to remain highly effective in future periods. For hedge relationships that meet certain requirements, this assessment may be completed qualitatively. • Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be highly effective at achieving offsetting changes in fair values of the hedged asset or liability. The Bank documents fallback language at hedge inception, including the quantitative method it would use to assess hedge effectiveness and measure hedge results if the short-cut method were to no longer be appropriate during the life of the hedging relationship. Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date. Beginning January 1, 2019, the Bank adopted new hedging accounting guidance, which, among other things, impacts the presentation of gains (losses) on derivatives and hedging activities for qualifying hedges. Net interest settlements, as well as changes in the fair value of a derivative and the related hedged item for designated fair value hedges, are recorded in net interest income in the same line as the hedged item. Prior to January 1, 2019, for 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 hedged item attributable to the hedged risk) was recorded in other noninterest income 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 fair value hedge accounting, but is an acceptable hedging strategy under the Bank’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 Bank’s income. but that are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. As a result, the Bank recognizes the net interest settlements and the change in fair value of these derivatives in other noninterest income as “Net gains (losses) on derivatives and hedging activities” with no offsetting fair value adjustments for the assets, liabilities, or firm commitments. Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedge relationships are recognized as adjustments to the income or expense of the designated hedged item. Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: • it determines that the derivative is no longer highly effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments); • the derivative and/or the hedged item expires or is sold, terminated, or exercised; • a hedged firm commitment no longer meets the definition of a firm commitment; or • management determines that designating the derivative as a hedging instrument is no longer appropriate. When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statement 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 the contractual method. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance, debt 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. The embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument (pursuant to an economic hedge) when the Bank 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. However, the entire contract is carried a |
Accounting Adjustments, Changes
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Adjustments, Changes In Accounting Principle And Recently Issued Accounting Standards And Interpretations [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles | Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations The Bank adopted the following new accounting standards during the year ended December 31, 2019 . Standard Description Adoption Date and Transition Effect on the Financial Statements or Other Significant Matters ASU 2018-16: Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes This ASU adds the OIS rate based on SOFR as a benchmark interest rate for hedge accounting purposes to facilitate the transition of the replacement of LIBOR. The Bank adopted this ASU on January 1, 2019 on a prospective basis. The adoption of this ASU did not impact the Bank’s financial condition or results of operations. This guidance could affect the Bank’s hedging strategies and application of hedge accounting for qualifying new or re-designated hedging relationships entered into on or after January 1, 2019. ASU 2018-08: Contributions Received and Contributions Made This ASU clarifies the distinction between exchange transactions and contributions, including whether a contribution is conditional. The Bank adopted this ASU on January 1, 2019 on a modified prospective basis. The adoption of this ASU did not impact the Bank’s financial condition or results of operations. The Bank will apply the amended guidance when accounting for contributions made. ASU 2017-12: Targeted Improvements to Accounting for Hedging Activities, as amended This ASU makes amendments to the accounting for derivatives and hedging activities intended to better portray the economics of the transactions. The Bank adopted this ASU on January 1, 2019 and applied it to existing hedging relationships as of January 1, 2019. The adoption of this ASU did not affect the Bank’s application of hedge accounting for existing hedge strategies, with the following exceptions: 1) designation of a fallback long-haul method for its short-cut hedge strategies and 2) use of qualitative hedge effectiveness assessments for an appropriate subset of fair value hedge relationships. Upon adoption, the Bank modified its presentation of hedge results for fair value hedges within the results of operations, as well as relevant disclosures. See Note 11 - Derivatives and Hedging Activities for further discussion. The Bank will continue to assess opportunities enabled by the new guidance to expand its risk management strategies. ASU 2017-08: Premium Amortization on Purchased Callable Debt Securities This ASU requires that the amortization period for premiums on certain purchased callable debt securities be shortened to the earliest call date, rather than contractual maturity. This ASU was adopted by the Bank on January 1, 2019 on a modified retrospective basis. The adoption of this ASU did not impact the Bank’s financial condition or results of operations. ASU 2016-02: Leases, as amended This ASU amends the accounting for leases. It requires lessees to recognize a right-of-use asset and lease liability for virtually all leases. The Bank adopted this ASU on January 1, 2019 on a modified retrospective basis. The Bank was not required to restate comparative reporting periods. The adoption of this ASU did not materially impact the Bank’s financial condition, results of operations, and statement of cash flows. Upon adoption, the Bank increased its “Other Assets” and “Other Liabilities” for operating leases capitalized. The Bank’s most significant lease is its headquarters. The following table provides a brief description of recently issued accounting standards which may have an impact on the Bank. Standard Description Effective Date and Transition Effect on the Financial Statements or Other Significant Matters ASU 2018-15: Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Service Arrangement That Is a Service Contract This ASU reduces diversity in practice by aligning the requirements for capitalizing implementation costs incurred in a hosting arrangement with internal-use software. This ASU was effective for the Bank beginning January 1, 2020 and was adopted on a prospective basis. The adoption of this ASU did not have a significant impact on the Bank’s financial condition or results of operations. ASU 2018-14: Changes to the Disclosure Requirements for Defined Benefit Plans This ASU adds, removes, and clarifies certain disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans. This ASU will be effective for the Bank for the year ending December 31, 2020. The adoption of this ASU will not have a significant impact on the Bank's disclosures, which will be revised as appropriate. ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement This ASU adds, removes, and modifies certain fair value disclosure requirements. This ASU was effective for the Bank beginning January 1, 2020. The adoption of this ASU will not have a significant impact on the Bank's disclosures, which will be revised as appropriate. ASU 2016-13: Financial Instruments - Credit Losses, as amended This ASU makes substantial changes to the accounting for credit losses on certain financial instruments. It replaces the current incurred loss model with a new model based on lifetime expected credit losses, which the FASB believes will result in more timely recognition of credit losses. This ASU was effective for the Bank beginning January 1, 2020 and was generally adopted on a modified retrospective basis, with the exception of previously-OTTI AFS debt securities, for which the guidance was applied prospectively. The adoption of this ASU did not have a significant impact on the Bank's financial statements. The Bank recognized zero credit losses on advances and GSE/U.S. investments. The impact on the Bank’s financial statements for all other financial instruments including securities purchased under agreements to resell, interest bearing deposits, federal funds sold, state or local agency obligations, private label MBS, BOB loans, and MPF loans was immaterial. |
Cash and Due from Banks
Cash and Due from Banks | 12 Months Ended |
Dec. 31, 2019 | |
Cash and Due from Banks [Abstract] | |
Cash and Due from Banks | 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 (FRB). The Bank maintains compensating and collected cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions about the withdrawal of funds. The average compensating and collected cash balances for the years ended December 31, 2019 and December 31, 2018 were $43.1 million and $84.9 million , respectively. |
Trading Securities
Trading Securities | 12 Months Ended |
Dec. 31, 2019 | |
Trading Securities [Member] | |
Investment Holdings [Line Items] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Trading Securities The following table presents trading securities as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, December 31, U.S. Treasury obligations $ 3,390,772 $ 997,061 GSE and Tennessee Valley Authority (TVA) obligations 240,878 283,992 Total $ 3,631,650 $ 1,281,053 The following table presents net gains (losses) on trading securities for 2019 , 2018 and 2017 . Year ended December 31, (in thousands) 2019 2018 2017 Net unrealized gains (losses) on trading securities held at year-end $ 16,197 $ (4,816 ) $ 2,672 Net unrealized and realized gains (losses) on trading securities sold/matured during the year 2,508 (4,927 ) — Net gains (losses) on trading securities $ 18,705 $ (9,743 ) $ 2,672 |
Available-for-Sale (AFS) Securi
Available-for-Sale (AFS) Securities | 12 Months Ended |
Dec. 31, 2019 | |
Available-for-sale Securities [Member] | |
Investment Holdings [Line Items] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Available-for-Sale (AFS) Securities The following tables present AFS securities as of December 31, 2019 and December 31, 2018 . December 31, 2019 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: GSE and TVA obligations $ 1,508,264 $ — $ 42,435 $ — $ 1,550,699 State or local agency obligations 238,496 — 9,398 — 247,894 Total non-MBS $ 1,746,760 $ — $ 51,833 $ — $ 1,798,593 MBS: U.S. obligations single-family MBS $ 805,294 $ — $ 3,590 $ (1,298 ) $ 807,586 GSE single-family MBS 4,053,700 — 9,574 (7,415 ) 4,055,859 GSE multifamily MBS 4,120,532 — 4,581 (15,528 ) 4,109,585 Private label MBS 274,624 — 51,704 (182 ) 326,146 Total MBS $ 9,254,150 $ — $ 69,449 $ (24,423 ) $ 9,299,176 Total AFS securities $ 11,000,910 $ — $ 121,282 $ (24,423 ) $ 11,097,769 December 31, 2018 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: GSE and TVA obligations $ 1,771,573 $ — $ 15,801 $ (2,057 ) $ 1,785,317 State or local agency obligations 250,789 — 1,975 (6,825 ) 245,939 Total non-MBS $ 2,022,362 $ — $ 17,776 $ (8,882 ) $ 2,031,256 MBS: U.S. obligations single-family MBS $ 216,594 $ — $ 1,988 $ (88 ) $ 218,494 GSE single-family MBS 2,575,361 — 12,013 (5,871 ) 2,581,503 GSE multifamily MBS 2,612,289 — 550 (7,385 ) 2,605,454 Private label MBS 344,631 — 65,133 (214 ) 409,550 Total MBS $ 5,748,875 $ — $ 79,684 $ (13,558 ) $ 5,815,001 Total AFS securities $ 7,771,237 $ — $ 97,460 $ (22,440 ) $ 7,846,257 Notes : (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, OTTI recognized, and/or fair value hedge accounting adjustments. (2) Represents the non-credit portion of an OTTI recognized during the life of the security. As of December 31, 2019 , the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $9.9 million , credit losses of $165.5 million and OTTI-related accretion adjustments of $76.1 million . As of December 31, 2018 , these amounts were $18.5 million , $183.5 million , and $77.5 million , respectively. The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, 2019 December 31, 2018 Non-credit portion of OTTI losses $ — $ — Net unrealized gains on OTTI securities since their last OTTI credit charge 51,704 65,133 Net non-credit portion of OTTI gains on AFS securities in AOCI $ 51,704 $ 65,133 The following tables summarize the AFS securities with unrealized losses as of December 31, 2019 and December 31, 2018 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2019 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses (1) MBS: U.S. obligations single-family MBS $ 492,038 $ (1,022 ) $ 46,104 $ (276 ) $ 538,142 $ (1,298 ) GSE single-family MBS 2,458,728 (6,318 ) 221,806 (1,097 ) 2,680,534 (7,415 ) GSE multifamily MBS 2,515,001 (10,683 ) 1,181,509 (4,845 ) 3,696,510 (15,528 ) Private label MBS — — 2,979 (182 ) 2,979 (182 ) Total MBS $ 5,465,767 $ (18,023 ) $ 1,452,398 $ (6,400 ) $ 6,918,165 $ (24,423 ) Total $ 5,465,767 $ (18,023 ) $ 1,452,398 $ (6,400 ) $ 6,918,165 $ (24,423 ) December 31, 2018 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses (1) Non-MBS: GSE and TVA obligations $ 27,641 $ (98 ) $ 273,433 $ (1,959 ) $ 301,074 $ (2,057 ) State or local agency obligations 20,575 (180 ) 122,664 (6,645 ) 143,239 (6,825 ) Total non-MBS $ 48,216 $ (278 ) $ 396,097 $ (8,604 ) $ 444,313 $ (8,882 ) MBS: U.S. obligations single-family MBS $ 61,868 $ (88 ) $ — $ — $ 61,868 $ (88 ) GSE single-family MBS 499,383 (1,423 ) 185,711 (4,448 ) 685,094 (5,871 ) GSE multifamily MBS 1,600,825 (2,933 ) 522,918 (4,452 ) 2,123,743 (7,385 ) Private label MBS — — 2,946 (214 ) 2,946 (214 ) Total MBS $ 2,162,076 $ (4,444 ) $ 711,575 $ (9,114 ) $ 2,873,651 $ (13,558 ) Total $ 2,210,292 $ (4,722 ) $ 1,107,672 $ (17,718 ) $ 3,317,964 $ (22,440 ) Note: (1) Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 5. Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2019 and December 31, 2018 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ — $ — $ 334,985 $ 334,428 Due after one year through five years 525,301 534,642 436,904 441,263 Due after five years through ten years 700,613 719,672 660,043 664,031 Due in more than ten years 520,846 544,279 590,430 591,534 Total non-MBS 1,746,760 1,798,593 2,022,362 2,031,256 MBS 9,254,150 9,299,176 5,748,875 5,815,001 Total AFS securities $ 11,000,910 $ 11,097,769 $ 7,771,237 $ 7,846,257 Interest Rate Payment Terms. The following table details interest payment terms at December 31, 2019 and December 31, 2018 . (in thousands) December 31, December 31, Amortized cost of AFS non-MBS: Fixed-rate $ 1,746,760 $ 1,937,376 Variable-rate — 84,986 Total non-MBS $ 1,746,760 $ 2,022,362 Amortized cost of AFS MBS: Fixed-rate $ 1,444,111 $ 1,261,019 Variable-rate 7,810,039 4,487,856 Total MBS $ 9,254,150 $ 5,748,875 Total amortized cost of AFS securities $ 11,000,910 $ 7,771,237 |
Held-to-Maturity (HTM) Securiti
Held-to-Maturity (HTM) Securities | 12 Months Ended |
Dec. 31, 2019 | |
Held-to-maturity Securities [Member] | |
Investment Holdings [Line Items] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Held-to-Maturity (HTM) Securities The following tables present HTM securities as of December 31, 2019 and December 31, 2018 . December 31, 2019 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 94,310 $ — $ (3,394 ) $ 90,916 MBS: U.S. obligations single-family MBS $ 250,195 $ 1,087 $ (78 ) $ 251,204 GSE single-family MBS 1,156,545 20,896 (254 ) 1,177,187 GSE multifamily MBS 770,823 26,231 (252 ) 796,802 Private label MBS 123,818 881 (520 ) 124,179 Total MBS $ 2,301,381 $ 49,095 $ (1,104 ) $ 2,349,372 Total HTM securities $ 2,395,691 $ 49,095 $ (4,498 ) $ 2,440,288 December 31, 2018 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 700,000 $ 64 $ — $ 700,064 State or local agency obligations 102,705 — (3,969 ) 98,736 Total non-MBS $ 802,705 $ 64 $ (3,969 ) $ 798,800 MBS: U.S. obligations single-family MBS $ 325,178 $ 2,195 $ (4 ) $ 327,369 GSE single-family MBS 899,875 13,402 (92 ) 913,185 GSE multifamily MBS 853,053 9,224 (6,818 ) 855,459 Private label MBS 205,221 1,765 (666 ) 206,320 Total MBS $ 2,283,327 $ 26,586 $ (7,580 ) $ 2,302,333 Total HTM securities $ 3,086,032 $ 26,650 $ (11,549 ) $ 3,101,133 The following tables summarize the HTM securities with unrealized losses as of December 31, 2019 and December 31, 2018 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2019 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ — $ — $ 90,916 $ (3,394 ) $ 90,916 $ (3,394 ) MBS: U.S. obligations single-family MBS $ 29,639 $ (78 ) $ — $ — $ 29,639 $ (78 ) GSE single-family MBS 80,788 (230 ) 3,743 (24 ) 84,531 (254 ) GSE multifamily MBS 75,797 (252 ) — — 75,797 (252 ) Private label MBS 24,700 (69 ) 21,181 (451 ) 45,881 (520 ) Total MBS $ 210,924 $ (629 ) $ 24,924 $ (475 ) $ 235,848 $ (1,104 ) Total $ 210,924 $ (629 ) $ 115,840 $ (3,869 ) $ 326,764 $ (4,498 ) December 31, 2018 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ — $ — $ 98,736 $ (3,969 ) $ 98,736 $ (3,969 ) MBS: U.S. obligations single-family MBS $ 19,016 $ (4 ) $ — $ — $ 19,016 $ (4 ) GSE single-family MBS 22,995 (62 ) 4,443 (30 ) 27,438 (92 ) GSE multifamily MBS 25,963 (56 ) 319,473 (6,762 ) 345,436 (6,818 ) Private label MBS 36,413 (402 ) 7,904 (264 ) 44,317 (666 ) Total MBS $ 104,387 $ (524 ) $ 331,820 $ (7,056 ) $ 436,207 $ (7,580 ) Total $ 104,387 $ (524 ) $ 430,556 $ (11,025 ) $ 534,943 $ (11,549 ) Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2019 and December 31, 2018 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ — $ — $ 700,000 $ 700,064 Due after one year through five years — — — — Due after five years through ten years 31,925 31,381 37,015 36,288 Due after ten years 62,385 59,535 65,690 62,448 Total non-MBS 94,310 90,916 802,705 798,800 MBS 2,301,381 2,349,372 2,283,327 2,302,333 Total HTM securities $ 2,395,691 $ 2,440,288 $ 3,086,032 $ 3,101,133 Interest Rate Payment Terms. The following table details interest rate payment terms at December 31, 2019 and December 31, 2018 . (in thousands) December 31, 2019 December 31, 2018 Amortized cost of HTM non-MBS: Fixed-rate $ — $ 700,000 Variable-rate 94,310 102,705 Total non-MBS $ 94,310 $ 802,705 Amortized cost of HTM MBS: Fixed-rate $ 1,878,151 $ 1,682,100 Variable-rate 423,230 601,227 Total MBS $ 2,301,381 $ 2,283,327 Total HTM securities $ 2,395,691 $ 3,086,032 |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 12 Months Ended |
Dec. 31, 2019 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Other Than Temporary Impairment Credit Losses Recognized In Earnings Disclosure [Text Block] | Other-Than-Temporary Impairment (OTTI) The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, the amount of which could be up to the difference between the security’s amortized cost basis and its fair value, and records any difference in its Statement of Income. The Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the FHLBanks’ OTTI Governance Committee. The OTTI analysis is a cash flow analysis generated on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. For certain securities where underlying collateral data is not available, alternate procedures, as prescribed by the FHLBanks’ OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were not significant to the Bank. The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as: • the remaining payment terms for the security; • prepayment speeds and default rates; • loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; • expected housing price changes; and • interest-rate assumptions. To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label MBS to its amortized cost basis. For the Bank’s private label MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased. The Bank performed a cash flow analysis using third-party models to assess whether the amortized cost basis of its private label MBS will be recovered. During the fourth quarter of 2019 , the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (4.0)% to 8.0% over the 12 month period beginning October 1, 2019. For the vast majority of markets the short-term forecast has changes from 2.0% to 6.0% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults, and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero. All of the Bank's other-than-temporarily impaired securities were classified as AFS as of December 31, 2019 . The “Total OTTI securities” balances below summarize the Bank’s securities as of December 31, 2019 for which an OTTI has been recognized during the life of the security. The “Private label MBS with no OTTI” balances below represent AFS securities on which an OTTI was not taken. The sum of these two amounts reflects the total AFS private label MBS balance. OTTI Recognized During the Life of the Security (in thousands) Unpaid Principal Balance Amortized Cost (1) Fair Value Private label MBS: Prime $ 141,994 $ 101,005 $ 126,125 Alt-A 231,796 170,459 197,043 Total OTTI securities 373,790 271,464 323,168 Private label MBS with no OTTI 3,160 3,160 2,978 Total AFS private label MBS $ 376,950 $ 274,624 $ 326,146 Notes: (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or OTTI recognized. The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for 2019 , 2018 and 2017 . (in thousands) 2019 2018 2017 Beginning balance $ 191,234 $ 210,875 $ 236,461 Additions: Additional OTTI credit losses for which an OTTI charge was previously recognized (1) 570 957 959 Reductions: Securities sold and matured during the period (2) (3,810 ) — 95 Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (19,643 ) (20,598 ) (26,640 ) Ending balance $ 168,351 $ 191,234 $ 210,875 Notes: (1) For 2019 , 2018 and 2017 , additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were also previously impaired prior to January 1 of the applicable year. (2) Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. All Other AFS and HTM Investments. At December 31, 2019 , the Bank held certain securities in an unrealized loss position. These unrealized losses were considered to be temporary as the Bank expects to recover the entire amortized cost basis on the remaining securities in unrealized loss positions based on the creditworthiness of the underlying creditor, guarantor, or implicit government support, and the Bank neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell any such security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at December 31, 2019 . |
Advances
Advances | 12 Months Ended |
Dec. 31, 2019 | |
Advances [Abstract] | |
Advances | Advances General Terms. The Bank 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 overnight to 30 years . Variable-rate advances generally have maturities ranging from overnight to 10 years, and the interest rates reset periodically at a fixed spread to LIBOR, SOFR or other specified indices. At December 31, 2019 and December 31, 2018 , the Bank had advances outstanding, including AHP advances, with interest rates ranging from 1.15% to 7.40% and 0.83% and 7.40% , respectively. The following table details the Bank’s advances portfolio by year of redemption as of December 31, 2019 and December 31, 2018 . (dollars in thousands) December 31, 2019 December 31, 2018 Year of Redemption Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 41,261,372 1.97 % $ 37,632,513 2.56 % Due after 1 year through 2 years 15,285,269 2.31 24,728,488 2.58 Due after 2 years through 3 years 6,065,460 2.52 14,368,363 2.64 Due after 3 years through 4 years 1,305,453 2.50 4,360,603 2.58 Due after 4 years through 5 years 869,892 2.10 798,145 2.87 Thereafter 651,673 2.76 709,479 2.79 Total par value 65,439,119 2.12 % 82,597,591 2.58 % Deferred prepayment fees (1,814 ) (59 ) Hedging adjustments 172,770 (121,985 ) Total book value $ 65,610,075 $ 82,475,547 The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed-rate advance without the conversion feature. In addition, the Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances). At December 31, 2019 and December 31, 2018 , the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative. The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of December 31, 2019 and December 31, 2018 . Year of Redemption or Next Call Date Year of Redemption or Next Convertible Date (in thousands) December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 Due in 1 year or less $ 42,556,372 $ 43,667,513 $ 41,281,372 $ 37,652,513 Due after 1 year through 2 years 14,060,269 20,703,488 15,285,269 24,728,488 Due after 2 years through 3 years 6,035,460 12,368,363 6,065,460 14,368,363 Due after 3 years through 4 years 1,305,453 4,350,603 1,299,453 4,360,603 Due after 4 years through 5 years 829,892 798,145 864,892 792,145 Thereafter 651,673 709,479 642,673 695,479 Total par value $ 65,439,119 $ 82,597,591 $ 65,439,119 $ 82,597,591 Interest Rate Payment Terms. The following table details interest rate payment terms by year of redemption for advances as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, December 31, Fixed-rate – overnight $ 3,847,547 $ 4,934,461 Fixed-rate – term: Due in 1 year or less 18,059,289 17,769,178 Thereafter 16,424,647 17,813,978 Total fixed-rate 38,331,483 40,517,617 Variable-rate: Due in 1 year or less 19,354,536 14,928,874 Thereafter 7,753,100 27,151,100 Total variable-rate 27,107,636 42,079,974 Total par value $ 65,439,119 $ 82,597,591 Advance Concentrations. The Bank’s advances are concentrated in commercial banks and savings institutions. As of December 31, 2019 , the Bank had advances of $50.8 billion outstanding to the five largest borrowers, which represented 77.7% of the total principal amount of advances outstanding. Of these five , four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2019 . As of December 31, 2018 , the Bank had advances of $63.7 billion outstanding to the five largest borrowers, which represented 77.2% of the total principal amount of advances outstanding. Of these five , three had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2018 . See Note 10 for information related to the Bank’s allowance for credit losses. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 31, 2019 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 17 for further information regarding transactions with related parties. The following table presents balances as of December 31, 2019 and December 31, 2018 for mortgage loans held for portfolio. (in thousands) December 31, December 31, Fixed-rate long-term single-family mortgages (1) $ 4,863,177 $ 4,180,239 Fixed-rate medium-term single-family mortgages (1) 167,156 201,923 Total par value 5,030,333 4,382,162 Premiums 82,108 72,756 Discounts (3,616 ) (4,123 ) Hedging adjustments 13,632 18,126 Total mortgage loans held for portfolio $ 5,122,457 $ 4,468,921 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, December 31, Conventional loans $ 4,856,543 $ 4,194,364 Government-guaranteed/insured loans 173,790 187,798 Total par value $ 5,030,333 $ 4,382,162 See Note 10 - Allowance for Credit Losses for information related to the Bank’s credit risk on mortgage loans and allowance for credit losses. |
Allowance for Credit Losses
Allowance for Credit Losses | 12 Months Ended |
Dec. 31, 2019 | |
Receivables [Abstract] | |
