Cover Page
Cover Page - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 26, 2021 | Jun. 30, 2020 | |
Entity Information [Line Items] | |||
Entity Tax Identification Number | 25-6001324 | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF PITTSBURGH | ||
Entity Central Index Key | 0001330399 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2020 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Shell Company | false | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 2,675.3 | ||
Entity Common Stock, Shares Outstanding | 15,558,431 | ||
Entity Address, Address Line One | 601 Grant Street | ||
Entity Address, City or Town | Pittsburgh, | ||
Entity Address, State or Province | PA | ||
Entity Address, Postal Zip Code | 15219 | ||
Entity File Number | 000-51395 | ||
City Area Code | 412 | ||
Local Phone Number | 288-3400 | ||
Entity Interactive Data Current | Yes | ||
ICFR Auditor Attestation Flag | true | ||
Document Transition Report | false | ||
Entity Incorporation, State or Country Code | X1 | ||
Document Annual Report | true |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest income: | |||
Advances | $ 625,473 | $ 1,871,151 | $ 1,648,474 |
Interest-bearing deposits | 6,474 | 38,602 | 16,737 |
Securities purchased under agreements to resell | 8,220 | 33,411 | 13,458 |
Federal funds sold | 28,331 | 152,502 | 114,635 |
Trading securities | 48,208 | 62,258 | 13,839 |
Available-for-sale (AFS) securities | 166,842 | 275,427 | 224,978 |
Held-to-maturity (HTM) securities | 54,976 | 83,523 | 78,267 |
Mortgage loans held for portfolio | 155,271 | 170,136 | 151,002 |
Total interest income | 1,093,795 | 2,687,010 | 2,261,390 |
Interest expense: | |||
Consolidated obligations - discount notes | 179,597 | 601,223 | 494,173 |
Consolidated obligations - bonds | 530,962 | 1,603,336 | 1,288,245 |
Deposits | 1,851 | 11,261 | 7,878 |
Mandatorily redeemable capital stock and other borrowings | 16,602 | 17,348 | 1,005 |
Total interest expense | 729,012 | 2,233,168 | 1,791,301 |
Net interest income | 364,783 | 453,842 | 470,089 |
Provision for credit losses | 4,383 | 1,263 | 3,121 |
Net interest income after provision for credit losses | 360,400 | 452,579 | 466,968 |
Other noninterest income (loss): | |||
Net OTTI losses | 0 | (570) | (957) |
Net gains (losses) on investment securities (Note 4) | 47,327 | 18,705 | (9,743) |
Net gains (losses) on derivatives and hedging activities (Note 7) | (90,910) | (39,795) | (4,537) |
Standby letters of credit fees | 22,077 | 21,827 | 23,675 |
Other, net | 2,300 | 2,859 | 2,541 |
Total other noninterest income (loss) | (19,206) | 3,026 | 10,979 |
Other expense: | |||
Compensation and benefits | 52,252 | 50,659 | 46,273 |
Other operating | 40,814 | 38,441 | 34,941 |
Finance Agency | 7,304 | 6,671 | 5,954 |
Office of Finance | 5,149 | 5,769 | 4,945 |
Total other expense | 105,519 | 101,540 | 92,113 |
Income before assessments | 235,675 | 354,065 | 385,834 |
Affordable Housing Program (AHP) assessment (Note 10) | 25,227 | 37,140 | 38,683 |
Net income | $ 210,448 | $ 316,925 | $ 347,151 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net income | $ 210,448 | $ 316,925 | $ 347,151 |
Other comprehensive income (loss) : | |||
Net unrealized gains (losses) on AFS securities | 46,733 | 35,268 | (31,323) |
Net non-credit portion of OTTI gains (losses) on AFS securities | 0 | (13,429) | (7,820) |
Reclassification of net (gains) losses included in net income relating to hedging activities | (149) | (27) | (24) |
Pension and post-retirement benefits | (1,084) | (3,132) | 1,349 |
Total other comprehensive income (loss) | 45,500 | 18,680 | (37,818) |
Total comprehensive income | $ 255,948 | $ 335,605 | $ 309,333 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Cash and due from banks (Note 3) | $ 1,036,459 | $ 21,490 | |
Interest-bearing deposits | 956,628 | 1,476,890 | |
Federal funds sold | 1,850,000 | 3,770,000 | |
Securities purchased under agreements to resell (Note 4) | 600,000 | 2,200,000 | |
Investment securities: | |||
Trading securities | 1,156,003 | 3,631,650 | |
AFS securities, net; amortized cost of $9,335,210 and $11,000,910, respectively | 9,476,385 | 11,097,769 | |
HTM securities; fair value of $2,557,128 and $2,440,288, respectively | 2,483,730 | 2,395,691 | |
Total investment securities | 13,116,118 | 17,125,110 | |
Advances (Note 5) | [1] | 24,971,119 | 65,610,075 |
Mortgage loans held for portfolio, net (Note 6) | 4,886,207 | 5,114,625 | |
Banking on Business (BOB) loans, net | 21,236 | 19,706 | |
Accrued interest receivable | 90,702 | 193,352 | |
Derivative assets (Note 7) | 137,042 | 140,251 | |
Other assets | 47,380 | 52,630 | |
Total assets | 47,712,891 | 95,724,129 | |
Liabilities | |||
Deposits (Note 8) | 923,371 | 573,382 | |
Consolidated obligations (Note 9) | |||
Discount notes | 9,510,085 | 23,141,362 | |
Bonds | 33,854,754 | 66,807,807 | |
Total consolidated obligations | 43,364,839 | 89,949,169 | |
Mandatorily redeemable capital stock (Note 11) | 142,807 | 343,575 | |
Accrued interest payable | 64,950 | 205,118 | |
AHP payable (Note 10) | 102,186 | 112,289 | |
Derivative liabilities (Note 7) | 4,459 | 3,024 | |
Other Liabilities | 68,361 | 64,736 | |
Total liabilities | 44,670,973 | 91,251,293 | |
Commitments and contingencies (Note 15) | |||
Capital (Note 11) | |||
Capital stock - putable ($100 par value) issued and outstanding 15,278 and 30,550 shares, respectively | 1,527,841 | 3,054,996 | |
Retained earnings: | |||
Unrestricted | 919,373 | 910,726 | |
Restricted | 457,378 | 415,288 | |
Total retained earnings | 1,376,751 | 1,326,014 | |
Accumulated Other Comprehensive Income (AOCI) | 137,326 | 91,826 | |
Total capital | 3,041,918 | 4,472,836 | |
Total liabilities and capital | $ 47,712,891 | $ 95,724,129 | |
[1] | Amounts exclude accrued interest receivable of $36.6 million and $119.7 million at December 31, 2020 and December 31, 2019. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Available-for-sale Securities, Amortized Cost Basis | $ 9,335,210 | $ 11,000,910 | |
HTM Securities | $ 2,557,128 | [1] | $ 2,440,288 |
Capital | |||
Capital stock, par value | $ 100 | $ 100 | |
Capital stock, shares outstanding | 15,278,000 | 30,550,000 | |
[1] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL on HTM securities. However, no credit loss was recorded for these securities as of December 31, 2020 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net Cash Provided by (Used in) Operating Activities [Abstract] | |||
Net income | $ 210,448 | $ 316,925 | $ 347,151 |
Adjustments to Reconcile Net Income (Loss) to Cash Provided by (Used in) Operating Activities [Abstract] | |||
Depreciation and amortization | (35,881) | (75,948) | 4,023 |
Net change in derivative and hedging activities | (159,506) | (284,511) | 71,235 |
Other adjustments, net | 6,399 | 3,846 | 4,081 |
Net change in: | |||
Trading securities | 2,475,647 | (2,350,597) | (891,414) |
Accrued interest receivable | 102,814 | 40,781 | (69,918) |
Other assets | (2,178) | (7,251) | (5,432) |
Accrued interest payable | (140,178) | (21,414) | 108,071 |
Other liabilities | (9,035) | 16,804 | 10,867 |
Net cash provided by (used in) operating activities | 2,448,530 | (2,361,365) | (421,336) |
Net change in: | |||
Interest-bearing deposits (including $(683), $238 and $(71) (to)/from other FHLBanks) | 520,307 | 662,920 | (1,882,865) |
Securities purchased under agreements to resell | 1,600,000 | (1,200,000) | (500,000) |
Federal funds sold | 1,920,000 | 970,000 | 910,000 |
AFS securities: | |||
Proceeds | 2,413,475 | 2,115,531 | 2,356,790 |
Purchases | (659,400) | (5,364,087) | (1,298,323) |
HTM Securities | |||
Proceeds | 1,637,219 | 1,716,232 | 3,703,274 |
Purchases | (1,728,986) | (1,026,982) | (4,907,754) |
Advances | |||
Repaid | 335,084,344 | 1,052,295,531 | 1,220,509,586 |
Originated | (294,368,775) | (1,035,138,092) | (1,228,727,329) |
Mortgage loans held for portfolio: | |||
Proceeds | 1,568,005 | 639,308 | 418,510 |
Purchases | (1,366,335) | (1,311,077) | (976,565) |
Other investing activities, net | (220) | 2,699 | 4,896 |
Net cash provided by (used in) investing activities | 46,619,634 | 14,361,983 | (10,389,780) |
FINANCING ACTIVITIES | |||
Net change in deposits | 342,926 | 189,283 | (145,780) |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 259,821,983 | 454,063,438 | 463,639,676 |
Bonds | 42,113,093 | 69,344,940 | 55,384,368 |
Payments for maturing and retiring consolidated obligations: | |||
Discount notes | (273,411,300) | (467,767,787) | (462,967,221) |
Bonds | (75,032,150) | (66,960,735) | (48,602,058) |
Proceeds from Issuance of capital stock | 2,902,031 | 6,451,262 | 5,991,346 |
Payments for repurchase/redemption of capital stock | (4,389,729) | (7,061,961) | (5,580,025) |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (240,225) | (42,073) | (23,747) |
Cash dividends paid | (168,365) | (266,815) | (229,115) |
Partial Recovery Of Prior Capital Distribution To Financing Corporation | 8,541 | ||
Net cash provided by (used in) financing activities | (48,053,195) | (12,050,448) | 7,467,444 |
Cash and Cash Equivalents, Period Increase (Decrease) | 1,014,969 | (49,830) | (3,343,672) |
Cash and due from banks at beginning of the period | 21,490 | 71,320 | 3,414,992 |
Cash and due from banks at end of the period | 1,036,459 | 21,490 | 71,320 |
Supplemental disclosures: | |||
Interest paid | 897,787 | 2,351,624 | 1,688,240 |
AHP payments | 35,330 | 24,429 | 30,668 |
Capital stock reclassified to mandatorily redeemable capital stock | $ 39,457 | $ 361,549 | $ 42,733 |
Statements of Cash Flows (Paren
Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Cash Flows [Abstract] | |||
Increase (Decrease) in Deposits with Other Federal Home Loan Banks | $ (683) | $ 238 | $ (71) |
Statements of Changes in Capita
Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | $ 4,472,836 | $ 5,376,294 | $ 4,927,488 |
Issuance of Capital Stock | 2,902,031 | 6,451,262 | 5,991,346 |
Repurchase/redemption of capital stock | (4,389,729) | (7,061,961) | (5,580,025) |
Shares reclassified to mandatorily redeemable capital stock | (39,457) | (361,549) | (42,733) |
Comprehensive income | 255,948 | 335,605 | 309,333 |
Cash dividends | (168,365) | (266,815) | (229,115) |
Total capital, ending balance | 3,041,918 | $ 4,472,836 | $ 5,376,294 |
Partial Recovery Of Prior Capital Distribution To Financing Corporation | 8,541 | ||
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, ending balance | $ 113 | ||
Common Stock [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Balance Shares, Beginning Balance | 30,550 | 40,272 | 36,587 |
Total capital, beginning balance | $ 3,054,996 | $ 4,027,244 | $ 3,658,656 |
Issuance of Capital Stock, Shares | 29,020 | 64,512 | 59,913 |
Issuance of Capital Stock | $ 2,902,031 | $ 6,451,262 | $ 5,991,346 |
Repurchase/redemption of capital stock, shares | (43,898) | (70,619) | (55,801) |
Repurchase/redemption of capital stock | $ (4,389,729) | $ (7,061,961) | $ (5,580,025) |
Cash dividends | (394) | (3,615) | (427) |
Shares reclassified to mandatorily redeemable capital stock | $ (39,457) | $ (361,549) | $ (42,733) |
Balance Shares, Ending Balance | 15,278 | 30,550 | 40,272 |
Total capital, ending balance | $ 1,527,841 | $ 3,054,996 | $ 4,027,244 |
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 910,726 | 924,001 | 875,395 |
Comprehensive income | 168,358 | 253,540 | 277,721 |
Cash dividends | (168,365) | (266,815) | (229,115) |
Total capital, ending balance | 919,373 | 910,726 | 924,001 |
Partial Recovery Of Prior Capital Distribution To Financing Corporation | 8,541 | ||
Retained Earnings, Unrestricted | Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, ending balance | 113 | ||
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 415,288 | 351,903 | 282,473 |
Comprehensive income | 42,090 | 63,385 | 69,430 |
Total capital, ending balance | 457,378 | 415,288 | 351,903 |
Retained Earnings, Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 1,326,014 | 1,275,904 | 1,157,868 |
Comprehensive income | 210,448 | 316,925 | 347,151 |
Cash dividends | (168,365) | (266,815) | (229,115) |
Total capital, ending balance | 1,376,751 | 1,326,014 | 1,275,904 |
Partial Recovery Of Prior Capital Distribution To Financing Corporation | 8,541 | ||
Retained Earnings, Total | Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, ending balance | 113 | ||
Accumulated Other Comprehensive Income (Loss) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 91,826 | 73,146 | 110,964 |
Comprehensive income | 45,500 | 18,680 | (37,818) |
Total capital, ending balance | $ 137,326 | $ 91,826 | $ 73,146 |
Background Information
Background Information | 12 Months Ended |
Dec. 31, 2020 | |
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 13 - 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 9 - 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, 2020 | |
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 those used in conjunction with fair value estimates and derivatives and hedging activities. 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 have been 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 14 - 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 7 - Derivatives and Hedging Activities for additional information regarding these agreements. ASU 2016-13: Financial Instruments - Credit Losses, as amended. Beginning January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments (the CECL accounting guidance) that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS to be recorded through an allowance for credit losses (ACL). Key changes as compared to prior accounting guidance are detailed within this note. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statement of Condition. 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 the Bank 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. ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. These investments are evaluated quarterly for expected credit losses. If applicable, an ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank uses the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. See Note 4 - Investments for details on the allowance methodologies relating to these investments. Investment Securities. The Bank classifies investment securities as trading, AFS or 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. The Bank records changes in the fair value of these securities in AOCI. 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.” AFS ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance and the accounting guidance related to OTTI accounting for investments was superseded. AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. If a shortfall is projected to occur, the Bank recognizes an ACL. The ACL is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain position, the ACL is zero. The ACL excludes uncollectible accrued interest receivable, which is measured separately. See Note 4 - Investments for details on the allowance methodologies relating to AFS securities. Prior to January 1, 2020, instead of recording an ACL, credit losses, referred to as OTTI, were recorded as a direct write–down of the AFS security's amortized cost for the amount of the credit portion of OTTI loss. If the Bank intends to sell an AFS security in an unrealized loss position, or more likely than not will be required to sell the security, any ACL is written off and the amortized cost basis is written down to the security’s fair value with any incremental impairment reported in earnings as net gains (losses) on investment securities. For AFS securities with OTTI recognized prior to January 1, 2020, the accretable yield continues to be used prospectively. Based on the quarterly assessment of expected credit losses, if there is an improvement, the Bank will first recognize a benefit for credit losses up to the amount of the ACL. If the ACL is zero and the increase in cash flows is significant, the Bank will adjust the accretable yield prospectively. Effective January 1, 2020, the net non-credit portion of OTTI gains (losses) on AFS securities was reclassified to net unrealized gains (losses) on AFS securities within OCI. 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 net of periodic principal repayments, amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statement of Condition. 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. HTM ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The ACL excludes uncollectible accrued interest receivable, which is measured separately. See Note 4 - Investments for details on the allowance methodologies relating to HTM securities. 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). Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost, which is cost, net of premiums and discounts (including discounts related to AHP) and hedging adjustments. Accrued interest receivable is recorded separately on the Statement of Condition. 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. Advances ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. Advances are evaluated quarterly for expected credit losses. If deemed necessary, an ACL is recorded with a corresponding adjustment to the provision for credit losses. See Note 5 - Advances for details on the allowance methodology relating to advances. 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 recorded at amortized cost, which is cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging adjustments, and charge-offs. Accrued interest receivable is recorded separately on the Statement of Condition. MPF ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. The Bank performs a quarterly assessment of its mortgage loans to estimate expected credit losses. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the ACL, the Bank measures the estimated loss over the life of a mortgage loan and incorporates the credit enhancements of the MPF Program. If a mortgage loan is purchased at a discount, the discount does not offset the ACL. The Bank includes estimates of expected recoveries within the ACL when expected lifetime credit losses are less than the amounts previously charged-off. The allowance excludes uncollectible accrued interest receivable, as the Bank writes-off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 6 - Mortgage Loans Held for Portfolio for details on the allowance methodologies relating to mortgage loans. Prior to January 1, 2020, instead of recording an ACL using a model based on lifetime expected credit losses, the Bank used the incurred loss model to record an ACL on mortgage loans if it was probable an impairment occurred in the Bank’s mortgage loans held for portfolio as of the Statement of Condition date and the amount of loss could be reasonably estimated. A loan was considered impaired when, based on current information and events, it was probable that the Bank would be unable to collect all amounts due according to the contractual terms of the loan agreement. 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. 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. On March 27, 2020, the Coronavirus, Aid, Relief, and Economic Security Act (the CARES Act) providing optional, temporary relief from accounting for certain loan modifications as TDRs was signed into law. Under the CARES Act, TDR relief is available to banks for loan modifications related to the adverse effects of COVID-19 (COVID-related modifications) granted to borrowers that are current as of December 31, 2019. TDR relief applies to COVID-related modifications made from March 1, 2020, until the earlier of December 31, 2020, or 60 days following the termination of the national emergency declared by the President of the United States. On December 27, 2020, the Consolidated Appropriations Act, 2021, was signed into law, extending the applicable period to the earlier of January 1, 2022, or 60 days following the termination of the national emergency declared on March 13, 2020. Beginning in the second quarter 2020, the Bank elected to apply the TDR relief provided by the CARES Act. Collateral-Dependent Loans. A 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 credit loss based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as a charge-off. Charge-off Policy . 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. For loans that have received COVID-19 related forbearance and meet certain criteria, the Bank may not charge-off the conventional mortgage loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. See Note 6 - Mortgage Loans Held for Portfolio in this Form 10-K for more information. 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. BOB Loans ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. The Bank performs a quarterly assessment of its BOB loan portfolio to estimate expected credit losses, which is based on a loan’s probability of default and loss given default. 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. 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, as the Bank does not have any derivatives that met the criteria of 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 hedged risk, 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 hedge 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 |
Accounting Adjustments, Changes