Allowance for Credit Losses | Allowance for Credit Losses The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured MPF loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans. Credit Products . The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally requires a credit limit to be established for each borrower. This approach includes an ongoing review of each borrower’s financial condition in conjunction with the Bank’s collateral and lending policies to limit risk of loss while balancing each borrower’s need for a reliable source of funding. In addition, the Bank lends to its members in accordance with the FHLBank Act and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to help ensure that credit products continue to be secured by adequate collateral. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, regardless of the member’s financial condition, the Bank always takes possession or control of securities used as collateral. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be otherwise 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 Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At December 31, 2019 and December 31, 2018 , the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At December 31, 2019 and December 31, 2018 , the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be TDRs. Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. BOB Loans . Both the probability of default and loss given default are determined and used to estimate the allowance for credit losses on BOB loans. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets. The allowance for credit losses on BOB loans was immaterial as of December 31, 2019 and December 31, 2018 and is not included in the tables that follow. TDRs - BOB Loans . The Bank offers a BOB loan deferral, which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for a period up to one year. The credit loss is measured by factoring expected shortfalls incurred as of the reporting date. BOB loan TDRs are immaterial. Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include 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 includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), SMI, and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses. For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed-upon amount, referred to as the FLA. The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectibility is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE, if any, are incurred by the Bank. At December 31, 2019 and December 31, 2018 , the MPF exposure under the FLA was $32.5 million and $29.1 million , respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $5.3 million , $4.6 million and $3.7 million in 2019 , 2018 and 2017 , respectively. Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. This includes impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which primarily consists of MPF loans that are 180 days or more delinquent, troubled debt restructurings, and other loans where the borrower has filed for bankruptcy. The estimated credit losses on impaired collateral-dependent loans are separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs and recovery through PMI. The estimated fair value is determined based on a value provided by a third party's retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. The estimated credit loss on individually evaluated MPF loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. The CE receivable is evaluated for collectibility, and a reserve, included as part of the allowance for credit losses, is established if required. Collectively Evaluated Mortgage Loans. For the remainder of the portfolio, the Bank evaluates the homogeneous mortgage loan portfolio collectively for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank. Rollforward of Allowance for Credit Losses. Mortgage Loans - Conventional MPF. (in thousands) 2019 2018 2017 Balance, beginning of period $ 7,309 $ 5,954 $ 6,231 (Charge-offs) Recoveries, net (1) (138 ) (1,311 ) (160 ) Provision (benefit) for credit losses 661 2,666 (117 ) Balance, December 31 $ 7,832 $ 7,309 $ 5,954 Note: (1) Net charge-offs that the Bank does not expect to recover through CE receivable. Allowances for Credit Losses and Recorded Investment by Impairment Methodology . Mortgage Loans - Conventional MPF. (in thousands) 2019 2018 2017 Ending balance, individually evaluated for impairment $ 6,266 $ 6,238 $ 5,218 Ending balance, collectively evaluated for impairment 1,566 1,071 736 Total allowance for credit losses $ 7,832 $ 7,309 $ 5,954 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a $ 43,943 $ 46,287 $ 52,505 Collectively evaluated for impairment 4,926,039 4,251,857 3,682,167 Total recorded investment $ 4,969,982 $ 4,298,144 $ 3,734,672 Credit Quality Indicator - Mortgage Loans. Key credit quality indicators include the migration of past due loans and nonaccrual loans. (in thousands) December 31, 2019 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total Past due 30-59 days $ 43,872 $ 7,653 $ 51,525 Past due 60-89 days 8,601 2,028 10,629 Past due 90 days or more 12,826 3,363 16,189 Total past due loans $ 65,299 $ 13,044 $ 78,343 Total current loans 4,904,683 166,287 5,070,970 Total loans $ 4,969,982 $ 179,331 $ 5,149,313 Other delinquency statistics: In process of foreclosures, included above (3) $ 4,740 $ 1,110 $ 5,850 Serious delinquency rate (4) 0.3 % 1.9 % 0.3 % Past due 90 days or more still accruing interest $ — $ 3,363 $ 3,363 Loans on nonaccrual status $ 14,890 $ — $ 14,890 (in thousands) December 31, 2018 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total Past due 30-59 days $ 33,935 $ 9,533 $ 43,468 Past due 60-89 days 10,055 1,668 11,723 Past due 90 days or more 12,495 4,245 16,740 Total past due loans $ 56,485 $ 15,446 $ 71,931 Total current loans 4,241,659 178,607 4,420,266 Total loans $ 4,298,144 $ 194,053 $ 4,492,197 Other delinquency statistics: In process of foreclosures, included above (3) $ 6,458 $ 1,450 $ 7,908 Serious delinquency rate (4) 0.3 % 2.2 % 0.4 % Past due 90 days or more still accruing interest $ — $ 4,245 $ 4,245 Loans on nonaccrual status $ 15,728 $ — $ 15,728 Notes: (1) The recorded investment in a loan is the unpaid principal balance, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums, unaccreted discounts and adjustments for hedging. The recorded investment is not net of any valuation allowance. (2) The Bank has not recorded any allowance for credit losses on government-guaranteed or -insured mortgage loans at December 31, 2019 or December 31, 2018 . (3) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (4) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. TDRs - Mortgage Loans - Conventional MPF. TDRs are considered to have occurred when a concession is granted to the debtor that would not have been considered had it not been for economic or legal reasons related to the debtor’s financial difficulties. The Bank offers a loan modification program for its MPF Program. Loan modifications may include temporary interest rate reductions, deferral or temporary reductions in payment, or capitalization of past due amounts. The loans modified under this program are considered TDRs. The Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharges the borrower’s obligation and the borrower does not reaffirm the debt. The recorded investment in mortgage loans classified as TDRs was $7.8 million and $9.1 million as of December 31, 2019 and December 31, 2018 , respectively. The financial amounts related to TDRs are not material to the Bank’s financial condition, results of operations, or cash flows. REO . The Bank had $2.0 million and $2.9 million of REO reported in Other assets on the Statement of Condition at December 31, 2019 and December 31, 2018 , respectively. Purchases, Sales and Reclassifications. During 2019 and 2018 , there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and interest-bearing liabilities that finance these assets. The goal of the Bank’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 Bank has established policies and procedures that include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets, and interest-bearing liabilities. Consistent with Finance Agency requirements, the Bank enters into derivatives to manage the interest rate risk exposures inherent in otherwise unhedged assets and funding positions and to achieve the Bank’s risk management objectives. Finance Agency regulation and the Bank’s Risk Governance Policy prohibit trading in or the speculative use of derivative instruments and limit credit risk arising from these instruments. Derivatives are an integral part of the Bank’s financial management strategy. The Bank may use derivatives to: • reduce 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 bond used to fund the advance); • mitigate the adverse earnings effects of the shortening or extension of certain assets (e.g., advances or mortgage assets) and liabilities; • 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 bond; and • protect the value of existing asset or liability positions or firm commitments Types of Derivatives. The Bank’s Risk Governance Policy establishes guidelines for its use of derivatives. The Bank can use instruments such as the following to reduce funding costs and to manage exposure to interest rate risks inherent in the normal course of business: • interest rate swaps • interest rate swaptions • interest rate caps or floors; and • futures and forward contracts 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 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 amount at a variable-rate index for the same period of time. The variable rate received or paid by the Bank on derivatives are LIBOR, SOFR or OIS. Swaptions. A swaption is an option that gives the buyer the right to enter into a specified interest rate swap at a certain time in the future. When used as a hedge, a swaption can protect the Bank when it is planning to lend or borrow funds in the future against future interest rate changes. The Bank 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. Interest Rate Cap and Floor Agreements. In an interest rate cap agreement, a cash flow is generated if the price or rate of an underlying variable rises above a certain threshold (or cap) price. In an interest rate floor agreement, a cash flow is generated if the price or rate of an underlying variable falls below a certain threshold (or floor) price. Caps and floors are designed as protection against the interest rate on a variable-rate asset or liability falling below or rising above a certain level. Futures and Forwards Contracts . Futures and forwards contracts give 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 Bank are considered derivatives. The Bank 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 Bank documents at inception all relationships between derivatives designated as hedging instruments and 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 (1) assets and liabilities on the Statement of Condition, or (2) firm commitments. Derivative financial instruments are designated by the Bank as follows: • a qualifying fair value hedge of an associated financial instrument or firm commitment; or • a non-qualifying economic hedge to manage certain defined risks on the Statement of Condition. These hedges are primarily used to: (1) manage mismatches between the coupon features of assets and liabilities, (2) offset prepayment risks in certain assets, (3) mitigate the income statement volatility that occurs when financial instruments are recorded at fair value and hedge accounting is not permitted, or (4) to reduce exposure to reset risk. There are two approaches to fair value hedge accounting - long-haul hedge accounting and short-cut hedge accounting. Refer to Note 1 - Significant Accounting Policies for more details. 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 Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. The Bank transacts uncleared derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Types of Hedged Items. The Bank has the following types of hedged items: Investments. The Bank primarily invests in certificates of deposit, U.S. Treasuries, U.S. agency obligations, MBS, and the taxable portion of state or local housing finance agency obligations, which may be classified as HTM, AFS or trading securities. The interest rate and prepayment risks associated with these investment securities are managed through a combination of debt issuance and derivatives. The Bank may manage the prepayment and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with caps or floors, callable swaps or swaptions. The Bank may manage duration risk by funding investment securities with consolidated obligations that contain call features. The Bank 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 hedging trading securities (carried at fair value) or HTM securities (carried at amortized cost) are designated as economic hedges. Derivatives hedging AFS securities may be designated as either fair value or economic hedges. Advances. The Bank offers a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics, and optionality. The Bank may use derivatives to manage the repricing and/or options characteristics of advances to match more closely the characteristics of the funding liabilities. In general, whenever a member executes a fixed-rate advance or a variable-rate advance with embedded options, the Bank may simultaneously execute a derivative that offsets the terms and embedded options, if any, in the advance. For example, the Bank may hedge a fixed-rate advance with an interest rate swap where the Bank pays a fixed-rate and receives a variable-rate, effectively converting the fixed-rate advance to a variable-rate advance. This type of hedge is typically treated as a fair value hedge. In addition, the Bank may hedge a callable, prepayable or convertible advance by entering into a cancellable interest-rate swap. Mortgage Loans. The Bank invests in fixed-rate mortgage loans. The prepayment options embedded in these mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate and prepayment risks associated with mortgage loans through a combination of debt issuance and, at times, derivatives, such as interest rate caps and floors, swaptions and callable swaps. 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 hedge accounting. Consolidated Obligations. The Bank may enter into derivatives to hedge the interest rate risk associated with its specific debt issuances. The Bank manages the risk arising from changing market prices and volatility of a consolidated obligation by matching the cash inflow on the derivative with the cash outflow on the consolidated obligation. For instance, in a typical transaction, fixed-rate consolidated obligations are issued by the Bank, and the Bank simultaneously enters into a matching derivative in which the counterparty pays fixed cash flows designed to mirror, in timing and amount, the cash outflows the Bank pays on the consolidated obligation. The Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate advances. The fixed-rate obligation and matching derivative are treated as fair value hedge relationships. This strategy of issuing consolidated obligations while simultaneously entering into derivatives enables the Bank to offer a wider range of attractively-priced advances to its members and may allow the Bank to reduce its funding costs. The continued attractiveness of this strategy depends on yield relationships between the Bank’s consolidated obligations and derivative markets. If conditions change, the Bank may alter the types or terms of the consolidated obligations that it issues. Firm Commitments. The Bank’s mortgage loan purchase commitments are considered derivatives and are recorded at fair value. When the mortgage loan purchase commitment derivative settles, the current market value of the commitment is included with the basis of the mortgage loan and amortized accordingly. Because the market in which the purchase of MPF loans differs from the principal market, the transaction price may not equal fair value on the date of the inception of the commitment and may result in a gain or loss for the Bank. The Bank may also hedge a firm commitment for a forward starting advance through the use of an interest rate swap. In this case, the interest-rate swap functions as the hedging instrument for both the firm commitment and the subsequent advance and is treated as a fair value hedge. Because the firm commitment ends at the same exact time that the advance is settled, the fair value change associated with the firm commitment is effectively rolled into the basis of the advance. Financial Statement Effect and Additional Financial Information. Derivative Notional Amounts . The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives reflects the Banks' involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit and market risk; the overall risk is much smaller. The risks of derivatives 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. Additionally, notional values are not meaningful measures of the risks associated with derivatives. The following tables summarize the notional amount and fair value of derivative instruments and total derivatives 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. December 31, 2019 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 34,572,128 $ 14,079 $ 4,148 Derivatives not designated as hedging instruments: Interest rate swaps $ 10,413,906 $ 1,676 $ 4,642 Interest rate caps or floors 1,330,000 417 — Mortgage delivery commitments 73,574 29 79 Total derivatives not designated as hedging instruments: $ 11,817,480 $ 2,122 $ 4,721 Total derivatives before netting and collateral adjustments $ 46,389,608 $ 16,201 $ 8,869 Netting adjustments and cash collateral (1) 124,050 (5,845 ) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 140,251 $ 3,024 December 31, 2018 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 38,062,453 $ 9,858 $ 60,119 Derivatives not designated as hedging instruments: Interest rate swaps $ 6,259,799 $ 7,701 $ 24,533 Interest rate caps or floors 1,435,000 2,267 — Mortgage delivery commitments 17,391 29 22 Total derivatives not designated as hedging instruments $ 7,712,190 $ 9,997 $ 24,555 Total derivatives before netting and collateral adjustments $ 45,774,643 $ 19,855 $ 84,674 Netting adjustments and cash collateral (1) 90,414 (59,163 ) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 110,269 $ 25,511 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $138.1 million and $154.8 million at December 31, 2019 and December 31, 2018 , respectively. Cash collateral received was $8.2 million for December 31, 2019 and was $5.2 million at December 31, 2018 . With the adoption of the new hedge accounting guidance, beginning on January 1, 2019, changes in fair value of the derivative 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, 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 noninterest income as net gains (losses) on derivatives and hedging activities. The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships. Beginning on January 1, 2019, gains (losses) on derivatives include unrealized changes in fair value and are included in net interest income. (in thousands) Gains/(Losses) on Derivative Gains/ (Losses) on Hedged Item Net Interest Settlements Effect of Derivatives on Net Interest Income Total Interest Income/ (Expense) Recorded in the Statement of Income 2019 Hedged item type: Advances $ (294,994 ) $ 294,750 $ 45,080 $ 44,836 $ 1,871,151 AFS securities (74,404 ) 71,490 656 (2,258 ) 275,427 Mortgage loans held for portfolio — (3,224 ) — (3,224 ) 170,136 Consolidated obligations – bonds 154,698 (156,276 ) (60,498 ) (62,076 ) (1,603,336 ) Total $ (214,700 ) $ 206,740 $ (14,762 ) $ (22,722 ) Prior to January 1, 2019, changes in fair value of derivative instruments and the related hedged items for designated fair value hedges were reported in other noninterest income and are presented in the table below. (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness in Other Noninterest Income Effect of Derivatives on Net Interest Income (1) 2018 Hedged item type: Advances $ 18,741 $ (18,416 ) $ 325 $ 38,444 AFS securities 29,357 (28,065 ) 1,292 (3,740 ) Consolidated obligations – bonds 9,593 (10,795 ) (1,202 ) (82,065 ) Total $ 57,691 $ (57,276 ) $ 415 $ (47,361 ) (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness in Other Noninterest Income Effect of Derivatives on Net Interest Income (1) 2017 Hedged item type: Advances $ 80,621 $ (80,759 ) $ (138 ) $ (32,613 ) AFS securities 6,158 (6,928 ) (770 ) (16,683 ) Consolidated obligations – bonds (37,418 ) 39,519 2,101 6,751 Total $ 49,361 $ (48,168 ) $ 1,193 $ (42,545 ) Note: (1) Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $(3.6) million and $(3.9) million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2018 and 2017 . The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items. (in thousands) December 31, 2019 Hedged item type Carrying Amount of Hedged Assets/Liabilities (1) Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities Fair Value Hedging Adjustments for Discontinued Hedging Relationships Cumulative Amount of Fair Value Hedging Adjustments Advances $ 16,724,094 $ 172,779 $ (9 ) $ 172,770 AFS securities 1,391,938 48,946 1,281 50,227 Consolidated obligations – bonds 16,715,492 32,886 160 33,046 Note: (1) Includes carrying value of hedged items in current fair value hedging relationships. The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income. For fair value hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness is recorded in other noninterest income for periods prior to January 1, 2019. Year ended December 31, (in thousands) 2019 2018 2017 Derivatives designated as hedging instruments: Interest rate swaps (1) N/A $ 415 $ 1,193 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (30,295 ) $ 9,573 $ 12,776 Interest rate caps or floors (1,850 ) 482 (4,245 ) Net interest settlements (6,846 ) (9,075 ) (4,683 ) TBAs (53 ) (33 ) — Mortgage delivery commitments (1,106 ) (2,387 ) (1,058 ) Other 27 23 23 Total net gains (losses) related to derivatives not designated as hedging instruments $ (40,123 ) $ (1,417 ) $ 2,813 Other - price alignment amount on cleared derivatives (2) 328 (3,535 ) 580 Net gains (losses) on derivatives and hedging activities $ (39,795 ) $ (4,537 ) $ 4,586 Notes: (1) Pertains to total net gains (losses) for fair value hedge ineffectiveness included in other noninterest income. N/A represents not applicable. (2) This amount is for derivatives for which variation margin is characterized as a daily settled contract. The Bank had no active cash flow hedging relationships during 2019 , 2018 or 2017 . Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty 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. Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. Generally, the Bank is subject to certain ISDA agreements for uncleared derivatives that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank’s credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that require the Bank to deliver additional collateral due to a credit downgrade and were in a net liability position (before cash collateral and related accrued interest) at December 31, 2019 was $1.6 million . The Bank had no collateral posted against this position and even if the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would not have been required to deliver any additional collateral to its derivative counterparties at December 31, 2019 . Cleared Derivatives . For cleared derivatives, Derivative Clearing Organizations (Clearing Houses) are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin. The requirement that the Bank post initial margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. The use of cleared derivatives is intended to mitigate credit risk exposure through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses Chicago Mercantile Exchange (CME) Clearing as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as daily settlement payments, rather than collateral. Initial margin is considered cash collateral. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 18 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. For cleared derivatives, the Clearing House 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. The Bank was not required by its clearing agents to post additional initial margin at December 31, 2019 . Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure. Initial margin posted to the clearing house is presented as a derivative asset. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties. Derivative Assets (in thousands) December 31, 2019 December 31, 2018 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 8,743 $ 17,899 Cleared derivatives 7,429 1,927 Total gross recognized amount 16,172 19,826 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (7,631 ) (13,290 ) Cleared derivatives 131,681 103,704 Total gross amounts of netting adjustments and cash collateral 124,050 90,414 Net amounts after netting adjustments and cash collateral Uncleared derivatives 1,112 4,609 Cleared derivatives 139,110 105,631 Total net amounts after netting adjustments and cash collateral 140,222 110,240 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 29 29 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 29 29 Total derivative assets: Uncleared derivatives 1,141 4,638 Cleared derivatives 139,110 105,631 Total derivative assets as reported in the Statement of Condition 140,251 110,269 Net unsecured amount: Uncleared derivatives 1,141 4,638 Cleared derivatives 139,110 105,631 Total net unsecured amount $ 140,251 $ 110,269 Derivative Liabilities (in thousands) December 31, 2019 December 31, 2018 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 7,135 $ 64,038 Cleared derivatives 1,655 20,614 Total gross recognized amount 8,790 84,652 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (4,190 ) (57,236 ) Cleared derivatives (1,655 ) (1,927 ) Total gross amounts of netting adjustments and cash collateral (5,845 ) (59,163 ) Net amounts after netting adjustments and cash collateral Uncleared derivatives 2,945 6,802 Cleared derivatives — 18,687 Total net amounts after netting adjustments and cash collateral 2,945 25,489 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 79 22 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 79 22 Total derivative liabilities: Uncleared derivatives 3,024 6,824 Cleared derivatives — 18,687 Total derivative liabilities as reported in the Statement of Condition 3,024 25,511 Net unsecured amount Uncleared derivatives 3,024 6,824 Cleared derivatives — 18,687 Total net unsecured amount $ 3,024 $ 25,511 Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments). |
Deposits
Deposits | 12 Months Ended |
Dec. 31, 2019 | |
Deposits [Abstract] | |
Deposits | Deposits The Bank offers demand and overnight deposits to both members and to qualifying nonmembers and term deposits to members. Noninterest-bearing demand and overnight deposits are generally comprised of funds collected by members pending disbursement to the mortgage loan holders, as well as member funds deposited at the FRB. The following table details interest-bearing and noninterest-bearing deposits as of December 31, 2019 and 2018 . December 31, (in thousands) 2019 2018 Interest-bearing: Demand and overnight $ 520,320 $ 363,853 Noninterest-bearing: Demand and overnight 53,062 23,232 Total deposits $ 573,382 $ 387,085 |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2019 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Consolidated Obligations Consolidated obligations consist of consolidated bonds and consolidated discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants to have issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. The Bank 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 OF. 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 their maturity. Consolidated discount notes are issued primarily to raise short-term funds. These notes generally sell at less than their face amount and are redeemed at par value when they mature. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations 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 one FHLBank is required to make such payments, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs, including interest, to be determined by the Finance Agency. If the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. However, t he Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations were $1,025.9 billion and $1,031.6 billion at December 31, 2019 and December 31, 2018 , respectively. Regulations require the Bank to maintain unpledged qualifying assets equal to its participation of the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; obligations of or fully guaranteed by the United States; obligations, participations, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations or other securities which are or ever have been sold by Freddie Mac under the Act; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the Bank 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 are free from lien or pledge for purposes of compliance with these regulations. General Terms. Consolidated obligations are issued with either fixed-rate coupon payment terms or variable-rate coupon payment terms that can use a variety of indices for interest rate resets such as, LIBOR, SOFR and others. To meet the expected specific needs of certain investors in consolidated obligations, both fixed-rate bonds and variable-rate bonds may contain features which may result in complex coupon payment terms and call options. When such consolidated obligations are issued, the Bank may enter into derivatives containing offsetting features that effectively convert the terms of the bond to those of a simple variable-rate bond or a fixed-rate bond. The Bank has no outstanding consolidated obligations denominated in currencies other than U.S. dollars. These consolidated obligations, beyond having fixed-rate or simple variable-rate coupon payment terms, may also have the following broad terms regarding either principal repayment or coupon payment terms: Indexed Principal Redemption Bonds (index amortizing notes) repay principal according to predetermined amortization schedules that are linked to the level of a certain index. Usually, as market interest rates rise (fall), the average life of the index amortizing notes extends (contracts). Optional Principal Redemption Bonds (callable bonds) that the Bank may redeem in whole or in part at its discretion on predetermined call dates according to the terms of the bond offerings. Interest Rate Payment Terms. With respect to interest payments, consolidated obligation bonds may also have the following terms: Step-up Bonds generally pay interest at increasing fixed rates at specified intervals over the life of the bond. These bonds generally contain provisions enabling the Bank to call bonds at its option on the step-up dates; and Conversion Bonds have coupons that the Bank may convert from fixed to floating, or floating to fixed, or from one U.S. or other currency index to another, at its discretion on predetermined dates according to the terms of the bond offerings. The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of December 31, 2019 and December 31, 2018 . December 31, (in thousands) 2019 2018 Par value of consolidated bonds: Fixed-rate $ 29,292,200 $ 30,158,640 Step-up 705,000 1,902,280 Floating-rate 36,707,000 31,917,500 Conversion bonds - fixed to floating — 390,000 Total par value 66,704,200 64,368,420 Bond premiums 85,028 71,636 Bond discounts (8,350 ) (10,079 ) Concession fees (6,118 ) (8,119 ) Hedging adjustments 33,047 (123,230 ) Total book value $ 66,807,807 $ 64,298,628 Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of December 31, 2019 and December 31, 2018 . December 31, 2019 December 31, 2018 (dollars in thousands) Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 50,306,900 1.83 % $ 37,281,455 2.15 % Due after 1 year through 2 years 7,268,705 2.10 14,056,285 2.40 Due after 2 years through 3 years 2,705,420 2.36 3,929,705 2.48 Due after 3 years through 4 years 1,469,400 2.58 2,249,320 2.38 Due after 4 years through 5 years 947,375 2.69 2,287,180 2.96 Thereafter 4,006,400 2.73 4,564,475 2.80 Total par value $ 66,704,200 1.96 % $ 64,368,420 2.30 % The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2019 and December 31, 2018 . December 31, (in thousands) 2019 2018 Noncallable $ 61,597,600 $ 56,277,140 Callable 5,106,600 8,091,280 Total par value $ 66,704,200 $ 64,368,420 The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, Year of Contractual Maturity or Next Call Date 2019 2018 Due in 1 year or less $ 54,157,900 $ 45,099,735 Due after 1 year through 2 years 6,573,705 13,149,285 Due after 2 years through 3 years 2,623,420 2,662,705 Due after 3 years through 4 years 1,063,400 1,604,320 Due after 4 years through 5 years 827,375 708,900 Thereafter 1,458,400 1,143,475 Total par value $ 66,704,200 $ 64,368,420 Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of December 31, 2019 and December 31, 2018 . December 31, (dollars in thousands) 2019 2018 Book value $ 23,141,362 $ 36,896,603 Par value 23,211,524 36,984,987 Weighted average interest rate (1) 1.61 % 2.36 % Note: (1) Represents an implied rate. |
Affordable Housing Program (AHP
Affordable Housing Program (AHP) | 12 Months Ended |
Dec. 31, 2019 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program (AHP) | Affordable Housing Program (AHP) In support of the goal of providing funding for housing and economic development in its district’s communities, the Bank administers a number of programs, some mandated and some voluntary, which make funds available through member financial institutions. In all of these programs, Bank funds flow through member financial institutions into areas of need that are served by our members. AHP, mandated by the Act, is the largest and primary public policy program of the FHLBanks. The Act requires the Bank to contribute 10% of its current year net income (as defined by a Finance Agency advisory bulletin as GAAP net income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP) to AHP and make these funds available for use in the subsequent year. Each year, the Bank’s Board adopts an implementation plan that defines the structure of the program pursuant to the AHP regulations. Each FHLBank provides subsidies in the form of direct grants and/or below-market interest rate advances where the funds are used to assist in the purchase, construction or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must collectively set aside for the AHP the greater of $100 million or 10% of income subject to assessment. The Bank accrues this expense monthly based on its net income. The Bank reduces the AHP liability as members use subsidies. If the Bank experienced a net loss during a quarter, but still had net earnings for the year, the Bank’s obligation to the AHP would be calculated based on the Bank’s year-to-date net income. If the Bank had net income in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the Bank would have no obligation to the AHP for the year since each FHLBank’s required annual AHP contribution is limited to its annual net income. If the aggregate 10% calculation described above was less than $100 million for all the FHLBanks, each FHLBank would be required to contribute a prorated sum to ensure that the aggregate contributions by the FHLBanks equal $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 in assessments below the $100 million minimum amount for the years ended 2019 , 2018 , or 2017 . If an FHLBank finds that its required contributions are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make any such application in 2019 , 2018 , or 2017 . The Bank awards commitments that are disbursed over 24 to 36 months. The Bank has outstanding AHP commitments of $73.3 million , $58.3 million and $50.3 million as of December 31, 2019 , 2018 and 2017 , respectively. The following table presents an analysis of the AHP payable for 2019 , 2018 , and 2017 . (in thousands) 2019 2018 2017 Balance, beginning of the year $ 99,578 $ 91,563 $ 76,712 Assessments 37,140 38,683 37,768 Subsidy usage, net (24,429 ) (30,668 ) (22,917 ) Balance, end of the year $ 112,289 $ 99,578 $ 91,563 |
Capital
Capital | 12 Months Ended |
Dec. 31, 2019 | |
Capital [Abstract] | |
Capital | Capital The Bank is subject to three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. • Risk-based capital (RBC) . Under this capital requirement, the Bank 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. The Finance Agency may require the Bank to maintain a greater amount of minimum capital levels than is required based on the Finance Agency rules and regulations. • Total regulatory capital. Under this capital requirement, the Bank is required to maintain at all times a total capital-to-assets ratio of at least 4.0% . 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; and • Leverage capital . Under this third capital requirement, the Bank is required to maintain at all times a leverage capital-to-assets ratio of at least 5.0% . Leverage capital is defined as the sum of (i) permanent capital weighted 1.5 times and (ii) all other capital without a weighting factor. At December 31, 2019 , the Bank was in compliance with all regulatory capital requirements. The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. The Bank had $0.3 billion and $2.7 billion in B1 membership stock and B2 activity stock, respectively at December 31, 2019 . The Bank had $0.4 billion and $3.7 billion in B1 membership stock and B2 activity stock, respectively at December 31, 2018 . The following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 610,573 $ 4,724,586 $ 1,238,722 $ 5,327,247 Total capital-to-asset ratio 4.0 % 4.9 % 4.0 % 5.0 % Total regulatory capital 3,828,965 4,724,586 4,301,712 5,327,247 Leverage ratio 5.0 % 7.4 % 5.0 % 7.4 % Leverage capital 4,786,206 7,086,879 5,377,141 7,990,870 The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On December 13, 2019, the Bank received final notification from the Finance Agency that it was considered “adequately capitalized” for the quarter ended September 30, 2019. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended December 31, 2019 . Mandatorily Redeemable Capital Stock. The Bank is a cooperative whose member financial institutions and former members own all of the relevant Bank’s issued and outstanding capital stock. Shares cannot be purchased or sold except between the Bank and its members at the shares’ par value of $100 , as mandated by the Bank’s capital plan. At December 31, 2019 and December 31, 2018 , the Bank had $343.6 million and $24.1 million , respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $17.3 million during 2019 , and were immaterial during 2018 and 2017 . The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2019 , 2018 , and 2017 . (in thousands) 2019 2018 2017 Balance, beginning of the period $ 24,099 $ 5,113 $ 5,216 Capital stock subject to mandatory redemption reclassified from capital 361,549 42,733 6,746 Redemption/repurchase of mandatorily redeemable stock (42,073 ) (23,747 ) (6,849 ) Balance, end of the period $ 343,575 $ 24,099 $ 5,113 As of December 31, 2019 , the total mandatorily redeemable capital stock reflected the balance for five institutions. Four institutions were merged out of district and are considered to be non-members and one relocated and became a member of another FHLBank at which time the membership with the Bank terminated. The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at December 31, 2019 and December 31, 2018 . December 31, (in thousands) 2019 2018 Due in 1 year or less $ 3,316 $ 290 Due after 1 year through 2 years — 3,787 Due after 2 years through 3 years 21 — Due after 3 years through 4 years 20,000 22 Due after 4 years through 5 years 320,000 20,000 Past contractual redemption date due to remaining activity 238 — Total $ 343,575 $ 24,099 Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding. Dividends and Retained Earnings. The Bank is required to contribute 20% of its net income each quarter to a RRE account until the balance of that account equals at least 1% of the Bank’s average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At December 31, 2019 , retained earnings were $1,326.0 million , including $910.7 million of unrestricted retained earnings and $415.3 million of RRE. Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. These dividends are based on stockholders' average balances for the previous quarter. Dividends paid in 2019 , 2018 , and 2017 are presented in the table below. Dividend - Annual Yield 2019 2018 2017 Membership Activity Membership Activity Membership Activity February 4.5% 7.75% 3.5% 6.75% 2.0% 5.0% April 4.5% 7.75% 3.5% 6.75% 2.0% 5.0% July 4.5% 7.75% 3.5% 6.75% 2.0% 5.0% October 4.5% 7.75% 3.5% 6.75% 2.0% 5.0% In February 2020, the Bank paid a quarterly dividend equal to an annual yield of 7.75% and 4.5% on activity stock and membership stock, respectively. The following table summarizes the changes in AOCI for 2019 , 2018 and 2017 . (in thousands) Net Unrealized Gains(Losses) on AFS Non-credit OTTI Gains(Losses) on AFS Net Unrealized Gains (Losses) on Hedging Activities Pension and Post-Retirement Plans Total December 31, 2016 $ (12,835 ) $ 67,424 $ 223 $ (2,516 ) $ 52,296 Other comprehensive income (loss) before reclassification: Net unrealized gains 54,045 5,222 — — 59,267 Net change in fair value of OTTI securities — (652 ) — — (652 ) Non-credit OTTI to credit OTTI — 959 — — 959 Amortization on hedging activities — — (23 ) — (23 ) Pension and post-retirement — — — (883 ) (883 ) December 31, 2017 $ 41,210 $ 72,953 $ 200 $ (3,399 ) $ 110,964 December 31, 2017 $ 41,210 $ 72,953 $ 200 $ (3,399 ) $ 110,964 Other comprehensive income (loss) before Net unrealized (losses) (31,323 ) (8,777 ) — — (40,100 ) Non-credit OTTI to credit OTTI — 957 — — 957 Amortization on hedging activities — — (24 ) — (24 ) Pension and post-retirement — — — 1,349 1,349 December 31, 2018 $ 9,887 $ 65,133 $ 176 $ (2,050 ) $ 73,146 December 31, 2018 $ 9,887 $ 65,133 $ 176 $ (2,050 ) $ 73,146 Other comprehensive income (loss) before Net unrealized gains (losses) 35,268 (13,999 ) — — 21,269 Non-credit OTTI to credit OTTI — 570 — — 570 Amortization on hedging activities — — (27 ) — (27 ) Pension and post-retirement — — — (3,132 ) (3,132 ) December 31, 2019 $ 45,155 $ 51,704 $ 149 $ (5,182 ) $ 91,826 |
Employee Retirement Plans
Employee Retirement Plans | 12 Months Ended |
Dec. 31, 2019 | |
Retirement Benefits [Abstract] | |
Employee Retirement Plans | Employee Retirement Plans Qualified Defined Benefit Multiemployer Plan. The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Defined Benefit Plan), a tax qualified defined benefit pension plan. The Defined Benefit Plan is treated as a multiemployer 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 (IRC). As a result, certain multiemployer plan disclosures are not applicable to the Defined Benefit Plan. Under the Defined Benefit Plan, contributions made by a 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 plan covers officers and employees of the Bank that meet certain eligibility requirements and were hired prior to January 1, 2019. The Defined Benefit Plan operates on a fiscal year from July 1 through June 30 . The Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number 13-5645888 , and the three-digit plan number is 333 . There are no collective bargaining agreements in place at the Bank. The 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 the plan’s assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. 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 that the plan’s participants may choose to make. The most recent Form 5500 available for the Defined Benefit Plan is for the fiscal year ended June 30, 2018 . The Bank’s contributions to the Defined Benefit Plan during 2019 were less than 5% of total plan contributions during the plan year ended June 30, 2018 . The Bank’s contributions to the Defined Benefit Plan during 2018 were less than 5% of total plan contributions during the plan year ended June 30, 2017 . (dollars in thousands) 2019 2018 2017 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 3,279 $ 5,000 $ 7,212 Defined Benefit Plan funded status as of July 1 108.6 % (a) 109.9 % (b) 111.3 % Bank’s funded status as of July 1 144.8 % 147.3 % 142.4 % (a) The Defined Benefit Plan’s funded status as of July 1, 2019 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2019 through March 15, 2020. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2020). (b) The funded status disclosed is preliminary as the Form 5500 had not been filed when disclosed. Included in the net pension costs above are discretionary contributions of $2.7 million , $4.5 million and $7.0 million in 2019 , 2018 , and 2017 , respectively. As the Defined Benefit Plan's year-end is June 30, the Bank's discretionary contributions, which occur during the Bank's calendar year, may be allocated to multiple Defined Benefit Plan years. Qualified Defined Contribution Plan. The Bank also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax qualified defined contribution pension plan. The Bank’s contributions consist of a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. F or those employees that meet certain eligibility requirements and were hired on or after January 1, 2019, the Bank will make an additional contribution to the plan equal to a percentage of the eligible employee’s plan salary. The Bank recognized $1.4 million , $1.2 million and $1.1 million in expense related to plan contributions during 2019 , 2018 and 2017 , respectively. Nonqualified Supplemental Deferred Compensation Plans. In addition, the Bank maintains nonqualified deferred compensation plans, available to select employees and directors, which are, in substance, unfunded supplemental defined contribution retirement plans. The plans’ liabilities consist of the accumulated compensation deferrals and accrued earnings (losses) on the deferrals. The Bank’s obligation from these plans wa s $15.6 million and $11.4 million at December 31, 2019 and December 31, 2018 , respectively, and the Bank recognized operating expenses (income) of $2.7 million , $(0.5) million , and $1.6 million for 2019 , 2018 and 2017 , respectively. Although the nonqualified compensation plans are unfunded, the Bank owns mutual funds held in a Rabbi trust to help secure the Bank’s obligation to participants and to partially offset the earnings (losses) of certain deferred compensation agreements. The estimated fair value of the mutual funds was $13.1 million and $9.7 million at December 31, 2019 and December 31, 2018 , respectively. Post-retirement Health Benefit Plan. The Bank sponsors an unfunded retiree benefits program that includes health care and life insurance benefits for eligible retirees. Employees who retired prior to January 1, 1992 receive health care benefits at the Bank’s expense after age 65. Employees retiring after January 1, 1992 participate in a health reimbursement account (HRA). At the discretion of the Bank, the amount can be modified. A limited life insurance benefit is provided at the Bank’s expense for retirees who retired prior to January 1, 2009. Employees who retired after January 1, 1992 but prior to January 1, 2009 were required to meet specific eligibility requirements of age 65 or age 60 with a minimum of 10 years of service at the time of retirement to be eligible for retiree health and life insurance benefits. The Accumulated Post-retirement Benefit Obligation (APBO) was $2.2 million at December 31, 2019 and $1.8 million at December 31, 2018 , respectively. Supplemental Executive Retirement Plan (SERP). The Bank also maintains an unfunded SERP, a nonqualified defined benefit retirement plan, for certain executives hired prior to January 1, 2019. The SERP ensures, among other things, that participants receive the full amount of benefits to which they would have been entitled under the qualified defined benefit pension plan in the absence of limits on benefits levels imposed by the Internal Revenue Service. The accumulated benefit obligation for the SERP was $11.3 million and $8.4 million at December 31, 2019 and December 31, 2018 , respectively. As noted above, all nonqualified plans maintained by the Bank are unfunded; however, the Bank owns mutual funds held in a Rabbi trust to help secure the Bank’s obligation to participants. The estimated fair value of the mutual funds was $2.1 million and $2.0 million at December 31, 2019 and December 31, 2018 , respectively. The Post-retirement Health Benefit Plan and SERP are not material to the Bank. However, the following table sets forth their benefit obligations recorded in “Other liabilities” on the Statements of Condition and amounts recognized in AOCI. In addition, the Bank recognized $1.5 million , $1.7 million , and $1.5 million in expense related to these two plans during 2019 , 2018 and 2017 , respectively, of which the service cost component was recognized in “Compensation and benefits” expense and all other costs were recognized in “Other operating” expense on the Statements of Income. SERP Post-retirement Health Benefit Plan Total (in thousands) 2019 2018 2019 2018 2019 2018 Benefit obligations $ 14,975 $ 10,978 $ 2,235 $ 1,784 $ 17,210 $ 12,762 Unrealized actuarial gains (losses) in AOCI $ (5,433 ) $ (2,725 ) $ 251 $ 675 $ (5,182 ) $ (2,050 ) |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2019 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Transactions with Related Parties The Bank is a cooperative whose member institutions own the capital stock of the Bank and may receive dividends on their investments. In addition, certain former members that still have outstanding transactions are also required to maintain their investment in Bank capital stock until the transactions mature or are paid off. All loans, including BOB loans and letters of credit, are issued to members and all mortgage loans held for portfolio are purchased from members. The Bank also maintains demand deposit accounts for members primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. These transactions with members are entered into in the normal course of business and represent member activity. In the ordinary course of business, the Bank may utilize products and services, provided at normal market rates and terms, from its members to support its operations. In instances where the member also has an officer or a director who is a Director of the Bank, those transactions are subject to the same eligibility and credit criteria, as well as the same terms and conditions, as all other transactions. Related parties are defined as those parties meeting any one of the following criteria: (1) other FHLBanks in the System; (2) members with capital stock outstanding in excess of 10% of total capital stock outstanding; or (3) members and nonmember borrowers that have an officer or director who is a Director of the Bank. The following table includes significant outstanding related party member activity balances. December 31, (in thousands) 2019 2018 Advances $ 34,748,867 $ 63,112,341 Letters of credit (1) 2,418,025 4,839,828 MPF loans 455,600 570,986 Deposits 17,904 8,824 Capital stock 1,574,659 2,729,092 Note: (1) Letters of credit are off-balance sheet commitments. The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented. Year ended December 31, (in thousands) 2019 2018 2017 Interest income on advances $ 1,183,730 $ 1,151,369 $ 751,571 Interest income on MPF loans 27,845 33,269 42,266 Letters of credit fees 4,146 5,911 6,797 The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Year ended December 31, (in thousands) 2019 2018 2017 Servicing fee expense $ 3,567 $ 3,076 $ 2,522 December 31, (in thousands) 2019 2018 Interest-bearing deposits maintained with FHLBank of Chicago $ 5,173 $ 5,411 From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During 2019, the total amount loaned to and repaid from other FHLBanks was $500.0 million . There was no lending activity during 2018 and 2017. During 2019 and 2018, there was no borrowing activity between the Bank and other FHLBanks. During 2017, the total amount borrowed from and repaid to other FHLBanks was $1.0 billion . Subject to mutually agreed upon terms, on occasion an FHLBank may transfer at fair value its primary debt obligations to another FHLBank. During 2019 , 2018 and 2017 , there were no transfers of debt between the Bank and another FHLBank. From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during 2019 , 2018 and 2017 . |
Estimated Fair Values
Estimated Fair Values | 12 Months Ended |
Dec. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Estimated Fair Values Fair value amounts have been determined by the Bank using available market information and 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). These estimates are based on recent market data and other pertinent information available to the Bank at December 31, 2019 and December 31, 2018 . Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2019 and December 31, 2018 are presented in the table below. Fair Value Summary Table December 31, 2019 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Fair Value Assets: Cash and due from banks $ 21,490 $ 21,490 $ — $ — $ — $ 21,490 Interest-bearing deposits 1,476,890 1,471,717 5,173 — — 1,476,890 Federal funds sold 3,770,000 — 3,769,965 — — 3,769,965 Securities purchased under agreement to resell (2) 2,200,000 — 2,199,973 — — 2,199,973 Trading securities 3,631,650 — 3,631,650 — — 3,631,650 AFS securities 11,097,769 — 10,771,623 326,146 — 11,097,769 HTM securities 2,395,691 — 2,316,109 124,179 — 2,440,288 Advances 65,610,075 — 65,662,578 — — 65,662,578 Mortgage loans held for portfolio, net 5,114,625 — 5,313,973 — — 5,313,973 BOB loans, net 19,706 — — 19,706 — 19,706 Accrued interest receivable 193,352 — 193,352 — — 193,352 Derivative assets 140,251 — 16,201 — 124,050 140,251 Liabilities: Deposits $ 573,382 $ — $ 573,382 $ — $ — $ 573,382 Discount notes 23,141,362 — 23,142,588 — — 23,142,588 Bonds 66,807,807 — 66,981,400 — — 66,981,400 Mandatorily redeemable capital stock (3) 343,575 350,287 — — — 350,287 Accrued interest payable (3) 205,118 — 198,406 — — 198,406 Derivative liabilities 3,024 — 8,869 — (5,845 ) 3,024 December 31, 2018 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Fair Value Assets: Cash and due from banks $ 71,320 $ 71,320 $ — $ — $ — $ 71,320 Interest-bearing deposits 2,123,240 2,117,829 5,411 — — 2,123,240 Federal funds sold 4,740,000 — 4,739,984 — — 4,739,984 Securities purchased under agreement to resell (2) 1,000,000 — 1,000,032 — — 1,000,032 Trading securities 1,281,053 — 1,281,053 — — 1,281,053 AFS securities 7,846,257 — 7,436,707 409,550 — 7,846,257 HTM securities 3,086,032 — 2,894,813 206,320 — 3,101,133 Advances 82,475,547 — 82,408,752 — — 82,408,752 Mortgage loans held for portfolio, net 4,461,612 — 4,381,484 — — 4,381,484 BOB loans, net 17,371 — — 17,371 — 17,371 Accrued interest receivable 234,161 — 234,161 — — 234,161 Derivative assets (4) 110,269 — 19,855 — 90,414 110,269 Liabilities: Deposits $ 387,085 $ — $ 387,085 $ — $ — $ 387,085 Discount notes 36,896,603 — 36,891,722 — — 36,891,722 Bonds 64,298,628 — 64,125,928 — — 64,125,928 Mandatorily redeemable capital stock (3) 24,099 24,571 — — — 24,571 Accrued interest payable (3) 226,537 — 226,065 — — 226,065 Derivative liabilities 25,511 — 84,674 — (59,163 ) 25,511 Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. (2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2019 and December 31, 2018 . These instruments’ maturity term is overnight. (3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. 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 or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities) and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Unobservable inputs for the asset or liability. The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during 2019 , 2018 or 2017 . 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. Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities. For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows: • LIBOR Swap curve: certificates of deposit • CO curve: GSE and other U.S. obligations The Bank uses a market approach for its state and local agency bonds. The Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. Beginning in 2019, the Bank also uses a market approach for U.S. Treasury obligations. Prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. However, for certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from multiple 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. Since 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, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. During the year, the Bank conducts reviews of its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. As of December 31, 2019 , for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. In addition, there were minimal outliers to evaluate. Based on the Bank’s reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, as of December 31, 2019 , the Bank classified private label MBS as Level 3. Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature. The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: • Discount rate assumption. OIS curve • Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve through contractual term. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. Mortgage delivery commitments: • TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market. The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary. The Bank’s credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, CME). Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability. Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at December 31, 2019 and December 31, 2018 . The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount. December 31, 2019 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Total Recurring fair value measurements - Assets: Trading securities: Non MBS: U.S. Treasury obligations $ — $ 3,390,772 $ — $ — $ 3,390,772 GSE and TVA obligations — 240,878 — — 240,878 Total trading securities $ — $ 3,631,650 $ — $ — $ 3,631,650 AFS securities: Non-MBS: GSE and TVA obligations $ — $ 1,550,699 $ — $ — $ 1,550,699 State or local agency obligations — 247,894 — — 247,894 MBS: U.S. obligations single-family MBS — 807,586 — — 807,586 GSE single-family MBS — 4,055,859 — — 4,055,859 GSE multifamily MBS — 4,109,585 — — 4,109,585 Private label MBS — — 326,146 — 326,146 Total AFS securities $ — $ 10,771,623 $ 326,146 $ — $ 11,097,769 Derivative assets: Interest rate related $ — $ 16,172 $ — $ 124,050 $ 140,222 Mortgage delivery commitments — 29 — — 29 Total derivative assets $ — $ 16,201 $ — $ 124,050 $ 140,251 Total recurring assets at fair value $ — $ 14,419,474 $ 326,146 $ 124,050 $ 14,869,670 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 8,790 $ — $ (5,845 ) $ 2,945 Mortgage delivery commitments — 79 — — 79 Total recurring liabilities at fair value (2) $ — $ 8,869 $ — $ (5,845 ) $ 3,024 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 7,850 $ — $ 7,850 REO — — 2,449 — 2,449 Total non-recurring assets at fair value $ — $ — $ 10,299 $ — $ 10,299 December 31, 2018 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Total Recurring fair value measurements - Assets: Trading securities: Non MBS: U.S. Treasury obligations $ — $ 997,061 $ — $ — $ 997,061 GSE and TVA obligations — 283,992 — — 283,992 Total trading securities $ — $ 1,281,053 $ — $ — $ 1,281,053 AFS securities: Non MBS: GSE and TVA obligations $ — $ 1,785,317 $ — $ — $ 1,785,317 State or local agency obligations — 245,939 — — 245,939 MBS: U.S. obligations single-family MBS — 218,494 — — 218,494 GSE single-family MBS — 2,581,503 — — 2,581,503 GSE multifamily MBS — 2,605,454 — — 2,605,454 Private label MBS — — 409,550 — 409,550 Total AFS securities $ — $ 7,436,707 $ 409,550 $ — $ 7,846,257 Derivative assets: Interest rate related $ — $ 19,826 $ — $ 90,414 $ 110,240 Mortgage delivery commitments — 29 — — 29 Total derivative assets $ — $ 19,855 $ — $ 90,414 $ 110,269 Total recurring assets at fair value $ — $ 8,737,615 $ 409,550 $ 90,414 $ 9,237,579 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 84,652 $ — $ (59,163 ) $ 25,489 Mortgage delivery commitments — 22 — — 22 Total recurring liabilities at fair value (2) $ — $ 84,674 $ — $ (59,163 ) $ 25,511 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 8,965 $ — $ 8,965 REO — — 6,621 — 6,621 Total non-recurring assets at fair value $ — $ — $ 15,586 $ — $ 15,586 Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. (2) Derivative liabilities represent the total liabilities at fair value. There were no transfers between Levels 1 or 2 during 2019 , 2018 or 2017 . Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the years ended December 31, 2019 , 2018 or 2017 . For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period. There were no Level 3 transfers during 2019 , 2018 or 2017 . AFS Private Label MBS Year Ended December 31, 2019 AFS Private Label MBS Year Ended December 31, 2018 AFS Private Label MBS Year Ended December 31, 2017 Balance, beginning of period $ 409,550 $ 524,543 $ 673,976 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 14,385 15,419 20,636 Net OTTI losses, credit portion (570 ) (957 ) (959 ) Net unrealized gains (losses) on AFS in OCI 33 (67 ) 159 Reclassification of non-credit portion included in net income 570 957 959 Net change in fair value on OTTI AFS in OCI — — (652 ) Unrealized gains (losses) on OTTI AFS in OCI (13,999 ) (8,777 ) 5,222 Purchases, issuances, sales, and settlements: Settlements (83,823 ) (121,568 ) (174,798 ) Balance at December 31 $ 326,146 $ 409,550 $ 524,543 Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or (losses) relating to assets and liabilities still held at December 31 $ 11,443 $ 14,462 $ 17,210 |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2019 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include the fair value of derivatives and certain investment securities that are reported at fair value in the Statement of Condition, determination of other-than-temporary impairments of certain mortgage-backed securities, and the determination of the Allowance for Credit Losses. Actual results could differ from these estimates significantly. |
Fair Value Hierarchy | Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values may not be indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. See Note 18 - Estimated Fair Values for more information. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. 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 or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities) and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Unobservable inputs for the asset or liability. The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. |
Financial Instruments Meeting Netting Requirements | Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 - Derivatives and Hedging Activities for additional information regarding these agreements. |
Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell | nterest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell. Interest-bearing deposits, Federal funds sold and securities purchased under agreements to resell, provide short-term liquidity and are carried at cost. Interest-bearing deposits can include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans generally transacted with counterparties that are considered by an FHLBank to be of investment quality. The Bank treats securities purchased under agreements to resell as short-term collateralized loans that are classified as assets in the Statement of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. If the fair value of the underlying securities decreases below the fair value required as collateral, the counterparty has the option to (1) place an equivalent amount of additional securities in safekeeping in the name of the Bank or (2) remit an equivalent amount of cash. |