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020. Standard Description Adoption Date and Transition Effect on the Financial Statements or Other Significant Matters ASU 2020-04: Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended This ASU provides temporary optional guidance to ease the potential burden in accounting for reference rate reform with optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The Bank adopted the amendments in this ASU on March 12, 2020 and will apply it prospectively through December 31, 2022. The adoption of this ASU did not impact the Bank’s financial condition or results of operation. The Bank is currently evaluating the optional expedients and exceptions and has not yet made any elections. 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. The Bank adopted this ASU on January 1, 2020 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. The Bank adopted this ASU for the year ended December 31, 2020. The adoption of this ASU did not have a significant impact on the Bank's disclosures. ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement This ASU adds, removes, and modifies certain fair value disclosure requirements. The Bank adopted this ASU on January 1, 2020. The adoption of this ASU did not have a significant impact on the Bank's disclosures. 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. The Bank adopted this ASU on January 1, 2020 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. See Note 1 for key changes to significant accounting policies. The following table provides a brief description of recently issued accounting standards which have an impact on the Bank. Standard Description Effective Date and Transition Effect on the Financial Statements or Other Significant Matters ASU 2021-01: Reference Rate Reform (Topic 848) This ASU clarifies that certain optional expedients and exceptions in reference rate reform guidance for contract modifications and hedge accounting apply to derivatives impacted by changes in the interest rate used for margining, discounting, or contract price alignment (i.e., discount transition). This ASU is effective for the Bank immediately upon issuance during January 2021. During the fourth quarter of 2020, the Bank elected applicable optional expedients related to the discount rate transition of cleared derivatives on a retrospective basis. The election of applicable optional expedients did not have a material impact on the Bank’s financial statements. The Bank continues to evaluate other optional expedients and the effect on its financial statements has not yet been determined. ASU 2020-08: Codification Improvements to Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs This ASU clarifies that an entity should reevaluate for each reporting period whether a callable debt security is within the scope of certain guidance in ASC 310-20 that was issued in ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities This ASU is effective for the Bank beginning January 1, 2021 and will be applied on a prospective basis for existing or newly purchased callable debt securities. The adoption of this ASU is not expected to have a significant impact on the Bank's financial statements. |
Cash and Due from Banks
Cash and Due from Banks | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and December 31, 2019 were $172.8 million and $43.1 million, respectively. |
Investments, Debt and Equity Se
Investments, Debt and Equity Securities | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Investments The Bank has short-term investments and investments in debt securities, which are classified as trading, AFS, or HTM as further described below. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of BBB or greater (investment grade) by an NRSRO. Interest-bearing deposits and Federal funds sold are unsecured investments. Federal funds sold are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At December 31, 2020 and December 31, 2019, all investments in interest-bearing deposits and Federal funds sold were repaid according to the contractual terms; no ACL was recorded for these assets at December 31, 2020 and December 31, 2019. Carrying values of interest-bearing deposits and Federal funds exclude accrued interest receivable which was immaterial for all periods presented. At December 31, 2020, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable. Securities purchased under agreements to resell are secured investments. Securities purchased under agreements to resell are generally transacted on an overnight term and have standard market practices that include collateral maintenance provisions. As such, they are evaluated regularly to determine that the securities purchased under agreements to resell are fully collateralized. The counterparty is required to deliver additional collateral if the securities purchased under agreements to resell become under-collateralized, generally by the next business day. The Bank had no balance as of December 31, 2020. At December 31, 2020 and December 31, 2019, all investments in securities purchased under agreements to resell were repaid according to the contractual terms; no ACL was recorded for these assets at December 31, 2020 and December 31, 2019. Carrying value of securities purchased under agreements to resell exclude accrued interest receivable which was immaterial for all periods presented. At December 31, 2020, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable. Debt Securities The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private label MBS that are supported by underlying mortgage or asset-backed loans. In 2007, the Bank discontinued the purchase of private label MBS. The Bank is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities. Trading Securities. The following table presents trading securities as of December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 U.S. Treasury obligations $ 899,421 $ 3,390,772 GSE and Tennessee Valley Authority (TVA) obligations 256,582 240,878 Total $ 1,156,003 $ 3,631,650 The following table presents net gains (losses) on trading securities for 2020, 2019 and 2018. Year ended December 31, (in thousands) 2020 2019 2018 Net unrealized gains (losses) on trading securities held at year-end $ 22,099 $ 16,197 $ (4,816) Net gains (losses) on trading securities sold/matured during the year 25,228 2,508 (4,927) Net gains (losses) on trading securities $ 47,327 $ 18,705 $ (9,743) AFS Securities. The following tables present AFS securities as of December 31, 2020 and December 31, 2019. December 31, 2020 (in thousands) Amortized Cost (1) Allowance for Credit Losses (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: GSE and TVA obligations $ 1,590,661 $ — $ 53,072 $ — $ 1,643,733 State or local agency obligations 227,248 — 14,382 — 241,630 Total non-MBS $ 1,817,909 $ — $ 67,454 $ — $ 1,885,363 MBS: U.S. obligations single-family MBS $ 595,215 $ — $ 6,994 $ (61) $ 602,148 GSE single-family MBS 3,237,124 — 25,969 (213) 3,262,880 GSE multifamily MBS 3,466,937 — 10,235 (3,778) 3,473,394 Private label MBS 218,025 (2,417) 37,149 (157) 252,600 Total MBS $ 7,517,301 $ (2,417) $ 80,347 $ (4,209) $ 7,591,022 Total AFS securities $ 9,335,210 $ (2,417) $ 147,801 $ (4,209) $ 9,476,385 December 31, 2019 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (1) 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 Notes : (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $16.9 million and $24.4 million at December 31, 2020 and December 31, 2019. (2) Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank recorded an ACL for expected credit losses on AFS securities. The following tables summarize the AFS securities with unrealized losses as of December 31, 2020 and December 31, 2019. 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, 2020 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses MBS: U.S. obligations single-family MBS $ 8,591 $ (17) $ 25,713 $ (44) $ 34,304 $ (61) GSE single-family MBS 54,657 (21) 217,942 (192) 272,599 (213) GSE multifamily MBS 156,006 (70) 2,276,207 (3,708) 2,432,213 (3,778) Private label MBS 1,767 (10) 2,631 (147) 4,398 (157) Total MBS $ 221,021 $ (118) $ 2,522,493 $ (4,091) $ 2,743,514 $ (4,209) Total $ 221,021 $ (118) $ 2,522,493 $ (4,091) $ 2,743,514 $ (4,209) 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 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) Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2020 and December 31, 2019 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, 2020 December 31, 2019 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 73,115 $ 73,276 $ — $ — Due after one year through five years 570,540 581,853 525,301 534,642 Due after five years through ten years 789,408 820,239 700,613 719,672 Due after ten years 384,846 409,995 520,846 544,279 Total non-MBS 1,817,909 1,885,363 1,746,760 1,798,593 MBS 7,517,301 7,591,022 9,254,150 9,299,176 Total AFS securities $ 9,335,210 $ 9,476,385 $ 11,000,910 $ 11,097,769 Interest Rate Payment Terms. The following table details interest payment terms at December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 Amortized cost of AFS non-MBS: Fixed-rate $ 1,817,909 $ 1,746,760 Variable-rate — — Total non-MBS $ 1,817,909 $ 1,746,760 Amortized cost of AFS MBS: Fixed-rate $ 1,382,062 $ 1,444,111 Variable-rate 6,135,239 7,810,039 Total MBS $ 7,517,301 $ 9,254,150 Total amortized cost of AFS securities $ 9,335,210 $ 11,000,910 HTM Securities. The following tables present HTM securities as of December 31, 2020 and December 31, 2019. December 31, 2020 (in thousands) Amortized Cost (1) Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 750,000 $ 77 $ — $ 750,077 MBS: U.S. obligations single-family MBS $ 120,539 $ 1,213 $ — $ 121,752 GSE single-family MBS 989,824 20,337 (1,053) 1,009,108 GSE multifamily MBS 530,240 53,555 — 583,795 Private label MBS 93,127 582 (1,313) 92,396 Total MBS $ 1,733,730 $ 75,687 $ (2,366) $ 1,807,051 Total HTM securities (2) $ 2,483,730 $ 75,764 $ (2,366) $ 2,557,128 December 31, 2019 (in thousands) Amortized Cost (1) 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 Notes : (1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.1 million and $6.2 million at December 31, 2020 and December 31, 2019. (2) Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL on HTM securities. However, no credit loss was recorded for these securities as of December 31, 2020. Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2020 and December 31, 2019 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, 2020 December 31, 2019 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ 750,000 $ 750,077 $ — $ — Due after one year through five years — — — — Due after five years through ten years — — 31,925 31,381 Due after ten years — — 62,385 59,535 Total non-MBS 750,000 750,077 94,310 90,916 MBS 1,733,730 1,807,051 2,301,381 2,349,372 Total HTM securities $ 2,483,730 $ 2,557,128 $ 2,395,691 $ 2,440,288 Interest Rate Payment Terms. The following table details interest rate payment terms at December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 Amortized cost of HTM non-MBS: Fixed-rate $ 750,000 $ — Variable-rate — 94,310 Total non-MBS $ 750,000 $ 94,310 Amortized cost of HTM MBS: Fixed-rate $ 1,493,149 $ 1,878,151 Variable-rate 240,581 423,230 Total MBS $ 1,733,730 $ 2,301,381 Total HTM securities $ 2,483,730 $ 2,395,691 Debt Securities ACL. An ACL on AFS and HTM securities was required to be assessed upon adoption of ASU 2016-13, effective January 1, 2020. For HTM securities, there is no ACL at December 31, 2020. For AFS securities, the Bank recorded an ACL only on its private label MBS at December 31, 2020. AFS Debt Securities - Rollforward of ACL. The following table presents a rollforward of the ACL on AFS securities for the year ended December 31, 2020. (in thousands) Private Label MBS Balance, beginning of period $ — Increases (decreases) for securities in which a previous ACL or OTTI was recorded 2,417 Balance, end of period $ 2,417 Debt Securities ACL Methodology. To evaluate investment securities for credit losses at December 31, 2020, the Bank employs the following methodologies by major security type. Certificates of Deposits. The Bank invests in short-term investments, such as certificate of deposits, primarily to manage liquidity. The Bank’s certificates of deposits, which are unsecured, have original contractual maturities of one year or less. Due to their short duration, high credit quality, and insignificant expected credit losses, no allowance for credit losses was recorded on certificates of deposits at December 31, 2020. The Bank only purchases certificates of deposits considered investment quality. At December 31, 2020, none of the certificates of deposits, based on amortized cost, were rated BBB or above, by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable. GSE and Other U.S. Obligations. The Bank invests in GSE and other U.S. obligations, which includes Tennessee Valley Authority obligations, single-family MBS, and GSE single-family and multifamily MBS. These securities are issued by Federal Agencies or U.S. government corporations and include MBS issued by these same entities that are directly supported by underlying mortgage loans. All of these securities carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. As a result, no ACL was recorded on GSE and other U.S. obligations at December 31, 2020. The Bank only purchases GSE and other U.S. obligations considered investment quality. At December 31, 2020, all of these GSE and other U.S. obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable. State or Local Agency Obligations. The Bank invests in state or local agency obligations, such as municipal securities. These securities are subject to credit risk related to a portfolio of state and local agency obligations (i.e., Housing Finance Agency bonds) that are directly or indirectly supported by underlying mortgage loans and carry an implicit or explicit guarantee of the state or local agency. The Bank has not experienced any payment defaults on these instruments. The Bank only purchases state or local agency obligations considered investment quality. At December 31, 2020, all of these state or local agency obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable. The Bank evaluates AFS state or local agency obligations for an ACL based on a credit assessment of the issuer, or guarantor. If the Bank determines that an ACL should be recognized, it is limited to the unrealized loss of the state or local agency obligation, including zero if it is in an unrealized gain position. At December 31, 2020, the Bank expects to receive all cash flows contractually due, and no ACL was recorded on AFS state or local agency obligations. Private Label MBS. The Bank also holds investments in private label MBS. The Bank has not purchased any private label MBS since 2007. However, many of these securities have subsequently experienced significant credit deterioration. As of December 31, 2020, 15.3% of private label MBS (AFS and HTM combined, based on amortized cost) were rated BBB or above by a NRSRO and the remaining securities were either rated less than BBB or were unrated. To determine whether an ACL is necessary on these securities, the Bank uses cash flow analyses. The Bank's evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as: • the remaining payment terms for the security; • prepayment speeds based on underlying loan-level borrower and loan characteristics; • expected default rates based on underlying borrower and loan characteristics; • expected loss severity based on underlying borrower and loan characteristics; • expected housing price changes; and • expected interest-rate assumptions. |
Advances
Advances | 12 Months Ended |
Dec. 31, 2020 | |
Advances [Abstract] | |
Federal Home Loan Bank, 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 up to five years, and the interest rates reset periodically at a fixed spread to LIBOR, SOFR or other specified indices. At December 31, 2020 and December 31, 2019, the Bank had advances outstanding, with interest rates ranging from 0.02% to 6.77% and 1.15% to 7.40%, respectively. The following table details the Bank’s advances portfolio by year of redemption as of December 31, 2020 and December 31, 2019. (dollars in thousands) December 31, 2020 December 31, 2019 Year of Redemption Amount (1) Weighted Average Interest Rate Amount (1) Weighted Average Interest Rate Due in 1 year or less $ 14,760,790 0.84 % $ 41,261,372 1.97 % Due after 1 year through 2 years 5,878,635 2.25 15,285,269 2.31 Due after 2 years through 3 years 1,584,471 2.08 6,065,460 2.52 Due after 3 years through 4 years 1,126,992 1.85 1,305,453 2.50 Due after 4 years through 5 years 1,163,781 1.91 869,892 2.10 Thereafter 210,220 2.55 651,673 2.76 Total par value 24,724,889 1.37 % 65,439,119 2.12 % Deferred prepayment fees (3,673) (1,814) Hedging adjustments 249,903 172,770 Total book value (1) $ 24,971,119 $ 65,610,075 Notes : (1) Amounts exclude accrued interest receivable of $36.6 million and $119.7 million at December 31, 2020 and December 31, 2019. 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, 2020 and December 31, 2019, 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, 2020 and December 31, 2019. Year of Redemption or Year of Redemption or Next Convertible Date (in thousands) December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Due in 1 year or less $ 14,860,790 $ 42,556,372 $ 14,780,790 $ 41,281,372 Due after 1 year through 2 years 5,818,635 14,060,269 5,878,635 15,285,269 Due after 2 years through 3 years 1,584,471 6,035,460 1,578,471 6,065,460 Due after 3 years through 4 years 1,086,992 1,305,453 1,121,992 1,299,453 Due after 4 years through 5 years 1,163,781 829,892 1,154,781 864,892 Thereafter 210,220 651,673 210,220 642,673 Total par value $ 24,724,889 $ 65,439,119 $ 24,724,889 $ 65,439,119 Interest Rate Payment Terms. The following table details interest rate payment terms by year of redemption for advances as of December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 Fixed-rate – overnight $ 37,225 $ 3,847,547 Fixed-rate – term: Due in 1 year or less 6,658,991 18,059,289 Thereafter 9,810,998 16,424,647 Total fixed-rate 16,507,214 38,331,483 Variable-rate: Due in 1 year or less 8,064,575 19,354,536 Thereafter 153,100 7,753,100 Total variable-rate 8,217,675 27,107,636 Total par value $ 24,724,889 $ 65,439,119 Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is primarily concentrated in commercial banks. As of December 31, 2020, the Bank had advances of $15.2 billion outstanding to the five largest borrowers, which represented 61.4% 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, 2020. 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. Advances ACL. 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 and 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. Eligible collateral and collateral requirements can vary based on the type of member: commercial banks, insurance companies, credit unions, de novo banks and CDFIs. 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 primarily 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. Management of the Bank believes that these policies effectively manage the Bank’s credit risk from credit products. 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, 2020 and December 31, 2019, 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, 2020 and December 31, 2019, 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. The Bank evaluates its advances for an ACL on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type, as noted above. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded any ACL at December 31, 2020 or December 31, 2019. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 31, 2020 | |
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 13 for further information regarding transactions with related parties. The following table presents balances as of December 31, 2020 and December 31, 2019 for mortgage loans held for portfolio. (in thousands) December 31, 2020 December 31, 2019 Fixed-rate long-term single-family mortgages (1) $ 4,610,761 $ 4,863,177 Fixed-rate medium-term single-family mortgages (1) 181,535 167,156 Total par value 4,792,296 5,030,333 Premiums 87,424 82,108 Discounts (2,439) (3,616) Hedging adjustments 13,898 13,632 Total mortgage loans held for portfolio (2) 4,891,179 5,122,457 Allowance for credit losses on mortgage loans (4,972) (7,832) Mortgage loans held for portfolio, net $ 4,886,207 $ 5,114,625 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. (2) Amounts exclude accrued interest receivable of $25.7 million and $26.9 million at December 31, 2020 and December 31, 2019. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 Conventional loans $ 4,633,848 $ 4,856,543 Government-guaranteed/insured loans 158,448 173,790 Total par value $ 4,792,296 $ 5,030,333 Purchases, Sales and Reclassifications. During 2020 and 2019, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale. Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. The Bank and its PFI share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any Primary Mortgage Insurance (PMI), credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s FLA. If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by supplemental mortgage insurance (SMI) obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank. Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at December 31, 2020 and December 31, 2019. December 31, 2020 (in thousands) Origination Year Payment Status, at amortized cost (1) Prior to 2016 2016 to 2020 Total Past due 30-59 days $ 14,211 $ 26,825 $ 41,036 Past due 60-89 days 5,719 10,950 16,669 Past due 90 days or more 18,070 61,185 79,255 Total past due loans $ 38,000 $ 98,960 $ 136,960 Current loans 1,132,774 3,458,941 4,591,715 Total conventional loans (2) $ 1,170,774 $ 3,557,901 $ 4,728,675 Payment Status, at recorded investment (1) December 31, 2019 Past due 30-59 days $ 43,872 Past due 60-89 days 8,601 Past due 90 days or more 12,826 Total past due loans $ 65,299 Current loans 4,904,683 Total conventional loans $ 4,969,982 Note: (1) The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at December 31, 2020 excludes accrued interest receivable. (2) Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020. Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total In process of foreclosures, included above (1) $ 8,238 $ 1,667 $ 9,905 Serious delinquency rate (2) 1.7 % 3.7 % 1.8 % Past due 90 days or more still accruing interest $ — $ 5,483 $ 5,483 Loans on nonaccrual status (3) $ 91,201 $ — $ 91,201 December 31, 2019 (dollars in thousands) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total In process of foreclosures, included above (1) $ 4,740 $ 1,110 $ 5,850 Serious delinquency rate (2) 0.3 % 1.9 % 0.3 % Past due 90 days or more still accruing interest $ — $ 3,363 $ 3,363 Loans on nonaccrual status (3) $ 14,890 $ — $ 14,890 Note: (1) 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. (2) 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. (3) All conventional mortgage loans on non-accrual status had an associated ACL or available CE to absorb expected credit losses. Mortgage Loans Held for Portfolio ACL. Conventional MPF - Expected Losses. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. The Bank determines its allowances for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses a third-party model to estimate expected credit losses over the life of the loans. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The model relies on a number of inputs, such as housing price forecasts and interest rates as well as historical borrower behavior experience. The Bank’s reasonable and supportable forecast for housing prices is two years. The Bank then reverts to historic averages over a three year period. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results. The estimated credit loss on collateral dependent 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. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The expected credit loss of a collateral dependent mortgage loan to determine the charge-off is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The estimated fair value of the collateral 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. Expected recoveries of prior charge-offs, as determined by a third-party model, if any, are included in the allowance for credit losses. Conventional MPF - COVID-19-Related Modifications. Through the MPF Program, the Bank may grant a forbearance period to borrowers due to COVID-19-related difficulties regardless of the status of the loan at the time of the request. The Bank continues to apply its accounting policy for determining days past due, non-accrual, and charge-offs during the forbearance period. For MPF loans that have received COVID-19-related forbearance and meet certain criteria, the Bank may not charge-off the MPF loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. After the forbearance period, the Bank may modify the borrower's MPF loan. The Bank has elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act. For additional information regarding the CARES Act, refer to Note 1 - Summary of Significant Accounting Policies in this Form 10-K. As of December 31, 2020, there was approximately $83.9 million in par value of conventional loans in a forbearance or repayment plan as a result of COVID-19, which represented approximately 2% of mortgage loans held for portfolio at December 31, 2020. Of the conventional loans in a forbearance plan as a result of COVID-19, approximately 93% of the loans were not deemed to be collateral dependent and not charged-off. Conventional MPF - Expected Recoveries. With the adoption of ASU 2016-13, the Bank recognizes a recovery through the provision for credit losses where expected lifetime credit losses are less than the amounts previously charged-off. This includes potentially recording a negative ACL for certain of the Bank's MPF products. The reduction to the ACL for expected recoveries is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's Statements of Condition. Conventional MPF - Application of CE. The Bank also incorporates associated CE, if any, to determine its estimate of expected credit losses. The Bank records an ACL for expected credit losses that exceed the amount the Bank expects to receive from available CE. Potential recoveries from CE for conventional loans are evaluated at the individual master commitment level to determine the CE available to recover losses on loans under each individual master commitment. Conventional MPF - Rollforward of ACL (in thousands) 2020 2019 2018 Balance, beginning of period $ 7,832 $ 7,309 $ 5,954 Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13 (1) (3,875) — — (Charge-offs) Recoveries, net (2) (727) (138) (1,311) Provision for credit losses 1,742 661 2,666 Balance, December 31 $ 4,972 $ 7,832 $ 7,309 Note: (1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million. (2) Net charge-offs that the Bank does not expect to recover through CE receivable. Government-Guaranteed or -Insured Mortgage Loans. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed or insured 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). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guarantee or insurance with respect to defaulted government-guaranteed or -insured mortgage loans. Any losses on these loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, the Bank only has credit risk for these loans if the servicer fails to pay for losses not covered by the guarantee or insurance. Based on the Bank's assessment of its servicers and the collateral backing the loans, the risk of loss was immaterial. Consequently, the Bank has not recorded an ACL for government-guaranteed or -insured mortgage loans at December 31, 2020 or December 31, 2019. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met. Real Estate Owned (REO) . The Bank had $0.8 million and $2.0 million of REO reported in Other assets on the Statements of Condition at December 31, 2020 and December 31, 2019, respectively. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | 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 Overnight Index Swap (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 MBS 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 - Summary of 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, 2020 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 14,307,383 $ 1,494 $ 5,193 Derivatives not designated as hedging instruments: Interest rate swaps $ 1,868,988 $ 71 $ 2,386 Interest rate caps or floors 1,205,000 1,173 — Mortgage delivery commitments 60,622 675 11 Total derivatives not designated as hedging instruments: $ 3,134,610 $ 1,919 $ 2,397 Total derivatives before netting and collateral adjustments $ 17,441,993 $ 3,413 $ 7,590 Netting adjustments and cash collateral (1) 133,629 (3,131) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 137,042 $ 4,459 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 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $137.9 million and $138.1 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral received including accrued interest was $1.1 million for December 31, 2020 and was $8.2 million for December 31, 2019. 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. (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 2020 Hedged item type: Advances $ (77,223) $ 77,129 $ (185,860) $ (185,954) $ 625,473 AFS securities (84,465) 82,308 (21,131) (23,288) 166,842 Mortgage loans held for portfolio — (3,219) — (3,219) 155,271 Consolidated obligations – bonds (7,336) 8,061 66,820 67,545 (530,962) Total $ (169,024) $ 164,279 $ (140,171) $ (144,916) (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) 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 of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the year ended December 31, 2018. 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, 2020 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 $ 10,369,813 $ 249,927 $ (24) $ 249,903 AFS securities 1,507,492 131,386 1,148 132,534 Consolidated obligations – bonds 2,838,505 24,701 284 24,985 (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 2018. Year ended December 31, (in thousands) 2020 2019 2018 Derivatives designated as hedging instruments: Interest rate swaps (1) N/A N/A $ 415 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (85,298) $ (30,295) $ 9,573 Interest rate caps or floors 758 (1,850) 482 Net interest settlements (11,467) (6,846) (9,075) TBAs 38 (53) (33) Mortgage delivery commitments 4,724 (1,106) (2,387) Other 148 27 23 Total net gains (losses) related to derivatives not designated as hedging instruments $ (91,097) $ (40,123) $ (1,417) Other - price alignment amount on cleared derivatives (2) 187 328 (3,535) Net gains (losses) on derivatives and hedging activities $ (90,910) $ (39,795) $ (4,537) 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 2020, 2019 or 2018. 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, 2020 was $1.2 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 additional collateral to its derivative counterparties at December 31, 2020. 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 settled to market, rather than collateral. Initial margin is considered collateralized to market. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 14 - 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, 2020. 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, 2020 December 31, 2019 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 2,355 $ 8,743 Cleared derivatives 383 7,429 Total gross recognized amount 2,738 16,172 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (1,632) (7,631) Cleared derivatives 135,261 131,681 Total gross amounts of netting adjustments and cash collateral 133,629 124,050 Net amounts after netting adjustments and cash collateral Uncleared derivatives 723 1,112 Cleared derivatives 135,644 139,110 Total net amounts after netting adjustments and cash collateral 136,367 140,222 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 675 29 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 675 29 Total derivative assets: Uncleared derivatives 1,398 1,141 Cleared derivatives 135,644 139,110 Total derivative assets as reported in the Statement of Condition 137,042 140,251 Net unsecured amount: Uncleared derivatives 1,398 1,141 Cleared derivatives 135,644 139,110 Total net unsecured amount $ 137,042 $ 140,251 Derivative Liabilities (in thousands) December 31, 2020 December 31, 2019 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 4,282 $ 7,135 Cleared derivatives 3,297 1,655 Total gross recognized amount 7,579 8,790 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (2,748) (4,190) Cleared derivatives (383) (1,655) Total gross amounts of netting adjustments and cash collateral (3,131) (5,845) Net amounts after netting adjustments and cash collateral Uncleared derivatives 1,534 2,945 Cleared derivatives 2,914 — Total net amounts after netting adjustments and cash collateral 4,448 2,945 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 11 79 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 11 79 Total derivative liabilities: Uncleared derivatives 1,545 3,024 Cleared derivatives 2,914 — Total derivative liabilities as reported in the Statement of Condition 4,459 3,024 Net unsecured amount Uncleared derivatives 1,545 3,024 Cleared derivatives 2,914 — Total net unsecured amount $ 4,459 $ 3,024 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, 2020 | |
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, 2020 and 2019. December 31, (in thousands) 2020 2019 Interest-bearing: Demand and overnight $ 720,287 $ 520,320 Noninterest-bearing: Demand and overnight 203,084 53,062 Total deposits $ 923,371 $ 573,382 |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2020 | |
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 $746.8 billion and $1,025.9 billion at December 31, 2020 and December 31, 2019, 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; 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, SOFR, LIBOR 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 The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of December 31, 2020 and December 31, 2019 . (in thousands) December 31, 2020 December 31, 2019 Par value of consolidated bonds: Fixed-rate $ 17,148,965 $ 29,292,200 Step-up 40,000 705,000 Floating-rate 16,561,250 36,707,000 Total par value 33,750,215 66,704,200 Bond premiums 91,225 85,028 Bond discounts (7,524) (8,350) Concession fees (4,147) (6,118) Hedging adjustments 24,985 33,047 Total book value $ 33,854,754 $ 66,807,807 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, 2020 and December 31, 2019 . December 31, 2020 December 31, 2019 (dollars in thousands) Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 24,233,615 0.49 % $ 50,306,900 1.83 % Due after 1 year through 2 years 3,024,625 2.19 7,268,705 2.10 Due after 2 years through 3 years 1,545,000 2.33 2,705,420 2.36 Due after 3 years through 4 years 1,164,475 2.41 1,469,400 2.58 Due after 4 years through 5 years 961,725 1.69 947,375 2.69 Thereafter 2,820,775 2.05 4,006,400 2.73 Total par value $ 33,750,215 0.96 % $ 66,704,200 1.96 % The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2020 and December 31, 2019 . (in thousands) December 31, 2020 December 31, 2019 Noncallable $ 28,583,715 $ 61,597,600 Callable 5,166,500 5,106,600 Total par value $ 33,750,215 $ 66,704,200 The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2020 and December 31, 2019 . (in thousands) December 31, Year of Contractual Maturity or Next Call Date 2020 2019 Due in 1 year or less $ 25,737,615 $ 54,157,900 Due after 1 year through 2 years 3,038,625 6,573,705 Due after 2 years through 3 years 1,602,000 2,623,420 Due after 3 years through 4 years 1,089,475 1,063,400 Due after 4 years through 5 years 759,725 827,375 Thereafter 1,522,775 1,458,400 Total par value $ 33,750,215 $ 66,704,200 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, 2020 and December 31, 2019 . December 31, (dollars in thousands) 2020 2019 Book value $ 9,510,085 $ 23,141,362 Par value 9,512,324 23,211,524 Weighted average interest rate (1) 0.11 % 1.61 % Note: (1) Represents an implied rate. |
Affordable Housing Program (AHP
Affordable Housing Program (AHP) | 12 Months Ended |
Dec. 31, 2020 | |
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 2020, 2019 or 2018. 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 2020, 2019 or 2018. The Bank awards commitments that are disbursed over 24 to 36 months. The Bank has outstanding AHP commitments of $72.0 million, $73.3 million and $58.3 million as of December 31, 2020, 2019 and 2018, respectively. The following table presents an analysis of the AHP payable for 2020, 2019, and 2018. (in thousands) 2020 2019 2018 Balance, beginning of the year $ 112,289 $ 99,578 $ 91,563 Assessments 25,227 37,140 38,683 Subsidy usage, net (35,330) (24,429) (30,668) Balance, end of the year $ 102,186 $ 112,289 $ 99,578 |
Capital
Capital | 12 Months Ended |
Dec. 31, 2020 | |
Banking Regulation, Total 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, 2020, 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 $1.2 billion in B1 membership stock and B2 activity stock, respectively at December 31, 2020. The Bank had $0.3 billion and $2.7 billion in B1 membership stock and B2 activity stock, respectively at December 31, 2019. The following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2020 and December 31, 2019. December 31, 2020 December 31, 2019 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 520,696 $ 3,047,399 $ 610,573 $ 4,724,586 Total capital-to-asset ratio 4.0 % 6.4 % 4.0 % 4.9 % Total regulatory capital 1,908,516 3,047,399 3,828,965 4,724,586 Leverage ratio 5.0 % 9.6 % 5.0 % 7.4 % Leverage capital 2,385,645 4,571,099 4,786,206 7,086,879 The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On December 11, 2020, the Bank received final notification from the Finance Agency that it was considered “adequately capitalized” for the quarter ended September 30, 2020. 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, 2020. 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, 2020 and December 31, 2019, the Bank had $142.8 million and $343.6 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 $16.6 million and $17.3 million during 2020 and 2019, and was immaterial during 2018. The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2020, 2019, and 2018. December 31, (in thousands) 2020 2019 2018 Balance, beginning of the period $ 343,575 $ 24,099 $ 5,113 Capital stock subject to mandatory redemption reclassified from capital 39,457 361,549 42,733 Redemption/repurchase of mandatorily redeemable stock (240,225) (42,073) (23,747) Balance, end of the period $ 142,807 $ 343,575 $ 24,099 As of December 31, 2020, the total mandatorily redeemable capital stock reflected the balance for six 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. One other institution has notified the Bank of its intention to voluntarily redeem its capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed. The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at December 31, 2020 and December 31, 2019. December 31, (in thousands) 2020 2019 Due in 1 year or less $ — $ 3,316 Due after 1 year through 2 years 21 — Due after 2 years through 3 years 20,000 21 Due after 3 years through 4 years 120,000 20,000 Due after 4 years through 5 years 19 320,000 Past contractual redemption date due to remaining activity 2,767 238 Total $ 142,807 $ 343,575 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. Partial Recovery of Prior Capital Distribution to Financing Corporation . The Competitive Equality Banking Act of 1987 provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in exchange for FICO nonvoting capital stock. Capital distributions totaling $680.0 million were made by the FHLBanks in 1987 through 1989. Upon passage of Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBanks’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBanks charged-off their prior capital distributions to FICO directly against retained earnings. FICO paid off its last long-term debt obligation in September 2019, and the following month began the process of dissolution in accordance with relevant statutory requirements of the FHFA. FICO determined that approximately $200.0 million in excess funds were available for distribution to its stockholders, the FHLBanks. The Bank’s partial recovery of prior capital distributions in the second quarter of 2020 totaled $8.5 million based on its share of the $680.0 million originally contributed. These funds are accounted for as a return of the FHLBanks’ investment in FICO capital stock as a partial recovery of the prior capital distributions and credited to the Bank's unrestricted retained earnings account. 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 current quarter. These RRE will not be available to pay dividends. At December 31, 2020, retained earnings were $1,376.8 million, including $919.4 million of unrestricted retained earnings and $457.4 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 2020, 2019 and 2018 are presented in the table below. Dividend - Annual Yield 2020 2019 2018 Membership Activity Membership Activity Membership Activity February 4.50% 7.75% 4.50% 7.75% 3.50% 6.75% April 3.00% 6.25% 4.50% 7.75% 3.50% 6.75% July 3.00% 6.25% 4.50% 7.75% 3.50% 6.75% October 3.00% 6.25% 4.50% 7.75% 3.50% 6.75% In February 2021, the Bank paid a quarterly dividend equal to an annual yield of 2.50% and 5.75% on membership stock and activity stock, respectively. The following table summarizes the changes in AOCI for 2020, 2019 and 2018. (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, 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 December 31, 2019 $ 45,155 $ 51,704 $ 149 $ (5,182) $ 91,826 Other comprehensive income (loss) before Adoption of ASU -2016-13 51,704 (51,704) — — — Net unrealized gains (losses) 46,733 — — — 46,733 Amortization on hedging activities — — (149) — (149) Pension and post-retirement — — — (1,084) (1,084) December 31, 2020 $ 143,592 $ — $ — $ (6,266) $ 137,326 |
Employee Retirement Plans
Employee Retirement Plans | 12 Months Ended |
Dec. 31, 2020 | |
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, 2019. The Bank’s contributions to the Defined Benefit Plan during 2020 were less than 5% of total plan contributions during the plan year ended June 30, 2019. 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. (dollars in thousands) 2020 2019 2018 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 3,572 $ 3,279 $ 5,000 Defined Benefit Plan funded status as of July 1 108.2 % (a) 108.6 % (b) 109.9 % Bank’s funded status as of July 1 141.1 % 144.8 % 147.3 % (a) The Defined Benefit Plan’s funded status as of July 1, 2020 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2021). (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 $3.0 million , $2.7 million and $4.5 million in 2020, 2019 and 2018, 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 th e Federal Home Loan Bank of Pittsburgh Defined Contribution Plan, a tax qualified defined contribution pension plan. The Bank’s contributions consist of a matching contribution equal to a percentage of voluntary employee contributions, subj ect 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 $1.6 million , $1.4 million and $1.2 million in expense related to plan contributions during 2020, 2019 and 2018, 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 $18.3 million and $15.6 million at December 31, 2020 and December 31, 2019, respectively, and the Bank recognized operating expenses (income) of $1.1 million , $2.7 million, and $(0.5) million for 2020 , 2019 and 2018, 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 $15.0 million and $13.1 million at December 31, 2020 and December 31, 2019, 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 $2.5 million and $2.2 million at December 31, 2020 and December 31, 2019, 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 $12.4 million and $11.3 million at December 31, 2020 and December 31, 2019, 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 at both December 31, 2020 and December 31, 2019 . 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 $2.5 million, $1.5 million, and $1.7 million in expense related to these two plans during 2020, 2019 and 2018, 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) 2020 2019 2020 2019 2020 2019 Benefit obligations $ 16,218 $ 14,975 $ 2,455 $ 2,235 $ 18,673 $ 17,210 Unrealized actuarial gains (losses) in AOCI $ (6,361) $ (5,433) $ 95 $ 251 $ (6,266) $ (5,182) |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2020 | |
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) 2020 2019 Advances $ 10,856,363 $ 34,748,867 Letters of credit (1) 2,730,541 2,418,025 MPF loans 483,983 455,600 Deposits 31,269 17,904 Capital stock 573,392 1,574,659 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) 2020 2019 2018 Interest income on advances $ 434,423 $ 1,183,730 $ 1,151,369 Interest income on MPF loans 24,875 27,845 33,269 Letters of credit fees 2,984 4,146 5,911 The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Year ended December 31, (in thousands) 2020 2019 2018 Servicing fee expense $ 3,909 $ 3,567 $ 3,076 December 31, (in thousands) 2020 2019 Interest-bearing deposits maintained with FHLBank of Chicago $ 5,856 $ 5,173 From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During 2020, the total amount loaned to and repaid from other FHLBanks was $30.0 million. During 2019, the total amount loaned to and repaid from other FHLBanks was $500.0 million. There was no lending activity during 2018. During 2020, the total amount borrowed from and repaid to other FHLBanks was $5.0 million. During 2019 and 2018, there were no borrowing activities between the Bank and other FHLBanks. Subject to mutually agreed upon terms, on occasion an FHLBank may transfer at fair value its primary debt obligations to another FHLBank. During 2020, 2019 and 2018, there were no transfers of debt between the Bank and another FHLBank. |
Estimated Fair Values