Investment Securities | Investment Securities. The Bank classifies investment securities as trading, AFS and HTM at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on investment securities.” Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. Generally, the Bank records changes in the fair value of these securities in AOCI as “Net unrealized gains (losses) on AFS securities.” Beginning January 1, 2019, the Bank adopted new hedging accounting guidance, which, among other things, impacts the income statement presentation of gains (losses) on derivatives and hedging activities for qualifying hedges, including hedges of AFS securities. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income within the “AFS securities” section 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 AOCI as “Net unrealized gains (losses) on AFS securities.” Prior to January 1, 2019, for AFS securities that had been hedged and qualified as a fair value hedge, the Bank recorded the portion of the change in the fair value of the investment related to the risk being hedged in the noninterest income as “Net gains (losses) on derivative 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 AOCI as “Net unrealized gains (losses) on AFS securities.” Held-to-Maturity (HTM). Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired adjusted for periodic principal repayments, amortization of premiums and accretion of discounts. Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM 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 Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) The sale occurs near enough to its 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 the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) The sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. Premiums and Discounts. The Bank amortizes purchased premiums and accretes purchased discounts on investment securities using the contractual level-yield method (contractual method). The contractual method recognizes the income effects of premiums and discounts over the contractual life of the securities based on the actual behavior of the underlying assets, including adjustments for actual prepayment activities, and reflects the contractual terms of the securities without regard to changes in estimated prepayments based on assumptions about future borrower behavior. Gains and Losses on Sales. The Bank computes gains and losses on sales of its investment securities using the specific identification method and includes these gains and losses in other noninterest income (loss). Investment Securities - OTTI. The Bank evaluates its individual AFS and HTM securities in unrealized loss positions for OTTI on a quarterly basis. A security is considered impaired (i.e. in an unrealized loss position) when its fair value is less than its amortized cost. The Bank considers an OTTI to have occurred under any of the following conditions: • It has an intent to sell the impaired debt security; • If, based on available evidence, it believes it is more likely than not that it will be required to sell the impaired debt security before the recovery of its amortized cost basis; or • It does not expect to recover the entire amortized cost basis of the impaired debt security. Recognition of OTTI. If either of the first two conditions is met, the Bank recognizes an OTTI 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 a security in an unrealized loss position that does not meet either of the first two conditions, the security is evaluated to determine the extent and amount of credit loss. To determine whether a credit loss exists, the Bank performs an analysis, which includes a cash flow analysis for private label mortgage-backed securities (MBS), to determine if it will recover the entire amortized cost basis of each of these securities. The present value of the cash flows expected to be collected is compared to the amortized cost of the debt security. If there is a credit loss (the difference between the present value of the cash flows expected to be collected and the amortized cost basis of the debt security), the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) is recognized in earnings, while the amount related to all other factors (i.e., the non-credit component) is recognized in AOCI which is a component of capital. The credit loss on a debt security is limited to the amount of that security’s unrealized losses. The net OTTI is presented in the Statement of Income with the related offset representing the non-credit portion of OTTI that is recognized in AOCI. The remaining amount on the Statement of Income represents the credit loss for the period. |
Investment Securities - OTTI | Investment Securities - OTTI. The Bank evaluates its individual AFS and HTM securities in unrealized loss positions for OTTI on a quarterly basis. A security is considered impaired (i.e. in an unrealized loss position) when its fair value is less than its amortized cost. The Bank considers an OTTI to have occurred under any of the following conditions: • It has an intent to sell the impaired debt security; • If, based on available evidence, it believes it is more likely than not that it will be required to sell the impaired debt security before the recovery of its amortized cost basis; or • It does not expect to recover the entire amortized cost basis of the impaired debt security. Recognition of OTTI. If either of the first two conditions is met, the Bank recognizes an OTTI 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 a security in an unrealized loss position that does not meet either of the first two conditions, the security is evaluated to determine the extent and amount of credit loss. To determine whether a credit loss exists, the Bank performs an analysis, which includes a cash flow analysis for private label mortgage-backed securities (MBS), to determine if it will recover the entire amortized cost basis of each of these securities. The present value of the cash flows expected to be collected is compared to the amortized cost of the debt security. If there is a credit loss (the difference between the present value of the cash flows expected to be collected and the amortized cost basis of the debt security), the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) is recognized in earnings, while the amount related to all other factors (i.e., the non-credit component) is recognized in AOCI which is a component of capital. The credit loss on a debt security is limited to the amount of that security’s unrealized losses. The net OTTI is presented in the Statement of Income with the related offset representing the non-credit portion of OTTI that is recognized in AOCI. The remaining amount on the Statement of Income represents the credit loss for the period. Accounting for OTTI Recognized in AOCI. For subsequent accounting of an other-than-temporarily impaired security, the Bank records an additional OTTI if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional OTTI (both credit and non-credit component, if any) is determined as the difference between the security’s amortized cost less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI and its fair value. Any additional credit loss is limited to that security’s unrealized losses, or the difference between the security’s amortized cost and its fair value, as of the Statement of Condition date. This additional credit loss, up to the amount in AOCI related to the security, is reclassified out of AOCI and recognized in earnings. The non-credit component, if any, is recognized in AOCI. Subsequent related increases and decreases (if not an additional OTTI) in the fair value of AFS securities are netted against the non-credit component of OTTI recognized previously in AOCI. For debt securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value. Interest Income Recognition. When a debt security has been other-than-temporarily impaired, a new accretable yield is calculated for that security at its impairment measurement date. This adjusted yield is used to calculate the interest income recognized over the remaining life of that security, matching the amount and timing of its estimated future collectible cash flows. Subsequent to that security’s initial OTTI, the Bank re-evaluates estimated future collectible cash flows on a quarterly basis. If the security has no additional OTTI based on this evaluation, the accretable yield is reassessed for possible upward adjustment on a prospective basis. The accretable yield is adjusted if there is a significant increase in the security’s expected cash flows. The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, the amount of which could be up to the difference between the security’s amortized cost basis and its fair value, and records any difference in its Statement of Income. The Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the FHLBanks’ OTTI Governance Committee. The OTTI analysis is a cash flow analysis generated on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. For certain securities where underlying collateral data is not available, alternate procedures, as prescribed by the FHLBanks’ OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were not significant to the Bank. The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as: • the remaining payment terms for the security; • prepayment speeds and default rates; • loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; • expected housing price changes; and • interest-rate assumptions. To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label MBS to its amortized cost basis. For the Bank’s private label MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased. |
Advances | dvances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost net of premiums and discounts (including discounts related to AHP and hedging adjustments). The Bank amortizes/accretes premiums, discounts and hedging adjustments to interest income using the contractual method. The Bank records interest on advances to interest income as earned. Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit. Advance Modifications. In cases in which the Bank funds a new advance concurrently with or within a short period of time before or after the prepayment of an existing advance, the Bank 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 Bank 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% difference in the present value of cash flows or if, based on a qualitative assessment of the modifications made to the original contractual terms, the Bank will conclude that the modifications are more than minor, and 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 Bank charges a borrower a prepayment fee when the borrower prepays certain advances before the original maturity. In the event that a new advance is issued in connection with a prepayment of an outstanding advance but the new advance does not qualify as a modification of an existing advance, any prepayment fee, net of hedging activities, is recorded in “Advances” in the interest income section of the Statement of Income. If a new advance qualifies as a modification of an existing advance, any prepayment fee, net of hedging activities, is deferred and amortized using the contractual method. |
Mortgage Loans Held for Portfolio | ortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation. The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are reported net of premiums, discounts, deferred loan fees or costs, hedging adjustments, charge-offs, and the allowance for credit losses. |
Premiums and Discounts | remiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method. CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses. Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated expiration. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount; they represent purchase price adjustments to the related loans acquired and are recorded as a part of the carrying value of the loans. |
BOB Loans | OB Loans. The Bank’s BOB loan program to members is targeted to small businesses.. The program’s objective is to assist in the growth and development of small business, including both their start-up and expansion. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is to help facilitate community economic development; however, repayment provisions require that the BOB program be accounted for as an unsecured loan. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid. |
Allowance for Credit Losses | Allowance for Credit Losses. Establishing Allowance for Credit Losses. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank’s portfolio as of the Statement of Condition date and the amount of loss can be reasonably estimated. A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. Portfolio Segments . A portfolio segment is defined as the level at which an entity develops and documents a systematic methodology for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses, where applicable, for: • advances, letters of credit and other extensions of credit to members, collectively referred to as credit products; • government-guaranteed or insured mortgage loans held for portfolio; • conventional MPF loans held for portfolio; and • BOB loans. Classes of Financing Receivables . Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent that disaggregation is needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments is needed as the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level. Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include 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 includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), SMI, and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses. For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed-upon amount, referred to as the FLA. The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectibility is generally established for losses expected to be recovered by withholding CE fees. The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured MPF loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans. Credit Products . The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally requires a credit limit to be established for each borrower. This approach includes an ongoing review of each borrower’s financial condition in conjunction with the Bank’s collateral and lending policies to limit risk of loss while balancing each borrower’s need for a reliable source of funding. In addition, the Bank lends to its members in accordance with the FHLBank Act and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to help ensure that credit products continue to be secured by adequate collateral. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, regardless of the member’s financial condition, the Bank always takes possession or control of securities used as collateral. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be otherwise 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 Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At December 31, 2019 and December 31, 2018 , the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At December 31, 2019 and December 31, 2018 , the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be TDRs. Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. |
Nonaccrual Loans | Nonaccrual Loans . The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and 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 nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection. |
Troubled Debt Restructuring [Policy Text Block] | Troubled Debt Restructuring (TDR). The Bank considers a troubled debt restructuring 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, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance. |
Impaired Financing Receivable, Policy [Policy Text Block] | 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 reliable source of repayment available. Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as a charge-off. Interest income on impaired loans is recognized in the same manner as non-accrual loans. Charge-off Policy . A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets. |
Real Estate Owned (REO) | Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses and/or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in other noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition. |
Derivatives | Derivatives and Hedging Activities. All derivatives are recognized on the Statement of Condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial margin, and accrued interest received from or pledged to clearing agents and/or counterparties. Variation margin payments are characterized as daily settlement payments, rather than collateral. The fair value of derivatives is netted by clearing agent and/or 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 derivatives 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. Derivative Designations. Each derivative is designated as either: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or • a non-qualifying hedge (an economic hedge) for asset and 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 are expected to be highly effective, they qualify for fair value hedge accounting. Two approaches to hedge accounting include: • Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been highly effective in offsetting changes in the fair value of hedged items or forecasted transactions attributable to the hedged risk and whether those derivatives may be expected to remain highly effective in future periods. For hedge relationships that meet certain requirements, this assessment may be completed qualitatively. • Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be highly effective at achieving offsetting changes in fair values of the hedged asset or liability. The Bank documents fallback language at hedge inception, including the quantitative method it would use to assess hedge effectiveness and measure hedge results if the short-cut method were to no longer be appropriate during the life of the hedging relationship. Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date. Beginning January 1, 2019, the Bank adopted new hedging accounting guidance, which, among other things, impacts the presentation of gains (losses) on derivatives and hedging activities for qualifying hedges. Net interest settlements, as well as changes in the fair value of a derivative and the related hedged item for designated fair value hedges, are recorded in net interest income in the same line as the hedged item. Prior to January 1, 2019, for 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 hedged item attributable to the hedged risk) was recorded in other noninterest income 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 fair value hedge accounting, but is an acceptable hedging strategy under the Bank’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 Bank’s income. but that are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. As a result, the Bank recognizes the net interest settlements and the change in fair value of these derivatives in other noninterest income as “Net gains (losses) on derivatives and hedging activities” with no offsetting fair value adjustments for the assets, liabilities, or firm commitments. Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedge relationships are recognized as adjustments to the income or expense of the designated hedged item. Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty 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. Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. Generally, the Bank is subject to certain ISDA agreements for uncleared derivatives that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank’s credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that require the Bank to deliver additional collateral due to a credit downgrade and were in a net liability position (before cash collateral and related accrued interest) at December 31, 2019 was $1.6 million . The Bank had no collateral posted against this position and even if the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would not have been required to deliver any additional collateral to its derivative counterparties at December 31, 2019 . Cleared Derivatives . For cleared derivatives, Derivative Clearing Organizations (Clearing Houses) are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin. The requirement that the Bank post initial margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. The use of cleared derivatives is intended to mitigate credit risk exposure through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses Chicago Mercantile Exchange (CME) Clearing as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as daily settlement payments, rather than collateral. Initial margin is considered cash collateral. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 18 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. |
Derivatives, Hedge Discontinuances [Policy Text Block] | Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: • it determines that the derivative is no longer highly effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments); • the derivative and/or the hedged item expires or is sold, terminated, or exercised; • a hedged firm commitment no longer meets the definition of a firm commitment; or • management determines that designating the derivative as a hedging instrument is no longer appropriate. When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statement 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 the contractual method. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. |
Embedded Derivatives | Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance, debt 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. The embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument (pursuant to an economic hedge) when the Bank 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. However, the entire contract is carried at fair value and no portion of the contract is designated as a hedging instrument if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as “trading”), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract. |
Premises, Software and Equipment | Premises, Software and Equipment. The Bank records premises, software and equipment at cost less accumulated depreciation and amortization and computes depreciation using the straight-line method over the estimated useful lives of the assets, which range from one to ten years. The Bank amortizes leasehold improvements using the straight-line method over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. Premises, software and equipment are included in “Other assets” on the Statement of Condition. The Bank includes gains and losses on the disposal of premises, software and equipment in “Other noninterest income (loss).” At December 31, 2019 and 2018 , premises, software, and equipment, net of accumulated depreciation and amortization were $8.4 million and $8.7 million , respectively. For the years ended December 31, 2019 , 2018 , and 2017 , the related depreciation and amortization expense was $3.3 million , $2.8 million , and $3.9 million , respectively. Hosting arrangements, also known as Software as a Service (SaaS), are assessed for whether they should be accounted for as software or a service contract. SaaS accounted for as a service contract is expensed as incurred, which could result in the SaaS being recognized as a prepaid asset and recorded in Other assets on the Statement of Condition, if appropriate. Implementation costs related to SaaS are recorded as software. At December 31, 2019 and 2018 , SaaS accounted for as a service contract was immaterial. |
Lessee, Leases [Policy Text Block] | Leases. The Bank leases office space and office equipment to run its business operations. As a result of adopting the Leases Accounting Standards Update (ASU) on January 1, 2019, the Bank recognizes its lease right-of-use assets in Other assets and the related lease liabilities in Other liabilities in its Statement of Condition. Prior to 2019, its leases were not recognized on the Statement of Condition. At adoption, the Bank elected to account for the lease and non-lease components of its real estate, including leasehold improvement, asset class as a single lease component. The Bank also elected not to recognize leases with a term of 12 months on the Statement of Condition. |
Consolidated Obligations | Consolidated Obligations. Consolidated obligations are recorded at amortized cost. Discounts and Premiums. The Bank amortizes premiums and accretes discounts as well as hedging basis adjustments on consolidated obligations to interest expense using the contractual method. Concessions . The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations. Concessions paid on consolidated obligations are recorded as a direct deduction from the carrying amount of the debt and amortized using the contractual method. The amortization of such concessions is included in consolidated obligation interest expense. |
Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock. The Bank reclassifies stock subject to redemption from capital stock to a liability after a member provides written notice of redemption, gives notice of intention to withdraw from membership, or attains non-member status by merger or acquisition, charter termination or other involuntary termination from membership, because the member’s shares will then meet the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value, which is par plus estimated dividends. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statement of Income. The repurchase or redemption of mandatorily redeemable capital stock is reflected as a financing cash outflow in the Statement of Cash Flows. If a member cancels its written notice of redemption or notice of withdrawal, the Bank will reclassify mandatorily redeemable capital stock from liabilities to capital. After the reclassification, dividends on the capital stock will no longer be classified as interest expense. |
Restricted Retained Earnings (RRE) | Restricted Retained Earnings (RRE). In accordance with the Joint Capital Enhancement Agreement (JCEA) entered into by the Bank, as amended, the Bank allocates 20% of its quarterly net income to a separate restricted retained earnings account until the account balance equals at least 1% of the Bank’s average balance of outstanding consolidated obligations for the previous quarter. These restricted retained earnings are not available to pay dividends and are presented separately on the Statement of Condition. See Note 15 - Capital for more information. Bank is required to contribute 20% of its net income each quarter to a RRE account until the balance of that account equals at least 1% of the Bank’s average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At December 31, 2019 , retained earnings were $1,326.0 million , including $910.7 million of unrestricted retained earnings and $415.3 million of RRE. |
Finance Agency Expenses | Finance Agency Expenses. The portion of the Finance Agency’s expenses and working capital fund paid by the FHLBanks are allocated among the FHLBanks based on the prorata share of the annual assessments (which are based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of every FHLBank). |
Office of Finance Expenses | Office of Finance Expenses. The Bank’s proportionate share of the OF operating and capital expenditures is calculated using a formula based upon the following components: (1) two-thirds based upon its share of total consolidated obligations outstanding and (2) one-third based upon an equal pro-rata allocation. |
AHP Assesment | AHP. The FHLBank Act requires each FHLBank to establish and fund an AHP, providing subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-to-moderate-income households. The Bank charges the required funding for AHP to earnings and establishes a liability. As allowed per AHP regulations, the Bank can elect to allot fundings based on future periods’ required AHP contributions (referred to as Accelerated AHP). The Accelerated AHP allows the Bank to commit and disburse AHP funds to meet the Bank’s mission when it would otherwise be unable to do so based on its normal funding mechanism. The Bank primarily makes the AHP subsidy available to members as a grant. Alternatively, the Bank could provide the member with an interest rate below a normal advance rate. This will create a discount which will be the present value of the difference between the cash flow generated using an AHP advance rate and the Bank’s cost of funds. If the Bank provides a discounted interest rate, this discount is accreted to interest income using the contractual method over the life of the advance. See Note 14 - AHP for more information. |
Collectively Evaluated Mortgage Loans | Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. This includes impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which primarily consists of MPF loans that are 180 days or more delinquent, troubled debt restructurings, and other loans where the borrower has filed for bankruptcy. The estimated credit losses on impaired collateral-dependent loans are separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs and recovery through PMI. The estimated fair value is determined based on a value provided by a third party's retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. The estimated credit loss on individually evaluated MPF loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. The CE receivable is evaluated for collectibility, and a reserve, included as part of the allowance for credit losses, is established if required. Collectively Evaluated Mortgage Loans. For the remainder of the portfolio, the Bank evaluates the homogeneous mortgage loan portfolio collectively for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank. |
Qualified Defined Benefit Multiemployer Plan | Qualified Defined Benefit Multiemployer Plan. The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Defined Benefit Plan), a tax qualified defined benefit pension plan. The Defined Benefit Plan is treated as a multiemployer 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 (IRC). As a result, certain multiemployer plan disclosures are not applicable to the Defined Benefit Plan. Under the Defined Benefit Plan, contributions made by a 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 plan covers officers and employees of the Bank that meet certain eligibility requirements and were hired prior to January 1, 2019. The Defined Benefit Plan operates on a fiscal year from July 1 through June 30 . The Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number 13-5645888 , and the three-digit plan number is 333 . There are no collective bargaining agreements in place at the Bank. The 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 the plan’s assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. 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 that the plan’s participants may choose to make. The most recent Form 5500 available for the Defined Benefit Plan is for the fiscal year ended June 30, 2018 . The Bank’s contributions to the Defined Benefit Plan during 2019 were less than 5% of total plan contributions during the plan year ended June 30, 2018 . The Bank’s contributions to the Defined Benefit Plan during 2018 were less than 5% of total plan contributions during the plan year ended June 30, 2017 . (dollars in thousands) 2019 2018 2017 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 3,279 $ 5,000 $ 7,212 Defined Benefit Plan funded status as of July 1 108.6 % (a) 109.9 % (b) 111.3 % Bank’s funded status as of July 1 144.8 % 147.3 % 142.4 % |