Estimated Fair Values | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and December 31, 2019. 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, 2020 and December 31, 2019 are presented in the table below. Fair Value Summary Table December 31, 2020 (in thousands) Carrying Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Assets: Cash and due from banks $ 1,036,459 $ 1,036,459 $ — $ — $ — $ 1,036,459 Interest-bearing deposits 956,628 950,772 5,856 — — 956,628 Federal funds sold 1,850,000 — 1,850,009 — — 1,850,009 Securities purchased under agreement to resell (2) 600,000 — 600,003 — — 600,003 Trading securities 1,156,003 — 1,156,003 — — 1,156,003 AFS securities 9,476,385 — 9,223,785 252,600 — 9,476,385 HTM securities 2,483,730 — 2,464,732 92,396 — 2,557,128 Advances 24,971,119 — 25,097,529 — — 25,097,529 Mortgage loans held for portfolio, net 4,886,207 — 5,084,683 — — 5,084,683 BOB loans, net 21,236 — — 21,236 — 21,236 Accrued interest receivable 90,702 — 90,702 — — 90,702 Derivative assets 137,042 — 3,413 — 133,629 137,042 Liabilities: Deposits $ 923,371 $ — $ 923,371 $ — $ — $ 923,371 Discount notes 9,510,085 — 9,510,584 — — 9,510,584 Bonds 33,854,754 — 34,282,476 — — 34,282,476 Mandatorily redeemable capital stock (3) 142,807 145,282 — — — 145,282 Accrued interest payable (3) 64,950 — 62,475 — — 62,475 Derivative liabilities 4,459 — 7,590 — (3,131) 4,459 December 31, 2019 (in thousands) Carrying Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated 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 (4) 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 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, 2020 and December 31, 2019. 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. 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: • U.S. Treasury 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 and U.S. Treasury obligations. For 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. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. 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 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, 2020, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. 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, 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. SOFR curve for cleared derivatives, OIS curve for uncleared derivatives. • 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. • 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, 2020 and December 31, 2019. 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, 2020 (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 $ — $ 899,421 $ — $ — $ 899,421 GSE and TVA obligations — 256,582 — — 256,582 Total trading securities $ — $ 1,156,003 $ — $ — $ 1,156,003 AFS securities: Non-MBS: GSE and TVA obligations $ — $ 1,643,733 $ — $ — $ 1,643,733 State or local agency obligations — 241,630 — — 241,630 MBS: U.S. obligations single-family MBS — 602,148 — — 602,148 GSE single-family MBS — 3,262,880 — — 3,262,880 GSE multifamily MBS — 3,473,394 — — 3,473,394 Private label MBS — — 252,600 — 252,600 Total AFS securities $ — $ 9,223,785 $ 252,600 $ — $ 9,476,385 Derivative assets: Interest rate related $ — $ 2,738 $ — $ 133,629 $ 136,367 Mortgage delivery commitments — 675 — — 675 Total derivative assets $ — $ 3,413 $ — $ 133,629 $ 137,042 Total recurring assets at fair value $ — $ 10,383,201 $ 252,600 $ 133,629 $ 10,769,430 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 7,579 $ — $ (3,131) $ 4,448 Mortgage delivery commitments — 11 — — 11 Total recurring liabilities at fair value (2) $ — $ 7,590 $ — $ (3,131) $ 4,459 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 18,382 $ — $ 18,382 REO — — 1,270 — 1,270 Total non-recurring assets at fair value $ — $ — $ 19,652 $ — $ 19,652 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 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. 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, 2020, 2019 or 2018. 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 2020, 2019 or 2018. AFS Private AFS Private AFS Private Balance, beginning of period $ 326,146 $ 409,550 $ 524,543 Total gains (losses) (realized/unrealized) included in: (Provision) benefit for credit losses (1) (2,417) — — Accretion of credit losses in interest income 11,635 14,385 15,419 Net OTTI losses, credit portion — (570) (957) Net unrealized gains (losses) on AFS in OCI (14,530) 33 (67) Reclassification of non-credit portion included in net income — 570 957 Unrealized gains (losses) on OTTI AFS in OCI — (13,999) (8,777) Purchases, issuances, sales, and settlements: Settlements (68,234) (83,823) (121,568) Balance at December 31 $ 252,600 $ 326,146 $ 409,550 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 $ 9,218 $ 11,443 $ 14,462 Change in unrealized gains (losses) for the period included in other comprehensive income for assets held December 31 (2) $ (14,530) N/A N/A Notes: (1) Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL for expected credit losses on AFS securities. (2) Due to the prospective adoption of ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement, effective January 1, 2020, this is not applicable for 2019 and 2018. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and contingencies (Note 15) | 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, 2020 December 31, 2019 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 19,723,286 $ — $ 19,723,286 $ 17,370,617 Commitments to fund additional advances and BOB loans 760 — 760 19,796 Commitments to purchase mortgage loans 60,622 — 60,622 73,574 Unsettled consolidated obligation bonds, at par 15,000 — 15,000 62,000 Unsettled consolidated obligation discount notes, at par 950 — 950 1,083,406 Notes : (1) Excludes approved requests to issue future standby letters of credit of $30.9 million and $23.9 million at December 31, 2020 and December 31, 2019 respectively. (2) Letters of credit in the amount of $5.0 billion and $4.3 billion at December 31, 2020 and December 31, 2019 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 $3.9 million and $3.5 million as of December 31, 2020 and December 31, 2019, respectively. The Bank manages the credit risk of each member on the basis of the member's TCE to the Bank which includes its standby letters of credit. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit as described in Note 5 - Advances. 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. 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, 2020 or December 31, 2019. However, within the Bank’s Open RepoPlus advance product, there were conditional lines of credit outstanding of $12.3 billion and $9.8 billion at December 31, 2020 and December 31, 2019, 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 7 - 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, 5, 7, 9, 10, 11 and 13 also discuss other commitments and contingencies. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
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 those used in conjunction with fair value estimates and derivatives and hedging activities. 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 have been 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 14 - 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. |
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 7 - Derivatives and Hedging Activities for additional information regarding these agreements. ASU 2016-13: Financial Instruments - Credit Losses, as amended. Beginning January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments (the CECL accounting guidance) that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS to be recorded through an allowance for credit losses (ACL). Key changes as compared to prior accounting guidance are detailed within this note. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. |
Investment, Policy | Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statement of Condition. 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 the Bank 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. ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. These investments are evaluated quarterly for expected credit losses. If applicable, an ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank uses the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. See Note 4 - Investments for details on the allowance methodologies relating to these investments. Investment Securities. The Bank classifies investment securities as trading, AFS or 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. The Bank records changes in the fair value of these securities in AOCI. 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.” AFS ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance and the accounting guidance related to OTTI accounting for investments was superseded. AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. If a shortfall is projected to occur, the Bank recognizes an ACL. The ACL is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain position, the ACL is zero. The ACL excludes uncollectible accrued interest receivable, which is measured separately. See Note 4 - Investments for details on the allowance methodologies relating to AFS securities. Prior to January 1, 2020, instead of recording an ACL, credit losses, referred to as OTTI, were recorded as a direct write–down of the AFS security's amortized cost for the amount of the credit portion of OTTI loss. If the Bank intends to sell an AFS security in an unrealized loss position, or more likely than not will be required to sell the security, any ACL is written off and the amortized cost basis is written down to the security’s fair value with any incremental impairment reported in earnings as net gains (losses) on investment securities. For AFS securities with OTTI recognized prior to January 1, 2020, the accretable yield continues to be used prospectively. Based on the quarterly assessment of expected credit losses, if there is an improvement, the Bank will first recognize a benefit for credit losses up to the amount of the ACL. If the ACL is zero and the increase in cash flows is significant, the Bank will adjust the accretable yield prospectively. Effective January 1, 2020, the net non-credit portion of OTTI gains (losses) on AFS securities was reclassified to net unrealized gains (losses) on AFS securities within OCI. 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 net of periodic principal repayments, amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statement of Condition. 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. HTM ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The ACL excludes uncollectible accrued interest receivable, which is measured separately. See Note 4 - Investments for details on the allowance methodologies relating to HTM securities. 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). |
Advances | dvances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost, which is cost, net of premiums and discounts (including discounts related to AHP) and hedging adjustments. Accrued interest receivable is recorded separately on the Statement of Condition. 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. Advances ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. Advances are evaluated quarterly for expected credit losses. If deemed necessary, an ACL is recorded with a corresponding adjustment to the provision for credit losses. See Note 5 - Advances for details on the allowance methodology relating to advances. 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. |
Mortgage Loans Held for Portfolio | 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 recorded at amortized cost, which is cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging adjustments, and charge-offs. Accrued interest receivable is recorded separately on the Statement of Condition. MPF ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. The Bank performs a quarterly assessment of its mortgage loans to estimate expected credit losses. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the ACL, the Bank measures the estimated loss over the life of a mortgage loan and incorporates the credit enhancements of the MPF Program. If a mortgage loan is purchased at a discount, the discount does not offset the ACL. The Bank includes estimates of expected recoveries within the ACL when expected lifetime credit losses are less than the amounts previously charged-off. The allowance excludes uncollectible accrued interest receivable, as the Bank writes-off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 6 - Mortgage Loans Held for Portfolio for details on the allowance methodologies relating to mortgage loans. Prior to January 1, 2020, instead of recording an ACL using a model based on lifetime expected credit losses, the Bank used the incurred loss model to record an ACL on mortgage loans if it was probable an impairment occurred in the Bank’s mortgage loans held for portfolio as of the Statement of Condition date and the amount of loss could be reasonably estimated. A loan was considered impaired when, based on current information and events, it was probable that the Bank would be unable to collect all amounts due according to the contractual terms of the loan agreement. |
Premiums and Discounts | 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. |
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. On March 27, 2020, the Coronavirus, Aid, Relief, and Economic Security Act (the CARES Act) providing optional, temporary relief from accounting for certain loan modifications as TDRs was signed into law. Under the CARES Act, TDR relief is available to banks for loan modifications related to the adverse effects of COVID-19 (COVID-related modifications) granted to borrowers that are current as of December 31, 2019. TDR relief applies to COVID-related modifications made from March 1, 2020, until the earlier of December 31, 2020, or 60 days following the termination of the national emergency declared by the President of the United States. On December 27, 2020, the Consolidated Appropriations Act, 2021, was signed into law, extending the applicable period to the earlier of January 1, 2022, or 60 days following the termination of the national emergency declared on March 13, 2020. Beginning in the second quarter 2020, the Bank elected to apply the TDR relief provided by the CARES Act. |
Impaired Financing Receivable, Policy [Policy Text Block] | Collateral-Dependent Loans. A 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 credit loss based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as a charge-off. Charge-off Policy . 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. For loans that have received COVID-19 related forbearance and meet certain criteria, the Bank may not charge-off the conventional mortgage loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. See Note 6 - Mortgage Loans Held for Portfolio in this Form 10-K for more information. |
BOB Loans Policy | 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. BOB Loans ACL: Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. The Bank performs a quarterly assessment of its BOB loan portfolio to estimate expected credit losses, which is based on a loan’s probability of default and loss given default. 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. |
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, as the Bank does not have any derivatives that met the criteria of 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 hedged risk, 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 hedge 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 debt, advance or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. 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 certain criteria are met. The Bank had no embedded derivatives requiring separation from the host contract at December 31, 2020 or 2019. 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, 2020 was $1.2 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 additional collateral to its derivative counterparties at December 31, 2020. 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 settled to market, rather than collateral. Initial margin is considered collateralized to market. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 14 - 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. |
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 ten At December 31, 2020 and 2019, premises, software, and equipment, net of accumulated depreciation and amortization were $8.8 million and $8.4 million, respectively. For the years ended December 31, 2020, 2019, and 2018, the related depreciation and amortization expense was $2.9 million, $3.3 million, and $2.8 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, 2020 and 2019, SaaS accounted for as a service contract was immaterial. |
Lessee, Leases [Policy Text Block] | Leases. The Bank leases office space and other facilities, as well as 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. right-of-use assets lease liabilities |
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 |
Off Balance Sheet Exposure | Off-Balance Sheet Credit Exposures. Beginning January 1, 2020, the Bank adopted the CECL accounting guidance. The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. Commitments to purchase MPF Loans are derivatives and therefore do not require an assessment of expected credit losses. |
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, relocation, charter termination, voluntary 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 on a quarterly basis 20% of its 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 current quarter. These restricted retained earnings are not available to pay dividends and are presented separately on the Statement of Condition. See Note 11 - Capital for more information. |
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 10 - AHP for more information. |
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: • U.S. Treasury 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 and U.S. Treasury obligations. For 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. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. 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 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, 2020, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. 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, 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. SOFR curve for cleared derivatives, OIS curve for uncleared derivatives. • 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. • 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. |
Investments, Debt and Equity _2
Investments, Debt and Equity Securities (Tables) | 12 Months Ended | |
Dec. 31, 2020 | ||
Investments, Debt and Equity Securities [Abstract] | ||
Schedule of Trading Securities | The following table presents trading securities as of December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 U.S. Treasury obligations $ 899,421 $ 3,390,772 GSE and Tennessee Valley Authority (TVA) obligations 256,582 240,878 Total $ 1,156,003 $ 3,631,650 | |
Net Gains (Losses) on Trading Securities | The following table presents net gains (losses) on trading securities for 2020, 2019 and 2018. Year ended December 31, (in thousands) 2020 2019 2018 Net unrealized gains (losses) on trading securities held at year-end $ 22,099 $ 16,197 $ (4,816) Net gains (losses) on trading securities sold/matured during the year 25,228 2,508 (4,927) Net gains (losses) on trading securities $ 47,327 $ 18,705 $ (9,743) | |
Schedule of Available-for-sale Securities Reconciliation | The following tables present AFS securities as of December 31, 2020 and December 31, 2019. December 31, 2020 (in thousands) Amortized Cost (1) Allowance for Credit Losses (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: GSE and TVA obligations $ 1,590,661 $ — $ 53,072 $ — $ 1,643,733 State or local agency obligations 227,248 — 14,382 — 241,630 Total non-MBS $ 1,817,909 $ — $ 67,454 $ — $ 1,885,363 MBS: U.S. obligations single-family MBS $ 595,215 $ — $ 6,994 $ (61) $ 602,148 GSE single-family MBS 3,237,124 — 25,969 (213) 3,262,880 GSE multifamily MBS 3,466,937 — 10,235 (3,778) 3,473,394 Private label MBS 218,025 (2,417) 37,149 (157) 252,600 Total MBS $ 7,517,301 $ (2,417) $ 80,347 $ (4,209) $ 7,591,022 Total AFS securities $ 9,335,210 $ (2,417) $ 147,801 $ (4,209) $ 9,476,385 December 31, 2019 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (1) 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 Notes : (1) Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $16.9 million and $24.4 million at December 31, 2020 and December 31, 2019. | [1] |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | The following tables summarize the AFS securities with unrealized losses as of December 31, 2020 and December 31, 2019. 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, 2020 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses MBS: U.S. obligations single-family MBS $ 8,591 $ (17) $ 25,713 $ (44) $ 34,304 $ (61) GSE single-family MBS 54,657 (21) 217,942 (192) 272,599 (213) GSE multifamily MBS 156,006 (70) 2,276,207 (3,708) 2,432,213 (3,778) Private label MBS 1,767 (10) 2,631 (147) 4,398 (157) Total MBS $ 221,021 $ (118) $ 2,522,493 $ (4,091) $ 2,743,514 $ (4,209) Total $ 221,021 $ (118) $ 2,522,493 $ (4,091) $ 2,743,514 $ (4,209) 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 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) | |
AFS Investments Classified by Contractual Maturity Date | The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2020 and December 31, 2019 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, 2020 December 31, 2019 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 73,115 $ 73,276 $ — $ — Due after one year through five years 570,540 581,853 525,301 534,642 Due after five years through ten years 789,408 820,239 700,613 719,672 Due after ten years 384,846 409,995 520,846 544,279 Total non-MBS 1,817,909 1,885,363 1,746,760 1,798,593 MBS 7,517,301 7,591,022 9,254,150 9,299,176 Total AFS securities $ 9,335,210 $ 9,476,385 $ 11,000,910 $ 11,097,769 (in thousands) December 31, 2020 December 31, 2019 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ 750,000 $ 750,077 $ — $ — Due after one year through five years — — — — Due after five years through ten years — — 31,925 31,381 Due after ten years — — 62,385 59,535 Total non-MBS 750,000 750,077 94,310 90,916 MBS 1,733,730 1,807,051 2,301,381 2,349,372 Total HTM securities $ 2,483,730 $ 2,557,128 $ 2,395,691 $ 2,440,288 | |
AFS - Schedule of Interest Rate Payment Terms For Investments | The following table details interest payment terms at December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 Amortized cost of AFS non-MBS: Fixed-rate $ 1,817,909 $ 1,746,760 Variable-rate — — Total non-MBS $ 1,817,909 $ 1,746,760 Amortized cost of AFS MBS: Fixed-rate $ 1,382,062 $ 1,444,111 Variable-rate 6,135,239 7,810,039 Total MBS $ 7,517,301 $ 9,254,150 Total amortized cost of AFS securities $ 9,335,210 $ 11,000,910 (in thousands) December 31, 2020 December 31, 2019 Amortized cost of HTM non-MBS: Fixed-rate $ 750,000 $ — Variable-rate — 94,310 Total non-MBS $ 750,000 $ 94,310 Amortized cost of HTM MBS: Fixed-rate $ 1,493,149 $ 1,878,151 Variable-rate 240,581 423,230 Total MBS $ 1,733,730 $ 2,301,381 Total HTM securities $ 2,483,730 $ 2,395,691 | |