Fair Value of Financial Instruments | 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. Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities. For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows: • LIBOR Swap curve: certificates of deposit • CO curve: GSE and other U.S. obligations The Bank uses a market approach for its state and local agency bonds. The Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. Beginning in 2019, the Bank also uses a market approach for U.S. Treasury obligations. Prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. However, for certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from multiple 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. Since 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, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. During the year, the Bank conducts reviews of its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. As of December 31, 2019 , for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. In addition, there were minimal outliers to evaluate. Based on the Bank’s reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, as of December 31, 2019 , the Bank classified private label MBS as Level 3. Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature. The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: • Discount rate assumption. OIS curve • Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve through contractual term. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. Mortgage delivery commitments: • TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market. The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary. The Bank’s credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, CME). Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability. Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. |
Fair Value Transfer | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period. |
Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans | he Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit. Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Refer to Note 10 - Allowance for Credit Losses in this Form 10-K. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in Other liabilities on the Statement of Condition. Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized overnight advance. |
Trading Securities (Tables)
Trading Securities (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Debt and Equity Securities, FV-NI [Line Items] | |
Schedule of Trading Securities | The following table presents trading securities as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, December 31, U.S. Treasury obligations $ 3,390,772 $ 997,061 GSE and Tennessee Valley Authority (TVA) obligations 240,878 283,992 Total $ 3,631,650 $ 1,281,053 |
Trading Securities [Member] | |
Debt and Equity Securities, FV-NI [Line Items] | |
Net Gains (Losses) on Trading Securities | The following table presents net gains (losses) on trading securities for 2019 , 2018 and 2017 . Year ended December 31, (in thousands) 2019 2018 2017 Net unrealized gains (losses) on trading securities held at year-end $ 16,197 $ (4,816 ) $ 2,672 Net unrealized and realized gains (losses) on trading securities sold/matured during the year 2,508 (4,927 ) — Net gains (losses) on trading securities $ 18,705 $ (9,743 ) $ 2,672 |
Available-for-Sale (AFS) Secu_2
Available-for-Sale (AFS) Securities (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |
Schedule of Available-for-sale Securities Reconciliation | The following tables present AFS securities as of December 31, 2019 and December 31, 2018 . December 31, 2019 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: GSE and TVA obligations $ 1,508,264 $ — $ 42,435 $ — $ 1,550,699 State or local agency obligations 238,496 — 9,398 — 247,894 Total non-MBS $ 1,746,760 $ — $ 51,833 $ — $ 1,798,593 MBS: U.S. obligations single-family MBS $ 805,294 $ — $ 3,590 $ (1,298 ) $ 807,586 GSE single-family MBS 4,053,700 — 9,574 (7,415 ) 4,055,859 GSE multifamily MBS 4,120,532 — 4,581 (15,528 ) 4,109,585 Private label MBS 274,624 — 51,704 (182 ) 326,146 Total MBS $ 9,254,150 $ — $ 69,449 $ (24,423 ) $ 9,299,176 Total AFS securities $ 11,000,910 $ — $ 121,282 $ (24,423 ) $ 11,097,769 December 31, 2018 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: GSE and TVA obligations $ 1,771,573 $ — $ 15,801 $ (2,057 ) $ 1,785,317 State or local agency obligations 250,789 — 1,975 (6,825 ) 245,939 Total non-MBS $ 2,022,362 $ — $ 17,776 $ (8,882 ) $ 2,031,256 MBS: U.S. obligations single-family MBS $ 216,594 $ — $ 1,988 $ (88 ) $ 218,494 GSE single-family MBS 2,575,361 — 12,013 (5,871 ) 2,581,503 GSE multifamily MBS 2,612,289 — 550 (7,385 ) 2,605,454 Private label MBS 344,631 — 65,133 (214 ) 409,550 Total MBS $ 5,748,875 $ — $ 79,684 $ (13,558 ) $ 5,815,001 Total AFS securities $ 7,771,237 $ — $ 97,460 $ (22,440 ) $ 7,846,257 Notes : (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, OTTI recognized, and/or fair value hedge accounting adjustments. (2) Represents the non-credit portion of an OTTI recognized during the life of the security. |
Available-for-sale Securities [Member] | |
Debt Securities, Available-for-sale [Line Items] | |
Reconciliation of Other than Temporary Impairment on Investments Recognized in Accumulated Other Comprehensive Income | The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, 2019 December 31, 2018 Non-credit portion of OTTI losses $ — $ — Net unrealized gains on OTTI securities since their last OTTI credit charge 51,704 65,133 Net non-credit portion of OTTI gains on AFS securities in AOCI $ 51,704 $ 65,133 |
Schedule of Unrealized Loss on Investments | The following tables summarize the AFS securities with unrealized losses as of December 31, 2019 and December 31, 2018 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2019 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses (1) MBS: U.S. obligations single-family MBS $ 492,038 $ (1,022 ) $ 46,104 $ (276 ) $ 538,142 $ (1,298 ) GSE single-family MBS 2,458,728 (6,318 ) 221,806 (1,097 ) 2,680,534 (7,415 ) GSE multifamily MBS 2,515,001 (10,683 ) 1,181,509 (4,845 ) 3,696,510 (15,528 ) Private label MBS — — 2,979 (182 ) 2,979 (182 ) Total MBS $ 5,465,767 $ (18,023 ) $ 1,452,398 $ (6,400 ) $ 6,918,165 $ (24,423 ) Total $ 5,465,767 $ (18,023 ) $ 1,452,398 $ (6,400 ) $ 6,918,165 $ (24,423 ) December 31, 2018 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses (1) Non-MBS: GSE and TVA obligations $ 27,641 $ (98 ) $ 273,433 $ (1,959 ) $ 301,074 $ (2,057 ) State or local agency obligations 20,575 (180 ) 122,664 (6,645 ) 143,239 (6,825 ) Total non-MBS $ 48,216 $ (278 ) $ 396,097 $ (8,604 ) $ 444,313 $ (8,882 ) MBS: U.S. obligations single-family MBS $ 61,868 $ (88 ) $ — $ — $ 61,868 $ (88 ) GSE single-family MBS 499,383 (1,423 ) 185,711 (4,448 ) 685,094 (5,871 ) GSE multifamily MBS 1,600,825 (2,933 ) 522,918 (4,452 ) 2,123,743 (7,385 ) Private label MBS — — 2,946 (214 ) 2,946 (214 ) Total MBS $ 2,162,076 $ (4,444 ) $ 711,575 $ (9,114 ) $ 2,873,651 $ (13,558 ) Total $ 2,210,292 $ (4,722 ) $ 1,107,672 $ (17,718 ) $ 3,317,964 $ (22,440 ) Note: (1) Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 5. |
Investments Classified by Contractual Maturity Date | The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2019 and December 31, 2018 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ — $ — $ 334,985 $ 334,428 Due after one year through five years 525,301 534,642 436,904 441,263 Due after five years through ten years 700,613 719,672 660,043 664,031 Due in more than ten years 520,846 544,279 590,430 591,534 Total non-MBS 1,746,760 1,798,593 2,022,362 2,031,256 MBS 9,254,150 9,299,176 5,748,875 5,815,001 Total AFS securities $ 11,000,910 $ 11,097,769 $ 7,771,237 $ 7,846,257 |
Schedule of Interest Rate Payment Terms For Investments | The following table details interest payment terms at December 31, 2019 and December 31, 2018 . (in thousands) December 31, December 31, Amortized cost of AFS non-MBS: Fixed-rate $ 1,746,760 $ 1,937,376 Variable-rate — 84,986 Total non-MBS $ 1,746,760 $ 2,022,362 Amortized cost of AFS MBS: Fixed-rate $ 1,444,111 $ 1,261,019 Variable-rate 7,810,039 4,487,856 Total MBS $ 9,254,150 $ 5,748,875 Total amortized cost of AFS securities $ 11,000,910 $ 7,771,237 |
Held-to-Maturity (HTM) Securi_2
Held-to-Maturity (HTM) Securities (Tables) - Held-to-maturity Securities [Member] | 12 Months Ended |
Dec. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |
HTM Securities by Major Security Type | The following tables present HTM securities as of December 31, 2019 and December 31, 2018 . December 31, 2019 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 94,310 $ — $ (3,394 ) $ 90,916 MBS: U.S. obligations single-family MBS $ 250,195 $ 1,087 $ (78 ) $ 251,204 GSE single-family MBS 1,156,545 20,896 (254 ) 1,177,187 GSE multifamily MBS 770,823 26,231 (252 ) 796,802 Private label MBS 123,818 881 (520 ) 124,179 Total MBS $ 2,301,381 $ 49,095 $ (1,104 ) $ 2,349,372 Total HTM securities $ 2,395,691 $ 49,095 $ (4,498 ) $ 2,440,288 December 31, 2018 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 700,000 $ 64 $ — $ 700,064 State or local agency obligations 102,705 — (3,969 ) 98,736 Total non-MBS $ 802,705 $ 64 $ (3,969 ) $ 798,800 MBS: U.S. obligations single-family MBS $ 325,178 $ 2,195 $ (4 ) $ 327,369 GSE single-family MBS 899,875 13,402 (92 ) 913,185 GSE multifamily MBS 853,053 9,224 (6,818 ) 855,459 Private label MBS 205,221 1,765 (666 ) 206,320 Total MBS $ 2,283,327 $ 26,586 $ (7,580 ) $ 2,302,333 Total HTM securities $ 3,086,032 $ 26,650 $ (11,549 ) $ 3,101,133 |
Schedule of Unrealized Loss on Investments | The following tables summarize the HTM securities with unrealized losses as of December 31, 2019 and December 31, 2018 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2019 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ — $ — $ 90,916 $ (3,394 ) $ 90,916 $ (3,394 ) MBS: U.S. obligations single-family MBS $ 29,639 $ (78 ) $ — $ — $ 29,639 $ (78 ) GSE single-family MBS 80,788 (230 ) 3,743 (24 ) 84,531 (254 ) GSE multifamily MBS 75,797 (252 ) — — 75,797 (252 ) Private label MBS 24,700 (69 ) 21,181 (451 ) 45,881 (520 ) Total MBS $ 210,924 $ (629 ) $ 24,924 $ (475 ) $ 235,848 $ (1,104 ) Total $ 210,924 $ (629 ) $ 115,840 $ (3,869 ) $ 326,764 $ (4,498 ) December 31, 2018 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ — $ — $ 98,736 $ (3,969 ) $ 98,736 $ (3,969 ) MBS: U.S. obligations single-family MBS $ 19,016 $ (4 ) $ — $ — $ 19,016 $ (4 ) GSE single-family MBS 22,995 (62 ) 4,443 (30 ) 27,438 (92 ) GSE multifamily MBS 25,963 (56 ) 319,473 (6,762 ) 345,436 (6,818 ) Private label MBS 36,413 (402 ) 7,904 (264 ) 44,317 (666 ) Total MBS $ 104,387 $ (524 ) $ 331,820 $ (7,056 ) $ 436,207 $ (7,580 ) Total $ 104,387 $ (524 ) $ 430,556 $ (11,025 ) $ 534,943 $ (11,549 ) |
Investments Classified by Contractual Maturity Date | The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2019 and December 31, 2018 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ — $ — $ 700,000 $ 700,064 Due after one year through five years — — — — Due after five years through ten years 31,925 31,381 37,015 36,288 Due after ten years 62,385 59,535 65,690 62,448 Total non-MBS 94,310 90,916 802,705 798,800 MBS 2,301,381 2,349,372 2,283,327 2,302,333 Total HTM securities $ 2,395,691 $ 2,440,288 $ 3,086,032 $ 3,101,133 |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Held-to-Maturity (HTM) Securities The following tables present HTM securities as of December 31, 2019 and December 31, 2018 . December 31, 2019 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 94,310 $ — $ (3,394 ) $ 90,916 MBS: U.S. obligations single-family MBS $ 250,195 $ 1,087 $ (78 ) $ 251,204 GSE single-family MBS 1,156,545 20,896 (254 ) 1,177,187 GSE multifamily MBS 770,823 26,231 (252 ) 796,802 Private label MBS 123,818 881 (520 ) 124,179 Total MBS $ 2,301,381 $ 49,095 $ (1,104 ) $ 2,349,372 Total HTM securities $ 2,395,691 $ 49,095 $ (4,498 ) $ 2,440,288 December 31, 2018 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 700,000 $ 64 $ — $ 700,064 State or local agency obligations 102,705 — (3,969 ) 98,736 Total non-MBS $ 802,705 $ 64 $ (3,969 ) $ 798,800 MBS: U.S. obligations single-family MBS $ 325,178 $ 2,195 $ (4 ) $ 327,369 GSE single-family MBS 899,875 13,402 (92 ) 913,185 GSE multifamily MBS 853,053 9,224 (6,818 ) 855,459 Private label MBS 205,221 1,765 (666 ) 206,320 Total MBS $ 2,283,327 $ 26,586 $ (7,580 ) $ 2,302,333 Total HTM securities $ 3,086,032 $ 26,650 $ (11,549 ) $ 3,101,133 The following tables summarize the HTM securities with unrealized losses as of December 31, 2019 and December 31, 2018 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2019 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ — $ — $ 90,916 $ (3,394 ) $ 90,916 $ (3,394 ) MBS: U.S. obligations single-family MBS $ 29,639 $ (78 ) $ — $ — $ 29,639 $ (78 ) GSE single-family MBS 80,788 (230 ) 3,743 (24 ) 84,531 (254 ) GSE multifamily MBS 75,797 (252 ) — — 75,797 (252 ) Private label MBS 24,700 (69 ) 21,181 (451 ) 45,881 (520 ) Total MBS $ 210,924 $ (629 ) $ 24,924 $ (475 ) $ 235,848 $ (1,104 ) Total $ 210,924 $ (629 ) $ 115,840 $ (3,869 ) $ 326,764 $ (4,498 ) December 31, 2018 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ — $ — $ 98,736 $ (3,969 ) $ 98,736 $ (3,969 ) MBS: U.S. obligations single-family MBS $ 19,016 $ (4 ) $ — $ — $ 19,016 $ (4 ) GSE single-family MBS 22,995 (62 ) 4,443 (30 ) 27,438 (92 ) GSE multifamily MBS 25,963 (56 ) 319,473 (6,762 ) 345,436 (6,818 ) Private label MBS 36,413 (402 ) 7,904 (264 ) 44,317 (666 ) Total MBS $ 104,387 $ (524 ) $ 331,820 $ (7,056 ) $ 436,207 $ (7,580 ) Total $ 104,387 $ (524 ) $ 430,556 $ (11,025 ) $ 534,943 $ (11,549 ) Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2019 and December 31, 2018 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2019 December 31, 2018 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ — $ — $ 700,000 $ 700,064 Due after one year through five years — — — — Due after five years through ten years 31,925 31,381 37,015 36,288 Due after ten years 62,385 59,535 65,690 62,448 Total non-MBS 94,310 90,916 802,705 798,800 MBS 2,301,381 2,349,372 2,283,327 2,302,333 Total HTM securities $ 2,395,691 $ 2,440,288 $ 3,086,032 $ 3,101,133 Interest Rate Payment Terms. The following table details interest rate payment terms at December 31, 2019 and December 31, 2018 . (in thousands) December 31, 2019 December 31, 2018 Amortized cost of HTM non-MBS: Fixed-rate $ — $ 700,000 Variable-rate 94,310 102,705 Total non-MBS $ 94,310 $ 802,705 Amortized cost of HTM MBS: Fixed-rate $ 1,878,151 $ 1,682,100 Variable-rate 423,230 601,227 Total MBS $ 2,301,381 $ 2,283,327 Total HTM securities $ 2,395,691 $ 3,086,032 |
Schedule of Interest Rate Payment Terms For Investments | The following table details interest rate payment terms at December 31, 2019 and December 31, 2018 . (in thousands) December 31, 2019 December 31, 2018 Amortized cost of HTM non-MBS: Fixed-rate $ — $ 700,000 Variable-rate 94,310 102,705 Total non-MBS $ 94,310 $ 802,705 Amortized cost of HTM MBS: Fixed-rate $ 1,878,151 $ 1,682,100 Variable-rate 423,230 601,227 Total MBS $ 2,301,381 $ 2,283,327 Total HTM securities $ 2,395,691 $ 3,086,032 |
Other-Than-Temporary Impairme_2
Other-Than-Temporary Impairment (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Schedule of Other Than Temporarily Impaired Charges of Securities | The “Total OTTI securities” balances below summarize the Bank’s securities as of December 31, 2019 for which an OTTI has been recognized during the life of the security. The “Private label MBS with no OTTI” balances below represent AFS securities on which an OTTI was not taken. The sum of these two amounts reflects the total AFS private label MBS balance. OTTI Recognized During the Life of the Security (in thousands) Unpaid Principal Balance Amortized Cost (1) Fair Value Private label MBS: Prime $ 141,994 $ 101,005 $ 126,125 Alt-A 231,796 170,459 197,043 Total OTTI securities 373,790 271,464 323,168 Private label MBS with no OTTI 3,160 3,160 2,978 Total AFS private label MBS $ 376,950 $ 274,624 $ 326,146 Notes: (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or OTTI recognized. |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for 2019 , 2018 and 2017 . (in thousands) 2019 2018 2017 Beginning balance $ 191,234 $ 210,875 $ 236,461 Additions: Additional OTTI credit losses for which an OTTI charge was previously recognized (1) 570 957 959 Reductions: Securities sold and matured during the period (2) (3,810 ) — 95 Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (19,643 ) (20,598 ) (26,640 ) Ending balance $ 168,351 $ 191,234 $ 210,875 Notes: (1) For 2019 , 2018 and 2017 , additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were also previously impaired prior to January 1 of the applicable year. (2) Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Advances [Abstract] | |
Advances Tables | The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of December 31, 2019 and December 31, 2018 . Year of Redemption or Next Call Date Year of Redemption or Next Convertible Date (in thousands) December 31, 2019 December 31, 2018 December 31, 2019 December 31, 2018 Due in 1 year or less $ 42,556,372 $ 43,667,513 $ 41,281,372 $ 37,652,513 Due after 1 year through 2 years 14,060,269 20,703,488 15,285,269 24,728,488 Due after 2 years through 3 years 6,035,460 12,368,363 6,065,460 14,368,363 Due after 3 years through 4 years 1,305,453 4,350,603 1,299,453 4,360,603 Due after 4 years through 5 years 829,892 798,145 864,892 792,145 Thereafter 651,673 709,479 642,673 695,479 Total par value $ 65,439,119 $ 82,597,591 $ 65,439,119 $ 82,597,591 Interest Rate Payment Terms. The following table details interest rate payment terms by year of redemption for advances as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, December 31, Fixed-rate – overnight $ 3,847,547 $ 4,934,461 Fixed-rate – term: Due in 1 year or less 18,059,289 17,769,178 Thereafter 16,424,647 17,813,978 Total fixed-rate 38,331,483 40,517,617 Variable-rate: Due in 1 year or less 19,354,536 14,928,874 Thereafter 7,753,100 27,151,100 Total variable-rate 27,107,636 42,079,974 Total par value $ 65,439,119 $ 82,597,591 The following table details the Bank’s advances portfolio by year of redemption as of December 31, 2019 and December 31, 2018 . (dollars in thousands) December 31, 2019 December 31, 2018 Year of Redemption Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 41,261,372 1.97 % $ 37,632,513 2.56 % Due after 1 year through 2 years 15,285,269 2.31 24,728,488 2.58 Due after 2 years through 3 years 6,065,460 2.52 14,368,363 2.64 Due after 3 years through 4 years 1,305,453 2.50 4,360,603 2.58 Due after 4 years through 5 years 869,892 2.10 798,145 2.87 Thereafter 651,673 2.76 709,479 2.79 Total par value 65,439,119 2.12 % 82,597,591 2.58 % Deferred prepayment fees (1,814 ) (59 ) Hedging adjustments 172,770 (121,985 ) Total book value $ 65,610,075 $ 82,475,547 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Receivables [Abstract] | |
Schedule of Mortgage Loans Held for Portfolio | The following table presents balances as of December 31, 2019 and December 31, 2018 for mortgage loans held for portfolio. (in thousands) December 31, December 31, Fixed-rate long-term single-family mortgages (1) $ 4,863,177 $ 4,180,239 Fixed-rate medium-term single-family mortgages (1) 167,156 201,923 Total par value 5,030,333 4,382,162 Premiums 82,108 72,756 Discounts (3,616 ) (4,123 ) Hedging adjustments 13,632 18,126 Total mortgage loans held for portfolio $ 5,122,457 $ 4,468,921 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, December 31, Conventional loans $ 4,856,543 $ 4,194,364 Government-guaranteed/insured loans 173,790 187,798 Total par value $ 5,030,333 $ 4,382,162 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |
Past Due Financing Receivables | Credit Quality Indicator - Mortgage Loans. Key credit quality indicators include the migration of past due loans and nonaccrual loans. (in thousands) December 31, 2019 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total Past due 30-59 days $ 43,872 $ 7,653 $ 51,525 Past due 60-89 days 8,601 2,028 10,629 Past due 90 days or more 12,826 3,363 16,189 Total past due loans $ 65,299 $ 13,044 $ 78,343 Total current loans 4,904,683 166,287 5,070,970 Total loans $ 4,969,982 $ 179,331 $ 5,149,313 Other delinquency statistics: In process of foreclosures, included above (3) $ 4,740 $ 1,110 $ 5,850 Serious delinquency rate (4) 0.3 % 1.9 % 0.3 % Past due 90 days or more still accruing interest $ — $ 3,363 $ 3,363 Loans on nonaccrual status $ 14,890 $ — $ 14,890 (in thousands) December 31, 2018 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total Past due 30-59 days $ 33,935 $ 9,533 $ 43,468 Past due 60-89 days 10,055 1,668 11,723 Past due 90 days or more 12,495 4,245 16,740 Total past due loans $ 56,485 $ 15,446 $ 71,931 Total current loans 4,241,659 178,607 4,420,266 Total loans $ 4,298,144 $ 194,053 $ 4,492,197 Other delinquency statistics: In process of foreclosures, included above (3) $ 6,458 $ 1,450 $ 7,908 Serious delinquency rate (4) 0.3 % 2.2 % 0.4 % Past due 90 days or more still accruing interest $ — $ 4,245 $ 4,245 Loans on nonaccrual status $ 15,728 $ — $ 15,728 Notes: (1) The recorded investment in a loan is the unpaid principal balance, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums, unaccreted discounts and adjustments for hedging. The recorded investment is not net of any valuation allowance. (2) The Bank has not recorded any allowance for credit losses on government-guaranteed or -insured mortgage loans at December 31, 2019 or December 31, 2018 . (3) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (4) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. |
Conventional MPF Loans [Member] | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |
Rollforward of Allowance for Credit Losses on Mortgage Loans | (in thousands) 2019 2018 2017 Ending balance, individually evaluated for impairment $ 6,266 $ 6,238 $ 5,218 Ending balance, collectively evaluated for impairment 1,566 1,071 736 Total allowance for credit losses $ 7,832 $ 7,309 $ 5,954 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a $ 43,943 $ 46,287 $ 52,505 Collectively evaluated for impairment 4,926,039 4,251,857 3,682,167 Total recorded investment $ 4,969,982 $ 4,298,144 $ 3,734,672 Allowance for Credit Losses. Mortgage Loans - Conventional MPF. (in thousands) 2019 2018 2017 Balance, beginning of period $ 7,309 $ 5,954 $ 6,231 (Charge-offs) Recoveries, net (1) (138 ) (1,311 ) (160 ) Provision (benefit) for credit losses 661 2,666 (117 ) Balance, December 31 $ 7,832 $ 7,309 $ 5,954 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | December 31, 2019 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 34,572,128 $ 14,079 $ 4,148 Derivatives not designated as hedging instruments: Interest rate swaps $ 10,413,906 $ 1,676 $ 4,642 Interest rate caps or floors 1,330,000 417 — Mortgage delivery commitments 73,574 29 79 Total derivatives not designated as hedging instruments: $ 11,817,480 $ 2,122 $ 4,721 Total derivatives before netting and collateral adjustments $ 46,389,608 $ 16,201 $ 8,869 Netting adjustments and cash collateral (1) 124,050 (5,845 ) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 140,251 $ 3,024 December 31, 2018 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 38,062,453 $ 9,858 $ 60,119 Derivatives not designated as hedging instruments: Interest rate swaps $ 6,259,799 $ 7,701 $ 24,533 Interest rate caps or floors 1,435,000 2,267 — Mortgage delivery commitments 17,391 29 22 Total derivatives not designated as hedging instruments $ 7,712,190 $ 9,997 $ 24,555 Total derivatives before netting and collateral adjustments $ 45,774,643 $ 19,855 $ 84,674 Netting adjustments and cash collateral (1) 90,414 (59,163 ) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 110,269 $ 25,511 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $138.1 million and $154.8 million at December 31, 2019 and December 31, 2018 , respectively. Cash collateral received was $8.2 million for December 31, 2019 and |
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] | The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items. (in thousands) December 31, 2019 Hedged item type Carrying Amount of Hedged Assets/Liabilities (1) Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities Fair Value Hedging Adjustments for Discontinued Hedging Relationships Cumulative Amount of Fair Value Hedging Adjustments Advances $ 16,724,094 $ 172,779 $ (9 ) $ 172,770 AFS securities 1,391,938 48,946 1,281 50,227 Consolidated obligations – bonds 16,715,492 32,886 160 33,046 Note: (1) Includes carrying value of hedged items in current fair value hedging relationships. |
Net Gains (Losses) on Derivatives and Hedging Activities | Year ended December 31, (in thousands) 2019 2018 2017 Derivatives designated as hedging instruments: Interest rate swaps (1) N/A $ 415 $ 1,193 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (30,295 ) $ 9,573 $ 12,776 Interest rate caps or floors (1,850 ) 482 (4,245 ) Net interest settlements (6,846 ) (9,075 ) (4,683 ) TBAs (53 ) (33 ) — Mortgage delivery commitments (1,106 ) (2,387 ) (1,058 ) Other 27 23 23 Total net gains (losses) related to derivatives not designated as hedging instruments $ (40,123 ) $ (1,417 ) $ 2,813 Other - price alignment amount on cleared derivatives (2) 328 (3,535 ) 580 Net gains (losses) on derivatives and hedging activities $ (39,795 ) $ (4,537 ) $ 4,586 Notes: The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships. Beginning on January 1, 2019, gains (losses) on derivatives include unrealized changes in fair value and are included in net interest income. (in thousands) Gains/(Losses) on Derivative Gains/ (Losses) on Hedged Item Net Interest Settlements Effect of Derivatives on Net Interest Income Total Interest Income/ (Expense) Recorded in the Statement of Income 2019 Hedged item type: Advances $ (294,994 ) $ 294,750 $ 45,080 $ 44,836 $ 1,871,151 AFS securities (74,404 ) 71,490 656 (2,258 ) 275,427 Mortgage loans held for portfolio — (3,224 ) — (3,224 ) 170,136 Consolidated obligations – bonds 154,698 (156,276 ) (60,498 ) (62,076 ) (1,603,336 ) Total $ (214,700 ) $ 206,740 $ (14,762 ) $ (22,722 ) Prior to January 1, 2019, changes in fair value of derivative instruments and the related hedged items for designated fair value hedges were reported in other noninterest income and are presented in the table below. (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness in Other Noninterest Income Effect of Derivatives on Net Interest Income (1) 2018 Hedged item type: Advances $ 18,741 $ (18,416 ) $ 325 $ 38,444 AFS securities 29,357 (28,065 ) 1,292 (3,740 ) Consolidated obligations – bonds 9,593 (10,795 ) (1,202 ) (82,065 ) Total $ 57,691 $ (57,276 ) $ 415 $ (47,361 ) (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness in Other Noninterest Income Effect of Derivatives on Net Interest Income (1) 2017 Hedged item type: Advances $ 80,621 $ (80,759 ) $ (138 ) $ (32,613 ) AFS securities 6,158 (6,928 ) (770 ) (16,683 ) Consolidated obligations – bonds (37,418 ) 39,519 2,101 6,751 Total $ 49,361 $ (48,168 ) $ 1,193 $ (42,545 ) Note: (1) Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $(3.6) million and $(3.9) million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2018 and 2017 . |
Offsetting Assets | When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure. Initial margin posted to the clearing house is presented as a derivative asset. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties. Derivative Assets (in thousands) December 31, 2019 December 31, 2018 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 8,743 $ 17,899 Cleared derivatives 7,429 1,927 Total gross recognized amount 16,172 19,826 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (7,631 ) (13,290 ) Cleared derivatives 131,681 103,704 Total gross amounts of netting adjustments and cash collateral 124,050 90,414 Net amounts after netting adjustments and cash collateral Uncleared derivatives 1,112 4,609 Cleared derivatives 139,110 105,631 Total net amounts after netting adjustments and cash collateral 140,222 110,240 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 29 29 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 29 29 Total derivative assets: Uncleared derivatives 1,141 4,638 Cleared derivatives 139,110 105,631 Total derivative assets as reported in the Statement of Condition 140,251 110,269 Net unsecured amount: Uncleared derivatives 1,141 4,638 Cleared derivatives 139,110 105,631 Total net unsecured amount $ 140,251 $ 110,269 |
Offsetting Liabilities | Derivative Liabilities (in thousands) December 31, 2019 December 31, 2018 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 7,135 $ 64,038 Cleared derivatives 1,655 20,614 Total gross recognized amount 8,790 84,652 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (4,190 ) (57,236 ) Cleared derivatives (1,655 ) (1,927 ) Total gross amounts of netting adjustments and cash collateral (5,845 ) (59,163 ) Net amounts after netting adjustments and cash collateral Uncleared derivatives 2,945 6,802 Cleared derivatives — 18,687 Total net amounts after netting adjustments and cash collateral 2,945 25,489 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 79 22 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 79 22 Total derivative liabilities: Uncleared derivatives 3,024 6,824 Cleared derivatives — 18,687 Total derivative liabilities as reported in the Statement of Condition 3,024 25,511 Net unsecured amount Uncleared derivatives 3,024 6,824 Cleared derivatives — 18,687 Total net unsecured amount $ 3,024 $ 25,511 Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments). |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities FairValuesDerivativesBalanceSheetLocationByDerivativeContractTypeByHedgingDesignationTable (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | |
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] | The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items. (in thousands) December 31, 2019 Hedged item type Carrying Amount of Hedged Assets/Liabilities (1) Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities Fair Value Hedging Adjustments for Discontinued Hedging Relationships Cumulative Amount of Fair Value Hedging Adjustments Advances $ 16,724,094 $ 172,779 $ (9 ) $ 172,770 AFS securities 1,391,938 48,946 1,281 50,227 Consolidated obligations – bonds 16,715,492 32,886 160 33,046 Note: (1) Includes carrying value of hedged items in current fair value hedging relationships. |
Deposits (Tables)
Deposits (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Deposits [Abstract] | |
Schedule of Deposits | The following table details interest-bearing and noninterest-bearing deposits as of December 31, 2019 and 2018 . December 31, (in thousands) 2019 2018 Interest-bearing: Demand and overnight $ 520,320 $ 363,853 Noninterest-bearing: Demand and overnight 53,062 23,232 Total deposits $ 573,382 $ 387,085 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Schedule of Short-term and Long-term Debt [Line Items] | |
Schedule of Consolidated Bonds Interest Rate Payment Type | The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of December 31, 2019 and December 31, 2018 . December 31, (in thousands) 2019 2018 Par value of consolidated bonds: Fixed-rate $ 29,292,200 $ 30,158,640 Step-up 705,000 1,902,280 Floating-rate 36,707,000 31,917,500 Conversion bonds - fixed to floating — 390,000 Total par value 66,704,200 64,368,420 Bond premiums 85,028 71,636 Bond discounts (8,350 ) (10,079 ) Concession fees (6,118 ) (8,119 ) Hedging adjustments 33,047 (123,230 ) Total book value $ 66,807,807 $ 64,298,628 |
Schedule of Consolidated Bonds by Contractual Maturity | The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2019 and December 31, 2018 . (in thousands) December 31, Year of Contractual Maturity or Next Call Date 2019 2018 Due in 1 year or less $ 54,157,900 $ 45,099,735 Due after 1 year through 2 years 6,573,705 13,149,285 Due after 2 years through 3 years 2,623,420 2,662,705 Due after 3 years through 4 years 1,063,400 1,604,320 Due after 4 years through 5 years 827,375 708,900 Thereafter 1,458,400 1,143,475 Total par value $ 66,704,200 $ 64,368,420 The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of December 31, 2019 and December 31, 2018 . December 31, 2019 December 31, 2018 (dollars in thousands) Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 50,306,900 1.83 % $ 37,281,455 2.15 % Due after 1 year through 2 years 7,268,705 2.10 14,056,285 2.40 Due after 2 years through 3 years 2,705,420 2.36 3,929,705 2.48 Due after 3 years through 4 years 1,469,400 2.58 2,249,320 2.38 Due after 4 years through 5 years 947,375 2.69 2,287,180 2.96 Thereafter 4,006,400 2.73 4,564,475 2.80 Total par value $ 66,704,200 1.96 % $ 64,368,420 2.30 % |
Schedule of Consolidated Bonds by Call Features | The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2019 and December 31, 2018 . December 31, (in thousands) 2019 2018 Noncallable $ 61,597,600 $ 56,277,140 Callable 5,106,600 8,091,280 Total par value $ 66,704,200 $ 64,368,420 |
Schedule of Consolidated Discount Notes Outstanding | The following table details the Bank’s consolidated obligation discount notes as of December 31, 2019 and December 31, 2018 . December 31, (dollars in thousands) 2019 2018 Book value $ 23,141,362 $ 36,896,603 Par value 23,211,524 36,984,987 Weighted average interest rate (1) 1.61 % 2.36 % Note: (1) Represents an implied rate. |
Affordable Housing Program (A_2
Affordable Housing Program (AHP) (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Affordable Housing Program [Abstract] | |
Analysis of AHP Liability | The following table presents an analysis of the AHP payable for 2019 , 2018 , and 2017 . (in thousands) 2019 2018 2017 Balance, beginning of the year $ 99,578 $ 91,563 $ 76,712 Assessments 37,140 38,683 37,768 Subsidy usage, net (24,429 ) (30,668 ) (22,917 ) Balance, end of the year $ 112,289 $ 99,578 $ 91,563 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | he following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 610,573 $ 4,724,586 $ 1,238,722 $ 5,327,247 Total capital-to-asset ratio 4.0 % 4.9 % 4.0 % 5.0 % Total regulatory capital 3,828,965 4,724,586 4,301,712 5,327,247 Leverage ratio 5.0 % 7.4 % 5.0 % 7.4 % Leverage capital 4,786,206 7,086,879 5,377,141 7,990,870 |
Mandatorily Redeemable Capital Stock Rollforward | he following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2019 , 2018 , and 2017 . (in thousands) 2019 2018 2017 Balance, beginning of the period $ 24,099 $ 5,113 $ 5,216 Capital stock subject to mandatory redemption reclassified from capital 361,549 42,733 6,746 Redemption/repurchase of mandatorily redeemable stock (42,073 ) (23,747 ) (6,849 ) Balance, end of the period $ 343,575 $ 24,099 $ 5,113 he following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at December 31, 2019 and December 31, 2018 . December 31, (in thousands) 2019 2018 Due in 1 year or less $ 3,316 $ 290 Due after 1 year through 2 years — 3,787 Due after 2 years through 3 years 21 — Due after 3 years through 4 years 20,000 22 Due after 4 years through 5 years 320,000 20,000 Past contractual redemption date due to remaining activity 238 — Total $ 343,575 $ 24,099 |
Schedule of Dividends Paid | Dividend - Annual Yield 2019 2018 2017 Membership Activity Membership Activity Membership Activity February 4.5% 7.75% 3.5% 6.75% 2.0% 5.0% April 4.5% 7.75% 3.5% 6.75% 2.0% 5.0% July 4.5% 7.75% 3.5% 6.75% 2.0% 5.0% October 4.5% 7.75% 3.5% 6.75% 2.0% 5.0% |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in AOCI for 2019 , 2018 and 2017 . (in thousands) Net Unrealized Gains(Losses) on AFS Non-credit OTTI Gains(Losses) on AFS Net Unrealized Gains (Losses) on Hedging Activities Pension and Post-Retirement Plans Total December 31, 2016 $ (12,835 ) $ 67,424 $ 223 $ (2,516 ) $ 52,296 Other comprehensive income (loss) before reclassification: Net unrealized gains 54,045 5,222 — — 59,267 Net change in fair value of OTTI securities — (652 ) — — (652 ) Non-credit OTTI to credit OTTI — 959 — — 959 Amortization on hedging activities — — (23 ) — (23 ) Pension and post-retirement — — — (883 ) (883 ) December 31, 2017 $ 41,210 $ 72,953 $ 200 $ (3,399 ) $ 110,964 December 31, 2017 $ 41,210 $ 72,953 $ 200 $ (3,399 ) $ 110,964 Other comprehensive income (loss) before Net unrealized (losses) (31,323 ) (8,777 ) — — (40,100 ) Non-credit OTTI to credit OTTI — 957 — — 957 Amortization on hedging activities — — (24 ) — (24 ) Pension and post-retirement — — — 1,349 1,349 December 31, 2018 $ 9,887 $ 65,133 $ 176 $ (2,050 ) $ 73,146 December 31, 2018 $ 9,887 $ 65,133 $ 176 $ (2,050 ) $ 73,146 Other comprehensive income (loss) before Net unrealized gains (losses) 35,268 (13,999 ) — — 21,269 Non-credit OTTI to credit OTTI — 570 — — 570 Amortization on hedging activities — — (27 ) — (27 ) Pension and post-retirement — — — (3,132 ) (3,132 ) December 31, 2019 $ 45,155 $ 51,704 $ 149 $ (5,182 ) $ 91,826 |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Retirement Benefits [Abstract] | |
Pentegra DB Plan Net Pension Cost and Funded Status | (dollars in thousands) 2019 2018 2017 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 3,279 $ 5,000 $ 7,212 Defined Benefit Plan funded status as of July 1 108.6 % (a) 109.9 % (b) 111.3 % Bank’s funded status as of July 1 144.8 % 147.3 % 142.4 % (a) The Defined Benefit Plan’s funded status as of July 1, 2019 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2019 through March 15, 2020. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2020). (b) The funded status disclosed is preliminary as the Form 5500 had not been filed when disclosed. |
Schedule of Amounts Recognized in Balance Sheet | the following table sets forth their benefit obligations recorded in “Other liabilities” on the Statements of Condition and amounts recognized in AOCI. In addition, the Bank recognized $1.5 million , $1.7 million , and $1.5 million in expense related to these two plans during 2019 , 2018 and 2017 , respectively, of which the service cost component was recognized in “Compensation and benefits” expense and all other costs were recognized in “Other operating” expense on the Statements of Income. SERP Post-retirement Health Benefit Plan Total (in thousands) 2019 2018 2019 2018 2019 2018 Benefit obligations $ 14,975 $ 10,978 $ 2,235 $ 1,784 $ 17,210 $ 12,762 Unrealized actuarial gains (losses) in AOCI $ (5,433 ) $ (2,725 ) $ 251 $ 675 $ (5,182 ) $ (2,050 ) |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Related Party Transaction [Line Items] | |
Related Party Transactions, by Balance Sheet Grouping | The following table includes significant outstanding related party member activity balances. December 31, (in thousands) 2019 2018 Advances $ 34,748,867 $ 63,112,341 Letters of credit (1) 2,418,025 4,839,828 MPF loans 455,600 570,986 Deposits 17,904 8,824 Capital stock 1,574,659 2,729,092 Note: (1) Letters of credit are off-balance sheet commitments. |
Related Party Transactions, Income Statement | The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented. Year ended December 31, (in thousands) 2019 2018 2017 Interest income on advances $ 1,183,730 $ 1,151,369 $ 751,571 Interest income on MPF loans 27,845 33,269 42,266 Letters of credit fees 4,146 5,911 6,797 |
FHLBank of Chicago [Member] | |
Related Party Transaction [Line Items] | |
Schedule of Related Party Transactions, Mortgage Loans | The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Year ended December 31, (in thousands) 2019 2018 2017 Servicing fee expense $ 3,567 $ 3,076 $ 2,522 December 31, (in thousands) 2019 2018 Interest-bearing deposits maintained with FHLBank of Chicago $ 5,173 $ 5,411 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Fair Value Disclosures [Abstract] | |
Fair Value Summary | The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2019 and December 31, 2018 are presented in the table below. Fair Value Summary Table December 31, 2019 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Fair Value Assets: Cash and due from banks $ 21,490 $ 21,490 $ — $ — $ — $ 21,490 Interest-bearing deposits 1,476,890 1,471,717 5,173 — — 1,476,890 Federal funds sold 3,770,000 — 3,769,965 — — 3,769,965 Securities purchased under agreement to resell (2) 2,200,000 — 2,199,973 — — 2,199,973 Trading securities 3,631,650 — 3,631,650 — — 3,631,650 AFS securities 11,097,769 — 10,771,623 326,146 — 11,097,769 HTM securities 2,395,691 — 2,316,109 124,179 — 2,440,288 Advances 65,610,075 — 65,662,578 — — 65,662,578 Mortgage loans held for portfolio, net 5,114,625 — 5,313,973 — — 5,313,973 BOB loans, net 19,706 — — 19,706 — 19,706 Accrued interest receivable 193,352 — 193,352 — — 193,352 Derivative assets 140,251 — 16,201 — 124,050 140,251 Liabilities: Deposits $ 573,382 $ — $ 573,382 $ — $ — $ 573,382 Discount notes 23,141,362 — 23,142,588 — — 23,142,588 Bonds 66,807,807 — 66,981,400 — — 66,981,400 Mandatorily redeemable capital stock (3) 343,575 350,287 — — — 350,287 Accrued interest payable (3) 205,118 — 198,406 — — 198,406 Derivative liabilities 3,024 — 8,869 — (5,845 ) 3,024 December 31, 2018 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Fair Value Assets: Cash and due from banks $ 71,320 $ 71,320 $ — $ — $ — $ 71,320 Interest-bearing deposits 2,123,240 2,117,829 5,411 — — 2,123,240 Federal funds sold 4,740,000 — 4,739,984 — — 4,739,984 Securities purchased under agreement to resell (2) 1,000,000 — 1,000,032 — — 1,000,032 Trading securities 1,281,053 — 1,281,053 — — 1,281,053 AFS securities 7,846,257 — 7,436,707 409,550 — 7,846,257 HTM securities 3,086,032 — 2,894,813 206,320 — 3,101,133 Advances 82,475,547 — 82,408,752 — — 82,408,752 Mortgage loans held for portfolio, net 4,461,612 — 4,381,484 — — 4,381,484 BOB loans, net 17,371 — — 17,371 — 17,371 Accrued interest receivable 234,161 — 234,161 — — 234,161 Derivative assets (4) 110,269 — 19,855 — 90,414 110,269 Liabilities: Deposits $ 387,085 $ — $ 387,085 $ — $ — $ 387,085 Discount notes 36,896,603 — 36,891,722 — — 36,891,722 Bonds 64,298,628 — 64,125,928 — — 64,125,928 Mandatorily redeemable capital stock (3) 24,099 24,571 — — — 24,571 Accrued interest payable (3) 226,537 — 226,065 — — 226,065 Derivative liabilities 25,511 — 84,674 — (59,163 ) 25,511 Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. (2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2019 and December 31, 2018 . These instruments’ maturity term is overnight. (3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. |
Fair Value Measurements | Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at December 31, 2019 and December 31, 2018 . The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount. December 31, 2019 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Total Recurring fair value measurements - Assets: Trading securities: Non MBS: U.S. Treasury obligations $ — $ 3,390,772 $ — $ — $ 3,390,772 GSE and TVA obligations — 240,878 — — 240,878 Total trading securities $ — $ 3,631,650 $ — $ — $ 3,631,650 AFS securities: Non-MBS: GSE and TVA obligations $ — $ 1,550,699 $ — $ — $ 1,550,699 State or local agency obligations — 247,894 — — 247,894 MBS: U.S. obligations single-family MBS — 807,586 — — 807,586 GSE single-family MBS — 4,055,859 — — 4,055,859 GSE multifamily MBS — 4,109,585 — — 4,109,585 Private label MBS — — 326,146 — 326,146 Total AFS securities $ — $ 10,771,623 $ 326,146 $ — $ 11,097,769 Derivative assets: Interest rate related $ — $ 16,172 $ — $ 124,050 $ 140,222 Mortgage delivery commitments — 29 — — 29 Total derivative assets $ — $ 16,201 $ — $ 124,050 $ 140,251 Total recurring assets at fair value $ — $ 14,419,474 $ 326,146 $ 124,050 $ 14,869,670 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 8,790 $ — $ (5,845 ) $ 2,945 Mortgage delivery commitments — 79 — — 79 Total recurring liabilities at fair value (2) $ — $ 8,869 $ — $ (5,845 ) $ 3,024 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 7,850 $ — $ 7,850 REO — — 2,449 — 2,449 Total non-recurring assets at fair value $ — $ — $ 10,299 $ — $ 10,299 December 31, 2018 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Total Recurring fair value measurements - Assets: Trading securities: Non MBS: U.S. Treasury obligations $ — $ 997,061 $ — $ — $ 997,061 GSE and TVA obligations — 283,992 — — 283,992 Total trading securities $ — $ 1,281,053 $ — $ — $ 1,281,053 AFS securities: Non MBS: GSE and TVA obligations $ — $ 1,785,317 $ — $ — $ 1,785,317 State or local agency obligations — 245,939 — — 245,939 MBS: U.S. obligations single-family MBS — 218,494 — — 218,494 GSE single-family MBS — 2,581,503 — — 2,581,503 GSE multifamily MBS — 2,605,454 — — 2,605,454 Private label MBS — — 409,550 — 409,550 Total AFS securities $ — $ 7,436,707 $ 409,550 $ — $ 7,846,257 Derivative assets: Interest rate related $ — $ 19,826 $ — $ 90,414 $ 110,240 Mortgage delivery commitments — 29 — — 29 Total derivative assets $ — $ 19,855 $ — $ 90,414 $ 110,269 Total recurring assets at fair value $ — $ 8,737,615 $ 409,550 $ 90,414 $ 9,237,579 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 84,652 $ — $ (59,163 ) $ 25,489 Mortgage delivery commitments — 22 — — 22 Total recurring liabilities at fair value (2) $ — $ 84,674 $ — $ (59,163 ) $ 25,511 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 8,965 $ — $ 8,965 REO — — 6,621 — 6,621 Total non-recurring assets at fair value $ — $ — $ 15,586 $ — $ 15,586 Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. (2) Derivative liabilities represent the total liabilities at fair value. |
Reconciliation of Level 3 Assets and Liabilities | The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the years ended December 31, 2019 , 2018 or 2017 . For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period. There were no Level 3 transfers during 2019 , 2018 or 2017 . AFS Private Label MBS Year Ended December 31, 2019 AFS Private Label MBS Year Ended December 31, 2018 AFS Private Label MBS Year Ended December 31, 2017 Balance, beginning of period $ 409,550 $ 524,543 $ 673,976 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 14,385 15,419 20,636 Net OTTI losses, credit portion (570 ) (957 ) (959 ) Net unrealized gains (losses) on AFS in OCI 33 (67 ) 159 Reclassification of non-credit portion included in net income 570 957 959 Net change in fair value on OTTI AFS in OCI — — (652 ) Unrealized gains (losses) on OTTI AFS in OCI (13,999 ) (8,777 ) 5,222 Purchases, issuances, sales, and settlements: Settlements (83,823 ) (121,568 ) (174,798 ) Balance at December 31 $ 326,146 $ 409,550 $ 524,543 Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or (losses) relating to assets and liabilities still held at December 31 $ 11,443 $ 14,462 $ 17,210 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies The following table presents the Bank’s various off-balance sheet commitments which are described in detail below. (in thousands) December 31, 2019 December 31, 2018 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 17,370,617 $ — $ 17,370,617 $ 20,250,625 Commitments to fund additional advances and BOB loans 19,796 — 19,796 10,987 Commitments to purchase mortgage loans 73,574 — 73,574 17,391 Unsettled consolidated obligation bonds, at par 62,000 — 62,000 196,500 Unsettled consolidated obligation discount notes, at par 1,083,406 — 1,083,406 583,940 Notes : (1) Excludes approved requests to issue future standby letters of credit of $23.9 million and $75.3 million at December 31, 2019 and December 31, 2018 respectively. (2) Letters of credit in the amount of $4.3 billion and $3.9 billion at December 31, 2019 and December 31, 2018 respectively, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately 5 years . Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized overnight advance. Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $3.5 million and $3.9 million as of December 31, 2019 and December 31, 2018 , respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit. Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Refer to Note 10 - Allowance for Credit Losses in this Form 10-K. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in Other liabilities on the Statement of Condition. The Bank does not have any legally binding or unconditional unused lines of credit for advances at December 31, 2019 or December 31, 2018 . However, within the Bank’s Open RepoPlus advance product, there were conditional lines of credit outstanding of $9.8 billion and $8.7 billion at December 31, 2019 and December 31, 2018 , and respectively. Commitments to Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF Program. These delivery commitments are generally for periods not to exceed 60 days . Such commitments are recorded as derivatives. Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 11 - Derivatives and Hedging Activities in this Form 10-K for additional information about the Bank's pledged collateral and other credit-risk-related contingent features. Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. The Bank would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank’s financial condition, results of operations, or cash flows. Notes 1, 8, 11, 13, 14, 15 and 17 also discuss other commitments and contingencies. |
Off-Balance Sheet Commitments | The following table presents the Bank’s various off-balance sheet commitments which are described in detail below. (in thousands) December 31, 2019 December 31, 2018 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 17,370,617 $ — $ 17,370,617 $ 20,250,625 Commitments to fund additional advances and BOB loans 19,796 — 19,796 10,987 Commitments to purchase mortgage loans 73,574 — 73,574 17,391 Unsettled consolidated obligation bonds, at par 62,000 — 62,000 196,500 Unsettled consolidated obligation discount notes, at par 1,083,406 — 1,083,406 583,940 Notes : (1) Excludes approved requests to issue future standby letters of credit of $23.9 million and $75.3 million at December 31, 2019 and December 31, 2018 respectively. (2) Letters of credit in the amount of $4.3 billion and $3.9 billion at December 31, 2019 and December 31, 2018 respectively, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately 5 years . |
Background Information (Details
Background Information (Details) | Dec. 31, 2019Banks |
Nature of Operations [Line Items] | |
Number of FHLBanks | 11 |
Minimum [Member] | |
Nature of Operations [Line Items] | |
Related Party Transaction, Definition, Capital Stock, Percent | 10.00% |
Significant Accounting Polici_3
Significant Accounting Policies Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Net | $ 8.4 | $ 8.7 | |
Depreciation, Depletion and Amortization | 3.3 | 2.8 | $ 3.9 |
Operating Lease, Right-of-Use Asset | 10.2 | ||
Operating Lease, Liability | 10.7 | ||
Operating Lease, Expense | $ 2 | $ 2.2 | $ 2.1 |
Minimum [Member] | |||
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Useful Life | 1 year | ||
Maximum [Member] | |||
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Useful Life | 10 years |
Cash and Due from Banks (Detail
Cash and Due from Banks (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Cash and Cash Equivalents [Line Items] | ||
Average Collected Cash Balances | $ 43.1 | $ 84.9 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 3,631,650 | $ 1,281,053 |
US Treasury Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 3,390,772 | 997,061 |
GSE and TVA obligations [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 240,878 | $ 283,992 |
Trading Securities (Net Gains (
Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Debt Securities, Trading, Gain (Loss) [Abstract] | |||
Net unrealized gains (losses) on trading securities held at year-end | $ 16,197 | $ (4,816) | $ 2,672 |
Net realized gains (losses) on securities sold/matured during the year | 2,508 | (4,927) | 0 |
Net gains (losses) on trading securities | $ 18,705 | $ (9,743) | $ 2,672 |
Available-for-Sale (AFS) Secu_3
Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | ||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | [1] | $ 11,000,910,000 | $ 7,771,237,000 | |
OTTI Recognized in AOCI(2) | [2] | 0 | 0 | |
Gross Unrealized Gains | 121,282,000 | 97,460,000 | ||
Gross Unrealized Losses | (24,423,000) | (22,440,000) | ||
Fair Value | 11,097,769,000 | 7,846,257,000 | ||
GSE and TVA obligations [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | 1,508,264,000 | 1,771,573,000 | ||
OTTI Recognized in AOCI(2) | [2] | 0 | 0 | |
Gross Unrealized Gains | 42,435,000 | 15,801,000 | ||
Gross Unrealized Losses | 0 | (2,057,000) | ||
Fair Value | 1,550,699,000 | 1,785,317,000 | ||
State or local agency obligation [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | 238,496,000 | 250,789,000 | ||
OTTI Recognized in AOCI(2) | [2] | 0 | 0 | |
Gross Unrealized Gains | 9,398,000 | 1,975,000 | ||
Gross Unrealized Losses | 0 | (6,825,000) | ||
Fair Value | 247,894,000 | 245,939,000 | ||
Non-MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | [1] | 1,746,760,000 | 2,022,362,000 | |
OTTI Recognized in AOCI(2) | [2] | 0 | 0 | |
Gross Unrealized Gains | 51,833,000 | 17,776,000 | ||
Gross Unrealized Losses | 0 | (8,882,000) | ||
Fair Value | 1,798,593,000 | 2,031,256,000 | ||
U.S. obligations single-family MBS [Me | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | 805,294,000 | 216,594,000 | ||
OTTI Recognized in AOCI(2) | 0 | 0 | ||
Gross Unrealized Gains | 3,590,000 | 1,988,000 | ||
Gross Unrealized Losses | (1,298,000) | (88,000) | ||
Fair Value | 807,586,000 | 218,494,000 | ||
Private label MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | 274,624,000 | [3] | 344,631,000 | |
OTTI Recognized in AOCI(2) | 0 | 0 | ||
Gross Unrealized Gains | 51,704,000 | 65,133,000 | ||
Gross Unrealized Losses | (182,000) | (214,000) | ||
Fair Value | 326,146,000 | 409,550,000 | ||
MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | [1] | 9,254,150,000 | 5,748,875,000 | |
OTTI Recognized in AOCI(2) | [2] | 0 | 0 | |
Gross Unrealized Gains | 69,449,000 | 79,684,000 | ||
Gross Unrealized Losses | (24,423,000) | (13,558,000) | ||
Fair Value | 9,299,176,000 | 5,815,001,000 | ||
Single Family [Member] | GSE MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | 4,053,700,000 | 2,575,361,000 | ||
OTTI Recognized in AOCI(2) | 0 | 0 | ||
Gross Unrealized Gains | 9,574,000 | 12,013,000 | ||
Gross Unrealized Losses | (7,415,000) | (5,871,000) | ||
Fair Value | 4,055,859,000 | 2,581,503,000 | ||
Multifamily [Member] | GSE MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | 4,120,532,000 | 2,612,289,000 | ||
OTTI Recognized in AOCI(2) | 0 | 0 | ||
Gross Unrealized Gains | 4,581,000 | 550,000 | ||
Gross Unrealized Losses | (15,528,000) | (7,385,000) | ||
Fair Value | $ 4,109,585,000 | $ 2,605,454,000 | ||
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, OTTI recognized, and/or fair value hedge accounting adjustments. | |||
[2] | Represents the non-credit portion of an OTTI recognized during the life of the security. | |||
[3] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or OTTI recognized. |
Available-for-Sale (AFS) Secu_4
Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Reconciliation Table of AFS AOCI [Line Items] | |||
Non-credit portion of OTTI losses | $ 0 | $ 0 | |
Net unrealized gains on OTTI securities since their last OTTI credit charge | 51,704 | 65,133 | |
Net non-credit portion of OTTI gains on AFS securities in AOCI | [1] | 0 | 0 |
Accumulated Other-than-Temporary Impairment Attributable to Parent [Member] | |||
Reconciliation Table of AFS AOCI [Line Items] | |||
Net non-credit portion of OTTI gains on AFS securities in AOCI | $ 51,704 | $ 65,133 | |
[1] | Represents the non-credit portion of an OTTI recognized during the life of the security. |
Available-for-Sale (AFS) Secu_5
Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | ||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | $ 5,465,767 | $ 2,210,292 | ||
Unrealized Losses - Less than 12 Months | (18,023) | (4,722) | ||
Fair Value - 12 Months or longer | 1,452,398 | 1,107,672 | ||
Unrealized Losses - 12 months or longer | (6,400) | (17,718) | ||
Fair Value - Total in continuous loss | 6,918,165 | 3,317,964 | ||
Unrealized Losses - Total in continuous loss | [1] | 24,423 | 22,440 | |
GSE and TVA obligations [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | 27,641 | |||
Unrealized Losses - Less than 12 Months | (98) | |||
Fair Value - 12 Months or longer | 273,433 | |||
Unrealized Losses - 12 months or longer | (1,959) | |||
Fair Value - Total in continuous loss | 301,074 | |||
Unrealized Losses - Total in continuous loss | [1] | 2,057 | ||
State or local agency obligation [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | 20,575 | |||
Unrealized Losses - Less than 12 Months | (180) | |||
Fair Value - 12 Months or longer | 122,664 | |||
Unrealized Losses - 12 months or longer | (6,645) | |||
Fair Value - Total in continuous loss | 143,239 | |||
Unrealized Losses - Total in continuous loss | [1] | 6,825 | ||
Non-MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | 48,216 | |||
Unrealized Losses - Less than 12 Months | (278) | |||
Fair Value - 12 Months or longer | 396,097 | |||
Unrealized Losses - 12 months or longer | (8,604) | |||
Fair Value - Total in continuous loss | 444,313 | |||
Unrealized Losses - Total in continuous loss | [1] | 8,882 | ||
U.S. obligations single-family MBS [Me | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | 492,038 | 61,868 | ||
Unrealized Losses - Less than 12 Months | (1,022) | (88) | ||
Fair Value - 12 Months or longer | 46,104 | 0 | ||
Unrealized Losses - 12 months or longer | (276) | 0 | ||
Fair Value - Total in continuous loss | 538,142 | 61,868 | ||
Unrealized Losses - Total in continuous loss | 1,298 | [1] | 88 | |
Private label MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | 0 | 0 | ||
Unrealized Losses - Less than 12 Months | 0 | 0 | ||
Fair Value - 12 Months or longer | 2,979 | 2,946 | ||
Unrealized Losses - 12 months or longer | (182) | (214) | ||
Fair Value - Total in continuous loss | 2,979 | 2,946 | ||
Unrealized Losses - Total in continuous loss | [1] | 182 | 214 | |
MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | 5,465,767 | 2,162,076 | ||
Unrealized Losses - Less than 12 Months | (18,023) | (4,444) | ||
Fair Value - 12 Months or longer | 1,452,398 | 711,575 | ||
Unrealized Losses - 12 months or longer | (6,400) | (9,114) | ||
Fair Value - Total in continuous loss | 6,918,165 | 2,873,651 | ||
Unrealized Losses - Total in continuous loss | [1] | 24,423 | 13,558 | |
Single Family [Member] | GSE MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | 2,458,728 | 499,383 | ||
Unrealized Losses - Less than 12 Months | (6,318) | (1,423) | ||
Fair Value - 12 Months or longer | 221,806 | 185,711 | ||
Unrealized Losses - 12 months or longer | (1,097) | (4,448) | ||
Fair Value - Total in continuous loss | 2,680,534 | 685,094 | ||
Unrealized Losses - Total in continuous loss | [1] | 7,415 | 5,871 | |
Multifamily [Member] | GSE MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Fair Value - Less than 12 Months | 2,515,001 | 1,600,825 | ||
Unrealized Losses - Less than 12 Months | (10,683) | (2,933) | ||
Fair Value - 12 Months or longer | 1,181,509 | 522,918 | ||
Unrealized Losses - 12 months or longer | (4,845) | (4,452) | ||
Fair Value - Total in continuous loss | 3,696,510 | 2,123,743 | ||
Unrealized Losses - Total in continuous loss | [1] | $ 15,528 | $ 7,385 | |
[1] | Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 5. |
Available-for-Sale (AFS) Secu_6
Available-for-Sale (AFS) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 11,000,910 | $ 7,771,237 |
Fair Value | 11,097,769 | 7,846,257 | |
Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in one year or less, Amortized Cost | 0 | 334,985 | |
Due after one year through five years, Amortized Cost | 525,301 | 436,904 | |
Due after five years through ten years, Amortized Cost | 700,613 | 660,043 | |
Due in more than ten years, Amortized Cost | 520,846 | 590,430 | |
Amortized Cost | [1] | 1,746,760 | 2,022,362 |
Due in one year or less, Fair Value | 0 | 334,428 | |
Due after one year through five years, Fair Value | 534,642 | 441,263 | |
Due after five years through ten years, Fair Value | 719,672 | 664,031 | |
Due in more than ten years, Fair Value | 544,279 | 591,534 | |
Fair Value | 1,798,593 | 2,031,256 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 9,254,150 | 5,748,875 |
Fair Value | $ 9,299,176 | $ 5,815,001 | |
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, OTTI recognized, and/or fair value hedge accounting adjustments. |
Available-for-Sale (AFS) Secu_7
Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 11,000,910 | $ 7,771,237 |
Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 1,746,760 | 2,022,362 |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 9,254,150 | 5,748,875 |
Fixed-rate | Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 1,746,760 | 1,937,376 | |
Fixed-rate | MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 1,444,111 | 1,261,019 | |
Variable-rate | Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 0 | 84,986 | |
Variable-rate | MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 7,810,039 | $ 4,487,856 | |
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, OTTI recognized, and/or fair value hedge accounting adjustments. |
Available-for-Sale (AFS) Secu_8
Available-for-Sale (AFS) Securities (Narrative) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Debt Securities, Available-for-sale [Line Items] | ||||
Credit losses | $ 168,351 | $ 191,234 | $ 210,875 | $ 236,461 |
MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Available For Sale Securities, Unamortized Discount (Premium), Net | 9,900 | 18,500 | ||