HTM Securities by Major Security Type | The following tables present HTM securities as of December 31, 2020 and December 31, 2019. December 31, 2020 (in thousands) Amortized Cost (1) Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: Certificates of deposit $ 750,000 $ 77 $ — $ 750,077 MBS: U.S. obligations single-family MBS $ 120,539 $ 1,213 $ — $ 121,752 GSE single-family MBS 989,824 20,337 (1,053) 1,009,108 GSE multifamily MBS 530,240 53,555 — 583,795 Private label MBS 93,127 582 (1,313) 92,396 Total MBS $ 1,733,730 $ 75,687 $ (2,366) $ 1,807,051 Total HTM securities (2) $ 2,483,730 $ 75,764 $ (2,366) $ 2,557,128 December 31, 2019 (in thousands) Amortized Cost (1) 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 Notes : (1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.1 million and $6.2 million at December 31, 2020 and December 31, 2019. | [2],[3] |
Rollforward, Available-for-sale, Allowance for Credit Loss | The following table presents a rollforward of the ACL on AFS securities for the year ended December 31, 2020. (in thousands) Private Label MBS Balance, beginning of period $ — Increases (decreases) for securities in which a previous ACL or OTTI was recorded 2,417 Balance, end of period $ 2,417 | |
[1] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank recorded an ACL for expected credit losses on AFS securities. | |
[2] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL on HTM securities. However, no credit loss was recorded for these securities as of December 31, 2020 | |
[3] | Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.1 million and $6.2 million at December 31, 2020 and December 31, 2019. |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Advances [Abstract] | |
Advances Tables | The following table details the Bank’s advances portfolio by year of redemption as of December 31, 2020 and December 31, 2019. (dollars in thousands) December 31, 2020 December 31, 2019 Year of Redemption Amount (1) Weighted Average Interest Rate Amount (1) Weighted Average Interest Rate Due in 1 year or less $ 14,760,790 0.84 % $ 41,261,372 1.97 % Due after 1 year through 2 years 5,878,635 2.25 15,285,269 2.31 Due after 2 years through 3 years 1,584,471 2.08 6,065,460 2.52 Due after 3 years through 4 years 1,126,992 1.85 1,305,453 2.50 Due after 4 years through 5 years 1,163,781 1.91 869,892 2.10 Thereafter 210,220 2.55 651,673 2.76 Total par value 24,724,889 1.37 % 65,439,119 2.12 % Deferred prepayment fees (3,673) (1,814) Hedging adjustments 249,903 172,770 Total book value (1) $ 24,971,119 $ 65,610,075 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, 2020 and December 31, 2019. Year of Redemption or Year of Redemption or Next Convertible Date (in thousands) December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Due in 1 year or less $ 14,860,790 $ 42,556,372 $ 14,780,790 $ 41,281,372 Due after 1 year through 2 years 5,818,635 14,060,269 5,878,635 15,285,269 Due after 2 years through 3 years 1,584,471 6,035,460 1,578,471 6,065,460 Due after 3 years through 4 years 1,086,992 1,305,453 1,121,992 1,299,453 Due after 4 years through 5 years 1,163,781 829,892 1,154,781 864,892 Thereafter 210,220 651,673 210,220 642,673 Total par value $ 24,724,889 $ 65,439,119 $ 24,724,889 $ 65,439,119 Interest Rate Payment Terms. The following table details interest rate payment terms by year of redemption for advances as of December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 Fixed-rate – overnight $ 37,225 $ 3,847,547 Fixed-rate – term: Due in 1 year or less 6,658,991 18,059,289 Thereafter 9,810,998 16,424,647 Total fixed-rate 16,507,214 38,331,483 Variable-rate: Due in 1 year or less 8,064,575 19,354,536 Thereafter 153,100 7,753,100 Total variable-rate 8,217,675 27,107,636 Total par value $ 24,724,889 $ 65,439,119 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Schedule of Mortgage Loans Held for Portfolio | The following table presents balances as of December 31, 2020 and December 31, 2019 for mortgage loans held for portfolio. (in thousands) December 31, 2020 December 31, 2019 Fixed-rate long-term single-family mortgages (1) $ 4,610,761 $ 4,863,177 Fixed-rate medium-term single-family mortgages (1) 181,535 167,156 Total par value 4,792,296 5,030,333 Premiums 87,424 82,108 Discounts (2,439) (3,616) Hedging adjustments 13,898 13,632 Total mortgage loans held for portfolio (2) 4,891,179 5,122,457 Allowance for credit losses on mortgage loans (4,972) (7,832) Mortgage loans held for portfolio, net $ 4,886,207 $ 5,114,625 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. (2) Amounts exclude accrued interest receivable of $25.7 million and $26.9 million at December 31, 2020 and December 31, 2019. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of December 31, 2020 and December 31, 2019. (in thousands) December 31, 2020 December 31, 2019 Conventional loans $ 4,633,848 $ 4,856,543 Government-guaranteed/insured loans 158,448 173,790 Total par value $ 4,792,296 $ 5,030,333 |
Financing Receivable Credit Quality Indicators | The following table presents the payment status for conventional mortgage loans at December 31, 2020 and December 31, 2019. December 31, 2020 (in thousands) Origination Year Payment Status, at amortized cost (1) Prior to 2016 2016 to 2020 Total Past due 30-59 days $ 14,211 $ 26,825 $ 41,036 Past due 60-89 days 5,719 10,950 16,669 Past due 90 days or more 18,070 61,185 79,255 Total past due loans $ 38,000 $ 98,960 $ 136,960 Current loans 1,132,774 3,458,941 4,591,715 Total conventional loans (2) $ 1,170,774 $ 3,557,901 $ 4,728,675 Payment Status, at recorded investment (1) December 31, 2019 Past due 30-59 days $ 43,872 Past due 60-89 days 8,601 Past due 90 days or more 12,826 Total past due loans $ 65,299 Current loans 4,904,683 Total conventional loans $ 4,969,982 Note: (1) The recorded investment at December 31, 2019 includes accrued interest receivable whereas the amortized cost at December 31, 2020 excludes accrued interest receivable. (2) Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020. |
Past Due Financing Receivables | The following table presents the delinquency statistics for the Bank’s mortgage loans at December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total In process of foreclosures, included above (1) $ 8,238 $ 1,667 $ 9,905 Serious delinquency rate (2) 1.7 % 3.7 % 1.8 % Past due 90 days or more still accruing interest $ — $ 5,483 $ 5,483 Loans on nonaccrual status (3) $ 91,201 $ — $ 91,201 December 31, 2019 (dollars in thousands) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total In process of foreclosures, included above (1) $ 4,740 $ 1,110 $ 5,850 Serious delinquency rate (2) 0.3 % 1.9 % 0.3 % Past due 90 days or more still accruing interest $ — $ 3,363 $ 3,363 Loans on nonaccrual status (3) $ 14,890 $ — $ 14,890 Note: (1) 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. (2) 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. (3) All conventional mortgage loans on non-accrual status had an associated ACL or available CE to absorb expected credit losses. |
Rollforward of Allowance for Credit Losses on Mortgage Loans | Conventional MPF - Rollforward of ACL (in thousands) 2020 2019 2018 Balance, beginning of period $ 7,832 $ 7,309 $ 5,954 Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13 (1) (3,875) — — (Charge-offs) Recoveries, net (2) (727) (138) (1,311) Provision for credit losses 1,742 661 2,666 Balance, December 31 $ 4,972 $ 7,832 $ 7,309 Note: (1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million. (2) Net charge-offs that the Bank does not expect to recover through CE receivable. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | 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, 2020 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 14,307,383 $ 1,494 $ 5,193 Derivatives not designated as hedging instruments: Interest rate swaps $ 1,868,988 $ 71 $ 2,386 Interest rate caps or floors 1,205,000 1,173 — Mortgage delivery commitments 60,622 675 11 Total derivatives not designated as hedging instruments: $ 3,134,610 $ 1,919 $ 2,397 Total derivatives before netting and collateral adjustments $ 17,441,993 $ 3,413 $ 7,590 Netting adjustments and cash collateral (1) 133,629 (3,131) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 137,042 $ 4,459 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 Note: |
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. (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 2020 Hedged item type: Advances $ (77,223) $ 77,129 $ (185,860) $ (185,954) $ 625,473 AFS securities (84,465) 82,308 (21,131) (23,288) 166,842 Mortgage loans held for portfolio — (3,219) — (3,219) 155,271 Consolidated obligations – bonds (7,336) 8,061 66,820 67,545 (530,962) Total $ (169,024) $ 164,279 $ (140,171) $ (144,916) (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) 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 of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the year ended December 31, 2018. 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 2018. Year ended December 31, (in thousands) 2020 2019 2018 Derivatives designated as hedging instruments: Interest rate swaps (1) N/A N/A $ 415 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (85,298) $ (30,295) $ 9,573 Interest rate caps or floors 758 (1,850) 482 Net interest settlements (11,467) (6,846) (9,075) TBAs 38 (53) (33) Mortgage delivery commitments 4,724 (1,106) (2,387) Other 148 27 23 Total net gains (losses) related to derivatives not designated as hedging instruments $ (91,097) $ (40,123) $ (1,417) Other - price alignment amount on cleared derivatives (2) 187 328 (3,535) Net gains (losses) on derivatives and hedging activities $ (90,910) $ (39,795) $ (4,537) 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. |
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, 2020 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 $ 10,369,813 $ 249,927 $ (24) $ 249,903 AFS securities 1,507,492 131,386 1,148 132,534 Consolidated obligations – bonds 2,838,505 24,701 284 24,985 (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. |
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, 2020 December 31, 2019 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 2,355 $ 8,743 Cleared derivatives 383 7,429 Total gross recognized amount 2,738 16,172 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (1,632) (7,631) Cleared derivatives 135,261 131,681 Total gross amounts of netting adjustments and cash collateral 133,629 124,050 Net amounts after netting adjustments and cash collateral Uncleared derivatives 723 1,112 Cleared derivatives 135,644 139,110 Total net amounts after netting adjustments and cash collateral 136,367 140,222 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 675 29 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 675 29 Total derivative assets: Uncleared derivatives 1,398 1,141 Cleared derivatives 135,644 139,110 Total derivative assets as reported in the Statement of Condition 137,042 140,251 Net unsecured amount: Uncleared derivatives 1,398 1,141 Cleared derivatives 135,644 139,110 Total net unsecured amount $ 137,042 $ 140,251 |
Offsetting Liabilities | Derivative Liabilities (in thousands) December 31, 2020 December 31, 2019 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 4,282 $ 7,135 Cleared derivatives 3,297 1,655 Total gross recognized amount 7,579 8,790 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (2,748) (4,190) Cleared derivatives (383) (1,655) Total gross amounts of netting adjustments and cash collateral (3,131) (5,845) Net amounts after netting adjustments and cash collateral Uncleared derivatives 1,534 2,945 Cleared derivatives 2,914 — Total net amounts after netting adjustments and cash collateral 4,448 2,945 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 11 79 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 11 79 Total derivative liabilities: Uncleared derivatives 1,545 3,024 Cleared derivatives 2,914 — Total derivative liabilities as reported in the Statement of Condition 4,459 3,024 Net unsecured amount Uncleared derivatives 1,545 3,024 Cleared derivatives 2,914 — Total net unsecured amount $ 4,459 $ 3,024 Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments). |
Deposits (Tables)
Deposits (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Deposits [Abstract] | |
Schedule of Deposits | The following table details interest-bearing and noninterest-bearing deposits as of December 31, 2020 and 2019. December 31, (in thousands) 2020 2019 Interest-bearing: Demand and overnight $ 720,287 $ 520,320 Noninterest-bearing: Demand and overnight 203,084 53,062 Total deposits $ 923,371 $ 573,382 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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, 2020 and December 31, 2019 . (in thousands) December 31, 2020 December 31, 2019 Par value of consolidated bonds: Fixed-rate $ 17,148,965 $ 29,292,200 Step-up 40,000 705,000 Floating-rate 16,561,250 36,707,000 Total par value 33,750,215 66,704,200 Bond premiums 91,225 85,028 Bond discounts (7,524) (8,350) Concession fees (4,147) (6,118) Hedging adjustments 24,985 33,047 Total book value $ 33,854,754 $ 66,807,807 |
Schedule of Consolidated Bonds by Contractual Maturity | The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of December 31, 2020 and December 31, 2019 . December 31, 2020 December 31, 2019 (dollars in thousands) Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 24,233,615 0.49 % $ 50,306,900 1.83 % Due after 1 year through 2 years 3,024,625 2.19 7,268,705 2.10 Due after 2 years through 3 years 1,545,000 2.33 2,705,420 2.36 Due after 3 years through 4 years 1,164,475 2.41 1,469,400 2.58 Due after 4 years through 5 years 961,725 1.69 947,375 2.69 Thereafter 2,820,775 2.05 4,006,400 2.73 Total par value $ 33,750,215 0.96 % $ 66,704,200 1.96 % The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2020 and December 31, 2019 . (in thousands) December 31, Year of Contractual Maturity or Next Call Date 2020 2019 Due in 1 year or less $ 25,737,615 $ 54,157,900 Due after 1 year through 2 years 3,038,625 6,573,705 Due after 2 years through 3 years 1,602,000 2,623,420 Due after 3 years through 4 years 1,089,475 1,063,400 Due after 4 years through 5 years 759,725 827,375 Thereafter 1,522,775 1,458,400 Total par value $ 33,750,215 $ 66,704,200 |
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, 2020 and December 31, 2019 . (in thousands) December 31, 2020 December 31, 2019 Noncallable $ 28,583,715 $ 61,597,600 Callable 5,166,500 5,106,600 Total par value $ 33,750,215 $ 66,704,200 |
Schedule of Consolidated Discount Notes Outstanding | The following table details the Bank’s consolidated obligation discount notes as of December 31, 2020 and December 31, 2019 . December 31, (dollars in thousands) 2020 2019 Book value $ 9,510,085 $ 23,141,362 Par value 9,512,324 23,211,524 Weighted average interest rate (1) 0.11 % 1.61 % Note: (1) Represents an implied rate. |
Affordable Housing Program (A_2
Affordable Housing Program (AHP) (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Affordable Housing Program [Abstract] | |
Analysis of AHP Liability | The following table presents an analysis of the AHP payable for 2020, 2019, and 2018. (in thousands) 2020 2019 2018 Balance, beginning of the year $ 112,289 $ 99,578 $ 91,563 Assessments 25,227 37,140 38,683 Subsidy usage, net (35,330) (24,429) (30,668) Balance, end of the year $ 102,186 $ 112,289 $ 99,578 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | he following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2020 and December 31, 2019. December 31, 2020 December 31, 2019 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 520,696 $ 3,047,399 $ 610,573 $ 4,724,586 Total capital-to-asset ratio 4.0 % 6.4 % 4.0 % 4.9 % Total regulatory capital 1,908,516 3,047,399 3,828,965 4,724,586 Leverage ratio 5.0 % 9.6 % 5.0 % 7.4 % Leverage capital 2,385,645 4,571,099 4,786,206 7,086,879 |
Mandatorily Redeemable Capital Stock Rollforward | he following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2020, 2019, and 2018. December 31, (in thousands) 2020 2019 2018 Balance, beginning of the period $ 343,575 $ 24,099 $ 5,113 Capital stock subject to mandatory redemption reclassified from capital 39,457 361,549 42,733 Redemption/repurchase of mandatorily redeemable stock (240,225) (42,073) (23,747) Balance, end of the period $ 142,807 $ 343,575 $ 24,099 December 31, (in thousands) 2020 2019 Due in 1 year or less $ — $ 3,316 Due after 1 year through 2 years 21 — Due after 2 years through 3 years 20,000 21 Due after 3 years through 4 years 120,000 20,000 Due after 4 years through 5 years 19 320,000 Past contractual redemption date due to remaining activity 2,767 238 Total $ 142,807 $ 343,575 |
Schedule of Dividends Paid | Dividend - Annual Yield 2020 2019 2018 Membership Activity Membership Activity Membership Activity February 4.50% 7.75% 4.50% 7.75% 3.50% 6.75% April 3.00% 6.25% 4.50% 7.75% 3.50% 6.75% July 3.00% 6.25% 4.50% 7.75% 3.50% 6.75% October 3.00% 6.25% 4.50% 7.75% 3.50% 6.75% |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in AOCI for 2020, 2019 and 2018. (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, 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 December 31, 2019 $ 45,155 $ 51,704 $ 149 $ (5,182) $ 91,826 Other comprehensive income (loss) before Adoption of ASU -2016-13 51,704 (51,704) — — — Net unrealized gains (losses) 46,733 — — — 46,733 Amortization on hedging activities — — (149) — (149) Pension and post-retirement — — — (1,084) (1,084) December 31, 2020 $ 143,592 $ — $ — $ (6,266) $ 137,326 |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Retirement Benefits [Abstract] | |
Pentegra DB Plan Net Pension Cost and Funded Status | (dollars in thousands) 2020 2019 2018 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 3,572 $ 3,279 $ 5,000 Defined Benefit Plan funded status as of July 1 108.2 % (a) 108.6 % (b) 109.9 % Bank’s funded status as of July 1 141.1 % 144.8 % 147.3 % (a) The Defined Benefit Plan’s funded status as of July 1, 2020 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2020 through March 15, 2021. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2021). |
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 $2.5 million, $1.5 million, and $1.7 million in expense related to these two plans during 2020, 2019 and 2018, 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) 2020 2019 2020 2019 2020 2019 Benefit obligations $ 16,218 $ 14,975 $ 2,455 $ 2,235 $ 18,673 $ 17,210 Unrealized actuarial gains (losses) in AOCI $ (6,361) $ (5,433) $ 95 $ 251 $ (6,266) $ (5,182) |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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) 2020 2019 Advances $ 10,856,363 $ 34,748,867 Letters of credit (1) 2,730,541 2,418,025 MPF loans 483,983 455,600 Deposits 31,269 17,904 Capital stock 573,392 1,574,659 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) 2020 2019 2018 Interest income on advances $ 434,423 $ 1,183,730 $ 1,151,369 Interest income on MPF loans 24,875 27,845 33,269 Letters of credit fees 2,984 4,146 5,911 |
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) 2020 2019 2018 Servicing fee expense $ 3,909 $ 3,567 $ 3,076 December 31, (in thousands) 2020 2019 Interest-bearing deposits maintained with FHLBank of Chicago $ 5,856 $ 5,173 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Summary | The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2020 and December 31, 2019 are presented in the table below. Fair Value Summary Table December 31, 2020 (in thousands) Carrying Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Assets: Cash and due from banks $ 1,036,459 $ 1,036,459 $ — $ — $ — $ 1,036,459 Interest-bearing deposits 956,628 950,772 5,856 — — 956,628 Federal funds sold 1,850,000 — 1,850,009 — — 1,850,009 Securities purchased under agreement to resell (2) 600,000 — 600,003 — — 600,003 Trading securities 1,156,003 — 1,156,003 — — 1,156,003 AFS securities 9,476,385 — 9,223,785 252,600 — 9,476,385 HTM securities 2,483,730 — 2,464,732 92,396 — 2,557,128 Advances 24,971,119 — 25,097,529 — — 25,097,529 Mortgage loans held for portfolio, net 4,886,207 — 5,084,683 — — 5,084,683 BOB loans, net 21,236 — — 21,236 — 21,236 Accrued interest receivable 90,702 — 90,702 — — 90,702 Derivative assets 137,042 — 3,413 — 133,629 137,042 Liabilities: Deposits $ 923,371 $ — $ 923,371 $ — $ — $ 923,371 Discount notes 9,510,085 — 9,510,584 — — 9,510,584 Bonds 33,854,754 — 34,282,476 — — 34,282,476 Mandatorily redeemable capital stock (3) 142,807 145,282 — — — 145,282 Accrued interest payable (3) 64,950 — 62,475 — — 62,475 Derivative liabilities 4,459 — 7,590 — (3,131) 4,459 December 31, 2019 (in thousands) Carrying Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated 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 (4) 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 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, 2020 and December 31, 2019. 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, 2020 and December 31, 2019. 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, 2020 (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 $ — $ 899,421 $ — $ — $ 899,421 GSE and TVA obligations — 256,582 — — 256,582 Total trading securities $ — $ 1,156,003 $ — $ — $ 1,156,003 AFS securities: Non-MBS: GSE and TVA obligations $ — $ 1,643,733 $ — $ — $ 1,643,733 State or local agency obligations — 241,630 — — 241,630 MBS: U.S. obligations single-family MBS — 602,148 — — 602,148 GSE single-family MBS — 3,262,880 — — 3,262,880 GSE multifamily MBS — 3,473,394 — — 3,473,394 Private label MBS — — 252,600 — 252,600 Total AFS securities $ — $ 9,223,785 $ 252,600 $ — $ 9,476,385 Derivative assets: Interest rate related $ — $ 2,738 $ — $ 133,629 $ 136,367 Mortgage delivery commitments — 675 — — 675 Total derivative assets $ — $ 3,413 $ — $ 133,629 $ 137,042 Total recurring assets at fair value $ — $ 10,383,201 $ 252,600 $ 133,629 $ 10,769,430 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 7,579 $ — $ (3,131) $ 4,448 Mortgage delivery commitments — 11 — — 11 Total recurring liabilities at fair value (2) $ — $ 7,590 $ — $ (3,131) $ 4,459 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 18,382 $ — $ 18,382 REO — — 1,270 — 1,270 Total non-recurring assets at fair value $ — $ — $ 19,652 $ — $ 19,652 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 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, 2020, 2019 or 2018. 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 2020, 2019 or 2018. AFS Private AFS Private AFS Private Balance, beginning of period $ 326,146 $ 409,550 $ 524,543 Total gains (losses) (realized/unrealized) included in: (Provision) benefit for credit losses (1) (2,417) — — Accretion of credit losses in interest income 11,635 14,385 15,419 Net OTTI losses, credit portion — (570) (957) Net unrealized gains (losses) on AFS in OCI (14,530) 33 (67) Reclassification of non-credit portion included in net income — 570 957 Unrealized gains (losses) on OTTI AFS in OCI — (13,999) (8,777) Purchases, issuances, sales, and settlements: Settlements (68,234) (83,823) (121,568) Balance at December 31 $ 252,600 $ 326,146 $ 409,550 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 $ 9,218 $ 11,443 $ 14,462 Change in unrealized gains (losses) for the period included in other comprehensive income for assets held December 31 (2) $ (14,530) N/A N/A Notes: (1) Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL for expected credit losses on AFS securities. (2) Due to the prospective adoption of ASU 2018-13: Changes to the Disclosure Requirements for Fair Value Measurement, effective January 1, 2020, this is not applicable for 2019 and 2018. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