Available-for-sale Securities [Member] | MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Credit losses | 165,500 | 183,500 | ||
OTTI related Accretion Adjustment | $ 76,100 | $ 77,500 |
Held-to-Maturity (HTM) Securi_3
Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,395,691 | $ 3,086,032 |
Gross Unrealized Holding Gains | 49,095 | 26,650 |
Gross Unrealized Holding Losses | (4,498) | (11,549) |
Fair Value | 2,440,288 | 3,101,133 |
Certificates of Deposit [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 700,000 | |
Gross Unrealized Holding Gains | 64 | |
Gross Unrealized Holding Losses | 0 | |
Fair Value | 700,064 | |
State or local agency obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 94,310 | 102,705 |
Gross Unrealized Holding Gains | 0 | 0 |
Gross Unrealized Holding Losses | (3,394) | (3,969) |
Fair Value | 90,916 | 98,736 |
Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 94,310 | 802,705 |
Gross Unrealized Holding Gains | 64 | |
Gross Unrealized Holding Losses | (3,969) | |
Fair Value | 90,916 | 798,800 |
U.S. obligations single-family MBS [Me | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 250,195 | 325,178 |
Gross Unrealized Holding Gains | 1,087 | 2,195 |
Gross Unrealized Holding Losses | (78) | (4) |
Fair Value | 251,204 | 327,369 |
Private label MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 123,818 | 205,221 |
Gross Unrealized Holding Gains | 881 | 1,765 |
Gross Unrealized Holding Losses | (520) | (666) |
Fair Value | 124,179 | 206,320 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,301,381 | 2,283,327 |
Gross Unrealized Holding Gains | 49,095 | 26,586 |
Gross Unrealized Holding Losses | (1,104) | (7,580) |
Fair Value | 2,349,372 | 2,302,333 |
Single Family [Member] | GSE MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 1,156,545 | 899,875 |
Gross Unrealized Holding Gains | 20,896 | 13,402 |
Gross Unrealized Holding Losses | (254) | (92) |
Fair Value | 1,177,187 | 913,185 |
Multifamily [Member] | GSE MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 770,823 | 853,053 |
Gross Unrealized Holding Gains | 26,231 | 9,224 |
Gross Unrealized Holding Losses | (252) | (6,818) |
Fair Value | $ 796,802 | $ 855,459 |
Held-to-Maturity (HTM) Securi_4
Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months | $ 210,924 | $ 104,387 |
Greater than 12 Months | 115,840 | 430,556 |
Fair Value | 326,764 | 534,943 |
Less than 12 Months | (629) | (524) |
Greater than 12 Months | (3,869) | (11,025) |
Unrealized Losses | (4,498) | (11,549) |
State or local agency obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months | 0 | 0 |
Greater than 12 Months | 90,916 | 98,736 |
Fair Value | 90,916 | 98,736 |
Less than 12 Months | 0 | 0 |
Greater than 12 Months | (3,394) | (3,969) |
Unrealized Losses | (3,394) | (3,969) |
U.S. obligations single-family MBS [Me | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months | 29,639 | 19,016 |
Greater than 12 Months | 0 | 0 |
Fair Value | 29,639 | 19,016 |
Less than 12 Months | (78) | (4) |
Greater than 12 Months | 0 | 0 |
Unrealized Losses | (78) | (4) |
Private label MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months | 24,700 | 36,413 |
Greater than 12 Months | 21,181 | 7,904 |
Fair Value | 45,881 | 44,317 |
Less than 12 Months | (69) | (402) |
Greater than 12 Months | (451) | (264) |
Unrealized Losses | (520) | (666) |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months | 210,924 | 104,387 |
Greater than 12 Months | 24,924 | 331,820 |
Fair Value | 235,848 | 436,207 |
Less than 12 Months | (629) | (524) |
Greater than 12 Months | (475) | (7,056) |
Unrealized Losses | (1,104) | (7,580) |
Single Family [Member] | GSE MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months | 80,788 | 22,995 |
Greater than 12 Months | 3,743 | 4,443 |
Fair Value | 84,531 | 27,438 |
Less than 12 Months | (230) | (62) |
Greater than 12 Months | (24) | (30) |
Unrealized Losses | (254) | (92) |
Multifamily [Member] | GSE MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months | 75,797 | 25,963 |
Greater than 12 Months | 0 | 319,473 |
Fair Value | 75,797 | 345,436 |
Less than 12 Months | (252) | (56) |
Greater than 12 Months | 0 | (6,762) |
Unrealized Losses | $ (252) | $ (6,818) |
Held-to-Maturity (HTM) Securi_5
Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,395,691 | $ 3,086,032 |
HTM securities - fair value | 2,440,288 | 3,101,133 |
Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Due in one year or less | 0 | 700,000 |
Due after one year through five years | 0 | 0 |
Due after five years through ten years | 31,925 | 37,015 |
Due after ten years | 62,385 | 65,690 |
Amortized Cost | 94,310 | 802,705 |
Due in one year or less | 0 | 700,064 |
Due after one year through five years | 0 | 0 |
Due after five years through ten years | 31,381 | 36,288 |
Due after ten years | 59,535 | 62,448 |
HTM securities - fair value | 90,916 | 798,800 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,301,381 | 2,283,327 |
HTM securities - fair value | $ 2,349,372 | $ 2,302,333 |
Held-to-Maturity (HTM) Securi_6
Held-to-Maturity (HTM) Securities (Interest Rate Payment terms of HTM) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,395,691 | $ 3,086,032 |
Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 94,310 | 802,705 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,301,381 | 2,283,327 |
Fixed-rate | Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 0 | 700,000 |
Fixed-rate | MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 1,878,151 | 1,682,100 |
Variable-rate | Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 94,310 | 102,705 |
Variable-rate | MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 423,230 | $ 601,227 |
Other-Than-Temporary Impairme_3
Other-Than-Temporary Impairment (Narrative) (Details) | Dec. 31, 2019 |
Other than Temporary Impairment, Disclosure [Line Items] | |
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Decrease | (4.00%) |
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Increase | 8.00% |
Projected Housing Price Change Rate Vast Majority - Min | 2.00% |
Projected Housing Price Change Rate Vast Majority - Max | 6.00% |
Other-Than-Temporary Impairme_4
Other-Than-Temporary Impairment (OTTI Securities) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
AFS Private label MBS - Total Amortized Cost | [1] | $ 11,000,910 | $ 7,771,237 | |
AFS securities | 11,097,769 | 7,846,257 | ||
Private label MBS [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
AFS Private label MBS - Total Unpaid Principal Balance | 376,950 | |||
AFS Private label MBS - Total Amortized Cost | 274,624 | [2] | 344,631 | |
AFS securities | 326,146 | $ 409,550 | ||
Available-for-sale Securities [Member] | Private label MBS [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Unpaid Principal Balance | 373,790 | |||
Unpaid Principal Balance with no OTTI | 3,160 | |||
Amortized Cost | [2] | 271,464 | ||
Amortized Cost with no OTTI | 3,160 | |||
Fair Value | 323,168 | |||
Fair Value with no OTTI | 2,978 | |||
Available-for-sale Securities [Member] | Private label MBS [Member] | Prime [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Unpaid Principal Balance | 141,994 | |||
Amortized Cost | 101,005 | |||
Fair Value | 126,125 | |||
Available-for-sale Securities [Member] | Private label MBS [Member] | Alt-A [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Unpaid Principal Balance | 231,796 | |||
Amortized Cost | 170,459 | |||
Fair Value | $ 197,043 | |||
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, OTTI recognized, and/or fair value hedge accounting adjustments. | |||
[2] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or OTTI recognized. |
Other-Than-Temporary Impairme_5
Other-Than-Temporary Impairment (Rollforward) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Beginning balance | $ 191,234 | $ 210,875 | $ 236,461 | |
Additional OTTI credit losses for which an OTTI charge was previously recognized(1) | [1] | 570 | 957 | 959 |
Securities sold and matured during the period(2) | [2] | (3,810) | 0 | 95 |
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (19,643) | (20,598) | (26,640) | |
Ending balance | $ 168,351 | $ 191,234 | $ 210,875 | |
[1] | For 2019, 2018 and 2017, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were also previously impaired prior to January 1 of the applicable year | |||
[2] | Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. |
Advances (Narrative) (Details)
Advances (Narrative) (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 65,439,119 | $ 82,597,591 |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $ 50,800,000 | $ 63,700,000 |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 77.70% | 77.20% |
Number of Top Advances Borrowers | 5 | 5 |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | 4 | 3 |
Minimum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rate of advances | 1.15% | 0.83% |
Maximum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate | 30 years | |
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate | 10 years | |
Interest rate of advances | 7.40% | 7.40% |
Advances (Portfolio by Year of
Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Federal Home Loan Bank, Advances, Maturity, Rolling Year [Abstract] | ||
Due in 1 year or less | $ 41,261,372 | $ 37,632,513 |
Due after 1 year through 2 years | 15,285,269 | 24,728,488 |
Due after 2 years through 3 years | 6,065,460 | 14,368,363 |
Due after 3 years through 4 years | 1,305,453 | 4,360,603 |
Due after 4 years through 5 years | 869,892 | 798,145 |
Thereafter | 651,673 | 709,479 |
Total par value | 65,439,119 | 82,597,591 |
Deferred prepayment fees | (1,814) | (59) |
Hedging adjustments | 172,770 | (121,985) |
Total book value | $ 65,610,075 | $ 82,475,547 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate [Abstract] | ||
Due in 1 year or less | 1.97% | 2.56% |
Due after 1 year through 2 years | 2.31% | 2.58% |
Due after 2 years through 3 years | 2.52% | 2.64% |
Due after 3 years through 4 years | 2.50% | 2.58% |
Due after 4 years through 5 years | 2.10% | 2.87% |
Thereafter | 2.76% | 2.79% |
Total par value, Weighted Average Interest Rate | 2.12% | 2.58% |
Advances (Advances by Year of C
Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | $ 42,556,372 | $ 43,667,513 |
Due after 1 year through 2 years | 14,060,269 | 20,703,488 |
Due after 2 years through 3 years | 6,035,460 | 12,368,363 |
Due after 3 years through 4 years | 1,305,453 | 4,350,603 |
Due after 4 years through 5 years | 829,892 | 798,145 |
Thereafter | 651,673 | 709,479 |
Total par value | 65,439,119 | 82,597,591 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 41,281,372 | 37,652,513 |
Due after 1 year through 2 years | 15,285,269 | 24,728,488 |
Due after 2 years through 3 years | 6,065,460 | 14,368,363 |
Due after 3 years through 4 years | 1,299,453 | 4,360,603 |
Due after 4 years through 5 years | 864,892 | 792,145 |
Thereafter | 642,673 | 695,479 |
Total par value | $ 65,439,119 | $ 82,597,591 |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Advances [Abstract] | ||
Fixed-rate – overnight | $ 3,847,547 | $ 4,934,461 |
Due in 1 year or less | 18,059,289 | 17,769,178 |
Thereafter | 16,424,647 | 17,813,978 |
Total fixed-rate | 38,331,483 | 40,517,617 |
Variable rate - due in 1 year or less | 19,354,536 | 14,928,874 |
Thereafter | 7,753,100 | 27,151,100 |
Total variable-rate | 27,107,636 | 42,079,974 |
Total par value | $ 65,439,119 | $ 82,597,591 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Mortgage Loans held for portfolio [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | $ 5,030,333 | $ 4,382,162 |
Premiums | 82,108 | 72,756 |
Discounts | (3,616) | (4,123) |
Hedging adjustments | 13,632 | 18,126 |
Loans and Leases Receivable, Gross | 5,122,457 | 4,468,921 |
Government-guaranteed/insured loans [Member] | ||
Mortgage Loans held for portfolio [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | 173,790 | 187,798 |
Loans Receivable With Fixed Rates Of Interest Long Term [Member] | Single Family [Member] | ||
Mortgage Loans held for portfolio [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | 4,863,177 | 4,180,239 |
Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | Single Family [Member] | ||
Mortgage Loans held for portfolio [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | 167,156 | 201,923 |
Conventional loans [Member] | ||
Mortgage Loans held for portfolio [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | $ 4,856,543 | $ 4,194,364 |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | $ 7,309 | |||||
Provision for credit losses | (1,263) | $ (3,121) | $ (178) | |||
Balance , end of period | 7,832 | 7,309 | ||||
Total recorded investment | [1] | 5,149,313 | 4,492,197 | |||
Conventional MPF Loans [Member] | ||||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | 7,309 | 5,954 | 6,231 | |||
(Charge-offs) Recoveries, net | (138) | (1,311) | (160) | |||
Provision for credit losses | 661 | 2,666 | (117) | |||
Balance , end of period | 7,832 | 7,309 | 5,954 | |||
Ending balance, individually evaluated for impairment | 6,266 | 6,238 | 5,218 | |||
Ending balance, collectively evaluated for impairment | 1,566 | 1,071 | 736 | |||
Individually evaluated for impairment, with or without a related allowance | 43,943 | 46,287 | 52,505 | |||
Collectively evaluated for impairment | 4,926,039 | 4,251,857 | 3,682,167 | |||
Total recorded investment | $ 4,969,982 | [1] | $ 4,298,144 | [1] | $ 3,734,672 | |
[1] | The recorded investment in a loan is the unpaid principal balance, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums, unaccreted discounts and adjustments for hedging. The recorded investment is not net of any valuation allowance. |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | [1] | $ 78,343 | $ 71,931 | |||
Total current loans | [1] | 5,070,970 | 4,420,266 | |||
Total recorded investment | [1] | 5,149,313 | 4,492,197 | |||
In process of foreclosure, included above (2) | [2] | $ 5,850 | $ 7,908 | |||
Serious delinquency rate (4) | [3] | 0.30% | 0.40% | |||
Past due 90 days or more still accruing interest | $ 3,363 | $ 4,245 | ||||
Loans on nonaccrual status | 14,890 | 15,728 | ||||
Conventional MPF Loans [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 65,299 | 56,485 | [1] | |||
Total current loans | 4,904,683 | 4,241,659 | ||||
Total recorded investment | 4,969,982 | [1] | 4,298,144 | [1] | $ 3,734,672 | |
In process of foreclosure, included above (2) | $ 4,740 | $ 6,458 | ||||
Serious delinquency rate (4) | 0.30% | 0.30% | ||||
Past due 90 days or more still accruing interest | $ 0 | $ 0 | ||||
Loans on nonaccrual status | 14,890 | 15,728 | ||||
Government-Guaranteed or Insured Loans [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | [1],[4] | 13,044 | 15,446 | |||
Total current loans | 166,287 | 178,607 | ||||
Total recorded investment | [1],[4] | 179,331 | 194,053 | |||
In process of foreclosure, included above (2) | $ 1,110 | $ 1,450 | ||||
Serious delinquency rate (4) | 1.90% | 2.20% | ||||
Past due 90 days or more still accruing interest | $ 3,363 | $ 4,245 | ||||
Loans on nonaccrual status | 0 | 0 | ||||
Financial Asset, 30 to 59 Days Past Due [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 51,525 | 43,468 | ||||
Financial Asset, 30 to 59 Days Past Due [Member] | Conventional MPF Loans [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 43,872 | 33,935 | ||||
Financial Asset, 30 to 59 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 7,653 | 9,533 | ||||
Financial Asset, 60 to 89 Days Past Due [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 10,629 | 11,723 | ||||
Financial Asset, 60 to 89 Days Past Due [Member] | Conventional MPF Loans [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 8,601 | 10,055 | ||||
Financial Asset, 60 to 89 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 2,028 | 1,668 | ||||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 16,189 | 16,740 | ||||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Conventional MPF Loans [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | 12,826 | 12,495 | ||||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member] | ||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||
Total past due loans | $ 3,363 | $ 4,245 | ||||
[1] | The recorded investment in a loan is the unpaid principal balance, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums, unaccreted discounts and adjustments for hedging. The recorded investment is not net of any valuation allowance. | |||||
[2] | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. | |||||
[3] | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. | |||||
[4] | The Bank has not recorded any allowance for credit losses on government-guaranteed or -insured mortgage loans at December 31, 2019 or |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Maximum Exposure Under First Loss Account | $ 32.5 | $ 29.1 | |
Credit Enhancement Fees | 5.3 | 4.6 | $ 3.7 |
Financing Receivable, Troubled Debt Restructuring | 7.8 | 9.1 | |
Real Estate Owned (REO) | $ 2 | $ 2.9 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 46,389,608 | $ 45,774,643 | |
Derivative Asset, Fair Value, Gross Asset | 16,201 | 19,855 | |
Derivative Liabilities, fair Value, Gross Liability | 8,869 | 84,674 | |
Netting adjustments: Derivative Assets | [1],[2] | 124,050 | 90,414 |
Netting adjustments: Derivative Liabilities | [1],[2] | (5,845) | (59,163) |
Derivative assets | 140,251 | 110,269 | |
Derivative liabilities | 3,024 | 25,511 | |
Derivative Liability, Collateral, Right to Reclaim Cash, Offset | (138,100) | (154,800) | |
Derivative Asset, Collateral, Obligation to Return Cash, Offset | (8,200) | (5,200) | |
Designated as Hedging Instrument [Member] | Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 34,572,128 | 38,062,453 | |
Derivative Asset, Fair Value, Gross Asset | 14,079 | 9,858 | |
Derivative Liabilities, fair Value, Gross Liability | 4,148 | 60,119 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 11,817,480 | 7,712,190 | |
Derivative Asset, Fair Value, Gross Asset | 2,122 | 9,997 | |
Derivative Liabilities, fair Value, Gross Liability | 4,721 | 24,555 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 10,413,906 | 6,259,799 | |
Derivative Asset, Fair Value, Gross Asset | 1,676 | 7,701 | |
Derivative Liabilities, fair Value, Gross Liability | 4,642 | 24,533 | |
Not Designated as Hedging Instrument [Member] | Interest Rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,330,000 | 1,435,000 | |
Derivative Asset, Fair Value, Gross Asset | 417 | 2,267 | |
Derivative Liabilities, fair Value, Gross Liability | 0 | 0 | |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 73,574 | 17,391 | |
Derivative Asset, Fair Value, Gross Asset | 29 | 29 | |
Derivative Liabilities, fair Value, Gross Liability | $ 79 | $ 22 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. | ||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $138.1 million and $154.8 million at December 31, 2019 and December 31, 2018, respectively. Cash collateral received was $8.2 million for December 31, 2019 and was $5.2 million at December 31, 2018. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | $ (214,700,000) | $ 57,691,000 | $ 49,361,000 | |
Gains/(Losses) on Hedged Item | 206,740,000 | (57,276,000) | (48,168,000) | |
Net Fair Value Hedge Ineffectiveness | 1,193,000 | |||
Net Interest Settlements on FV Hedges | (14,762,000) | 415,000 | (42,545,000) | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (22,722,000) | (47,361,000) | ||
Interest income on advances | 1,871,151,000 | 1,648,474,000 | 987,272,000 | |
Interest income on AFS | 275,427,000 | |||
Interest income on MPF loans | 170,136,000 | 151,002,000 | 132,622,000 | |
Interest Expense on Consolidated obligation - Bonds | (1,603,336,000) | (1,288,245,000) | (725,948,000) | |
Amortization and accretion of hedged items | (3,600,000) | (3,900,000) | ||
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Fair Value Hedge Ineffectiveness | [1] | 415,000 | 1,193,000 | |
Interest Rate Swaps | Interest Expense [Member] | Consolidated Obligations -bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 154,698,000 | |||
Gains/(Losses) on Hedged Item | (156,276,000) | |||
Net Interest Settlements on FV Hedges | (60,498,000) | (82,065,000) | 6,751,000 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (62,076,000) | |||
Interest Rate Swaps | Interest Income [Member] | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | (294,994,000) | |||
Gains/(Losses) on Hedged Item | 294,750,000 | |||
Net Interest Settlements on FV Hedges | 45,080,000 | 38,444,000 | (32,613,000) | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | 44,836,000 | |||
Interest Rate Swaps | Interest Income [Member] | Available-for-sale Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | (74,404,000) | |||
Gains/(Losses) on Hedged Item | 71,490,000 | |||
Net Interest Settlements on FV Hedges | 656,000 | (3,740,000) | (16,683,000) | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (2,258,000) | |||
Interest Rate Swaps | Interest Income [Member] | Mortgage Receivable [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 0 | |||
Gains/(Losses) on Hedged Item | (3,224,000) | |||
Net Interest Settlements on FV Hedges | 0 | |||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | $ (3,224,000) | |||
Interest Rate Swaps | Gain (Loss) on Derivative Instruments [Member] | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 18,741,000 | 80,621,000 | ||
Gains/(Losses) on Hedged Item | (18,416,000) | (80,759,000) | ||
Net Fair Value Hedge Ineffectiveness | 325,000 | (138,000) | ||
Interest Rate Swaps | Gain (Loss) on Derivative Instruments [Member] | Available-for-sale Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 29,357,000 | 6,158,000 | ||
Gains/(Losses) on Hedged Item | (28,065,000) | (6,928,000) | ||
Net Fair Value Hedge Ineffectiveness | 1,292,000 | (770,000) | ||
Interest Rate Swaps | Gain (Loss) on Derivative Instruments [Member] | Consolidated Obligations -bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 9,593,000 | (37,418,000) | ||
Gains/(Losses) on Hedged Item | (10,795,000) | 39,519,000 | ||
Net Fair Value Hedge Ineffectiveness | $ (1,202,000) | $ 2,101,000 | ||
[1] | Pertains to total net gains (losses) for fair value hedge ineffectiveness included in other noninterest income. N/A represents not applicable. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities FairValuesDerivativesBalanceSheetLocationByDerivativeContractTypeByHedgingDesignationTable (Details) $ in Thousands | Dec. 31, 2019USD ($) | |
Consolidated Obligations - Bonds [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Hedged Liability, Fair Value Hedge | $ 16,715,492 | [1] |
Hedged Liability,ActiveFair Value Hedge,Cumulative Increase (Decrease) | 32,886 | |
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 160 | |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | 33,046 | |
Available-for-sale Securities [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Hedged Asset, Fair Value Hedge | 1,391,938 | [1] |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 48,946 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 1,281 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 50,227 | |
Advances | ||
Derivatives, Fair Value [Line Items] | ||
Hedged Asset, Fair Value Hedge | 16,724,094 | [1] |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 172,779 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (9) | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | $ 172,770 | |
[1] | Includes carrying value of hedged items in current fair value hedging relationships. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ 1,193 | |||
Net gains (losses) related to derivatives not designated as hedging instruments | $ (1,417) | 2,813 | ||
Other - price alignment amount on cleared derivatives (2) | [1] | (3,535) | 580 | |
Net gains (losses) on derivatives and hedging activities | $ (39,795) | (4,537) | 4,586 | |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [2] | 415 | 1,193 | |
Forward Contracts [Member] | Mortgage Receivable [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (2,387) | (1,058) | ||
Intermediary Transactions Other Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 23 | 23 | ||
Economic Hedge [Member] | Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 9,573 | 12,776 | ||
Economic Hedge [Member] | Interest Rate caps or floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 482 | (4,245) | ||
Economic Hedge [Member] | Net Interest Settlements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (9,075) | (4,683) | ||
Economic Hedge [Member] | TBA's [Member] [Domain] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ (33) | $ 0 | ||
Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (40,123) | |||
Other - price alignment amount on cleared derivatives (2) | [1] | 328 | ||
Net gains (losses) on derivatives and hedging activities | (39,795) | |||
Gain (Loss) on Derivative Instruments [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (1,106) | |||
Gain (Loss) on Derivative Instruments [Member] | Intermediary Transactions Other Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 27 | |||
Gain (Loss) on Derivative Instruments [Member] | Economic Hedge [Member] | Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (30,295) | |||
Gain (Loss) on Derivative Instruments [Member] | Economic Hedge [Member] | Interest Rate caps or floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (1,850) | |||
Gain (Loss) on Derivative Instruments [Member] | Economic Hedge [Member] | Net Interest Settlements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (6,846) | |||
Gain (Loss) on Derivative Instruments [Member] | Economic Hedge [Member] | TBA's [Member] [Domain] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ (53) | |||
[1] | This amount is for derivatives for which variation margin is characterized as a daily settled contract. | |||
[2] | Pertains to total net gains (losses) for fair value hedge ineffectiveness included in other noninterest income. N/A represents not applicable. |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | |||
Gross recognized amount | $ 16,172 | $ 19,826 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | 124,050 | 90,414 |
Net amounts after netting adjustments | 140,222 | 110,240 | |
Derivative instruments not meeting netting requirements | 29 | 29 | |
Derivative assets | 140,251 | 110,269 | |
Net unsecured amount | 140,251 | 110,269 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Gross recognized amount | 8,743 | 17,899 | |
Gross amounts of netting adjustments and cash collateral | (7,631) | (13,290) | |
Net amounts after netting adjustments | 1,112 | 4,609 | |
Derivative instruments not meeting netting requirements | 29 | 29 | |
Derivative assets | 1,141 | 4,638 | |
Net unsecured amount | 1,141 | 4,638 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Gross recognized amount | 7,429 | 1,927 | |
Gross amounts of netting adjustments and cash collateral | 131,681 | 103,704 | |
Net amounts after netting adjustments | 139,110 | 105,631 | |
Derivative instruments not meeting netting requirements | 0 | 0 | |
Derivative assets | 139,110 | 105,631 | |
Net unsecured amount | $ 139,110 | $ 105,631 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. | ||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $138.1 million and $154.8 million at December 31, 2019 and December 31, 2018, respectively. Cash collateral received was $8.2 million for December 31, 2019 and was $5.2 million at December 31, 2018. |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities Offsetting liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | ||
Offsetting Liabilities [Line Items] | ||||
Gross recognized amount | $ 8,790 | $ 84,652 | ||
Gross amounts of netting adjustments and cash collateral | [1],[2] | (5,845) | (59,163) | |
Net amounts after netting adjustments | 2,945 | 25,489 | ||
Derivative instruments not meeting netting requirements | 79 | [3] | 22 | |
Derivative liabilities | 3,024 | 25,511 | ||
Net unsecured amount | 3,024 | 25,511 | ||
Uncleared derivatives | ||||
Offsetting Liabilities [Line Items] | ||||
Gross recognized amount | 7,135 | 64,038 | ||
Gross amounts of netting adjustments and cash collateral | (4,190) | (57,236) | ||
Net amounts after netting adjustments | 2,945 | 6,802 | ||
Derivative instruments not meeting netting requirements | 79 | 22 | ||
Derivative liabilities | 3,024 | 6,824 | ||
Net unsecured amount | 3,024 | 6,824 | ||
Cleared derivatives | ||||
Offsetting Liabilities [Line Items] | ||||
Gross recognized amount | 1,655 | 20,614 | ||
Gross amounts of netting adjustments and cash collateral | (1,655) | (1,927) | ||
Net amounts after netting adjustments | 0 | 18,687 | ||
Derivative instruments not meeting netting requirements | 0 | 0 | ||
Derivative liabilities | 0 | 18,687 | ||
Net unsecured amount | $ 0 | $ 18,687 | ||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. | |||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $138.1 million and $154.8 million at December 31, 2019 and December 31, 2018, respectively. Cash collateral received was $8.2 million for December 31, 2019 and was $5.2 million at December 31, 2018. | |||
[3] | ) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments) |
Derivatives and Hedging Acti_10
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Dec. 31, 2019USD ($) |
Derivative [Line Items] | |
Derivative, Net Liability Position | $ 1.6 |
Deposits (Details)
Deposits (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Deposits [Abstract] | ||
Term Deposits | $ 0 | |
Interest-bearing Deposit, Demand | 520,320,000 | $ 363,853,000 |
Noninterest-bearing Deposit, Demand | 53,062,000 | 23,232,000 |
Total deposits | $ 573,382,000 | $ 387,085,000 |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 66,704,200 | $ 64,368,420 |
Bond premiums | 85,028 | 71,636 |
Bond discounts | (8,350) | (10,079) |
Concession fees | (6,118) | (8,119) |
Hedging adjustments | 33,047 | (123,230) |
Total book value | 66,807,807 | 64,298,628 |
Fixed-rate | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 29,292,200 | 30,158,640 |
Step-up Interest Rate [Member] [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 705,000 | 1,902,280 |
Variable-rate | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 36,707,000 | 31,917,500 |
Fixed Interest Rate That Converts To Variable Interest Rate [Member] [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 0 | $ 390,000 |
Consolidated Obligations (Contr
Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 66,704,200 | $ 64,368,420 |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 50,306,900 | $ 37,281,455 |