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, 2020 December 31, 2019 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 19,723,286 $ — $ 19,723,286 $ 17,370,617 Commitments to fund additional advances and BOB loans 760 — 760 19,796 Commitments to purchase mortgage loans 60,622 — 60,622 73,574 Unsettled consolidated obligation bonds, at par 15,000 — 15,000 62,000 Unsettled consolidated obligation discount notes, at par 950 — 950 1,083,406 Notes : (1) Excludes approved requests to issue future standby letters of credit of $30.9 million and $23.9 million at December 31, 2020 and December 31, 2019 respectively. (2) Letters of credit in the amount of $5.0 billion and $4.3 billion at December 31, 2020 and December 31, 2019 respectively, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately 5 years. |
Background Information (Details
Background Information (Details) | Dec. 31, 2020Banks |
Nature of Operations [Line Items] | |
Number of FHLBanks | 11 |
Minimum [Member] | |
Nature of Operations [Line Items] | |
Related Party Transaction, Definition, Capital Stock, Percent | 10.00% |
Significant Accounting Polici_3
Significant Accounting Policies Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Net | $ 8.8 | $ 8.4 | |
Depreciation, Depletion and Amortization | $ 2.9 | 3.3 | $ 2.8 |
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible List] | us-gaap:OtherAssets | ||
Operating Lease, Liability, Statement of Financial Position [Extensible List] | us-gaap:OtherLiabilities | ||
Operating Lease, Right-of-Use Asset | $ 8.2 | ||
Operating Lease, Liability | 8.6 | ||
Operating Lease, Expense | $ 2 | $ 2 | $ 2.2 |
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, 2020 | Dec. 31, 2019 | |
Cash and Cash Equivalents [Line Items] | ||
Average Collected Cash Balances | $ 172.8 | $ 43.1 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 1,156,003 | $ 3,631,650 | |
Net unrealized gains (losses) on trading securities held at year-end | 22,099 | 16,197 | $ (4,816) |
Net realized gains (losses) on securities sold/matured during the year | 25,228 | 2,508 | (4,927) |
Net gains (losses) on trading securities | 47,327 | 18,705 | $ (9,743) |
US Treasury Securities [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Debt Securities, Trading, and Equity Securities, FV-NI | 899,421 | 3,390,772 | |
GSE and TVA obligations [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 256,582 | $ 240,878 |
Available-for-Sale (AFS) Securi
Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 9,335,210 | $ 11,000,910 |
OTTI Recognized in AOCI(2) | 0 | ||
Gross Unrealized Gains | 147,801 | 121,282 | |
Gross Unrealized Losses | (4,209) | (24,423) | |
Fair Value | 9,476,385 | 11,097,769 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | (2,417) | 0 | |
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss | [2] | 4,100 | 6,200 |
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | 16,900 | 24,400 | |
GSE and TVA obligations [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 1,590,661 | 1,508,264 |
Gross Unrealized Gains | 53,072 | 42,435 | |
Gross Unrealized Losses | 0 | 0 | |
Fair Value | 1,643,733 | 1,550,699 | |
State or local agency obligation [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 227,248 | 238,496 |
Gross Unrealized Gains | 14,382 | 9,398 | |
Gross Unrealized Losses | 0 | 0 | |
Fair Value | 241,630 | 247,894 | |
Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 1,817,909 | 1,746,760 |
OTTI Recognized in AOCI(2) | 0 | 0 | |
Gross Unrealized Gains | 67,454 | 51,833 | |
Gross Unrealized Losses | 0 | 0 | |
Fair Value | 1,885,363 | 1,798,593 | |
U.S. obligations single-family MBS [Me | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 595,215 | 805,294 |
OTTI Recognized in AOCI(2) | 0 | ||
Gross Unrealized Gains | 6,994 | 3,590 | |
Gross Unrealized Losses | (61) | (1,298) | |
Fair Value | 602,148 | 807,586 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | ||
Private label MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 218,025 | 274,624 |
OTTI Recognized in AOCI(2) | 0 | ||
Gross Unrealized Gains | 37,149 | 51,704 | |
Gross Unrealized Losses | (157) | (182) | |
Fair Value | 252,600 | 326,146 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | [3] | (2,417) | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 7,517,301 | 9,254,150 |
OTTI Recognized in AOCI(2) | 0 | ||
Gross Unrealized Gains | 80,347 | 69,449 | |
Gross Unrealized Losses | (4,209) | (24,423) | |
Fair Value | 7,591,022 | 9,299,176 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | (2,417) | ||
Single Family [Member] | GSE MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 3,237,124 | 4,053,700 |
OTTI Recognized in AOCI(2) | 0 | ||
Gross Unrealized Gains | 25,969 | 9,574 | |
Gross Unrealized Losses | (213) | (7,415) | |
Fair Value | 3,262,880 | 4,055,859 | |
Multifamily [Member] | GSE MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 3,466,937 | 4,120,532 |
OTTI Recognized in AOCI(2) | 0 | ||
Gross Unrealized Gains | 10,235 | 4,581 | |
Gross Unrealized Losses | (3,778) | (15,528) | |
Fair Value | $ 3,473,394 | $ 4,109,585 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $16.9 million and $24.4 million at December 31, 2020 and December 31, 2019. | ||
[2] | Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.1 million and $6.2 million at December 31, 2020 and December 31, 2019. | ||
[3] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank recorded an ACL for expected credit losses on AFS securities. |
Available-for-Sale (AFS) Secu_2
Available-for-Sale (AFS) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 9,335,210 | $ 11,000,910 |
Fair Value | 9,476,385 | 11,097,769 | |
Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in one year or less, Amortized Cost | 73,115 | 0 | |
Due after one year through five years, Amortized Cost | 570,540 | 525,301 | |
Due after five years through ten years, Amortized Cost | 789,408 | 700,613 | |
Due in more than ten years, Amortized Cost | 384,846 | 520,846 | |
Amortized Cost | [1] | 1,817,909 | 1,746,760 |
Due in one year or less, Fair Value | 73,276 | 0 | |
Due after one year through five years, Fair Value | 581,853 | 534,642 | |
Due after five years through ten years, Fair Value | 820,239 | 719,672 | |
Due in more than ten years, Fair Value | 409,995 | 544,279 | |
Fair Value | 1,885,363 | 1,798,593 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 7,517,301 | 9,254,150 |
Fair Value | $ 7,591,022 | $ 9,299,176 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $16.9 million and $24.4 million at December 31, 2020 and December 31, 2019. |
Available-for-Sale (AFS) Secu_3
Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | $ 221,021 | $ 5,465,767 |
Unrealized Losses - Less than 12 Months | (118) | (18,023) |
Fair Value - 12 Months or longer | 2,522,493 | 1,452,398 |
Unrealized Losses - 12 months or longer | (4,091) | (6,400) |
Fair Value - Total in continuous loss | 2,743,514 | 6,918,165 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (4,209) | (24,423) |
U.S. obligations single-family MBS [Me | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 8,591 | 492,038 |
Unrealized Losses - Less than 12 Months | (17) | (1,022) |
Fair Value - 12 Months or longer | 25,713 | 46,104 |
Unrealized Losses - 12 months or longer | (44) | (276) |
Fair Value - Total in continuous loss | 34,304 | 538,142 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (61) | (1,298) |
Private label MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 1,767 | 0 |
Unrealized Losses - Less than 12 Months | (10) | 0 |
Fair Value - 12 Months or longer | 2,631 | 2,979 |
Unrealized Losses - 12 months or longer | (147) | (182) |
Fair Value - Total in continuous loss | 4,398 | 2,979 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (157) | (182) |
MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 221,021 | 5,465,767 |
Unrealized Losses - Less than 12 Months | (118) | (18,023) |
Fair Value - 12 Months or longer | 2,522,493 | 1,452,398 |
Unrealized Losses - 12 months or longer | (4,091) | (6,400) |
Fair Value - Total in continuous loss | 2,743,514 | 6,918,165 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (4,209) | (24,423) |
Single Family [Member] | GSE MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 54,657 | 2,458,728 |
Unrealized Losses - Less than 12 Months | (21) | (6,318) |
Fair Value - 12 Months or longer | 217,942 | 221,806 |
Unrealized Losses - 12 months or longer | (192) | (1,097) |
Fair Value - Total in continuous loss | 272,599 | 2,680,534 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (213) | (7,415) |
Multifamily [Member] | GSE MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 156,006 | 2,515,001 |
Unrealized Losses - Less than 12 Months | (70) | (10,683) |
Fair Value - 12 Months or longer | 2,276,207 | 1,181,509 |
Unrealized Losses - 12 months or longer | (3,708) | (4,845) |
Fair Value - Total in continuous loss | 2,432,213 | 3,696,510 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ (3,778) | $ (15,528) |
Available-for-Sale (AFS) Secu_4
Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 9,335,210 | $ 11,000,910 |
Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 1,817,909 | 1,746,760 |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 7,517,301 | 9,254,150 |
Fixed-rate | Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 1,817,909 | 1,746,760 | |
Fixed-rate | MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 1,382,062 | 1,444,111 | |
Variable-rate | Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 0 | 0 | |
Variable-rate | MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 6,135,239 | $ 7,810,039 | |
[1] | Includes adjustments made to the cost basis of an investment for accretion, amortization, OTTI and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $16.9 million and $24.4 million at December 31, 2020 and December 31, 2019. |
Held-to-Maturity (HTM) Securiti
Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | $ 2,483,730 | [1] | $ 2,395,691 |
Gross Unrealized Holding Gains | 75,764 | [1] | 49,095 | |
Gross Unrealized Holding Losses | (2,366) | [1] | (4,498) | |
HTM Securities, Fair Value | 2,557,128 | [1] | 2,440,288 | |
Certificates of Deposit [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 750,000 | ||
Gross Unrealized Holding Gains | 77 | |||
Gross Unrealized Holding Losses | 0 | |||
HTM Securities, Fair Value | 750,077 | |||
State or local agency obligations [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 94,310 | ||
Gross Unrealized Holding Gains | 0 | |||
Gross Unrealized Holding Losses | (3,394) | |||
HTM Securities, Fair Value | 90,916 | |||
Non-MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | 750,000 | 94,310 | ||
HTM Securities, Fair Value | 750,077 | 90,916 | ||
U.S. obligations single-family MBS [Me | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 120,539 | 250,195 | |
Gross Unrealized Holding Gains | 1,213 | 1,087 | ||
Gross Unrealized Holding Losses | 0 | (78) | ||
HTM Securities, Fair Value | 121,752 | 251,204 | ||
Private label MBS | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 93,127 | 123,818 | |
Gross Unrealized Holding Gains | 582 | 881 | ||
Gross Unrealized Holding Losses | (1,313) | (520) | ||
HTM Securities, Fair Value | 92,396 | 124,179 | ||
MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 1,733,730 | 2,301,381 | |
Gross Unrealized Holding Gains | 75,687 | 49,095 | ||
Gross Unrealized Holding Losses | (2,366) | (1,104) | ||
HTM Securities, Fair Value | 1,807,051 | 2,349,372 | ||
Single Family [Member] | GSE MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 989,824 | 1,156,545 | |
Gross Unrealized Holding Gains | 20,337 | 20,896 | ||
Gross Unrealized Holding Losses | (1,053) | (254) | ||
HTM Securities, Fair Value | 1,009,108 | 1,177,187 | ||
Multifamily [Member] | GSE MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 530,240 | 770,823 | |
Gross Unrealized Holding Gains | 53,555 | 26,231 | ||
Gross Unrealized Holding Losses | 0 | (252) | ||
HTM Securities, Fair Value | $ 583,795 | $ 796,802 | ||
[1] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL on HTM securities. However, no credit loss was recorded for these securities as of December 31, 2020 | |||
[2] | Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.1 million and $6.2 million at December 31, 2020 and December 31, 2019. |
Held-to-Maturity (HTM) Securi_2
Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | $ 2,483,730 | [1] | $ 2,395,691 |
HTM securities - fair value | 2,557,128 | [1] | 2,440,288 | |
Non-MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Due in one year or less | 750,000 | 0 | ||
Due after one year through five years | 0 | 0 | ||
Due after five years through ten years | 0 | 31,925 | ||
Due after ten years | 0 | 62,385 | ||
Amortized Cost | 750,000 | 94,310 | ||
Due in one year or less | 750,077 | 0 | ||
Due after one year through five years | 0 | 0 | ||
Due after five years through ten years | 0 | 31,381 | ||
Due after ten years | 0 | 59,535 | ||
HTM securities - fair value | 750,077 | 90,916 | ||
MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 1,733,730 | 2,301,381 | |
HTM securities - fair value | $ 1,807,051 | $ 2,349,372 | ||
[1] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL on HTM securities. However, no credit loss was recorded for these securities as of December 31, 2020 | |||
[2] | Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.1 million and $6.2 million at December 31, 2020 and December 31, 2019. |
Held-to-Maturity (HTM) Securi_3
Held-to-Maturity (HTM) Securities (Interest Rate Payment terms of HTM) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | $ 2,483,730 | [1] | $ 2,395,691 |
Non-MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | 750,000 | 94,310 | ||
MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 1,733,730 | 2,301,381 | |
Fixed-rate | Non-MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | 750,000 | 0 | ||
Fixed-rate | MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | 1,493,149 | 1,878,151 | ||
Variable-rate | Non-MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | 0 | 94,310 | ||
Variable-rate | MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | $ 240,581 | $ 423,230 | ||
[1] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL on HTM securities. However, no credit loss was recorded for these securities as of December 31, 2020 | |||
[2] | Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $4.1 million and $6.2 million at December 31, 2020 and December 31, 2019. |
Available for sale allowance fo
Available for sale allowance for loan losses (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Schedule of Available-for-sale Securities [Table] | |
Balance, beginning of period | $ 0 |
Debt Securities, Available-for-sale, Allowance for Credit Loss, Not Previously Recorded | 2,417 |
Balance, end of period | $ 2,417 |
Investments, Debt and Equity _3
Investments, Debt and Equity Securities (Details) - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 1,156,003,000 | $ 3,631,650,000 |
Securities Purchased Under Agreement to Resell, Percentage Rated Below Triple-B | 0.00% | |
Interest-Bearing Deposits and Federal Funds Sold, Percentage Rated Below Triple-B | 0.00% | |
Debt securities, Held-to-maturity, allowance for credit losses | $ 0 | |
Available-for-Sale Debt Securities and Held-to-Maturity Debt Securities Private Label Mortgage Back Securities Amortized Cost, Percentage Rated BBB Or Above | 15.30% | |
Certificates of deposits, Percentage Rated Below Triple-B | 0.00% | |
US Treasury Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 899,421,000 | 3,390,772,000 |
GSE and TVA obligations [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Debt Securities, Trading, and Equity Securities, FV-NI | 256,582,000 | $ 240,878,000 |
securities purchased under agreements to resell [Domain] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Financing Receivable, Allowance for Credit Loss | 0 | |
AFS HTM - GSE and Other US Obligations | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Financing Receivable, Allowance for Credit Loss | $ 0 |
Advances (Narrative) (Details)
Advances (Narrative) (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 24,724,889 | $ 65,439,119 |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $ 15,200,000 | $ 50,800,000 |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 61.40% | 77.70% |
Number of Top Advances Borrowers | 5 | 5 |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | 3 | 4 |
Minimum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Interest rate of advances | 0.02% | 1.15% |
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 | 5 years | |
Interest rate of advances | 6.77% | 7.40% |
Advances (Portfolio by Year of
Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year [Abstract] | |||
Due in 1 year or less | $ 14,760,790 | $ 41,261,372 | |
Due after 1 year through 2 years | 5,878,635 | 15,285,269 | |
Due after 2 years through 3 years | 1,584,471 | 6,065,460 | |
Due after 3 years through 4 years | 1,126,992 | 1,305,453 | |
Due after 4 years through 5 years | 1,163,781 | 869,892 | |
Thereafter | 210,220 | 651,673 | |
Total par value | 24,724,889 | 65,439,119 | |
Deferred prepayment fees | (3,673) | (1,814) | |
Hedging adjustments | 249,903 | 172,770 | |
Total book value (1) | [1] | $ 24,971,119 | $ 65,610,075 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate [Abstract] | |||
Due in 1 year or less | 0.84% | 1.97% | |
Due after 1 year through 2 years | 2.25% | 2.31% | |
Due after 2 years through 3 years | 2.08% | 2.52% | |
Due after 3 years through 4 years | 1.85% | 2.50% | |
Due after 4 years through 5 years | 1.91% | 2.10% | |
Thereafter | 2.55% | 2.76% | |
Total par value, Weighted Average Interest Rate | 1.37% | 2.12% | |
FederalHomeLoanBankAdvancesReceivable | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 36,600 | $ 119,700 | |
[1] | Amounts exclude accrued interest receivable of $36.6 million and $119.7 million at December 31, 2020 and December 31, 2019. |
Advances (Advances by Year of C
Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | $ 14,860,790 | $ 42,556,372 |
Due after 1 year through 2 years | 5,818,635 | 14,060,269 |
Due after 2 years through 3 years | 1,584,471 | 6,035,460 |
Due after 3 years through 4 years | 1,086,992 | 1,305,453 |
Due after 4 years through 5 years | 1,163,781 | 829,892 |
Thereafter | 210,220 | 651,673 |
Total par value | 24,724,889 | 65,439,119 |
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 | 14,780,790 | 41,281,372 |
Due after 1 year through 2 years | 5,878,635 | 15,285,269 |
Due after 2 years through 3 years | 1,578,471 | 6,065,460 |
Due after 3 years through 4 years | 1,121,992 | 1,299,453 |
Due after 4 years through 5 years | 1,154,781 | 864,892 |
Thereafter | 210,220 | 642,673 |
Total par value | $ 24,724,889 | $ 65,439,119 |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Advances [Abstract] | ||
Fixed-rate – overnight | $ 37,225 | $ 3,847,547 |
Due in 1 year or less | 6,658,991 | 18,059,289 |
Thereafter | 9,810,998 | 16,424,647 |
Total fixed-rate | 16,507,214 | 38,331,483 |
Variable rate - due in 1 year or less | 8,064,575 | 19,354,536 |
Thereafter | 153,100 | 7,753,100 |
Total variable-rate | 8,217,675 | 27,107,636 |
Total par value | $ 24,724,889 | $ 65,439,119 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Mortgage Loans held for portfolio [Line Items] | |||||
Loans and Leases Receivable, before Fees, Gross | $ 4,792,296 | $ 5,030,333 | |||
Premiums | 87,424 | 82,108 | |||
Discounts | (2,439) | (3,616) | |||
Hedging adjustments | 13,898 | 13,632 | |||
Loans and Leases Receivable, Gross | [1] | 4,891,179 | 5,122,457 | ||
Allowance for credit losses on mortgage loans held for portfolio | (4,972) | (7,832) | |||
Loans and Leases Receivable, Net Amount | 4,886,207 | 5,114,625 | |||
Government-guaranteed/insured loans [Member] | |||||
Mortgage Loans held for portfolio [Line Items] | |||||
Loans and Leases Receivable, before Fees, Gross | 158,448 | 173,790 | |||
Conventional loans [Member] | |||||
Mortgage Loans held for portfolio [Line Items] | |||||
Loans and Leases Receivable, before Fees, Gross | 4,633,848 | 4,856,543 | |||
Loans and Leases Receivable, Gross | [2] | 4,728,675 | |||
Allowance for credit losses on mortgage loans held for portfolio | (4,972) | (7,832) | $ (7,309) | $ (5,954) | |
Real Estate Loan | |||||
Mortgage Loans held for portfolio [Line Items] | |||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 25,700 | 26,900 | |||
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 | [3] | 4,610,761 | 4,863,177 | ||
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 | [3] | $ 181,535 | $ 167,156 | ||
[1] | Amounts exclude accrued interest receivable of $25.7 million and $26.9 million at December 31, 2020 and December 31, 2019 | ||||
[2] | Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020. | ||||
[3] | Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Financing Receivable, Credit Quality Indicator [Line Items] | |||
In process of foreclosure, included above (2) | [1] | $ 9,905 | $ 5,850 |
Serious delinquency rate (4) | [2] | 1.80% | 0.30% |
Past due 90 days or more still accruing interest | $ 5,483 | $ 3,363 | |
Loans on nonaccrual status | [3] | 91,201 | 14,890 |
Loans and Leases Receivable, Net of Deferred Income | [4] | 4,891,179 | 5,122,457 |
Conventional MPF Loans [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Total recorded investment | 4,969,982 | ||
In process of foreclosure, included above (2) | [1] | $ 8,238 | $ 4,740 |
Serious delinquency rate (4) | [2] | 1.70% | 0.30% |
Past due 90 days or more still accruing interest | $ 0 | $ 0 | |
Loans on nonaccrual status | [3] | 91,201 | 14,890 |
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [5] | 1,170,774 | |
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [5] | 3,557,901 | |
Loans and Leases Receivable, Net of Deferred Income | [5] | 4,728,675 | |
- Financing Receivable placed in a forbearance program as a result of COVID-19 | 83,900 | ||
Conventional MPF Loans [Member] | Performing Financial Instruments [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Total current loans | 4,904,683 | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 1,132,774 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 3,458,941 | ||
Loans and Leases Receivable, Net of Deferred Income | 4,591,715 | ||
- Financing Receivable placed in a forbearance program as a result of COVID-19 | 1,700 | ||
Conventional MPF Loans [Member] | Nonperforming Financial Instruments [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Total past due loans | 65,299 | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 38,000 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 98,960 | ||
Loans and Leases Receivable, Net of Deferred Income | 136,960 | ||
Government-Guaranteed or Insured Loans [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
In process of foreclosure, included above (2) | [1] | $ 1,667 | $ 1,110 |
Serious delinquency rate (4) | [2] | 3.70% | 1.90% |
Past due 90 days or more still accruing interest | $ 5,483 | $ 3,363 | |
Loans on nonaccrual status | [3] | 0 | 0 |
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 | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 14,211 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 26,825 | ||
Loans and Leases Receivable, Net of Deferred Income | 41,036 | ||
- Financing Receivable placed in a forbearance program as a result of COVID-19 | 10,300 | ||
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 | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 5,719 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 10,950 | ||
Loans and Leases Receivable, Net of Deferred Income | 16,669 | ||
- Financing Receivable placed in a forbearance program as a result of COVID-19 | 9,600 | ||
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 | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 18,070 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 61,185 | ||
Loans and Leases Receivable, Net of Deferred Income | 79,255 | ||
- Financing Receivable placed in a forbearance program as a result of COVID-19 | $ 62,300 | ||
[1] | 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. | ||
[2] | 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. | ||
[3] | All conventional mortgage loans on non-accrual status had an associated ACL or available CE to absorb expected credit losses. | ||
[4] | Amounts exclude accrued interest receivable of $25.7 million and $26.9 million at December 31, 2020 and December 31, 2019 | ||
[5] | Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020. |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Balance, beginning of period | $ 7,832 | ||||
Provision for credit losses | (4,383) | $ (1,263) | $ (3,121) | ||
Balance , end of period | 4,972 | 7,832 | |||
Financing Receivable, Change in Method, Credit Loss Expense (Reversal) | [1] | (3,875) | |||
Credit Enhancement Fees Receivable | 3,800 | ||||
Stockholders' Equity Attributable to Parent | 3,041,918 | 4,472,836 | 5,376,294 | $ 4,927,488 | |
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | |||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Stockholders' Equity Attributable to Parent | 100 | ||||
Conventional MPF Loans [Member] | |||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||
Balance, beginning of period | 7,832 | 7,309 | 5,954 | ||
(Charge-offs) Recoveries, net | [2] | (727) | (138) | (1,311) | |
Provision for credit losses | 1,742 | 661 | 2,666 | ||
Balance , end of period | $ 4,972 | $ 7,832 | $ 7,309 | ||
[1] | As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million. | ||||
[2] | Net charge-offs that the Bank does not expect to recover through CE receivable. |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Real Estate Owned (REO) | $ 0.8 | $ 2 |
Percentage of loans in forbearance not collateral dependant | 93.00% | |
Percentage of MPF loans in forbearance to total MPF loans | 2.00% | |
Conventional MPF Loans [Member] | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
- Financing Receivable placed in a forbearance program as a result of COVID-19 | $ 83.9 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 17,441,993 | $ 46,389,608 | |
Derivative Asset, Fair Value, Gross Asset | 3,413 | 16,201 | |
Derivative Liabilities, fair Value, Gross Liability | 7,590 | 8,869 | |
Netting adjustments: Derivative Assets | [1],[2] | 133,629 | 124,050 |
Netting adjustments: Derivative Liabilities | [1],[2] | (3,131) | (5,845) |
Derivative assets | 137,042 | 140,251 | |
Derivative liabilities | 4,459 | 3,024 | |
Derivative Liability, Collateral, Right to Reclaim Cash, Offset | (137,900) | (138,100) | |
Derivative Asset, Collateral, Obligation to Return Cash, Offset | (1,100) | (8,200) | |
Designated as Hedging Instrument [Member] | Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 14,307,383 | 34,572,128 | |
Derivative Asset, Fair Value, Gross Asset | 1,494 | 14,079 | |
Derivative Liabilities, fair Value, Gross Liability | 5,193 | 4,148 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 3,134,610 | 11,817,480 | |
Derivative Asset, Fair Value, Gross Asset | 1,919 | 2,122 | |
Derivative Liabilities, fair Value, Gross Liability | 2,397 | 4,721 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,868,988 | 10,413,906 | |
Derivative Asset, Fair Value, Gross Asset | 71 | 1,676 | |
Derivative Liabilities, fair Value, Gross Liability | 2,386 | 4,642 | |
Not Designated as Hedging Instrument [Member] | Interest Rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,205,000 | 1,330,000 | |
Derivative Asset, Fair Value, Gross Asset | 1,173 | 417 | |
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 | 60,622 | 73,574 | |
Derivative Asset, Fair Value, Gross Asset | 675 | 29 | |
Derivative Liabilities, fair Value, Gross Liability | $ 11 | $ 79 | |
[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 including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $137.9 million and $138.1 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral received including accrued interest was $1.1 million for December 31, 2020 and was $8.2 million for December 31, 2019. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | $ (169,024,000) | $ (214,700,000) | $ 57,691,000 | |
Gains/(Losses) on Hedged Item | 164,279,000 | 206,740,000 | (57,276,000) | |
Net Fair Value Hedge Ineffectiveness | 415,000 | |||
Net Interest Settlements on FV Hedges | (140,171,000) | (14,762,000) | (47,361,000) | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (144,916,000) | (22,722,000) | ||
Interest income on advances | 625,473,000 | 1,871,151,000 | 1,648,474,000 | |
Interest income on AFS | 166,842,000 | 275,427,000 | ||
Interest income on MPF loans | 155,271,000 | 170,136,000 | 151,002,000 | |
Interest Expense on Consolidated obligation - Bonds | (530,962,000) | (1,603,336,000) | (1,288,245,000) | |
Amortization and accretion of hedged items | (3,600,000) | |||
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Fair Value Hedge Ineffectiveness | [1] | 415,000 | ||
Interest Rate Swaps | Interest Expense [Member] | Consolidated Obligations -bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | (7,336,000) | 154,698,000 | ||
Gains/(Losses) on Hedged Item | 8,061,000 | (156,276,000) | ||
Net Interest Settlements on FV Hedges | 66,820,000 | (60,498,000) | (82,065,000) | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | 67,545,000 | (62,076,000) | ||
Interest Rate Swaps | Interest Income [Member] | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | (77,223,000) | (294,994,000) | ||
Gains/(Losses) on Hedged Item | 77,129,000 | 294,750,000 | ||
Net Interest Settlements on FV Hedges | (185,860,000) | 45,080,000 | 38,444,000 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (185,954,000) | 44,836,000 | ||
Interest Rate Swaps | Interest Income [Member] | Available-for-sale Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | (84,465,000) | (74,404,000) | ||
Gains/(Losses) on Hedged Item | 82,308,000 | 71,490,000 | ||
Net Interest Settlements on FV Hedges | (21,131,000) | 656,000 | (3,740,000) | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (23,288,000) | (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 | (3,219,000) | (3,224,000) | ||
Net Interest Settlements on FV Hedges | 0 | |||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | $ (3,219,000) | $ (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 | |||
Gains/(Losses) on Hedged Item | (18,416,000) | |||
Net Fair Value Hedge Ineffectiveness | 325,000 | |||
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 | |||
Gains/(Losses) on Hedged Item | (28,065,000) | |||
Net Fair Value Hedge Ineffectiveness | 1,292,000 | |||
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 | |||
Gains/(Losses) on Hedged Item | (10,795,000) | |||
Net Fair Value Hedge Ineffectiveness | $ (1,202,000) | |||
[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_5
Derivatives and Hedging Activities FairValuesDerivativesBalanceSheetLocationByDerivativeContractTypeByHedgingDesignationTable (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Consolidated Obligations - Bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Liability, Fair Value Hedge | $ 2,838,505 | [1] | $ 16,715,492 |
Hedged Liability,ActiveFair Value Hedge,Cumulative Increase (Decrease) | 24,701 | 32,886 | |
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 284 | 160 | |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | 24,985 | 33,046 | |
Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Asset, Fair Value Hedge | 1,507,492 | [1] | 1,391,938 |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 131,386 | 48,946 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 1,148 | 1,281 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 132,534 | 50,227 | |
Advances | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Asset, Fair Value Hedge | 10,369,813 | [1] | 16,724,094 |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 249,927 | 172,779 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (24) | (9) | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | $ 249,903 | $ 172,770 | |
[1] | Includes carrying value of hedged items in current fair value hedging relationships. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ 415 | |||
Net gains (losses) related to derivatives not designated as hedging instruments | (1,417) | |||
Other - price alignment amount on cleared derivatives (2) | [1] | (3,535) | ||
Net gains (losses) on derivatives and hedging activities | $ (90,910) | $ (39,795) | (4,537) | |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [2] | 415 | ||
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) | |||
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 | |||
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 | |||
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) | |||
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) | |||
Not Designated as Hedging Instrument [Member] | Other Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ 23 | |||
Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (91,097) | (40,123) | ||
Net gains (losses) on derivatives and hedging activities | (90,910) | (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 | 4,724 | (1,106) | ||
Gain (Loss) on Derivative Instruments [Member] | Economic Hedge [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Other - price alignment amount on cleared derivatives (2) | [1] | 187 | 328 | |
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 | (85,298) | (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 | 758 | (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 | (11,467) | (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 | 38 | (53) | ||
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member] | Other Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ 148 | $ 27 | ||
[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_7
Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Gross recognized amount | $ 2,738 | $ 16,172 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | 133,629 | 124,050 |
Net amounts after netting adjustments | 136,367 | 140,222 | |
Derivative instruments not meeting netting requirements | 675 | 29 | |
Derivative assets | 137,042 | 140,251 | |
Net unsecured amount | 137,042 | 140,251 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Gross recognized amount | 2,355 | 8,743 | |
Gross amounts of netting adjustments and cash collateral | (1,632) | (7,631) | |
Net amounts after netting adjustments | 723 | 1,112 | |
Derivative instruments not meeting netting requirements | 675 | 29 | |
Derivative assets | 1,398 | 1,141 | |
Net unsecured amount | 1,398 | 1,141 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Gross recognized amount | 383 | 7,429 | |
Gross amounts of netting adjustments and cash collateral | 135,261 | 131,681 | |
Net amounts after netting adjustments | 135,644 | 139,110 | |
Derivative instruments not meeting netting requirements | 0 | 0 | |
Derivative assets | 135,644 | 139,110 | |
Net unsecured amount | $ 135,644 | $ 139,110 | |
[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 including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $137.9 million and $138.1 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral received including accrued interest was $1.1 million for December 31, 2020 and was $8.2 million for December 31, 2019. |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities Offsetting liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | ||
Offsetting Liabilities [Line Items] | ||||
Gross recognized amount | $ 7,579 | $ 8,790 | ||
Gross amounts of netting adjustments and cash collateral | [1],[2] | (3,131) | (5,845) | |
Net amounts after netting adjustments | 4,448 | 2,945 | ||
Derivative instruments not meeting netting requirements | 11 | [3] | 79 | |
Derivative liabilities | 4,459 | 3,024 | ||
Net unsecured amount | 4,459 | 3,024 | ||
Uncleared derivatives | ||||
Offsetting Liabilities [Line Items] | ||||
Gross recognized amount | 4,282 | 7,135 | ||
Gross amounts of netting adjustments and cash collateral | (2,748) | (4,190) | ||
Net amounts after netting adjustments | 1,534 | 2,945 | ||
Derivative instruments not meeting netting requirements | 11 | 79 | ||
Derivative liabilities | 1,545 | 3,024 | ||
Net unsecured amount | 1,545 | 3,024 | ||
Cleared derivatives | ||||
Offsetting Liabilities [Line Items] | ||||
Gross recognized amount | 3,297 | 1,655 | ||
Gross amounts of netting adjustments and cash collateral | (383) | (1,655) | ||
Net amounts after netting adjustments | 2,914 | 0 | ||
Derivative instruments not meeting netting requirements | 0 | 0 | ||
Derivative liabilities | 2,914 | 0 | ||
Net unsecured amount | $ 2,914 | $ 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 including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $137.9 million and $138.1 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral received including accrued interest was $1.1 million for December 31, 2020 and was $8.2 million for December 31, 2019. | |||
[3] | ) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments) |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Dec. 31, 2020USD ($) |
Derivative [Line Items] | |
Derivative, Net Liability Position | $ 1.2 |
Deposits (Details)
Deposits (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Deposits [Abstract] | ||
Interest-bearing Deposit, Demand | $ 720,287 | $ 520,320 |
Noninterest-bearing Deposit, Demand | 203,084 | 53,062 |
Total deposits | $ 923,371 | $ 573,382 |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 33,750,215 | $ 66,704,200 |
Bond premiums | 91,225 | 85,028 |
Bond discounts | (7,524) | (8,350) |
Concession fees | (4,147) | (6,118) |
Hedging adjustments | 24,985 | 33,047 |
Total book value | 33,854,754 | 66,807,807 |
Fixed-rate | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 17,148,965 | 29,292,200 |
Step-up Interest Rate [Member] [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 40,000 | 705,000 |
Variable-rate | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 16,561,250 | $ 36,707,000 |
Consolidated Obligations (Contr
Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 33,750,215 | $ 66,704,200 |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 24,233,615 | $ 50,306,900 |
Long Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 0.49% | 1.83% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | $ 3,024,625 | $ 7,268,705 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 2.19% | 2.10% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | $ 1,545,000 | $ 2,705,420 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.33% | 2.36% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | $ 1,164,475 | $ 1,469,400 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 2.41% | 2.58% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | $ 961,725 | $ 947,375 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 1.69% | 2.69% |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 2,820,775 | $ 4,006,400 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.05% | 2.73% |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 0.96% | 1.96% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 33,750,215 | $ 66,704,200 |
Non Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 28,583,715 | 61,597,600 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 5,166,500 | $ 5,106,600 |
Consolidated Obligations (Con_2
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 24,233,615 | $ 50,306,900 |
Long-term Debt, Gross | 33,750,215 | 66,704,200 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 3,024,625 | 7,268,705 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,545,000 | 2,705,420 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,164,475 | 1,469,400 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 961,725 | 947,375 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 2,820,775 | 4,006,400 |
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 | 25,737,615 | 54,157,900 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 3,038,625 | 6,573,705 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,602,000 | 2,623,420 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,089,475 | 1,063,400 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 759,725 | 827,375 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 1,522,775 | $ 1,458,400 |
Consolidated Obligations (Con_3
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Short-term Debt [Line Items] | |||
Book value | $ 9,510,085 | $ 23,141,362 | |
Weighted average interest rate (1) | [1] | 0.11% | 1.61% |
Short-term Debt [Member] | |||
Short-term Debt [Line Items] | |||
Par value | $ 9,512,324 | $ 23,211,524 | |
[1] | Represents an implied rate. |
Consolidated Obligations (Narra
Consolidated Obligations (Narrative) (Details) $ in Billions | Dec. 31, 2020USD ($)Banks | Dec. 31, 2019USD ($) |
Narrative [Abstract] | ||
Number of FHLBanks | Banks | 11 | |
FHLB Total CO | $ | $ 746.8 | $ 1,025.9 |
Affordable Housing Program (A_3
Affordable Housing Program (AHP) (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Affordable Housing Program [Abstract] | |||
AHP, Contribution Requirement, Amount | $ 100,000,000 | ||
AHP, Contribution Requirement, Percentage | 10.00% | ||
AHP Open Committments | $ 72,000,000 | $ 73,300,000 | $ 58,300,000 |
Affordable Housing Program [Roll Forward] | |||
Balance, beginning of the year | 112,289,000 | 99,578,000 | 91,563,000 |
Assessments | 25,227,000 | 37,140,000 | 38,683,000 |
Subsidy usage, net | (35,330,000) | (24,429,000) | (30,668,000) |
Balance, end of the year | $ 102,186,000 | $ 112,289,000 | $ 99,578,000 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) $ in Thousands | Dec. 31, 2020USD ($)numberOfRegulatoryRequirements | Dec. 31, 2019USD ($) |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Number of Finance Agency Regulatory Capital Requirements | numberOfRegulatoryRequirements | 3 | |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
NumberOfSubclassesOfCapitalStock | 2 | |
Risk-based capital - Required | $ 520,696 | $ 610,573 |
Risk-Based Capital, Actual | $ 3,047,399 | $ 4,724,586 |
Total capital-to-asset ratio - Required | 4.00% | 4.00% |
Total capital-to-asset ratio, Actual | 6.40% | 4.90% |
Total Regulatory Capital, Required | $ 1,908,516 | $ 3,828,965 |
Federal Home Loan Bank, Regulatory Capital, Actual | $ 3,047,399 | $ 4,724,586 |
Leverage ratio - Required | 5.00% | 5.00% |
Federal Home Loan Bank, Leverage Ratio, Actual | 9.60% | 7.40% |
Leverage Capital, Required | $ 2,385,645 | $ 4,786,206 |
Leverage capital - Actual | 4,571,099 | 7,086,879 |
Subclass B1 | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Capital Stock | 300,000 | 300,000 |
Subclass B2 | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Capital Stock | $ 1,200,000 | $ 2,700,000 |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020USD ($)Institutions$ / shares | Dec. 31, 2019USD ($)$ / shares | Dec. 31, 2018USD ($) | |
Banking Regulation, Total Capital [Abstract] | |||
Capital stock, par value | $ / shares | $ 100 | $ 100 | |
Balance, end of the period | $ 142,807 | $ 343,575 | $ 24,099 |
Interest Expense, Capital Securities | $ 16,600 | 17,300 | |
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 6 | ||
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 | $ 343,575 | 24,099 | 5,113 |
Capital stock subject to mandatory redemption reclassified from capital | 39,457 | 361,549 | 42,733 |
Redemption/repurchase of mandatorily redeemable stock | (240,225) | (42,073) | (23,747) |
Balance, end of the period | $ 142,807 | $ 343,575 | $ 24,099 |
Capital (Mandatorily Redeemab_2
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Banking Regulation, Total Capital [Abstract] | ||||
Due in 1 year or less | $ 0 | $ 3,316 | ||
Due after 1 year though 2 years | 21 | 0 | ||
Due after 2 years through 3 years | 20,000 | 21 | ||
Due after 3 years through 4 years | 120,000 | 20,000 | ||
Due after 4 years through 5 years | 19 | 320,000 | ||
Past contractual redemption date due to remaining activity | 2,767 | 238 | ||
Total | $ 142,807 | $ 343,575 | $ 24,099 | $ 5,113 |
Capital (Dividends and Retained
Capital (Dividends and Retained Earnings) (Details) - USD ($) $ in Thousands | Feb. 26, 2021 | Oct. 30, 2020 | Jul. 30, 2020 | Apr. 30, 2020 | Feb. 28, 2020 | Feb. 21, 2020 | Oct. 30, 2019 | Jul. 30, 2019 | Apr. 30, 2019 | Feb. 22, 2019 | Oct. 30, 2018 | Jul. 27, 2018 | Apr. 27, 2018 | Feb. 22, 2018 | Dec. 31, 2020 | Dec. 31, 2019 |
Capital [Line Items] | ||||||||||||||||
Capital Distributions Made by FHLBs for recap of FSLIC | $ 680,000 | |||||||||||||||
Excess Funds Available for Distribution to FICO Shareholders | 200,000 | |||||||||||||||
Partial Recovery Of Prior Capital Distribution To Financing Corporation | $ 8,541 | |||||||||||||||
Joint capital enhancement agreement, percentage | 20.00% | |||||||||||||||
Percent of Average Balance of Outstanding Consolidated Obligations For Each Previous Quarter | 1.00% | |||||||||||||||