Long Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 1.83% | 2.15% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | $ 7,268,705 | $ 14,056,285 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 2.10% | 2.40% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | $ 2,705,420 | $ 3,929,705 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.36% | 2.48% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | $ 1,469,400 | $ 2,249,320 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 2.58% | 2.38% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | $ 947,375 | $ 2,287,180 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 2.69% | 2.96% |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 4,006,400 | $ 4,564,475 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.73% | 2.80% |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 1.96% | 2.30% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 66,704,200 | $ 64,368,420 |
Noncallable | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | 61,597,600 | 56,277,140 |
Callable | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par value | $ 5,106,600 | $ 8,091,280 |
Consolidated Obligations (Con_2
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 50,306,900 | $ 37,281,455 |
Long-term Debt, Gross | 66,704,200 | 64,368,420 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 7,268,705 | 14,056,285 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 2,705,420 | 3,929,705 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,469,400 | 2,249,320 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 947,375 | 2,287,180 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 4,006,400 | 4,564,475 |
Earlier of Contractual Maturity or Next Call Date [Member] [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 54,157,900 | 45,099,735 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 6,573,705 | 13,149,285 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 2,623,420 | 2,662,705 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,063,400 | 1,604,320 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 827,375 | 708,900 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 1,458,400 | $ 1,143,475 |
Consolidated Obligations (Con_3
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | |
Short-term Debt [Line Items] | |||
Book value | $ 23,141,362 | $ 36,896,603 | |
Weighted average interest rate (1) | [1] | 1.61% | 2.36% |
Short-term Debt [Member] | |||
Short-term Debt [Line Items] | |||
Par value | $ 23,211,524 | $ 36,984,987 | |
[1] | Represents an implied rate. |
Consolidated Obligations (Narra
Consolidated Obligations (Narrative) (Details) $ in Billions | Dec. 31, 2019USD ($)Banks | Dec. 31, 2018USD ($) |
Narrative [Abstract] | ||
Number of FHLBanks | Banks | 11 | |
FHLB Total CO | $ | $ 1,025.9 | $ 1,031.6 |
Affordable Housing Program (A_3
Affordable Housing Program (AHP) (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Affordable Housing Program [Abstract] | |||
AHP, Contribution Requirement, Amount | $ 100,000,000 | ||
AHP, Contribution Requirement, Percentage | 10.00% | ||
AHP Open Committments | $ 73,300,000 | $ 58,300,000 | $ 50,300,000 |
Affordable Housing Program [Roll Forward] | |||
Balance, beginning of the year | 99,578,000 | 91,563,000 | 76,712,000 |
Assessments | 37,140,000 | 38,683,000 | 37,768,000 |
Subsidy usage, net | (24,429,000) | (30,668,000) | (22,917,000) |
Balance, end of the year | $ 112,289,000 | $ 99,578,000 | $ 91,563,000 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Number of Finance Agency Regulatory Capital Requirements | 3 | |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
NumberOfSubclassesOfCapitalStock | 2 | |
Risk-based capital - Required | $ 610,573 | $ 1,238,722 |
Risk-Based Capital, Actual | $ 4,724,586 | $ 5,327,247 |
Total capital-to-asset ratio - Required | 4.00% | 4.00% |
Total capital-to-asset ratio, Actual | 4.90% | 5.00% |
Total Regulatory Capital, Required | $ 3,828,965 | $ 4,301,712 |
Federal Home Loan Bank, Regulatory Capital, Actual | $ 4,724,586 | $ 5,327,247 |
Leverage ratio - Required | 5.00% | 5.00% |
Federal Home Loan Bank, Leverage Ratio, Actual | 7.40% | 7.40% |
Leverage Capital, Required | $ 4,786,206 | $ 5,377,141 |
Leverage capital - Actual | 7,086,879 | 7,990,870 |
Subclass B1 | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Capital Stock | 300,000 | 400,000 |
Subclass B2 | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Capital Stock | $ 2,700,000 | $ 3,700,000 |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019USD ($)Institutions$ / shares | Dec. 31, 2018USD ($)$ / shares | Dec. 31, 2017USD ($) | |
Capital [Abstract] | |||
Capital stock, par value | $ / shares | $ 100 | $ 100 | |
Balance, end of the period | $ 343,575 | $ 24,099 | $ 5,113 |
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 5 | ||
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions | 4 | ||
Financial instruments subject to mandatory redemption, due to relocation | Institutions | 1 | ||
Mandatorily Redeemable Capital Stock [Roll Forward] | |||
Balance, beginning of the period | $ 24,099 | 5,113 | 5,216 |
Capital stock subject to mandatory redemption reclassified from capital | 361,549 | 42,733 | 6,746 |
Redemption/repurchase of mandatorily redeemable stock | (42,073) | (23,747) | (6,849) |
Balance, end of the period | $ 343,575 | $ 24,099 | $ 5,113 |
Capital (Mandatorily Redeemab_2
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Capital [Abstract] | ||||
Financial Instruments Subject to Mandatory Redemption, Redeemable within One year | $ 3,316 | $ 290 | ||
Financial Instruments Subject to Mandatory Redemption, Redeemable in Year Two | 0 | 3,787 | ||
Due after 2 years through 3 years | 21 | 0 | ||
Due after 3 years through 4 years | 20,000 | 22 | ||
Due after 4 years through 5 years | 320,000 | 20,000 | ||
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five | 238 | 0 | ||
Total | $ 343,575 | $ 24,099 | $ 5,113 | $ 5,216 |
Capital (Dividends and Retained
Capital (Dividends and Retained Earnings) (Details) $ in Thousands | Feb. 28, 2020 | Oct. 30, 2019 | Jul. 30, 2019 | Apr. 26, 2019 | Feb. 28, 2019 | Oct. 26, 2018 | Jul. 27, 2018 | Apr. 27, 2018 | Feb. 22, 2018 | Oct. 31, 2017 | Jul. 28, 2017 | Apr. 28, 2017 | Feb. 28, 2017 | Dec. 31, 2019USD ($)Institutions | Dec. 31, 2018USD ($) |
Capital [Line Items] | |||||||||||||||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 5 | ||||||||||||||
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions | 4 | ||||||||||||||
Financial instruments subject to mandatory redemption, due to relocation | Institutions | 1 | ||||||||||||||
Balance, end of the period | $ 343,575 | ||||||||||||||
Joint capital enhancement agreement, percentage | 20.00% | ||||||||||||||
Percent of Average Balance of Outstanding Consolidated Obligations For Each Previous Quarter | 1.00% | ||||||||||||||
Retained Earnings | $ 1,326,014 | $ 1,275,904 | |||||||||||||
Unrestricted Retained Earnings | 910,726 | 924,001 | |||||||||||||
Restricted Retained Earnings | $ 415,288 | $ 351,903 | |||||||||||||
Subclass B1 | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 4.50% | 4.50% | 4.50% | 4.50% | 3.50% | 3.50% | 3.50% | 3.50% | 2.00% | 2.00% | 2.00% | 2.00% | |||
Subclass B1 | Subsequent Event [Member] | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 4.50% | ||||||||||||||
Subclass B2 | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 7.75% | 7.75% | 7.75% | 7.75% | 6.75% | 6.75% | 6.75% | 6.75% | 5.00% | 5.00% | 5.00% | 5.00% | |||
Subclass B2 | Subsequent Event [Member] | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 7.75% |
Capital (Accumulated Other Comp
Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | $ 4,472,836 | $ 5,376,294 | $ 4,927,488 | $ 4,793,915 |
Amortization on hedging activities | (27) | (24) | (23) | |
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent | (3,132) | 1,349 | (883) | |
Net Unrealized Gains(Losses) on AFS [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 45,155 | 9,887 | 41,210 | (12,835) |
Net unrealized gains (losses) | 35,268 | (31,323) | 54,045 | |
Net Unrealized Gains (losses) on Hedging Activities | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 149 | 176 | 200 | 223 |
Amortization on hedging activities | (27) | (24) | (23) | |
Pension and Post Retirement Plans [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | (5,182) | (2,050) | (3,399) | (2,516) |
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent | (3,132) | 1,349 | (883) | |
Total AOCI [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 91,826 | 73,146 | 110,964 | 52,296 |
Net unrealized gains (losses) | 21,269 | (40,100) | 59,267 | |
Net Change in Fair Value of OTTI Securities | (652) | |||
Reclassification adjustment of noncredit OTTI losses included in net income | 570 | 957 | 959 | |
Amortization on hedging activities | (27) | (24) | (23) | |
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent | (3,132) | 1,349 | (883) | |
Available-for-sale Securities [Member] | Noncredit OTTI Gains(Losses) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 51,704 | 65,133 | 72,953 | $ 67,424 |
Net unrealized gains (losses) | (13,999) | (8,777) | 5,222 | |
Net Change in Fair Value of OTTI Securities | (652) | |||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Availabe-for-sale Securities, before Tax | $ 570 | $ 957 | $ 959 |
Employee Retirement Plans (Mult
Employee Retirement Plans (Multiemployer Plan) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Jul. 01, 2019 | Jul. 01, 2018 | Jul. 01, 2017 | |
Multiemployer Plans [Line Items] | ||||||
Multiemployer Plan Number | 333 | |||||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ 1,500 | $ 1,700 | $ 1,500 | |||
Pentegra Defined Benefit Plan [Member] | ||||||
Multiemployer Plans [Line Items] | ||||||
Defined Contribution Plan, Employer Discretionary Contribution Amount | 2,700 | 4,500 | 7,000 | |||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ 3,279 | $ 5,000 | $ 7,212 | |||
Defined Benefit Plan funded status as of July 1 | 108.60% | 109.90% | 111.30% | |||
Bank’s funded status as of July 1 | 144.80% | 147.30% | 142.40% |
Employee Retirement Plans (Narr
Employee Retirement Plans (Narrative) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Employee Retirement Plans [Line Items] | |||
Defined Contribution Plan, Cost | $ 1,400 | $ 1,200 | $ 1,100 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 1,500 | 1,700 | 1,500 |
Post-retirement Health Benefit Plan [Member] | |||
Employee Retirement Plans [Line Items] | |||
Eligibility requirements, period of service | 10 years | ||
Accumulated benefit obligation | $ 2,200 | 1,800 | |
SERP [Member] | |||
Employee Retirement Plans [Line Items] | |||
Accumulated benefit obligation | $ 11,300 | 8,400 | |
Maximum [Member] | Post-retirement Health Benefit Plan [Member] | |||
Employee Retirement Plans [Line Items] | |||
Eligibility requirements, age of participants | 65 years | ||
Minimum [Member] | Post-retirement Health Benefit Plan [Member] | |||
Employee Retirement Plans [Line Items] | |||
Eligibility requirements, age of participants | 60 years | ||
Pentegra Defined Benefit Plan [Member] | |||
Retirement Benefits [Abstract] | |||
Payment for Pension Benefits | $ 2,700 | 4,500 | 7,000 |
Employee Retirement Plans [Line Items] | |||
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 3,279 | 5,000 | 7,212 |
Multiemployer Plans, Pension [Member] | |||
Employee Retirement Plans [Line Items] | |||
Entity Tax Identification Number | 135645888 | ||
Nonqualified Plan [Member] | Other Pension, Postretirement and Supplemental Plans [Member] | |||
Employee Retirement Plans [Line Items] | |||
Deferred Compensation Arrangement with Individual, Recorded Liability | $ 15,600 | 11,400 | |
Deferred Compensation Arrangement with Individual, Compensation Expense | 2,700 | (500) | $ 1,600 |
Mutual Funds [Member] | SERP [Member] | |||
Employee Retirement Plans [Line Items] | |||
Defined Benefit Plan, Plan Assets, Amount | 2,100 | 2,000 | |
Mutual Funds [Member] | Nonqualified Plan [Member] | Other Pension, Postretirement and Supplemental Plans [Member] | |||
Employee Retirement Plans [Line Items] | |||
Defined Benefit Plan, Plan Assets, Amount | $ 13,100 | $ 9,700 |
Employee Retirement Plans (Sche
Employee Retirement Plans (Schedule of Amounts Recognized in Balance Sheet and Accumulated Other Comprehensive Income) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Defined Benefit Plan Disclosure [Line Items] | ||
Benefit Obligation | $ 17,210 | $ 12,762 |
Unrealized actuarial gains (losses) in AOCI | (5,182) | (2,050) |
SERP [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Benefit Obligation | 14,975 | 10,978 |
Unrealized actuarial gains (losses) in AOCI | (5,433) | (2,725) |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Benefit Obligation | 2,235 | 1,784 |
Unrealized actuarial gains (losses) in AOCI | $ 251 | $ 675 |
Transactions with Related Par_3
Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Related Party Transaction [Line Items] | |||
Advances | $ 65,610,075 | $ 82,475,547 | |
Capital stock | 3,054,996 | $ 3,987,000 | 4,027,244 |
Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Advances | 34,748,867 | 63,112,341 | |
Letters of credit (1) | 2,418,025 | 4,839,828 | |
MPF loans | 455,600 | 570,986 | |
Deposits | 17,904 | 8,824 | |
Capital stock | $ 1,574,659 | $ 2,729,092 |
Transactions with Related Par_4
Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||
Interest income on advances | $ 1,871,151 | $ 1,648,474 | $ 987,272 |
Interest income on MPF loans | 170,136 | 151,002 | 132,622 |
Letters of credit fees | 2,859 | 2,541 | 1,635 |
Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Interest income on advances | 1,183,730 | 1,151,369 | 751,571 |
Interest income on MPF loans | 27,845 | 33,269 | 42,266 |
Standby Letters of Credit [Member] | Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Letters of credit fees | $ 4,146 | $ 5,911 | $ 6,797 |
Transactions with Related Par_5
Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||
Proceeds from Other Federal Home Loan Banks | $ 500,000 | ||
Payments to other Federal Home Loan Banks | 500,000 | ||
Proceeds from FHLBank Borrowings, Financing Activities | $ 1,000,000 | ||
FHLBank of Chicago [Member] | |||
Related Party Transaction [Line Items] | |||
Fees and Commissions, Mortgage Banking and Servicing | 3,567 | $ 3,076 | $ 2,522 |
Interest-bearing deposits maintained with FHLBank of Chicago | $ 5,173 | $ 5,411 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | $ 21,490 | $ 71,320 | |||
Trading securities | 3,631,650 | 1,281,053 | |||
AFS securities | 11,097,769 | 7,846,257 | |||
HTM Securities | 2,395,691 | 3,086,032 | |||
HTM securities - fair value | 2,440,288 | 3,101,133 | |||
Accrued Interest Receivable | 193,352 | 234,161 | |||
Derivative assets | 140,251 | 110,269 | |||
Netting adjustments: Derivative Assets | [1],[2] | 124,050 | 90,414 | ||
Mandatorily redeemable capital stock (3) | 343,575 | 24,099 | $ 5,113 | $ 5,216 | |
Accrued interest payable (3) | 205,118 | 226,537 | |||
Derivative liabilities | 3,024 | 25,511 | |||
Netting adjustments: Derivative Liabilities | [1],[2] | (5,845) | (59,163) | ||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 21,490 | 71,320 | |||
Interest-bearing deposits | 1,476,890 | 2,123,240 | |||
Federal funds sold | 3,770,000 | 4,740,000 | |||
Securities Purchased under Agreements to Resell(2) | 2,200,000 | 1,000,000 | |||
Trading securities | 3,631,650 | 1,281,053 | |||
AFS securities | 11,097,769 | 7,846,257 | |||
HTM Securities | 2,395,691 | 3,086,032 | |||
Advances | 65,610,075 | 82,475,547 | |||
Loans | 5,114,625 | 4,461,612 | |||
Accrued Interest Receivable | 193,352 | 234,161 | |||
Derivative assets | 140,251 | 110,269 | |||
Deposits | 573,382 | 387,085 | |||
Mandatorily redeemable capital stock (3) | 343,575 | 24,099 | |||
Accrued interest payable (3) | 205,118 | 226,537 | |||
Derivative liabilities | 3,024 | 25,511 | |||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 23,141,362 | 36,896,603 | |||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 66,807,807 | 64,298,628 | |||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 19,706 | 17,371 | |||
Estimate of Fair Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 21,490 | 71,320 | |||
Interest-bearing deposits | 1,476,890 | 2,123,240 | |||
Federal funds sold | 3,769,965 | 4,739,984 | |||
Securities Purchased under Agreements to Resell(2) | [3] | 2,199,973 | 1,000,032 | ||
Trading securities | 3,631,650 | 1,281,053 | |||
AFS securities | 11,097,769 | 7,846,257 | |||
HTM securities - fair value | 2,440,288 | 3,101,133 | |||
Advances | 65,662,578 | 82,408,752 | |||
Loans | 5,313,973 | 4,381,484 | |||
Accrued Interest Receivable | 193,352 | 234,161 | |||
Derivative assets | 140,251 | 110,269 | |||
Deposits | 573,382 | 387,085 | |||
Mandatorily redeemable capital stock (3) | [4] | 350,287 | 24,571 | ||
Accrued interest payable (3) | [4] | 198,406 | 226,065 | ||
Derivative liabilities | 3,024 | 25,511 | |||
Estimate of Fair Value Measurement [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 23,142,588 | 36,891,722 | |||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 66,981,400 | 64,125,928 | |||
Estimate of Fair Value Measurement [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 19,706 | 17,371 | |||
Fair Value, Inputs, Level 1 [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 21,490 | 71,320 | |||
Interest-bearing deposits | 1,471,717 | 2,117,829 | |||
Federal funds sold | 0 | 0 | |||
Securities Purchased under Agreements to Resell(2) | 0 | 0 | |||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
HTM securities - fair value | 0 | 0 | |||
Advances | 0 | 0 | |||
Loans | 0 | 0 | |||
Accrued Interest Receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock (3) | 350,287 | 24,571 | |||
Accrued interest payable (3) | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 0 | 0 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 0 | 0 | |||
Interest-bearing deposits | 5,173 | 5,411 | |||
Federal funds sold | 3,769,965 | 4,739,984 | |||
Securities Purchased under Agreements to Resell(2) | 2,199,973 | 1,000,032 | |||
Trading securities | 3,631,650 | 1,281,053 | |||
AFS securities | 10,771,623 | 7,436,707 | |||
HTM securities - fair value | 2,316,109 | 2,894,813 | |||
Advances | 65,662,578 | 82,408,752 | |||
Loans | 5,313,973 | 4,381,484 | |||
Accrued Interest Receivable | 193,352 | 234,161 | |||
Derivative assets | 16,201 | 19,855 | |||
Deposits | 573,382 | 387,085 | |||
Mandatorily redeemable capital stock (3) | 0 | 0 | |||
Accrued interest payable (3) | 198,406 | 226,065 | |||
Derivative liabilities | 8,869 | 84,674 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 23,142,588 | 36,891,722 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 66,981,400 | 64,125,928 | |||
Fair Value, Inputs, Level 2 [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 0 | 0 | |||
Interest-bearing deposits | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Securities Purchased under Agreements to Resell(2) | 0 | 0 | |||
Trading securities | 0 | 0 | |||
AFS securities | 326,146 | 409,550 | |||
HTM securities - fair value | 124,179 | 206,320 | |||
Advances | 0 | 0 | |||
Loans | 0 | 0 | |||
Accrued Interest Receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock (3) | 0 | 0 | |||
Accrued interest payable (3) | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | $ 19,706 | $ 17,371 | |||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. | ||||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $138.1 million and $154.8 million at December 31, 2019 and December 31, 2018, respectively. Cash collateral received was $8.2 million for December 31, 2019 and was $5.2 million at December 31, 2018. | ||||
[3] | Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2019 and December 31, 2018. These instruments’ maturity term is overnight. | ||||
[4] | The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. |
Estimated Fair Values (Fair Val
Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | $ 3,631,650,000 | $ 1,281,053,000 | ||
AFS securities | 11,097,769,000 | 7,846,257,000 | ||
Derivative assets | 140,251,000 | 110,269,000 | ||
Netting adjustments: Derivative Assets | [1],[2] | 124,050,000 | 90,414,000 | |
Derivative liabilities | 3,024,000 | 25,511,000 | ||
Netting adjustments: Derivative Liabilities | [1],[2] | (5,845,000) | (59,163,000) | |
Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 3,631,650,000 | 1,281,053,000 | ||
AFS securities | 11,097,769,000 | 7,846,257,000 | ||
Derivative assets | 140,251,000 | 110,269,000 | ||
Derivative liabilities | 3,024,000 | 25,511,000 | ||
Loans Receivable, Fair Value Disclosure | 5,313,973,000 | 4,381,484,000 | ||
Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Loans Receivable, Fair Value Disclosure | 0 | 0 | ||
Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 3,631,650,000 | 1,281,053,000 | ||
AFS securities | 10,771,623,000 | 7,436,707,000 | ||
Derivative assets | 16,201,000 | 19,855,000 | ||
Derivative liabilities | 8,869,000 | 84,674,000 | ||
Loans Receivable, Fair Value Disclosure | 5,313,973,000 | 4,381,484,000 | ||
Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
AFS securities | 326,146,000 | 409,550,000 | ||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Loans Receivable, Fair Value Disclosure | 0 | 0 | ||
Fair Value, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Netting adjustments: Derivative Assets | [3] | 124,050,000 | 90,414,000 | |
Netting adjustments: Derivative Liabilities | [3],[4] | (5,845,000) | (59,163,000) | |
Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 3,631,650,000 | 1,281,053,000 | ||
AFS securities | 11,097,769,000 | 7,846,257,000 | ||
Derivative assets | 140,251,000 | 110,269,000 | ||
Total recurring assets at fair value | 14,869,670,000 | 9,237,579,000 | ||
Derivative liabilities | 2,945,000 | 25,489,000 | ||
Total recurring liabilities at fair value (2) | [4] | 3,024,000 | 25,511,000 | |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
Derivative assets | 0 | 0 | ||
Total recurring assets at fair value | 0 | 0 | ||
Total recurring liabilities at fair value (2) | 0 | |||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 3,631,650,000 | 1,281,053,000 | ||
AFS securities | 10,771,623,000 | 7,436,707,000 | ||
Derivative assets | 16,201,000 | 19,855,000 | ||
Total recurring assets at fair value | 14,419,474,000 | 8,737,615,000 | ||
Total recurring liabilities at fair value (2) | [4] | 8,869,000 | 84,674,000 | |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 326,146,000 | 409,550,000 | ||
Derivative assets | 0 | 0 | ||
Total recurring assets at fair value | 326,146,000 | 409,550,000 | ||
Total recurring liabilities at fair value (2) | 0 | [4] | 0 | |
Fair Value, Nonrecurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total recurring assets at fair value | 10,299,000 | 15,586,000 | ||
Loans Receivable, Fair Value Disclosure | 7,850,000 | 8,965,000 | ||
Real estate owned | 2,449,000 | 6,621,000 | ||
Fair Value, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total recurring assets at fair value | 10,299,000 | 15,586,000 | ||
Loans Receivable, Fair Value Disclosure | 7,850,000 | 8,965,000 | ||
Real estate owned | 2,449,000 | 6,621,000 | ||
Interest Rate Swaps | Fair Value, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Netting adjustments: Derivative Assets | 124,050,000 | 90,414,000 | ||
Netting adjustments: Derivative Liabilities | (5,845,000) | (59,163,000) | ||
Interest Rate Swaps | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 140,222,000 | 110,240,000 | ||
Interest Rate Swaps | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Interest Rate Swaps | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 16,172,000 | 19,826,000 | ||
Derivative liabilities | 8,790,000 | 84,652,000 | ||
Interest Rate Swaps | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
US Treasury Bill Securities [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 3,390,772,000 | 997,061,000 | ||
US Treasury Bill Securities [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 3,390,772,000 | 997,061,000 | ||
US Treasury Bill Securities [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
US Treasury Bill Securities [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 3,390,772,000 | 997,061,000 | ||
US Treasury Bill Securities [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
GSE and TVA obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 240,878,000 | 283,992,000 | ||
AFS securities | 1,550,699,000 | 1,785,317,000 | ||
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 240,878,000 | 283,992,000 | ||
AFS securities | 1,550,699,000 | 1,785,317,000 | ||
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 240,878,000 | 283,992,000 | ||
AFS securities | 1,550,699,000 | 1,785,317,000 | ||
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
State or local agency obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 247,894,000 | 245,939,000 | ||
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 247,894,000 | 245,939,000 | ||
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 247,894,000 | 245,939,000 | ||
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
U.S. obligations single-family MBS [Me | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 807,586,000 | 218,494,000 | ||
U.S. obligations single-family MBS [Me | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 807,586,000 | 218,494,000 | ||
U.S. obligations single-family MBS [Me | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
U.S. obligations single-family MBS [Me | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 807,586,000 | 218,494,000 | ||
U.S. obligations single-family MBS [Me | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
GSE MBS [Member] | Single Family [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 4,055,859,000 | 2,581,503,000 | ||
GSE MBS [Member] | Single Family [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 4,055,859,000 | 2,581,503,000 | ||
GSE MBS [Member] | Single Family [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
GSE MBS [Member] | Single Family [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 4,055,859,000 | 2,581,503,000 | ||
GSE MBS [Member] | Single Family [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
GSE MBS [Member] | Multifamily [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 4,109,585,000 | 2,605,454,000 | ||
GSE MBS [Member] | Multifamily [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 4,109,585,000 | 2,605,454,000 | ||
GSE MBS [Member] | Multifamily [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
GSE MBS [Member] | Multifamily [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 4,109,585,000 | 2,605,454,000 | ||
GSE MBS [Member] | Multifamily [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
Private label MBS [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 326,146,000 | 409,550,000 | ||
Private label MBS [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 326,146,000 | 409,550,000 | ||
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 326,146,000 | 409,550,000 | ||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Netting adjustments: Derivative Assets | 0 | 0 | ||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 29,000 | 29,000 | ||
Derivative liabilities | 79,000 | 22,000 | ||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | |||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 29,000 | 29,000 | ||
Derivative liabilities | 79,000 | 22,000 | ||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 0 | $ 0 | ||
Derivative liabilities | $ 0 | |||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. | |||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted and related accrued interest was $138.1 million and $154.8 million at December 31, 2019 and December 31, 2018, respectively. Cash collateral received was $8.2 million for December 31, 2019 and was $5.2 million at December 31, 2018. | |||
[3] | )Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. | |||
[4] | Derivative liabilities represent the total liabilities at fair value. |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Net OTTI losses, credit portion | [1] | $ (570) | $ (957) | $ (959) |
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 409,550 | 524,543 | 673,976 | |
Accretion of credit losses in interest income | 14,385 | 15,419 | 20,636 | |
Net OTTI losses, credit portion | (570) | (957) | (959) | |
Net unrealized gains on AFS in OCI | 33 | (67) | 159 | |
Reclassification of non-credit portion included in net income | 570 | 957 | 959 | |
Net change in fair value on OTTI AFS in OCI | 0 | 0 | (652) | |
Unrealized gains (losses) on OTTI AFS in OCI | (13,999) | (8,777) | 5,222 | |
Purchases, issuances, sales, and settlements: | ||||
Settlements | (83,823) | (121,568) | (174,798) | |
Balance at December 31 | 326,146 | 409,550 | 524,543 | |
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held | $ 11,443 | $ 14,462 | $ 17,210 | |
[1] | For 2019, 2018 and 2017, additional OTTI credit losses for which an OTTI charge was previously recognized relate to all securities that were also previously impaired prior to January 1 of the applicable year |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | ||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Letters of Credit, Annual Renewal Option | $ 4,300,000 | $ 3,900,000 | |
Other liabilities | $ 64,736 | 152,184 | |
Maximum Commitment Period | 60 days | ||
Open RepoPlus Advance Product [Member] | |||
Loss Contingencies [Line Items] | |||
Line of Credit Facility, Remaining Borrowing Capacity | $ 9,800,000 | 8,700,000 | |
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 17,370,617 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 17,370,617 | [1],[2] | 20,250,625 |
Other liabilities | 3,500 | 3,900 | |
Loan Origination Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 19,796 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 19,796 | 10,987 | |
Consolidated Obligations - Bonds [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 62,000 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 62,000 | 196,500 | |
Consolidated Obligations, Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 1,083,406 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 1,083,406 | 583,940 | |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance sheet commitments | 23,900 | 75,300 | |
Mortgage Receivable [Member] | Commitments to purchase mortgage loans [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 73,574 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | $ 73,574 | $ 17,391 | |
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Letter of Credit Renewal Period | 5 years | ||
[1] | Excludes approved requests to issue future standby letters of credit of $23.9 million and $75.3 million at December 31, 2019 and December 31, 2018 respectively. | ||
[2] | Letters of credit in the amount of $4.3 billion and $3.9 billion at December 31, 2019 and December 31, 2018 respectively, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately 5 years. |