Retained Earnings | $ 1,376,751 | $ 1,326,014 | ||||||||||||||
Unrestricted Retained Earnings | 919,373 | 910,726 | ||||||||||||||
Restricted Retained Earnings | $ 457,378 | $ 415,288 | ||||||||||||||
Subclass B1 | ||||||||||||||||
Capital [Line Items] | ||||||||||||||||
Dividends Cash | 3.00% | 3.00% | 3.00% | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | 3.50% | 3.50% | 3.50% | 3.50% | ||||
Subclass B1 | Subsequent Event [Member] | ||||||||||||||||
Capital [Line Items] | ||||||||||||||||
Dividends Cash | 2.50% | |||||||||||||||
Subclass B2 | ||||||||||||||||
Capital [Line Items] | ||||||||||||||||
Dividends Cash | 6.25% | 6.25% | 6.25% | 4.50% | 7.75% | 7.75% | 7.75% | 7.75% | 7.75% | 6.75% | 6.75% | 6.75% | 6.75% | |||
Subclass B2 | Subsequent Event [Member] | ||||||||||||||||
Capital [Line Items] | ||||||||||||||||
Dividends Cash | 5.75% |
Capital (Accumulated Other Comp
Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | $ 3,041,918 | $ 4,472,836 | $ 5,376,294 | $ 4,927,488 |
Amortization on hedging activities | (149) | (27) | (24) | |
Pension and post-retirement benefits | (1,084) | (3,132) | 1,349 | |
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 100 | |||
Net Unrealized Gains(Losses) on AFS [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 143,592 | 45,155 | 9,887 | 41,210 |
Net unrealized gains (losses) | 46,733 | 35,268 | (31,323) | |
Net Unrealized Gains(Losses) on AFS [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 51,704 | |||
Net Unrealized Gains (losses) on Hedging Activities | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 0 | 149 | 176 | 200 |
Amortization on hedging activities | (149) | (27) | (24) | |
Pension and Post Retirement Plans [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | (6,266) | (5,182) | (2,050) | (3,399) |
Pension and post-retirement benefits | (1,084) | (3,132) | 1,349 | |
Total AOCI [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 137,326 | 91,826 | 73,146 | 110,964 |
Net unrealized gains (losses) | 46,733 | 21,269 | (40,100) | |
Non-credit OTTI to credit OTTI | 570 | 957 | ||
Amortization on hedging activities | (149) | (27) | (24) | |
Pension and post-retirement benefits | (1,084) | (3,132) | 1,349 | |
Available-for-sale Securities [Member] | Noncredit OTTI Gains(Losses) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 0 | 51,704 | 65,133 | $ 72,953 |
Net unrealized gains (losses) | (13,999) | (8,777) | ||
Non-credit OTTI to credit OTTI | $ 570 | $ 957 | ||
Available-for-sale Securities [Member] | Noncredit OTTI Gains(Losses) [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | $ (51,704) |
Employee Retirement Plans (Mult
Employee Retirement Plans (Multiemployer Plan) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Jul. 01, 2020 | Jul. 01, 2019 | Jul. 01, 2018 | |
Multiemployer Plan [Line Items] | ||||||
Multiemployer Plan Number (Deprecated 2020-01-31) | 333 | |||||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ 2,500 | $ 1,500 | $ 1,700 | |||
Entity Tax Identification Number | 25-6001324 | |||||
Other Postretirement Benefits Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Eligibility requirements, period of service | 10 years | |||||
Accumulated benefit obligation | $ 2,500 | 2,200 | ||||
Supplemental Employee Retirement Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Accumulated benefit obligation | 12,400 | 11,300 | ||||
Supplemental Employee Retirement Plan [Member] | Mutual Funds [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Defined Benefit Plan, Plan Assets, Amount | $ 2,100 | 2,100 | ||||
Maximum [Member] | Other Postretirement Benefits Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Eligibility requirements, age of participants | 65 years | |||||
Minimum [Member] | Other Postretirement Benefits Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Eligibility requirements, age of participants | 60 years | |||||
Nonqualified Plan [Member] | Other Pension, Postretirement and Supplemental Plans [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Deferred Compensation Arrangement with Individual, Recorded Liability | $ 18,300 | 15,600 | ||||
Deferred Compensation Arrangement with Individual, Compensation Expense | 1,100 | 2,700 | (500) | |||
Nonqualified Plan [Member] | Other Pension, Postretirement and Supplemental Plans [Member] | Mutual Funds [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Defined Benefit Plan, Plan Assets, Amount | 15,000 | 13,100 | ||||
Pentegra Defined Benefit Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Defined Contribution Plan, Employer Discretionary Contribution Amount | 3,000 | 2,700 | 4,500 | |||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ 3,572 | $ 3,279 | $ 5,000 | |||
Defined Benefit Plan funded status as of July 1 | 108.20% | 108.60% | 109.90% | |||
Bank’s funded status as of July 1 | 141.10% | 144.80% | 147.30% |
Employee Retirement Plans (Narr
Employee Retirement Plans (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Retirement Benefits [Abstract] | |||
Defined Contribution Plan, Cost | $ 1.6 | $ 1.4 | $ 1.2 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 2.5 | 1.5 | $ 1.7 |
Other Postretirement Benefits Plan [Member] | |||
Retirement Benefits [Abstract] | |||
Eligibility requirements, period of service | 10 years | ||
Accumulated benefit obligation | $ 2.5 | $ 2.2 | |
Minimum [Member] | Other Postretirement Benefits Plan [Member] | |||
Retirement Benefits [Abstract] | |||
Eligibility requirements, age of participants | 60 years | ||
Multiemployer Plan [Line Items] | |||
Eligibility requirements, age of participants | 60 years |
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, 2020 | Dec. 31, 2019 |
Defined Benefit Plan Disclosure [Line Items] | ||
Benefit Obligation | $ 18,673 | $ 17,210 |
Unrealized actuarial gains (losses) in AOCI | (6,266) | (5,182) |
SERP [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Benefit Obligation | 16,218 | 14,975 |
Unrealized actuarial gains (losses) in AOCI | (6,361) | (5,433) |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Benefit Obligation | 2,455 | 2,235 |
Unrealized actuarial gains (losses) in AOCI | $ 95 | $ 251 |
Transactions with Related Par_3
Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | |||
Advances | [1] | $ 24,971,119 | $ 65,610,075 |
MPF Loans | 4,792,296 | 5,030,333 | |
Deposits | 923,371 | 573,382 | |
Capital stock | 1,527,841 | 3,054,996 | |
Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Advances | 10,856,363 | 34,748,867 | |
Letters of credit (1) | [2] | 2,730,541 | 2,418,025 |
MPF Loans | 483,983 | 455,600 | |
Deposits | 31,269 | 17,904 | |
Capital stock | $ 573,392 | $ 1,574,659 | |
[1] | Amounts exclude accrued interest receivable of $36.6 million and $119.7 million at December 31, 2020 and December 31, 2019. | ||
[2] | Letters of credit are off-balance sheet commitments |
Transactions with Related Par_4
Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Interest income on advances | $ 625,473 | $ 1,871,151 | $ 1,648,474 |
Interest income on MPF loans | 155,271 | 170,136 | 151,002 |
Letters of credit fees | 2,300 | 2,859 | 2,541 |
Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Interest income on advances | 434,423 | 1,183,730 | 1,151,369 |
Interest income on MPF loans | 24,875 | 27,845 | 33,269 |
Standby Letters of Credit [Member] | Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Letters of credit fees | $ 2,984 | $ 4,146 | $ 5,911 |
Transactions with Related Par_5
Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Payments to other Federal Home Loan Banks | $ 30,000 | $ 500,000 | |
Proceeds from Other Federal Home Loan Banks | 30,000 | 500,000 | |
Loans Repaid by Other Federal Home Loan Banks | 5,000 | ||
Proceeds from FHLBank Borrowings, Financing Activities | 5,000 | ||
FHLBank of Chicago [Member] | |||
Related Party Transaction [Line Items] | |||
Fees and Commissions, Mortgage Banking and Servicing | 3,909 | 3,567 | $ 3,076 |
Interest-bearing deposits maintained with FHLBank of Chicago | $ 5,856 | $ 5,173 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | $ 1,036,459 | $ 21,490 | ||||
Trading securities | 1,156,003 | 3,631,650 | ||||
AFS securities | 9,476,385 | 11,097,769 | ||||
HTM Securities | 2,483,730 | 2,395,691 | ||||
HTM Securities, Fair Value | 2,557,128 | [1] | 2,440,288 | |||
Accrued Interest Receivable | 90,702 | 193,352 | ||||
Derivative assets | 137,042 | 140,251 | ||||
Netting adjustments: Derivative Assets | [2],[3] | 133,629 | 124,050 | |||
Mandatorily redeemable capital stock (3) | 142,807 | 343,575 | $ 24,099 | $ 5,113 | ||
Accrued interest payable (3) | 64,950 | 205,118 | ||||
Derivative liabilities | 4,459 | 3,024 | ||||
Netting adjustments: Derivative Liabilities | [2],[3] | (3,131) | (5,845) | |||
Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | 1,036,459 | 21,490 | ||||
Interest-bearing deposits | 956,628 | 1,476,890 | ||||
Federal funds sold | 1,850,009 | 3,769,965 | ||||
Securities Purchased under Agreements to Resell(2) | [4] | 600,003 | 2,199,973 | |||
Trading securities | 1,156,003 | 3,631,650 | ||||
AFS securities | 9,476,385 | 11,097,769 | ||||
HTM Securities, Fair Value | 2,557,128 | 2,440,288 | ||||
Advances | 25,097,529 | 65,662,578 | ||||
Loans | 5,084,683 | 5,313,973 | ||||
Accrued Interest Receivable | 90,702 | 193,352 | ||||
Derivative assets | 137,042 | 140,251 | ||||
Deposits | 923,371 | 573,382 | ||||
Mandatorily redeemable capital stock (3) | [5] | 145,282 | 350,287 | |||
Accrued interest payable (3) | [5] | 62,475 | 198,406 | |||
Derivative liabilities | 4,459 | 3,024 | ||||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | 1,036,459 | 21,490 | ||||
Interest-bearing deposits | 956,628 | 1,476,890 | ||||
Federal funds sold | 1,850,000 | 3,770,000 | ||||
Securities Purchased under Agreements to Resell(2) | 600,000 | 2,200,000 | ||||
Trading securities | 1,156,003 | 3,631,650 | ||||
AFS securities | 9,476,385 | 11,097,769 | ||||
HTM Securities | 2,483,730 | 2,395,691 | ||||
Advances | 24,971,119 | 65,610,075 | ||||
Accrued Interest Receivable | 90,702 | 193,352 | ||||
Derivative assets | 137,042 | 140,251 | ||||
Deposits | 923,371 | 573,382 | ||||
Mandatorily redeemable capital stock (3) | 142,807 | 343,575 | ||||
Accrued interest payable (3) | 64,950 | 205,118 | ||||
Derivative liabilities | 4,459 | 3,024 | ||||
Consolidated Obligations, Discount Notes [Member] | Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Discount notes | 9,510,584 | 23,142,588 | ||||
Consolidated Obligations, Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Discount notes | 9,510,085 | 23,141,362 | ||||
Consolidated Obligation Bonds [Member] | Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Bonds | 34,282,476 | 66,981,400 | ||||
Consolidated Obligation Bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Bonds | 33,854,754 | 66,807,807 | ||||
Residential Portfolio Segment [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 4,886,207 | 5,114,625 | ||||
BOB loans [Member] | Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 21,236 | 19,706 | ||||
BOB loans [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 21,236 | 19,706 | ||||
Fair Value, Inputs, Level 1 [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | 1,036,459 | 21,490 | ||||
Interest-bearing deposits | 950,772 | 1,471,717 | ||||
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 | ||||
Accrued Interest Receivable | 0 | 0 | ||||
Derivative assets | 0 | 0 | ||||
Deposits | 0 | 0 | ||||
Mandatorily redeemable capital stock (3) | 145,282 | 350,287 | ||||
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] | Residential Portfolio Segment [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 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 | 5,856 | 5,173 | ||||
Federal funds sold | 1,850,009 | 3,769,965 | ||||
Securities Purchased under Agreements to Resell(2) | 600,003 | 2,199,973 | ||||
Trading securities | 1,156,003 | 3,631,650 | ||||
AFS securities | 9,223,785 | 10,771,623 | ||||
HTM Securities, Fair Value | 2,464,732 | 2,316,109 | ||||
Advances | 25,097,529 | 65,662,578 | ||||
Accrued Interest Receivable | 90,702 | 193,352 | ||||
Derivative assets | 3,413 | 16,201 | ||||
Deposits | 923,371 | 573,382 | ||||
Mandatorily redeemable capital stock (3) | 0 | 0 | ||||
Accrued interest payable (3) | 62,475 | 198,406 | ||||
Derivative liabilities | 7,590 | 8,869 | ||||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligations, Discount Notes [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Discount notes | 9,510,584 | 23,142,588 | ||||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Bonds | 34,282,476 | 66,981,400 | ||||
Fair Value, Inputs, Level 2 [Member] | Residential Portfolio Segment [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 5,084,683 | 5,313,973 | ||||
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 | 252,600 | 326,146 | ||||
HTM Securities, Fair Value | 92,396 | 124,179 | ||||
Advances | 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] | Residential Portfolio Segment [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 0 | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | BOB loans [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | $ 21,236 | $ 19,706 | ||||
[1] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL on HTM securities. However, no credit loss was recorded for these securities as of December 31, 2020 | |||||
[2] | 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. | |||||
[3] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $137.9 million and $138.1 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral received including accrued interest was $1.1 million for December 31, 2020 and was $8.2 million for December 31, 2019. | |||||
[4] | Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2020 and December 31, 2019. These instruments’ maturity term is overnight. | |||||
[5] | The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. |
Estimated Fair Values (Fair Val
Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | $ 1,156,003,000 | $ 3,631,650,000 | ||
AFS securities | 9,476,385,000 | 11,097,769,000 | ||
Derivative assets | 137,042,000 | 140,251,000 | ||
Netting adjustments: Derivative Assets | [1],[2] | 133,629,000 | 124,050,000 | |
Derivative liabilities | 4,459,000 | 3,024,000 | ||
Netting adjustments: Derivative Liabilities | [1],[2] | (3,131,000) | (5,845,000) | |
Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 1,156,003,000 | 3,631,650,000 | ||
AFS securities | 9,476,385,000 | 11,097,769,000 | ||
Derivative assets | 137,042,000 | 140,251,000 | ||
Derivative liabilities | 4,459,000 | 3,024,000 | ||
Loans Receivable, Fair Value Disclosure | 5,084,683,000 | 5,313,973,000 | ||
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 | ||
Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 1,156,003,000 | 3,631,650,000 | ||
AFS securities | 9,223,785,000 | 10,771,623,000 | ||
Derivative assets | 3,413,000 | 16,201,000 | ||
Derivative liabilities | 7,590,000 | 8,869,000 | ||
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 | 252,600,000 | 326,146,000 | ||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Fair Value, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Netting adjustments: Derivative Assets | [3] | 133,629,000 | 124,050,000 | |
Netting adjustments: Derivative Liabilities | [3],[4] | (3,131,000) | (5,845,000) | |
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 | 1,156,003,000 | 3,631,650,000 | ||
AFS securities | 9,476,385,000 | 11,097,769,000 | ||
Derivative assets | 137,042,000 | 140,251,000 | ||
Total recurring assets at fair value | 10,769,430,000 | 14,869,670,000 | ||
Derivative liabilities | 4,448,000 | 2,945,000 | ||
Total recurring liabilities at fair value (2) | [4] | 4,459,000 | 3,024,000 | |
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 | 1,156,003,000 | 3,631,650,000 | ||
AFS securities | 9,223,785,000 | 10,771,623,000 | ||
Derivative assets | 3,413,000 | 16,201,000 | ||
Total recurring assets at fair value | 10,383,201,000 | 14,419,474,000 | ||
Total recurring liabilities at fair value (2) | [4] | 7,590,000 | 8,869,000 | |
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 | 252,600,000 | 326,146,000 | ||
Derivative assets | 0 | 0 | ||
Total recurring assets at fair value | 252,600,000 | 326,146,000 | ||
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 | 19,652,000 | 10,299,000 | ||
Loans Receivable, Fair Value Disclosure | 18,382,000 | 7,850,000 | ||
Real estate owned | 1,270,000 | 2,449,000 | ||
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 | 19,652,000 | 10,299,000 | ||
Loans Receivable, Fair Value Disclosure | 18,382,000 | 7,850,000 | ||
Real estate owned | 1,270,000 | 2,449,000 | ||
Interest Rate Swaps | Fair Value, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Netting adjustments: Derivative Assets | 133,629,000 | 124,050,000 | ||
Netting adjustments: Derivative Liabilities | (3,131,000) | (5,845,000) | ||
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 | 136,367,000 | 140,222,000 | ||
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 | 2,738,000 | 16,172,000 | ||
Derivative liabilities | 7,579,000 | 8,790,000 | ||
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 | 899,421,000 | 3,390,772,000 | ||
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 | 899,421,000 | 3,390,772,000 | ||
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 | 899,421,000 | 3,390,772,000 | ||
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 | 256,582,000 | 240,878,000 | ||
AFS securities | 1,643,733,000 | 1,550,699,000 | ||
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 | 256,582,000 | 240,878,000 | ||
AFS securities | 1,643,733,000 | 1,550,699,000 | ||
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 | 256,582,000 | 240,878,000 | ||
AFS securities | 1,643,733,000 | 1,550,699,000 | ||
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 | 241,630,000 | 247,894,000 | ||
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 | 241,630,000 | 247,894,000 | ||
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 | 241,630,000 | 247,894,000 | ||
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 | 602,148,000 | 807,586,000 | ||
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 | 602,148,000 | 807,586,000 | ||
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 | 602,148,000 | 807,586,000 | ||
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 | 3,262,880,000 | 4,055,859,000 | ||
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 | 3,262,880,000 | 4,055,859,000 | ||
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 | 3,262,880,000 | 4,055,859,000 | ||
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 | 3,473,394,000 | 4,109,585,000 | ||
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 | 3,473,394,000 | 4,109,585,000 | ||
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 | 3,473,394,000 | 4,109,585,000 | ||
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 | 252,600,000 | 326,146,000 | ||
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 | 252,600,000 | 326,146,000 | ||
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 | 252,600,000 | 326,146,000 | ||
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 | 675,000 | 29,000 | ||
Derivative liabilities | 11,000 | 79,000 | ||
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 | 675,000 | 29,000 | ||
Derivative liabilities | 11,000 | 79,000 | ||
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 including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $137.9 million and $138.1 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral received including accrued interest was $1.1 million for December 31, 2020 and was $8.2 million for December 31, 2019. | |||
[3] | )Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. | |||
[4] | Derivative liabilities represent the total liabilities at fair value. |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) - Private label MBS [Member] - Fair Value, Recurring [Member] - Fair Value, Inputs, Level 3 [Member] - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | $ (14,530) | |||
Available-for-sale Securities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 326,146 | $ 409,550 | $ 524,543 | |
Provision for Loan and Lease Losses | [1] | (2,417) | ||
Accretion of credit losses in interest income | 11,635 | 14,385 | 15,419 | |
Net OTTI losses, credit portion | (570) | (957) | ||
Net unrealized gains on AFS in OCI | (14,530) | 33 | (67) | |
Reclassification of non-credit portion included in net income | 0 | 570 | 957 | |
Unrealized gains (losses) on OTTI AFS in OCI | 0 | (13,999) | (8,777) | |
Purchases, issuances, sales, and settlements: | ||||
Settlements | (68,234) | (83,823) | (121,568) | |
Balance at December 31 | 252,600 | 326,146 | 409,550 | |
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 | $ 9,218 | $ 11,443 | $ 14,462 | |
[1] | Due to the adoption of ASU 2016-13, effective January 1, 2020, the Bank was required to record an ACL for expected credit losses on AFS securities. |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | ||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Letters of Credit, Annual Renewal Option | $ 5,000,000 | $ 4,300,000 | |
Other liabilities | $ 68,361 | 64,736 | |
Maximum Commitment Period | 60 days | ||
Open RepoPlus Advance Product [Member] | |||
Loss Contingencies [Line Items] | |||
Line of Credit Facility, Remaining Borrowing Capacity | $ 12,300,000 | 9,800,000 | |
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Letter of Credit Renewal Period | 5 years | ||
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | $ 19,723,286 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 19,723,286 | [1],[2] | 17,370,617 |
Other liabilities | 3,900 | 3,500 | |
Loan Origination Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 760 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 760 | 19,796 | |
Commitments to purchase mortgage loans [Member] | Mortgage Receivable [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 60,622 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 60,622 | 73,574 | |
Consolidated Obligations - Bonds [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 15,000 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 15,000 | 62,000 | |
Consolidated Obligations, Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 950 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 950 | 1,083,406 | |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance sheet commitments | $ 30,900 | $ 23,900 | |
[1] | Excludes approved requests to issue future standby letters of credit of $30.9 million and $23.9 million at December 31, 2020 and December 31, 2019 respectively. | ||
[2] | Letters of credit in the amount of $5.0 billion and $4.3 billion at December 31, 2020 and December 31, 2019 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. |